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Added total profit column do backtest result

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This commit is contained in:
Gianluca Puglia 2019-01-22 22:41:53 +01:00
parent 580e9ccaf3
commit 896c9d34fd
2 changed files with 27 additions and 18 deletions
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23
freqtrade/optimize/backtesting.py
View File

@ -100,11 +100,13 @@ class Backtesting(object):
:return: pretty printed table with tabulate as str :return: pretty printed table with tabulate as str
""" """
stake_currency = str(self.config.get('stake_currency')) stake_currency = str(self.config.get('stake_currency'))
max_open_trades = self.config.get('max_open_trades')
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f') floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
tabular_data = [] tabular_data = []
headers = ['pair', 'buy count', 'avg profit %', 'cum profit %', headers = ['pair', 'buy count', 'avg profit %', 'cum profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss'] 'tot profit ' + stake_currency, 'tot profit %', 'avg duration',
'profit', 'loss']
for pair in data: for pair in data:
result = results[results.pair == pair] result = results[results.pair == pair]
if skip_nan and result.profit_abs.isnull().all(): if skip_nan and result.profit_abs.isnull().all():
@ -116,6 +118,7 @@ class Backtesting(object):
result.profit_percent.mean() * 100.0, result.profit_percent.mean() * 100.0,
result.profit_percent.sum() * 100.0, result.profit_percent.sum() * 100.0,
result.profit_abs.sum(), result.profit_abs.sum(),
result.profit_percent.sum() * 100.0 / max_open_trades,
str(timedelta( str(timedelta(
minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00', minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00',
len(result[result.profit_abs > 0]), len(result[result.profit_abs > 0]),
@ -129,6 +132,7 @@ class Backtesting(object):
results.profit_percent.mean() * 100.0, results.profit_percent.mean() * 100.0,
results.profit_percent.sum() * 100.0, results.profit_percent.sum() * 100.0,
results.profit_abs.sum(), results.profit_abs.sum(),
results.profit_percent.sum() * 100.0 / max_open_trades,
str(timedelta( str(timedelta(
minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00', minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
len(results[results.profit_abs > 0]), len(results[results.profit_abs > 0]),
@ -153,11 +157,13 @@ class Backtesting(object):
Generate summary table per strategy Generate summary table per strategy
""" """
stake_currency = str(self.config.get('stake_currency')) stake_currency = str(self.config.get('stake_currency'))
max_open_trades = self.config.get('max_open_trades')
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', 'd', '.1f', '.1f') floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
tabular_data = [] tabular_data = []
headers = ['Strategy', 'buy count', 'avg profit %', 'cum profit %', headers = ['Strategy', 'buy count', 'avg profit %', 'cum profit %',
'total profit ' + stake_currency, 'avg duration', 'profit', 'loss'] 'tot profit ' + stake_currency, 'tot profit %', 'avg duration',
'profit', 'loss']
for strategy, results in all_results.items(): for strategy, results in all_results.items():
tabular_data.append([ tabular_data.append([
strategy, strategy,
@ -165,6 +171,7 @@ class Backtesting(object):
results.profit_percent.mean() * 100.0, results.profit_percent.mean() * 100.0,
results.profit_percent.sum() * 100.0, results.profit_percent.sum() * 100.0,
results.profit_abs.sum(), results.profit_abs.sum(),
results.profit_percent.sum() * 100.0 / max_open_trades,
str(timedelta( str(timedelta(
minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00', minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
len(results[results.profit_abs > 0]), len(results[results.profit_abs > 0]),
@ -430,18 +437,18 @@ class Backtesting(object):
strategy if len(self.strategylist) > 1 else None) strategy if len(self.strategylist) > 1 else None)
print(f"Result for strategy {strategy}") print(f"Result for strategy {strategy}")
print(' BACKTESTING REPORT '.center(119, '=')) print(' BACKTESTING REPORT '.center(133, '='))
print(self._generate_text_table(data, results)) print(self._generate_text_table(data, results))
print(' SELL REASON STATS '.center(119, '=')) print(' SELL REASON STATS '.center(133, '='))
print(self._generate_text_table_sell_reason(data, results)) print(self._generate_text_table_sell_reason(data, results))
print(' LEFT OPEN TRADES REPORT '.center(119, '=')) print(' LEFT OPEN TRADES REPORT '.center(133, '='))
print(self._generate_text_table(data, results.loc[results.open_at_end], True)) print(self._generate_text_table(data, results.loc[results.open_at_end], True))
print() print()
if len(all_results) > 1: if len(all_results) > 1:
# Print Strategy summary table # Print Strategy summary table
print(' Strategy Summary '.center(119, '=')) print(' Strategy Summary '.center(133, '='))
print(self._generate_text_table_strategy(all_results)) print(self._generate_text_table_strategy(all_results))
print('\nFor more details, please look at the detail tables above') print('\nFor more details, please look at the detail tables above')

