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

Remove Zero duration Trades

Browse Source 
after the recent backtesting fixes, this metric no longer makes sense, as it can't really be 0 any longer.
This commit is contained in:
Matthias 2021-07-04 10:50:10 +02:00
parent a4096318e0
commit 77293b1f1e
2 changed files with 0 additions and 15 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

3
docs/backtesting.md
View File

@ -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).

12
freqtrade/optimize/optimize_reports.py
View File

@ -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