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Add tests for rejected signals

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This commit is contained in:
Matthias
2021-05-23 09:46:51 +02:00
parent 7f125315b0
commit a39860e0de
6 changed files with 15 additions and 9 deletions
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3
docs/backtesting.md
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@@ -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.

7
freqtrade/optimize/backtesting.py
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@@ -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.
return True
if open_trade_count < max_open_trades:
if max_open_trades <= 0 or 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']),
}

5
freqtrade/optimize/optimize_reports.py
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@@ -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'],

3
tests/optimize/test_backtesting.py
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@@ -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,
}
])

2
tests/optimize/test_hyperopt.py
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@@ -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,
}

2
tests/optimize/test_optimize_reports.py
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@@ -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,
}