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Add max drawdown to backtesting

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This commit is contained in:
Matthias 2020-06-08 06:37:30 +02:00
parent d9d999eaea
commit 455b26ea48
1 changed files with 26 additions and 0 deletions
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26
freqtrade/optimize/optimize_reports.py
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@ -6,6 +6,7 @@ from typing import Any, Dict, List
from pandas import DataFrame from pandas import DataFrame
from tabulate import tabulate from tabulate import tabulate
from freqtrade.data.btanalysis import calculate_max_drawdown
from freqtrade.misc import file_dump_json from freqtrade.misc import file_dump_json
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -212,11 +213,20 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
max_open_trades=max_open_trades, max_open_trades=max_open_trades,
results=results.loc[results['open_at_end']], results=results.loc[results['open_at_end']],
skip_nan=True) skip_nan=True)
max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown(
results, value_col='profit_percent')
strat_stats = { strat_stats = {
'trades': backtest_result_to_list(results), 'trades': backtest_result_to_list(results),
'results_per_pair': pair_results, 'results_per_pair': pair_results,
'sell_reason_summary': sell_reason_stats, 'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results, 'left_open_trades': left_open_results,
'max_drawdown': max_drawdown,
'drawdown_start': drawdown_start,
'drawdown_start_ts': drawdown_start.timestamp(),
'drawdown_end': drawdown_end,
'drawdown_end_ts': drawdown_end.timestamp(),
} }
result['strategy'][strategy] = strat_stats result['strategy'][strategy] = strat_stats
@ -298,6 +308,16 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")
def text_table_add_metrics(strategy_results: Dict) -> str:
xxx = [
('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"),
('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')),
('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')),
]
return tabulate(xxx, headers=["Metric", "Value"], tablefmt="orgtbl")
def show_backtest_results(config: Dict, backtest_stats: Dict): def show_backtest_results(config: Dict, backtest_stats: Dict):
stake_currency = config['stake_currency'] stake_currency = config['stake_currency']
@ -320,6 +340,12 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
if isinstance(table, str): if isinstance(table, str):
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table) print(table)
table = text_table_add_metrics(results)
if isinstance(table, str):
print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '='))
print(table)
if isinstance(table, str): if isinstance(table, str):
print('=' * len(table.splitlines()[0])) print('=' * len(table.splitlines()[0]))
print() print()