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Add max_drawdown error handler

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This commit is contained in:
Matthias 2020-06-08 06:38:29 +02:00
parent 455b26ea48
commit 6922fbc3aa
1 changed files with 29 additions and 15 deletions
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30
freqtrade/optimize/optimize_reports.py
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@ -1,5 +1,5 @@
import logging import logging
from datetime import timedelta from datetime import timedelta, datetime
from pathlib import Path from pathlib import Path
from typing import Any, Dict, List from typing import Any, Dict, List
@ -214,21 +214,32 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
results=results.loc[results['open_at_end']], results=results.loc[results['open_at_end']],
skip_nan=True) skip_nan=True)
max_drawdown, drawdown_start, drawdown_end = calculate_max_drawdown(
results, value_col='profit_percent')
strat_stats = { strat_stats = {
'trades': backtest_result_to_list(results), 'trades': backtest_result_to_list(results),
'results_per_pair': pair_results, 'results_per_pair': pair_results,
'sell_reason_summary': sell_reason_stats, 'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results, 'left_open_trades': left_open_results,
}
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, 'max_drawdown': max_drawdown,
'drawdown_start': drawdown_start, 'drawdown_start': drawdown_start,
'drawdown_start_ts': drawdown_start.timestamp(), 'drawdown_start_ts': drawdown_start.timestamp(),
'drawdown_end': drawdown_end, 'drawdown_end': drawdown_end,
'drawdown_end_ts': drawdown_end.timestamp(), 'drawdown_end_ts': drawdown_end.timestamp(),
} })
result['strategy'][strategy] = strat_stats 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, strategy_results = generate_strategy_metrics(stake_currency=stake_currency,
max_open_trades=max_open_trades, max_open_trades=max_open_trades,
@ -309,13 +320,16 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
def text_table_add_metrics(strategy_results: Dict) -> str: def text_table_add_metrics(strategy_results: Dict) -> str:
xxx = [ if len(strategy_results['trades']) > 0:
metrics = [
('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"),
('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), ('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')), ('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): def show_backtest_results(config: Dict, backtest_stats: Dict):