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Add market Change

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closes #2524 and #3518
This commit is contained in:
Matthias
2020-06-25 20:39:55 +02:00
parent cf044d166e
commit 5fce7f3b22
3 changed files with 37 additions and 4 deletions
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12
freqtrade/optimize/optimize_reports.py
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@@ -8,7 +8,7 @@ from pandas import DataFrame
from tabulate import tabulate
from freqtrade.constants import DATETIME_PRINT_FORMAT
from freqtrade.data.btanalysis import calculate_max_drawdown
from freqtrade.data.btanalysis import calculate_max_drawdown, calculate_market_change
from freqtrade.misc import file_dump_json
logger = logging.getLogger(__name__)
@@ -208,6 +208,8 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
stake_currency = config['stake_currency']
max_open_trades = config['max_open_trades']
result: Dict[str, Any] = {'strategy': {}}
market_change = calculate_market_change(btdata, 'close')
for strategy, results in all_results.items():
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
@@ -232,8 +234,9 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
'backtest_end': max_date.datetime,
'backtest_end_ts': max_date.timestamp,
'backtest_days': backtest_days,
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None
}
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None,
'market_change': market_change,
}
result['strategy'][strategy] = strat_stats
try:
@@ -348,11 +351,12 @@ def text_table_add_metrics(strategy_results: Dict) -> str:
('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"),
('Drawdown Start', strategy_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)),
('Drawdown End', strategy_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)),
('Market change', f"{round(strategy_results['market_change'] * 100, 2)}%"),
]
return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl")
else:
return
return ''
def show_backtest_results(config: Dict, backtest_stats: Dict):