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Merge pull request #6181 from freqtrade/simplify_optimizereports

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Simplify optimizereports
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Matthias 2022-01-07 09:43:57 +01:00 committed by GitHub
commit 7f20f6834b
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4 changed files with 16 additions and 15 deletions
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3
freqtrade/optimize/hyperopt.py
View File

@ -76,6 +76,7 @@ class Hyperopt:
self.config = config
self.backtesting = Backtesting(self.config)
self.pairlist = self.backtesting.pairlists.whitelist
if not self.config.get('hyperopt'):
self.custom_hyperopt = HyperOptAuto(self.config)
@ -332,7 +333,7 @@ class Hyperopt:
params_details = self._get_params_details(params_dict)
strat_stats = generate_strategy_stats(
processed, self.backtesting.strategy.get_strategy_name(),
self.pairlist, self.backtesting.strategy.get_strategy_name(),
backtesting_results, min_date, max_date, market_change=0
)
results_explanation = HyperoptTools.format_results_explanation_string(

22
freqtrade/optimize/optimize_reports.py
View File

@ -99,11 +99,11 @@ def _generate_result_line(result: DataFrame, starting_balance: int, first_column
}
def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, starting_balance: int,
def generate_pair_metrics(pairlist: List[str], stake_currency: str, starting_balance: int,
results: DataFrame, skip_nan: bool = False) -> List[Dict]:
"""
Generates and returns a list for the given backtest data and the results dataframe
:param data: Dict of <pair: dataframe> containing data that was used during backtesting.
:param pairlist: Pairlist used
:param stake_currency: stake-currency - used to correctly name headers
:param starting_balance: Starting balance
:param results: Dataframe containing the backtest results
@ -113,7 +113,7 @@ def generate_pair_metrics(data: Dict[str, Dict], stake_currency: str, starting_b
tabular_data = []
for pair in data:
for pair in pairlist:
result = results[results['pair'] == pair]
if skip_nan and result['profit_abs'].isnull().all():
continue
@ -345,14 +345,14 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]:
}
def generate_strategy_stats(btdata: Dict[str, DataFrame],
def generate_strategy_stats(pairlist: List[str],
strategy: str,
content: Dict[str, Any],
min_date: datetime, max_date: datetime,
market_change: float
) -> Dict[str, Any]:
"""
:param btdata: Backtest data
:param pairlist: List of pairs to backtest
:param strategy: Strategy name
:param content: Backtest result data in the format:
{'results: results, 'config: config}}.
@ -365,11 +365,11 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
if not isinstance(results, DataFrame):
return {}
config = content['config']
max_open_trades = min(config['max_open_trades'], len(btdata.keys()))
max_open_trades = min(config['max_open_trades'], len(pairlist))
starting_balance = config['dry_run_wallet']
stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
pair_results = generate_pair_metrics(pairlist, stake_currency=stake_currency,
starting_balance=starting_balance,
results=results, skip_nan=False)
@ -378,7 +378,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades,
results=results)
left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
left_open_results = generate_pair_metrics(pairlist, stake_currency=stake_currency,
starting_balance=starting_balance,
results=results.loc[results['is_open']],
skip_nan=True)
@ -422,7 +422,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'trades_per_day': round(len(results) / backtest_days, 2),
'market_change': market_change,
'pairlist': list(btdata.keys()),
'pairlist': pairlist,
'stake_amount': config['stake_amount'],
'stake_currency': config['stake_currency'],
'stake_currency_decimals': decimals_per_coin(config['stake_currency']),
@ -511,9 +511,9 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
"""
result: Dict[str, Any] = {'strategy': {}}
market_change = calculate_market_change(btdata, 'close')
pairlist = list(btdata.keys())
for strategy, content in all_results.items():
strat_stats = generate_strategy_stats(btdata, strategy, content,
strat_stats = generate_strategy_stats(pairlist, strategy, content,
min_date, max_date, market_change=market_change)
result['strategy'][strategy] = strat_stats

2
tests/optimize/test_hyperopt.py
View File

@ -368,7 +368,7 @@ def test_hyperopt_format_results(hyperopt):
'backtest_start_time': 1619718665,
'backtest_end_time': 1619718665,
}
results_metrics = generate_strategy_stats({'XRP/BTC': None}, '', bt_result,
results_metrics = generate_strategy_stats(['XRP/BTC'], '', bt_result,
Arrow(2017, 11, 14, 19, 32, 00),
Arrow(2017, 12, 14, 19, 32, 00), market_change=0)

4
tests/optimize/test_optimize_reports.py
View File

@ -48,7 +48,7 @@ def test_text_table_bt_results():
' 0:20:00 | 2 0 1 66.7 |'
)
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(['ETH/BTC'], stake_currency='BTC',
starting_balance=4, results=results)
assert text_table_bt_results(pair_results, stake_currency='BTC') == result_str
@ -207,7 +207,7 @@ def test_generate_pair_metrics():
}
)
pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
pair_results = generate_pair_metrics(['ETH/BTC'], stake_currency='BTC',
starting_balance=2, results=results)
assert isinstance(pair_results, list)
assert len(pair_results) == 2