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fix formulas and implement new metrics

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This commit is contained in:
Stefano Ariestasia
2022-12-26 08:19:51 +09:00
parent 7a5439321c
commit 6353f3ac1a
2 changed files with 13 additions and 21 deletions
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6
freqtrade/optimize/optimize_reports.py
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@@ -450,8 +450,8 @@ def generate_strategy_stats(pairlist: List[str],
'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
'expectancy': calculate_expectancy(results),
'sortino': calculate_sortino(results, min_date, max_date),
'sharpe': calculate_sharpe(results, min_date, max_date),
'sortino': calculate_sortino(results, min_date, max_date, start_balance),
'sharpe': calculate_sharpe(results, min_date, max_date, start_balance),
'calmar': calculate_calmar(results, min_date, max_date, start_balance),
'profit_factor': profit_factor,
'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
@@ -795,6 +795,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Calmar', f"{strat_results['calmar']:.2f}" if 'calmar' in strat_results else 'N/A'),
('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
in strat_results else 'N/A'),
('Expectancy', f"{strat_results['expectancy']:.2f}" if 'expectancy'
in strat_results else 'N/A'),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),