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use tabulate to format backtesting result

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This commit is contained in:
gcarq 2017-11-14 23:14:01 +01:00
parent 9b644b0305
commit 5469293e5f
1 changed files with 43 additions and 11 deletions
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54
freqtrade/tests/test_backtesting.py
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@ -9,6 +9,7 @@ import arrow
import pytest
from arrow import Arrow
from pandas import DataFrame
from tabulate import tabulate
from freqtrade import exchange
from freqtrade.analyze import parse_ticker_dataframe, populate_indicators, \
@ -42,9 +43,14 @@ def preprocess(backdata) -> Dict[str, DataFrame]:
return processed
def get_timeframe(backdata: Dict[str, Dict]) -> Tuple[Arrow, Arrow]:
def get_timeframe(data: Dict[str, Dict]) -> Tuple[Arrow, Arrow]:
"""
Get the maximum timeframe for the given backtest data
:param data: dictionary with backtesting data
:return: tuple containing min_date, max_date
"""
min_date, max_date = None, None
for values in backdata.values():
for values in data.values():
values = sorted(values, key=lambda d: arrow.get(d['T']))
if not min_date or values[0]['T'] < min_date:
min_date = values[0]['T']
@ -53,6 +59,34 @@ def get_timeframe(backdata: Dict[str, Dict]) -> Tuple[Arrow, Arrow]:
return arrow.get(min_date), arrow.get(max_date)
def generate_text_table(data: Dict[str, Dict], results: DataFrame) -> str:
"""
Generates and returns a text table for the given backtest data and the results dataframe
:return: pretty printed table with tabulate as str
"""
tabular_data = []
headers = ['pair', 'buy count', 'avg profit', 'total profit', 'avg duration']
for pair in data:
result = results[results.currency == pair]
tabular_data.append([
pair,
len(result.index),
'{:.2f}%'.format(result.profit.mean() * 100.0),
'{:.8f}'.format(result.profit.sum()),
'{:.2f}'.format(result.duration.mean() * 5),
])
# Append Total
tabular_data.append([
'TOTAL',
len(results.index),
'{:.2f}%'.format(results.profit.mean() * 100.0),
'{:.8f}'.format(results.profit.sum()),
'{:.2f}'.format(results.duration.mean() * 5),
])
return tabulate(tabular_data, headers=headers)
def backtest(backtest_conf, processed, mocker):
trades = []
exchange._API = Bittrex({'key': '', 'secret': ''})
@ -88,15 +122,15 @@ def test_backtest(backtest_conf, backdata, mocker):
conf_path = os.environ.get('BACKTEST_CONFIG')
if conf_path:
print('Using config: {} ...'.format(conf_path))
with open(conf_path, 'r') as fp:
config = json.load(fp)
with open(conf_path, 'r') as conf_file:
config = json.load(conf_file)
ticker_interval = int(os.environ.get('BACKTEST_TICKER_INTERVAL') or 5)
print('Using ticker_interval: {}'.format(ticker_interval))
print('Using ticker_interval: {} ...'.format(ticker_interval))
livedata = {}
if os.environ.get('BACKTEST_LIVE'):
print('Downloading data for all pairs in whitelist ...'.format(conf_path))
print('Downloading data for all pairs in whitelist ...')
exchange._API = Bittrex({'key': '', 'secret': ''})
for pair in config['exchange']['pair_whitelist']:
livedata[pair] = exchange.get_ticker_history(pair, ticker_interval)
@ -110,8 +144,6 @@ def test_backtest(backtest_conf, backdata, mocker):
))
results = backtest(config, preprocess(data), mocker)
print('====================== BACKTESTING REPORT ================================')
for pair in data:
print_pair_results(pair, results)
print('TOTAL OVER ALL TRADES:')
print(format_results(results))
print('====================== BACKTESTING REPORT ======================================\n')
print(generate_text_table(data, results))