From 72f21fc5ec90ae15f622c362d2a24bd31f068613 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 14 Feb 2021 13:08:49 +0100 Subject: [PATCH] Add trade-volume metric --- docs/backtesting.md | 3 +++ freqtrade/optimize/optimize_reports.py | 5 ++++- tests/optimize/test_backtesting.py | 2 ++ tests/optimize/test_optimize_reports.py | 1 + 4 files changed, 10 insertions(+), 1 deletion(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index eab64a7a9..ada788da9 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -257,6 +257,7 @@ A backtesting result will look like that: | Absolute profit | 0.00762792 BTC | | Total Profit % | 76.2% | | Trades per day | 3.575 | +| Total trade volume | 0.429 BTC | | | | | Best Pair | LSK/BTC 26.26% | | Worst Pair | ZEC/BTC -10.18% | @@ -337,6 +338,7 @@ It contains some useful key metrics about performance of your strategy on backte | Absolute profit | 0.00762792 BTC | | Total Profit % | 76.2% | | Trades per day | 3.575 | +| Total trade volume | 0.429 BTC | | | | | Best Pair | LSK/BTC 26.26% | | Worst Pair | ZEC/BTC -10.18% | @@ -364,6 +366,7 @@ It contains some useful key metrics about performance of your strategy on backte - `Absolute profit`: Profit made in stake currency. - `Total Profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`. - `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy). +- `Total trade volume`: Volume generated on the exchange to reach the above profit. - `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`. - `Best Trade` / `Worst Trade`: Biggest winning trade and biggest losing trade - `Best day` / `Worst day`: Best and worst day based on daily profit. diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index d6adfdf50..dde0f8dd2 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -277,6 +277,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], 'sell_reason_summary': sell_reason_stats, 'left_open_trades': left_open_results, 'total_trades': len(results), + 'total_volume': results['stake_amount'].sum(), 'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0, 'profit_total': results['profit_abs'].sum() / starting_balance, 'profit_total_abs': results['profit_abs'].sum(), @@ -442,9 +443,11 @@ def text_table_add_metrics(strat_results: Dict) -> str: strat_results['stake_currency'])), ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'], strat_results['stake_currency'])), - ('Total Profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"), ('Trades per day', strat_results['trades_per_day']), + ('Total trade volume', round_coin_value(strat_results['total_volume'], + strat_results['stake_currency'])), + ('', ''), # Empty line to improve readability ('Best Pair', f"{strat_results['best_pair']['key']} " f"{round(strat_results['best_pair']['profit_sum_pct'], 2)}%"), diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 061bcbaa0..8fba8724b 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -817,6 +817,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat '2018-01-30 05:35:00', ], utc=True), 'trade_duration': [235, 40], 'is_open': [False, False], + 'stake_amount': [0.01, 0.01], 'open_rate': [0.104445, 0.10302485], 'close_rate': [0.104969, 0.103541], 'sell_reason': [SellType.ROI, SellType.ROI] @@ -833,6 +834,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat '2018-01-30 08:30:00'], utc=True), 'trade_duration': [47, 40, 20], 'is_open': [False, False, False], + 'stake_amount': [0.01, 0.01, 0.01], 'open_rate': [0.104445, 0.10302485, 0.122541], 'close_rate': [0.104969, 0.103541, 0.123541], 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 405cc599b..ca6a4ab01 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -73,6 +73,7 @@ def test_generate_backtest_stats(default_conf, testdatadir): "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], "trade_duration": [123, 34, 31, 14], "is_open": [False, False, False, True], + "stake_amount": [0.01, 0.01, 0.01, 0.01], "sell_reason": [SellType.ROI, SellType.STOP_LOSS, SellType.ROI, SellType.FORCE_SELL] }),