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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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44
freqtrade/optimize/optimize_reports.py
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@ -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):