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Merge pull request #1040 from freqtrade/xmatthias_backtest_duration

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Fix backtest duration calculation
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Janne Sinivirta 2018-07-19 17:32:11 +03:00 committed by GitHub
commit 6070d819b8
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2 changed files with 14 additions and 11 deletions
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16
freqtrade/optimize/backtesting.py
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@ -6,7 +6,7 @@ This module contains the backtesting logic
import logging import logging
import operator import operator
from argparse import Namespace from argparse import Namespace
from datetime import datetime from datetime import datetime, timedelta
from typing import Any, Dict, List, NamedTuple, Optional, Tuple from typing import Any, Dict, List, NamedTuple, Optional, Tuple
import arrow import arrow
@ -88,7 +88,7 @@ class Backtesting(object):
""" """
stake_currency = str(self.config.get('stake_currency')) stake_currency = str(self.config.get('stake_currency'))
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.1f') floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f')
tabular_data = [] tabular_data = []
headers = ['pair', 'buy count', 'avg profit %', 'cum profit %', headers = ['pair', 'buy count', 'avg profit %', 'cum profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss'] 'total profit ' + stake_currency, 'avg duration', 'profit', 'loss']
@ -100,7 +100,8 @@ class Backtesting(object):
result.profit_percent.mean() * 100.0, result.profit_percent.mean() * 100.0,
result.profit_percent.sum() * 100.0, result.profit_percent.sum() * 100.0,
result.profit_abs.sum(), result.profit_abs.sum(),
result.trade_duration.mean(), str(timedelta(
minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00',
len(result[result.profit_abs > 0]), len(result[result.profit_abs > 0]),
len(result[result.profit_abs < 0]) len(result[result.profit_abs < 0])
]) ])
@ -112,7 +113,8 @@ class Backtesting(object):
results.profit_percent.mean() * 100.0, results.profit_percent.mean() * 100.0,
results.profit_percent.sum() * 100.0, results.profit_percent.sum() * 100.0,
results.profit_abs.sum(), results.profit_abs.sum(),
results.trade_duration.mean(), str(timedelta(
minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
len(results[results.profit_abs > 0]), len(results[results.profit_abs > 0]),
len(results[results.profit_abs < 0]) len(results[results.profit_abs < 0])
]) ])
@ -159,7 +161,8 @@ class Backtesting(object):
profit_abs=trade.calc_profit(rate=sell_row.open), profit_abs=trade.calc_profit(rate=sell_row.open),
open_time=buy_row.date, open_time=buy_row.date,
close_time=sell_row.date, close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60, trade_duration=int((
sell_row.date - buy_row.date).total_seconds() // 60),
open_index=buy_row.Index, open_index=buy_row.Index,
close_index=sell_row.Index, close_index=sell_row.Index,
open_at_end=False, open_at_end=False,
@ -174,7 +177,8 @@ class Backtesting(object):
profit_abs=trade.calc_profit(rate=sell_row.open), profit_abs=trade.calc_profit(rate=sell_row.open),
open_time=buy_row.date, open_time=buy_row.date,
close_time=sell_row.date, close_time=sell_row.date,
trade_duration=(sell_row.date - buy_row.date).seconds // 60, trade_duration=int((
sell_row.date - buy_row.date).total_seconds() // 60),
open_index=buy_row.Index, open_index=buy_row.Index,
close_index=sell_row.Index, close_index=sell_row.Index,
open_at_end=True, open_at_end=True,

9
freqtrade/tests/optimize/test_backtesting.py
View File

@ -391,15 +391,14 @@ def test_generate_text_table(default_conf, mocker):
result_str = ( result_str = (
'| pair | buy count | avg profit % | cum profit % | ' '| pair | buy count | avg profit % | cum profit % | '
'total profit BTC | avg duration | profit | loss |\n' 'total profit BTC | avg duration | profit | loss |\n'
'|:--------|------------:|---------------:|---------------:|' '|:--------|------------:|---------------:|---------------:|'
'-------------------:|---------------:|---------:|-------:|\n' '-------------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 2 | 15.00 | 30.00 | ' '| ETH/BTC | 2 | 15.00 | 30.00 | '
'0.60000000 | 20.0 | 2 | 0 |\n' '0.60000000 | 0:20:00 | 2 | 0 |\n'
'| TOTAL | 2 | 15.00 | 30.00 | ' '| TOTAL | 2 | 15.00 | 30.00 | '
'0.60000000 | 20.0 | 2 | 0 |' '0.60000000 | 0:20:00 | 2 | 0 |'
) )
print(result_str)
assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str