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

Add max_drawdown error handler

Browse Source
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
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

44
freqtrade/optimize/optimize_reports.py
View File

@ -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
@ -214,22 +214,33 @@ 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,
'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 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, strategy_results = generate_strategy_metrics(stake_currency=stake_currency,
max_open_trades=max_open_trades, max_open_trades=max_open_trades,
all_results=all_results) 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: def text_table_add_metrics(strategy_results: Dict) -> str:
xxx = [ if len(strategy_results['trades']) > 0:
('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"), metrics = [
('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')), ('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"),
('Drawdown End', strategy_results['drawdown_end'].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')),
]
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):