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Merge pull request #4606 from rextea/add_days_breakdown_to_backtesting_summary

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Add days breakdown table to backtesting
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Matthias 2021-10-21 13:56:30 +02:00 committed by GitHub
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10 changed files with 166 additions and 15 deletions
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33
docs/backtesting.md
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@ -21,6 +21,7 @@ usage: freqtrade backtesting [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--timeframe-detail TIMEFRAME_DETAIL]
[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
[--export {none,trades}] [--export-filename PATH]
[--breakdown {day,week,month} [{day,week,month} ...]]
optional arguments:
-h, --help show this help message and exit
@ -30,7 +31,7 @@ optional arguments:
Specify what timerange of data to use.
--data-format-ohlcv {json,jsongz,hdf5}
Storage format for downloaded candle (OHLCV) data.
(default: `None`).
(default: `json`).
--max-open-trades INT
Override the value of the `max_open_trades`
configuration setting.
@ -65,8 +66,7 @@ optional arguments:
set either in config or via command line. When using
this together with `--export trades`, the strategy-
name is injected into the filename (so `backtest-
data.json` becomes `backtest-data-
SampleStrategy.json`
data.json` becomes `backtest-data-SampleStrategy.json`
--export {none,trades}
Export backtest results (default: trades).
--export-filename PATH
@ -74,6 +74,8 @@ optional arguments:
Requires `--export` to be set as well. Example:
`--export-filename=user_data/backtest_results/backtest
_today.json`
--breakdown {day,week,month} [{day,week,month} ...]
Show backtesting breakdown per [day, week, month].
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
@ -429,6 +431,31 @@ It contains some useful key metrics about performance of your strategy on backte
- `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
- `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.
### Daily / Weekly / Monthly breakdown
You can get an overview over daily / weekly or monthly results by using the `--breakdown <>` switch.
To visualize daily and weekly breakdowns, you can use the following:
``` bash
freqtrade backtesting --strategy MyAwesomeStrategy --breakdown day month
```
``` output
======================== DAY BREAKDOWN =========================
| Day | Tot Profit USDT | Wins | Draws | Losses |
|------------+-------------------+--------+---------+----------|
| 03/07/2021 | 200.0 | 2 | 0 | 0 |
| 04/07/2021 | -50.31 | 0 | 0 | 2 |
| 05/07/2021 | 220.611 | 3 | 2 | 0 |
| 06/07/2021 | 150.974 | 3 | 0 | 2 |
| 07/07/2021 | -70.193 | 1 | 0 | 2 |
| 08/07/2021 | 212.413 | 2 | 0 | 3 |
```
The output will show a table containing the realized absolute Profit (in stake currency) for the given timeperiod, as well as wins, draws and losses that materialized (closed) on this day.
### Further backtest-result analysis
To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file).

3
docs/utils.md
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@ -667,6 +667,7 @@ usage: freqtrade hyperopt-show [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--profitable] [-n INT] [--print-json]
[--hyperopt-filename FILENAME] [--no-header]
[--disable-param-export]
[--breakdown {day,week,month} [{day,week,month} ...]]
optional arguments:
-h, --help show this help message and exit
@ -680,6 +681,8 @@ optional arguments:
--no-header Do not print epoch details header.
--disable-param-export
Disable automatic hyperopt parameter export.
--breakdown {day,week,month} [{day,week,month} ...]
Show backtesting breakdown per [day, week, month].
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).

5
freqtrade/commands/arguments.py
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@ -23,7 +23,8 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
"enable_protections", "dry_run_wallet", "timeframe_detail",
"strategy_list", "export", "exportfilename"]
"strategy_list", "export", "exportfilename",
"backtest_breakdown"]
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"position_stacking", "use_max_market_positions",
@ -89,7 +90,7 @@ ARGS_HYPEROPT_LIST = ["hyperopt_list_best", "hyperopt_list_profitable",
ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperopt_show_index",
"print_json", "hyperoptexportfilename", "hyperopt_show_no_header",
"disableparamexport"]
"disableparamexport", "backtest_breakdown"]
NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes",
"list-markets", "list-pairs", "list-strategies", "list-data",

6
freqtrade/commands/cli_options.py
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@ -193,6 +193,12 @@ AVAILABLE_CLI_OPTIONS = {
type=float,
metavar='FLOAT',
),
"backtest_breakdown": Arg(
'--breakdown',
help='Show backtesting breakdown per [day, week, month].',
nargs='+',
choices=constants.BACKTEST_BREAKDOWNS
),
# Edge
"stoploss_range": Arg(
'--stoplosses',

