Merge pull request #5002 from freqtrade/track_rejected_trades
Track rejected trades
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Matthias
GitHub
commit
971d5b2ecc
@ -298,6 +298,7 @@ A backtesting result will look like that:
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Zero Duration Trades | 4.6% (20) |
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| Rejected Buy signals | 3089 |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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@ -386,6 +387,7 @@ It contains some useful key metrics about performance of your strategy on backte
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Zero Duration Trades | 4.6% (20) |
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| Rejected Buy signals | 3089 |
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| | |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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@ -416,6 +418,7 @@ It contains some useful key metrics about performance of your strategy on backte
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- `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
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- `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
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- `Zero Duration Trades`: A number of trades that completed within same candle as they opened and had `trailing_stop_loss` sell reason. A significant amount of such trades may indicate that strategy is exploiting trailing stoploss behavior in backtesting and produces unrealistic results.
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- `Rejected Buy signals`: Buy signals that could not be acted upon due to max_open_trades being reached.
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- `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
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- `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
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- `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
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@ -177,6 +177,7 @@ class Backtesting:
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Trade.use_db = False
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PairLocks.reset_locks()
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Trade.reset_trades()
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self.rejected_trades = 0
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self.dataprovider.clear_cache()
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def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]:
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@ -336,6 +337,14 @@ class Backtesting:
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trades.append(trade1)
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return trades
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def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
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# Always allow trades when max_open_trades is enabled.
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if max_open_trades <= 0 or open_trade_count < max_open_trades:
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return True
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# Rejected trade
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self.rejected_trades += 1
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return False
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def backtest(self, processed: Dict,
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start_date: datetime, end_date: datetime,
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max_open_trades: int = 0, position_stacking: bool = False,
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@ -397,11 +406,14 @@ class Backtesting:
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# without positionstacking, we can only have one open trade per pair.
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# max_open_trades must be respected
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# don't open on the last row
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if ((position_stacking or len(open_trades[pair]) == 0)
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and (max_open_trades <= 0 or open_trade_count_start < max_open_trades)
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and tmp != end_date
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and row[BUY_IDX] == 1 and row[SELL_IDX] != 1
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and not PairLocks.is_pair_locked(pair, row[DATE_IDX])):
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if (
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(position_stacking or len(open_trades[pair]) == 0)
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and self.trade_slot_available(max_open_trades, open_trade_count_start)
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and tmp != end_date
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and row[BUY_IDX] == 1
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and row[SELL_IDX] != 1
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and not PairLocks.is_pair_locked(pair, row[DATE_IDX])
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):
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trade = self._enter_trade(pair, row)
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if trade:
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# TODO: hacky workaround to avoid opening > max_open_trades
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@ -439,6 +451,7 @@ class Backtesting:
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'results': results,
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'config': self.strategy.config,
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'locks': PairLocks.get_all_locks(),
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'rejected_signals': self.rejected_trades,
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'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
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}
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@ -355,6 +355,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
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'starting_balance': starting_balance,
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'dry_run_wallet': starting_balance,
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'final_balance': content['final_balance'],
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'rejected_signals': content['rejected_signals'],
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'max_open_trades': max_open_trades,
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'max_open_trades_setting': (config['max_open_trades']
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if config['max_open_trades'] != float('inf') else -1),
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@ -561,7 +562,6 @@ def text_table_add_metrics(strat_results: Dict) -> str:
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strat_results['stake_currency'])),
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('Total trade volume', round_coin_value(strat_results['total_volume'],
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strat_results['stake_currency'])),
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('', ''), # Empty line to improve readability
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('Best Pair', f"{strat_results['best_pair']['key']} "
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f"{round(strat_results['best_pair']['profit_sum_pct'], 2)}%"),
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@ -580,6 +580,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
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('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
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('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
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('Zero Duration Trades', zero_duration_trades),
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('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
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('', ''), # Empty line to improve readability
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('Min balance', round_coin_value(strat_results['csum_min'],
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@ -831,6 +831,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
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'results': pd.DataFrame(columns=BT_DATA_COLUMNS),
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'config': default_conf,
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'locks': [],
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'rejected_signals': 20,
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'final_balance': 1000,
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})
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mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
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@ -938,12 +939,14 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
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'results': result1,
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'config': default_conf,
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'locks': [],
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'rejected_signals': 20,
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'final_balance': 1000,
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},
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{
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'results': result2,
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'config': default_conf,
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'locks': [],
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'rejected_signals': 20,
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'final_balance': 1000,
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}
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])
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@ -441,6 +441,7 @@ def test_hyperopt_format_results(hyperopt):
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'config': hyperopt.config,
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'locks': [],
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'final_balance': 0.02,
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'rejected_signals': 2,
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'backtest_start_time': 1619718665,
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'backtest_end_time': 1619718665,
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}
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@ -593,6 +594,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
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}),
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'config': hyperopt_conf,
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'locks': [],
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'rejected_signals': 20,
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'final_balance': 1000,
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}
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@ -79,6 +79,7 @@ def test_generate_backtest_stats(default_conf, testdatadir):
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'config': default_conf,
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'locks': [],
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'final_balance': 1000.02,
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'rejected_signals': 20,
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'backtest_start_time': Arrow.utcnow().int_timestamp,
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'backtest_end_time': Arrow.utcnow().int_timestamp,
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}
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@ -126,6 +127,7 @@ def test_generate_backtest_stats(default_conf, testdatadir):
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'config': default_conf,
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'locks': [],
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'final_balance': 1000.02,
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'rejected_signals': 20,
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'backtest_start_time': Arrow.utcnow().int_timestamp,
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'backtest_end_time': Arrow.utcnow().int_timestamp,
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}
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