From 6922fbc3aae545e4ef3020610e819199770171f7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 8 Jun 2020 06:38:29 +0200 Subject: [PATCH] Add max_drawdown error handler --- freqtrade/optimize/optimize_reports.py | 44 +++++++++++++++++--------- 1 file changed, 29 insertions(+), 15 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 5be1a47a9..0188761d4 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -1,5 +1,5 @@ import logging -from datetime import timedelta +from datetime import timedelta, datetime from pathlib import Path from typing import Any, Dict, List @@ -214,22 +214,33 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], results=results.loc[results['open_at_end']], skip_nan=True) - max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown( - results, value_col='profit_percent') - strat_stats = { 'trades': backtest_result_to_list(results), 'results_per_pair': pair_results, 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, - 'max_drawdown': max_drawdown, - 'drawdown_start': drawdown_start, - 'drawdown_start_ts': drawdown_start.timestamp(), - 'drawdown_end': drawdown_end, - 'drawdown_end_ts': drawdown_end.timestamp(), } result['strategy'][strategy] = strat_stats + try: + max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown( + results, value_col='profit_percent') + strat_stats.update({ + 'max_drawdown': max_drawdown, + 'drawdown_start': drawdown_start, + 'drawdown_start_ts': drawdown_start.timestamp(), + 'drawdown_end': drawdown_end, + 'drawdown_end_ts': drawdown_end.timestamp(), + }) + except ValueError: + strat_stats.update({ + 'max_drawdown': 0.0, + 'drawdown_start': datetime.min, + 'drawdown_start_ts': datetime.min.timestamp(), + 'drawdown_end': datetime.min, + 'drawdown_end_ts': datetime.min.timestamp(), + }) + strategy_results = generate_strategy_metrics(stake_currency=stake_currency, max_open_trades=max_open_trades, all_results=all_results) @@ -309,13 +320,16 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str: def text_table_add_metrics(strategy_results: Dict) -> str: - xxx = [ - ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), - ('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), - ('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')), - ] + if len(strategy_results['trades']) > 0: + metrics = [ + ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), + ('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), + ('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')), + ] - return tabulate(xxx, headers=["Metric", "Value"], tablefmt="orgtbl") + return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") + else: + return def show_backtest_results(config: Dict, backtest_stats: Dict):