2
freqtrade/commands/hyperopt_commands.py
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@ -96,7 +96,7 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
if 'strategy_name' in metrics:
strategy_name = metrics['strategy_name']
show_backtest_result(strategy_name, metrics,
metrics['stake_currency'])
metrics['stake_currency'], config.get('backtest_breakdown', []))
HyperoptTools.try_export_params(config, strategy_name, val)

4
freqtrade/configuration/configuration.py
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@ -269,8 +269,12 @@ class Configuration:
self._args_to_config(config, argname='export',
logstring='Parameter --export detected: {} ...')
self._args_to_config(config, argname='backtest_breakdown',
logstring='Parameter --breakdown detected ...')
self._args_to_config(config, argname='disableparamexport',
logstring='Parameter --disableparamexport detected: {} ...')
# Edge section:
if 'stoploss_range' in self.args and self.args["stoploss_range"]:
txt_range = eval(self.args["stoploss_range"])

5
freqtrade/constants.py
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@ -32,6 +32,7 @@ AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
BACKTEST_BREAKDOWNS = ['day', 'week', 'month']
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'
MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
@ -146,6 +147,10 @@ CONF_SCHEMA = {
'sell_profit_offset': {'type': 'number'},
'ignore_roi_if_buy_signal': {'type': 'boolean'},
'ignore_buying_expired_candle_after': {'type': 'number'},
'backtest_breakdown': {
'type': 'array',
'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}
},
'bot_name': {'type': 'string'},
'unfilledtimeout': {
'type': 'object',

87
freqtrade/optimize/optimize_reports.py
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@ -4,7 +4,7 @@ from pathlib import Path
from typing import Any, Dict, List, Union
from numpy import int64
from pandas import DataFrame
from pandas import DataFrame, to_datetime
from tabulate import tabulate
from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
@ -189,7 +189,6 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
def generate_edge_table(results: dict) -> str:
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', 'd', 'd')
tabular_data = []
headers = ['Pair', 'Stoploss', 'Win Rate', 'Risk Reward Ratio',
@ -214,6 +213,41 @@ def generate_edge_table(results: dict) -> str:
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def _get_resample_from_period(period: str) -> str:
if period == 'day':
return '1d'
if period == 'week':
return '1w'
if period == 'month':
return '1M'
raise ValueError(f"Period {period} is not supported.")
def generate_periodic_breakdown_stats(trade_list: List, period: str) -> List[Dict[str, Any]]:
results = DataFrame.from_records(trade_list)
if len(results) == 0:
return []
results['close_date'] = to_datetime(results['close_date'], utc=True)
resample_period = _get_resample_from_period(period)
resampled = results.resample(resample_period, on='close_date')
stats = []
for name, day in resampled:
profit_abs = day['profit_abs'].sum().round(10)
wins = sum(day['profit_abs'] > 0)
draws = sum(day['profit_abs'] == 0)
loses = sum(day['profit_abs'] < 0)
stats.append(
{
'date': name.strftime('%d/%m/%Y'),
'profit_abs': profit_abs,
'wins': wins,
'draws': draws,
'loses': loses
}
)
return stats
def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
""" Generate overall trade statistics """
if len(results) == 0:
@ -329,7 +363,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
results['open_timestamp'] = results['open_date'].view(int64) // 1e6
results['close_timestamp'] = results['close_date'].view(int64) // 1e6
backtest_days = (max_date - min_date).days
backtest_days = (max_date - min_date).days or 1
strat_stats = {
'trades': results.to_dict(orient='records'),
'locks': [lock.to_json() for lock in content['locks']],
@ -338,6 +372,8 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'results_per_pair': pair_results,
'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results,
# 'days_breakdown_stats': days_breakdown_stats,
'total_trades': len(results),
'total_volume': float(results['stake_amount'].sum()),
'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0,
@ -354,7 +390,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
'backtest_run_start_ts': content['backtest_start_time'],
'backtest_run_end_ts': content['backtest_end_time'],
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0,
'trades_per_day': round(len(results) / backtest_days, 2),
'market_change': market_change,
'pairlist': list(btdata.keys()),
'stake_amount': config['stake_amount'],
@ -506,6 +542,28 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_periodic_breakdown(days_breakdown_stats: List[Dict[str, Any]],
stake_currency: str, period: str) -> str:
"""
Generate small table with Backtest results by days
:param days_breakdown_stats: Days breakdown metrics
:param stake_currency: Stakecurrency used
:return: pretty printed table with tabulate as string
"""
headers = [
period.capitalize(),
f'Tot Profit {stake_currency}',
'Wins',
'Draws',
'Losses',
]
output = [[
d['date'], round_coin_value(d['profit_abs'], stake_currency, False),
d['wins'], d['draws'], d['loses'],
] for d in days_breakdown_stats]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_strategy(strategy_results, stake_currency: str) -> str:
"""
Generate summary table per strategy
@ -557,7 +615,10 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2):}%"),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{round(strat_results['profit_total'] / strat_results['backtest_days'] * 100, 2)}%"),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],
@ -614,7 +675,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
return message
def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str):
def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str,
backtest_breakdown=[]):
"""
Print results for one strategy
"""
@ -636,6 +698,15 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
for period in backtest_breakdown:
days_breakdown_stats = generate_periodic_breakdown_stats(
trade_list=results['trades'], period=period)
table = text_table_periodic_breakdown(days_breakdown_stats=days_breakdown_stats,
stake_currency=stake_currency, period=period)
if isinstance(table, str) and len(table) > 0:
print(f' {period.upper()} BREAKDOWN '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_add_metrics(results)
if isinstance(table, str) and len(table) > 0:
print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '='))
@ -650,7 +721,9 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
stake_currency = config['stake_currency']
for strategy, results in backtest_stats['strategy'].items():
show_backtest_result(strategy, results, stake_currency)
show_backtest_result(
strategy, results, stake_currency,
config.get('backtest_breakdown', []))
if len(backtest_stats['strategy']) > 1:
# Print Strategy summary table

