adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Limit max_open_trades to maximum available pairs

Browse Source 
closes #4008
This commit is contained in:
Matthias 2021-01-24 10:40:22 +01:00
parent 789a980a30
commit 62e43539c9
2 changed files with 6 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

2
docs/backtesting.md
View File

@ -264,7 +264,7 @@ It contains some useful key metrics about performance of your strategy on backte
- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option). - `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).
- `Max open trades`: Setting of `max_open_trades` (or `--max-open-trades`) - to clearly see settings for this. - `Max open trades`: Setting of `max_open_trades` (or `--max-open-trades`) - to clearly see settings for this.
- `Total trades`: Identical to the total trades of the backtest output table. - `Total trades`: Identical to the total trades of the backtest output table.
- `Total Profit %`: Total profit per stake amount. Aligned to the TOTAL column of the first table. - `Total Profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table.
- `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy). - `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy).
- `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`. - `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`.
- `Best Trade` / `Worst Trade`: Biggest winning trade and biggest losing trade - `Best Trade` / `Worst Trade`: Biggest winning trade and biggest losing trade

9
freqtrade/optimize/optimize_reports.py
View File

@ -243,7 +243,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
if not isinstance(results, DataFrame): if not isinstance(results, DataFrame):
continue continue
config = content['config'] config = content['config']
max_open_trades = config['max_open_trades'] max_open_trades = min(config['max_open_trades'], len(btdata.keys()))
stake_currency = config['stake_currency'] stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency, pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
@ -274,7 +274,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
'left_open_trades': left_open_results, 'left_open_trades': left_open_results,
'total_trades': len(results), 'total_trades': len(results),
'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0, 'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0,
'profit_total': results['profit_ratio'].sum(), 'profit_total': results['profit_ratio'].sum() / max_open_trades,
'profit_total_abs': results['profit_abs'].sum(), 'profit_total_abs': results['profit_abs'].sum(),
'backtest_start': min_date.datetime, 'backtest_start': min_date.datetime,
'backtest_start_ts': min_date.int_timestamp * 1000, 'backtest_start_ts': min_date.int_timestamp * 1000,
@ -290,8 +290,9 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
'pairlist': list(btdata.keys()), 'pairlist': list(btdata.keys()),
'stake_amount': config['stake_amount'], 'stake_amount': config['stake_amount'],
'stake_currency': config['stake_currency'], 'stake_currency': config['stake_currency'],
'max_open_trades': (config['max_open_trades'] 'max_open_trades': max_open_trades,
if config['max_open_trades'] != float('inf') else -1), 'max_open_trades_setting': (config['max_open_trades']
if config['max_open_trades'] != float('inf') else -1),
'timeframe': config['timeframe'], 'timeframe': config['timeframe'],
'timerange': config.get('timerange', ''), 'timerange': config.get('timerange', ''),
'enable_protections': config.get('enable_protections', False), 'enable_protections': config.get('enable_protections', False),