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

Document summary-statistics

Browse Source
This commit is contained in:
Matthias 2020-07-03 08:02:27 +02:00
parent d56f9655e2
commit 804c42933d
1 changed files with 62 additions and 7 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

69
docs/backtesting.md
View File

@ -157,17 +157,28 @@ A backtesting result will look like that:
| ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 | 0 | 0 | | ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 | 0 | 0 |
| LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 | 0 | 0 | | LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 | 0 | 0 |
| TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 | 0 | 0 | | TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 | 0 | 0 |
============ SUMMARY METRICS =============
| Metric | Value |
|------------------+---------------------|
| Total trades | 429 |
| First trade | 2019-01-01 18:30:00 |
| First trade Pair | EOS/USDT |
| Backtesting from | 2019-01-01 00:00:00 |
| Backtesting to | 2019-05-01 00:00:00 |
| Trades per day | 3.575 |
| | |
| Max Drawdown | 50.63% |
| Drawdown Start | 2019-02-15 14:10:00 |
| Drawdown End | 2019-04-11 18:15:00 |
| Market change | -5.88% |
==========================================
``` ```
### Backtesting report table
The 1st table contains all trades the bot made, including "left open trades". The 1st table contains all trades the bot made, including "left open trades".
The 2nd table contains a recap of sell reasons.
This table can tell you which area needs some additional work (i.e. all `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that).
The 3rd table contains all trades the bot had to `forcesell` at the end of the backtest period to present a full picture.
This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever.
These trades are also included in the first table, but are extracted separately for clarity.
The last line will give you the overall performance of your strategy, The last line will give you the overall performance of your strategy,
here: here:
@ -196,6 +207,50 @@ On the other hand, if you set a too high `minimal_roi` like `"0": 0.55`
(55%), there is almost no chance that the bot will ever reach this profit. (55%), there is almost no chance that the bot will ever reach this profit.
Hence, keep in mind that your performance is an integral mix of all different elements of the strategy, your configuration, and the crypto-currency pairs you have set up. Hence, keep in mind that your performance is an integral mix of all different elements of the strategy, your configuration, and the crypto-currency pairs you have set up.
### Sell reasons table
The 2nd table contains a recap of sell reasons.
This table can tell you which area needs some additional work (i.e. all `sell_signal` trades are losses, so we should disable the sell-signal or work on improving that).
### Left open trades table
The 3rd table contains all trades the bot had to `forcesell` at the end of the backtest period to present a full picture.
This is necessary to simulate realistic behaviour, since the backtest period has to end at some point, while realistically, you could leave the bot running forever.
These trades are also included in the first table, but are extracted separately for clarity.
### Summary metrics
The last element of the backtest report is the summary metrics table.
It contains some useful key metrics about your strategy.
```
============ SUMMARY METRICS =============
| Metric | Value |
|------------------+---------------------|
| Total trades | 429 |
| First trade | 2019-01-01 18:30:00 |
| First trade Pair | EOS/USDT |
| Backtesting from | 2019-01-01 00:00:00 |
| Backtesting to | 2019-05-01 00:00:00 |
| Trades per day | 3.575 |
| | |
| Max Drawdown | 50.63% |
| Drawdown Start | 2019-02-15 14:10:00 |
| Drawdown End | 2019-04-11 18:15:00 |
| Market change | -5.88% |
==========================================
```
- `Total trades`: Identical to the total trades of the backtest output table.
- `First trade`: First trade entered.
- `First trade pair`: Which pair was part of the first trade
- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined as `--timerange from-to`)
- `Trades per day`: Total trades / Backtest duration (this will give you information about how many trades to expect from the strategy)
- `Max Drawdown`: Maximum drawown experienced. a value of 50% means that from highest to subsequent lowest point, a 50% drop was experiened).
- `Drawdown Start` / `Drawdown End`: From when to when was this large drawdown (can also be visualized via `plot-dataframe` subcommand)
- `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column.
### Assumptions made by backtesting ### Assumptions made by backtesting
Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: