Add tests for rejected signals

docs/backtesting.md

@@ -298,6 +298,7 @@ A backtesting result will look like that:
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Zero Duration Trades  | 4.6% (20)           |
+| Rejected Buy signals  | 3089                |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -386,6 +387,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Zero Duration Trades  | 4.6% (20)           |
+| Rejected Buy signals  | 3089                |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -416,6 +418,7 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
 - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
 - `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.
+- `Rejected Buy signals`: Buy signals that could not be acted upon due to max_open_trades being reached.
 - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
 - `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
 - `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.

freqtrade/optimize/backtesting.py

@@ -338,11 +338,8 @@ class Backtesting:
         return trades
 
     def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
-        if max_open_trades <= 0:
+        # Always allow trades when max_open_trades is enabled.
-            # Always allow trades when max_open_trades is enabled.
+        if max_open_trades <= 0 or open_trade_count < max_open_trades:
-            return True
-        if open_trade_count < max_open_trades:
-
             return True
         # Rejected trade
         self.rejected_trades += 1
@@ -454,7 +451,7 @@ class Backtesting:
             'results': results,
             'config': self.strategy.config,
             'locks': PairLocks.get_all_locks(),
-            'rejected': self.rejected_trades,
+            'rejected_signals': self.rejected_trades,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }
 

freqtrade/optimize/optimize_reports.py

@@ -355,7 +355,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
         'starting_balance': starting_balance,
         'dry_run_wallet': starting_balance,
         'final_balance': content['final_balance'],
-        'rejected_signals': content['rejected'],
+        'rejected_signals': content['rejected_signals'],
         'max_open_trades': max_open_trades,
         'max_open_trades_setting': (config['max_open_trades']
                                     if config['max_open_trades'] != float('inf') else -1),
@@ -562,8 +562,6 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                                    strat_results['stake_currency'])),
             ('Total trade volume', round_coin_value(strat_results['total_volume'],
                                                     strat_results['stake_currency'])),
-            ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
-
             ('', ''),  # Empty line to improve readability
             ('Best Pair', f"{strat_results['best_pair']['key']} "
                           f"{round(strat_results['best_pair']['profit_sum_pct'], 2)}%"),
@@ -582,6 +580,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
             ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
             ('Zero Duration Trades', zero_duration_trades),
+            ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],

tests/optimize/test_backtesting.py

@@ -831,6 +831,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
         'results': pd.DataFrame(columns=BT_DATA_COLUMNS),
         'config': default_conf,
         'locks': [],
+        'rejected_signals': 20,
         'final_balance': 1000,
         })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -938,12 +939,14 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'results': result1,
             'config': default_conf,
             'locks': [],
+            'rejected_signals': 20,
             'final_balance': 1000,
         },
         {
             'results': result2,
             'config': default_conf,
             'locks': [],
+            'rejected_signals': 20,
             'final_balance': 1000,
         }
     ])

tests/optimize/test_hyperopt.py

@@ -441,6 +441,7 @@ def test_hyperopt_format_results(hyperopt):
         'config': hyperopt.config,
         'locks': [],
         'final_balance': 0.02,
+        'rejected_signals': 2,
         'backtest_start_time': 1619718665,
         'backtest_end_time': 1619718665,
         }
@@ -593,6 +594,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
                                  }),
         'config': hyperopt_conf,
         'locks': [],
+        'rejected_signals': 20,
         'final_balance': 1000,
     }
 

tests/optimize/test_optimize_reports.py

@@ -79,6 +79,7 @@ def test_generate_backtest_stats(default_conf, testdatadir):
         'config': default_conf,
         'locks': [],
         'final_balance': 1000.02,
+        'rejected_signals': 20,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         }
@@ -126,6 +127,7 @@ def test_generate_backtest_stats(default_conf, testdatadir):
         'config': default_conf,
         'locks': [],
         'final_balance': 1000.02,
+        'rejected_signals': 20,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         }