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Update hyperopt-tools to use account drawdown

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This commit is contained in:
Matthias
2022-01-04 17:31:59 +01:00
parent 09fae25c94
commit 4d9b4ddc28
4 changed files with 41 additions and 33 deletions
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43
freqtrade/optimize/hyperopt_tools.py
View File

@@ -308,8 +308,7 @@ class HyperoptTools():
if not has_drawdown:
# Ensure compatibility with older versions of hyperopt results
trials['results_metrics.max_drawdown_abs'] = None
trials['results_metrics.max_drawdown'] = None
trials['results_metrics.max_drawdown_account'] = None
# New mode, using backtest result for metrics
trials['results_metrics.winsdrawslosses'] = trials.apply(
@@ -320,12 +319,15 @@ class HyperoptTools():
'results_metrics.winsdrawslosses',
'results_metrics.profit_mean', 'results_metrics.profit_total_abs',
'results_metrics.profit_total', 'results_metrics.holding_avg',
'results_metrics.max_drawdown', 'results_metrics.max_drawdown_abs',
'results_metrics.max_drawdown',
'results_metrics.max_drawdown_account', 'results_metrics.max_drawdown_abs',
'loss', 'is_initial_point', 'is_best']]
trials.columns = ['Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
'Total profit', 'Profit', 'Avg duration', 'Max Drawdown',
'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_best']
trials.columns = [
'Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
'Total profit', 'Profit', 'Avg duration', 'max_drawdown', 'max_drawdown_account',
'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_best'
]
return trials
@@ -341,9 +343,9 @@ class HyperoptTools():
tabulate.PRESERVE_WHITESPACE = True
trials = json_normalize(results, max_level=1)
has_drawdown = 'results_metrics.max_drawdown_abs' in trials.columns
has_account_drawdown = 'results_metrics.max_drawdown_account' in trials.columns
trials = HyperoptTools.prepare_trials_columns(trials, has_drawdown)
trials = HyperoptTools.prepare_trials_columns(trials, has_account_drawdown)
trials['is_profit'] = False
trials.loc[trials['is_initial_point'], 'Best'] = '* '
@@ -368,19 +370,20 @@ class HyperoptTools():
stake_currency = config['stake_currency']
if has_drawdown:
trials['Max Drawdown'] = trials.apply(
lambda x: '{} {}'.format(
round_coin_value(x['max_drawdown_abs'], stake_currency),
f"({x['Max Drawdown']:,.2%})".rjust(10, ' ')
).rjust(25 + len(stake_currency))
if x['Max Drawdown'] != 0.0 else '--'.rjust(25 + len(stake_currency)),
axis=1
)
else:
trials = trials.drop(columns=['Max Drawdown'])
trials[f"Max Drawdown{' (Acct)' if has_account_drawdown else ''}"] = trials.apply(
lambda x: "{} {}".format(
round_coin_value(x['max_drawdown_abs'], stake_currency),
(f"({x['max_drawdown_account']:,.2%})"
if has_account_drawdown
else f"({x['max_drawdown']:,.2%})"
).rjust(10, ' ')
).rjust(25 + len(stake_currency))
if x['max_drawdown'] != 0.0 or x['max_drawdown_account'] != 0.0
else '--'.rjust(25 + len(stake_currency)),
axis=1
)
trials = trials.drop(columns=['max_drawdown_abs'])
trials = trials.drop(columns=['max_drawdown_abs', 'max_drawdown', 'max_drawdown_account'])
trials['Profit'] = trials.apply(
lambda x: '{} {}'.format(

4
freqtrade/optimize/optimize_reports.py
View File

@@ -462,10 +462,13 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
}
try:
max_drawdown_legacy, _, _, _, _, _ = calculate_max_drawdown(
results, value_col='profit_ratio')
(drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
max_drawdown) = calculate_max_drawdown(
results, value_col='profit_abs', starting_balance=starting_balance)
strat_stats.update({
'max_drawdown': max_drawdown_legacy, # Deprecated - do not use
'max_drawdown_account': max_drawdown,
'max_drawdown_abs': drawdown_abs,
'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT),
@@ -485,6 +488,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
except ValueError:
strat_stats.update({
'max_drawdown': 0.0,
'max_drawdown_account': 0.0,
'max_drawdown_abs': 0.0,
'max_drawdown_low': 0.0,