From 77293b1f1e3ad86e2afdbdf4fcb3797fd1a7ef79 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 4 Jul 2021 10:50:10 +0200 Subject: [PATCH] Remove Zero duration Trades after the recent backtesting fixes, this metric no longer makes sense, as it can't really be 0 any longer. --- docs/backtesting.md | 3 --- freqtrade/optimize/optimize_reports.py | 12 ------------ 2 files changed, 15 deletions(-) diff --git a/docs/backtesting.md b/docs/backtesting.md index 4899b1dad..89980c670 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -302,7 +302,6 @@ A backtesting result will look like that: | Days win/draw/lose | 12 / 82 / 25 | | Avg. Duration Winners | 4:23:00 | | Avg. Duration Loser | 6:55:00 | -| Zero Duration Trades | 4.6% (20) | | Rejected Buy signals | 3089 | | | | | Min balance | 0.00945123 BTC | @@ -390,7 +389,6 @@ It contains some useful key metrics about performance of your strategy on backte | Days win/draw/lose | 12 / 82 / 25 | | Avg. Duration Winners | 4:23:00 | | Avg. Duration Loser | 6:55:00 | -| Zero Duration Trades | 4.6% (20) | | Rejected Buy signals | 3089 | | | | | Min balance | 0.00945123 BTC | @@ -420,7 +418,6 @@ It contains some useful key metrics about performance of your strategy on backte - `Best day` / `Worst day`: Best and worst day based on daily profit. - `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade). - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades. -- `Zero Duration Trades`: A number of trades that completed within same candle as they opened and had `trailing_stop_loss` sell reason. A significant amount of such trades may indicate that strategy is exploiting trailing stoploss behavior in backtesting and produces unrealistic results. - `Rejected Buy signals`: Buy signals that could not be acted upon due to max_open_trades being reached. - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period. - `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced). diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 79208c5e9..2a794859d 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -229,8 +229,6 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]: winning_trades = results.loc[results['profit_ratio'] > 0] draw_trades = results.loc[results['profit_ratio'] == 0] losing_trades = results.loc[results['profit_ratio'] < 0] - zero_duration_trades = len(results.loc[(results['trade_duration'] == 0) & - (results['sell_reason'] == 'trailing_stop_loss')]) holding_avg = (timedelta(minutes=round(results['trade_duration'].mean())) if not results.empty else timedelta()) @@ -249,7 +247,6 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]: 'winner_holding_avg_s': winner_holding_avg.total_seconds(), 'loser_holding_avg': loser_holding_avg, 'loser_holding_avg_s': loser_holding_avg.total_seconds(), - 'zero_duration_trades': zero_duration_trades, } @@ -542,14 +539,6 @@ def text_table_add_metrics(strat_results: Dict) -> str: # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show # command stores these results and newer version of freqtrade must be able to handle old # results with missing new fields. - zero_duration_trades = '--' - - if 'zero_duration_trades' in strat_results: - zero_duration_trades_per = \ - 100.0 / strat_results['total_trades'] * strat_results['zero_duration_trades'] - zero_duration_trades = f'{zero_duration_trades_per:.2f}% ' \ - f'({strat_results["zero_duration_trades"]})' - metrics = [ ('Backtesting from', strat_results['backtest_start']), ('Backtesting to', strat_results['backtest_end']), @@ -585,7 +574,6 @@ def text_table_add_metrics(strat_results: Dict) -> str: f"{strat_results['draw_days']} / {strat_results['losing_days']}"), ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"), ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"), - ('Zero Duration Trades', zero_duration_trades), ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')), ('', ''), # Empty line to improve readability