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Add Profit factor to backtesting

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Matthias
2022-06-18 16:27:43 +02:00
parent b7e4dea6c5
commit 474e6705e6
3 changed files with 13 additions and 3 deletions
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6
freqtrade/optimize/optimize_reports.py
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@@ -416,6 +416,9 @@ def generate_strategy_stats(pairlist: List[str],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
winning_profit = results.loc[results['profit_abs'] > 0, 'profit_abs'].sum()
losing_profit = results.loc[results['profit_abs'] < 0, 'profit_abs'].sum()
profit_factor = winning_profit / abs(losing_profit) if losing_profit else 0.0
backtest_days = (max_date - min_date).days or 1
strat_stats = {
@@ -443,6 +446,7 @@ def generate_strategy_stats(pairlist: List[str],
'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
'profit_factor': profit_factor,
'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
'backtest_start_ts': int(min_date.timestamp() * 1000),
'backtest_end': max_date.strftime(DATETIME_PRINT_FORMAT),
@@ -779,6 +783,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Total profit %', f"{strat_results['profit_total']:.2%}"),
('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'),
('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
in strat_results else 'N/A'),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),