22
freqtrade/tests/optimize/test_backtesting.py
View File

@ -341,6 +341,7 @@ def test_tickerdata_to_dataframe_bt(default_conf, mocker) -> None:
def test_generate_text_table(default_conf, mocker): def test_generate_text_table(default_conf, mocker):
patch_exchange(mocker) patch_exchange(mocker)
default_conf['max_open_trades'] = 2
backtesting = Backtesting(default_conf) backtesting = Backtesting(default_conf)
results = pd.DataFrame( results = pd.DataFrame(
@ -356,13 +357,13 @@ def test_generate_text_table(default_conf, mocker):
result_str = ( result_str = (
'| pair | buy count | avg profit % | cum profit % | ' '| pair | buy count | avg profit % | cum profit % | '
'total profit BTC | avg duration | profit | loss |\n' 'tot profit BTC | tot profit % | avg duration | profit | loss |\n'
'|:--------|------------:|---------------:|---------------:|' '|:--------|------------:|---------------:|---------------:|'
'-------------------:|:---------------|---------:|-------:|\n' '-----------------:|---------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 2 | 15.00 | 30.00 | ' '| ETH/BTC | 2 | 15.00 | 30.00 | '
'0.60000000 | 0:20:00 | 2 | 0 |\n' '0.60000000 | 15.00 | 0:20:00 | 2 | 0 |\n'
'| TOTAL | 2 | 15.00 | 30.00 | ' '| TOTAL | 2 | 15.00 | 30.00 | '
'0.60000000 | 0:20:00 | 2 | 0 |' '0.60000000 | 15.00 | 0:20:00 | 2 | 0 |'
) )
assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str assert backtesting._generate_text_table(data={'ETH/BTC': {}}, results=results) == result_str
@ -398,6 +399,7 @@ def test_generate_text_table_strategyn(default_conf, mocker):
Test Backtesting.generate_text_table_sell_reason() method Test Backtesting.generate_text_table_sell_reason() method
""" """
patch_exchange(mocker) patch_exchange(mocker)
default_conf['max_open_trades'] = 2
backtesting = Backtesting(default_conf) backtesting = Backtesting(default_conf)
results = {} results = {}
results['ETH/BTC'] = pd.DataFrame( results['ETH/BTC'] = pd.DataFrame(
@ -425,13 +427,13 @@ def test_generate_text_table_strategyn(default_conf, mocker):
result_str = ( result_str = (
'| Strategy | buy count | avg profit % | cum profit % ' '| Strategy | buy count | avg profit % | cum profit % '
'| total profit BTC | avg duration | profit | loss |\n' '| tot profit BTC | tot profit % | avg duration | profit | loss |\n'
'|:-----------|------------:|---------------:|---------------:' '|:-----------|------------:|---------------:|---------------:'
'|-------------------:|:---------------|---------:|-------:|\n' '|-----------------:|---------------:|:---------------|---------:|-------:|\n'
'| ETH/BTC | 3 | 20.00 | 60.00 ' '| ETH/BTC | 3 | 20.00 | 60.00 '
'| 1.10000000 | 0:17:00 | 3 | 0 |\n' '| 1.10000000 | 30.00 | 0:17:00 | 3 | 0 |\n'
'| LTC/BTC | 3 | 30.00 | 90.00 ' '| LTC/BTC | 3 | 30.00 | 90.00 '
'| 1.30000000 | 0:20:00 | 3 | 0 |' '| 1.30000000 | 45.00 | 0:20:00 | 3 | 0 |'
) )
print(backtesting._generate_text_table_strategy(all_results=results)) print(backtesting._generate_text_table_strategy(all_results=results))
assert backtesting._generate_text_table_strategy(all_results=results) == result_str assert backtesting._generate_text_table_strategy(all_results=results) == result_str