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

Add avgduration for winners and losers

Browse Source
This commit is contained in:
Matthias
2020-07-03 19:58:02 +02:00
parent 8e0ff4bd86
commit 987188e41f
2 changed files with 31 additions and 18 deletions
Download Patch File Download Diff File Expand all files Collapse all files

40
docs/backtesting.md
View File

@@ -224,23 +224,26 @@ 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 |
| Best day | 25.27% |
| Worst day | -30.67% |
| | |
| Max Drawdown | 50.63% |
| Drawdown Start | 2019-02-15 14:10:00 |
| Drawdown End | 2019-04-11 18:15:00 |
| Market change | -5.88% |
==========================================
=============== 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 |
| Best day | 25.27% |
| Worst day | -30.67% |
| Avg. Duration Winners | 4:23:00 |
| Avg. Duration Loser | 6:55:00 |
| | |
| Max Drawdown | 50.63% |
| Drawdown Start | 2019-02-15 14:10:00 |
| Drawdown End | 2019-04-11 18:15:00 |
| Market change | -5.88% |
===============================================
```
@@ -250,10 +253,11 @@ It contains some useful key metrics about your strategy.
- `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).
- `Best day` / `Worst day`: Best and worst day based on daily profit.
- `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
- `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
Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions: