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Add Win / draw / losing days

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This commit is contained in:
Matthias 2020-07-03 19:45:45 +02:00
parent 42868ad24a
commit 8e0ff4bd86
1 changed files with 22 additions and 6 deletions
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28
freqtrade/optimize/optimize_reports.py
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@ -210,6 +210,23 @@ def generate_edge_table(results: dict) -> str:
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def generate_daily_stats(results: DataFrame) -> Dict[str, Any]:
daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum()
worst = min(daily_profit)
best = max(daily_profit)
winning_days = sum(daily_profit > 0)
draw_days = sum(daily_profit == 0)
losing_days = sum(daily_profit < 0)
return {
'backtest_best_day': best,
'backtest_worst_day': worst,
'winning_days': winning_days,
'draw_days': draw_days,
'losing_days': losing_days,
}
def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame], def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
all_results: Dict[str, DataFrame], all_results: Dict[str, DataFrame],
min_date: Arrow, max_date: Arrow min_date: Arrow, max_date: Arrow
@ -239,9 +256,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
max_open_trades=max_open_trades, max_open_trades=max_open_trades,
results=results.loc[results['open_at_end']], results=results.loc[results['open_at_end']],
skip_nan=True) skip_nan=True)
daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum() daily_stats = generate_daily_stats(results)
worst = min(daily_profit)
best = max(daily_profit)
backtest_days = (max_date - min_date).days backtest_days = (max_date - min_date).days
strat_stats = { strat_stats = {
@ -255,13 +270,12 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
'backtest_end': max_date.datetime, 'backtest_end': max_date.datetime,
'backtest_end_ts': max_date.timestamp, 'backtest_end_ts': max_date.timestamp,
'backtest_days': backtest_days, 'backtest_days': backtest_days,
'backtest_best_day': best,
'backtest_worst_day': worst,
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None, 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None,
'market_change': market_change, 'market_change': market_change,
'pairlist': list(btdata.keys()), 'pairlist': list(btdata.keys()),
'stake_amount': config['stake_amount'] 'stake_amount': config['stake_amount'],
**daily_stats,
} }
result['strategy'][strategy] = strat_stats result['strategy'][strategy] = strat_stats
@ -374,6 +388,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Trades per day', strat_results['trades_per_day']), ('Trades per day', strat_results['trades_per_day']),
('Best day', f"{round(strat_results['backtest_best_day'] * 100, 2)}%"), ('Best day', f"{round(strat_results['backtest_best_day'] * 100, 2)}%"),
('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"), ('Worst day', f"{round(strat_results['backtest_worst_day'] * 100, 2)}%"),
('Days win/draw/lose', f"{strat_results['winning_days']} / "
f"{strat_results['draw_days']} / {strat_results['losing_days']}"),
('', ''), # Empty line to improve readability ('', ''), # Empty line to improve readability
('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"), ('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)), ('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)),