2
tests/optimize/test_backtesting.py
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@ -1102,6 +1102,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
'--timerange', '1510694220-1510700340',
'--enable-position-stacking',
'--disable-max-market-positions',
'--breakdown', 'day',
'--strategy-list',
'StrategyTestV2',
'TestStrategyLegacyV1',
@ -1130,6 +1131,7 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
captured = capsys.readouterr()
assert 'BACKTESTING REPORT' in captured.out
assert 'SELL REASON STATS' in captured.out
assert 'DAY BREAKDOWN' in captured.out
assert 'LEFT OPEN TRADES REPORT' in captured.out
assert '2017-11-14 21:17:00 -> 2017-11-14 22:58:00 | Max open trades : 1' in captured.out
assert 'STRATEGY SUMMARY' in captured.out

34
tests/optimize/test_optimize_reports.py
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@ -13,8 +13,10 @@ from freqtrade.data import history
from freqtrade.data.btanalysis import get_latest_backtest_filename, load_backtest_data
from freqtrade.edge import PairInfo
from freqtrade.enums import SellType
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_daily_stats,
generate_edge_table, generate_pair_metrics,
from freqtrade.optimize.optimize_reports import (_get_resample_from_period, generate_backtest_stats,
generate_daily_stats, generate_edge_table,
generate_pair_metrics,
generate_periodic_breakdown_stats,
generate_sell_reason_stats,
generate_strategy_comparison,
generate_trading_stats, store_backtest_stats,
@ -377,3 +379,31 @@ def test_generate_edge_table():
assert generate_edge_table(results).count('| ETH/BTC |') == 1
assert generate_edge_table(results).count(
'| Risk Reward Ratio | Required Risk Reward | Expectancy |') == 1
def test_generate_periodic_breakdown_stats(testdatadir):
filename = testdatadir / "backtest-result_new.json"
bt_data = load_backtest_data(filename).to_dict(orient='records')
res = generate_periodic_breakdown_stats(bt_data, 'day')
assert isinstance(res, list)
assert len(res) == 21
day = res[0]
assert 'date' in day
assert 'draws' in day
assert 'loses' in day
assert 'wins' in day
assert 'profit_abs' in day
# Select empty dataframe!
res = generate_periodic_breakdown_stats([], 'day')
assert res == []
def test__get_resample_from_period():
assert _get_resample_from_period('day') == '1d'
assert _get_resample_from_period('week') == '1w'
assert _get_resample_from_period('month') == '1M'
with pytest.raises(ValueError, match=r"Period noooo is not supported."):
_get_resample_from_period('noooo')