Merge pull request #3417 from freqtrade/bt_result_store_metrics

Refactor result store metrics

freqtrade/optimize/backtesting.py

@@ -18,7 +18,8 @@ from freqtrade.data.converter import trim_dataframe
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.exceptions import OperationalException
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
-from freqtrade.optimize.optimize_reports import (show_backtest_results,
+from freqtrade.optimize.optimize_reports import (generate_backtest_stats,
+                                                 show_backtest_results,
                                                  store_backtest_result)
 from freqtrade.pairlist.pairlistmanager import PairListManager
 from freqtrade.persistence import Trade
@@ -411,4 +412,5 @@ class Backtesting:
         if self.config.get('export', False):
             store_backtest_result(self.config['exportfilename'], all_results)
         # Show backtest results
-        show_backtest_results(self.config, data, all_results)
+        stats = generate_backtest_stats(self.config, data, all_results)
+        show_backtest_results(self.config, stats)

freqtrade/optimize/optimize_reports.py

@@ -18,10 +18,7 @@ def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame
     :param all_results: Dict of Dataframes, one results dataframe per strategy
     """
     for strategy, results in all_results.items():
-        records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
+        records = backtest_result_to_list(results)
-                    t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
-                    t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value)
-                   for index, t in results.iterrows()]
 
         if records:
             filename = recordfilename
@@ -34,6 +31,18 @@ def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame
             file_dump_json(filename, records)
 
 
+def backtest_result_to_list(results: DataFrame) -> List[List]:
+    """
+    Converts a list of Backtest-results to list
+    :param results: Dataframe containing results for one strategy
+    :return: List of Lists containing the trades
+    """
+    return [[t.pair, t.profit_percent, t.open_time.timestamp(),
+             t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
+             t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value]
+            for index, t in results.iterrows()]
+
+
 def _get_line_floatfmt() -> List[str]:
     """
     Generate floatformat (goes in line with _generate_result_line())
@@ -246,12 +255,13 @@ def generate_edge_table(results: dict) -> str:
                     floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")  # type: ignore
 
 
-def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
+def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
-                          all_results: Dict[str, DataFrame]):
+                            all_results: Dict[str, DataFrame]):
     stake_currency = config['stake_currency']
     max_open_trades = config['max_open_trades']
-
+    result: Dict[str, Any] = {'strategy': {}}
     for strategy, results in all_results.items():
+
         pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
                                              max_open_trades=max_open_trades,
                                              results=results, skip_nan=False)
@@ -261,21 +271,43 @@ def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
                                                   max_open_trades=max_open_trades,
                                                   results=results.loc[results['open_at_end']],
                                                   skip_nan=True)
+        strat_stats = {
+            'trades': backtest_result_to_list(results),
+            'results_per_pair': pair_results,
+            'sell_reason_summary': sell_reason_stats,
+            'left_open_trades': left_open_results,
+            }
+        result['strategy'][strategy] = strat_stats
+
+    strategy_results = generate_strategy_metrics(stake_currency=stake_currency,
+                                                 max_open_trades=max_open_trades,
+                                                 all_results=all_results)
+
+    result['strategy_comparison'] = strategy_results
+
+    return result
+
+
+def show_backtest_results(config: Dict, backtest_stats: Dict):
+    stake_currency = config['stake_currency']
+
+    for strategy, results in backtest_stats['strategy'].items():
+
         # Print results
         print(f"Result for strategy {strategy}")
-        table = generate_text_table(pair_results, stake_currency=stake_currency)
+        table = generate_text_table(results['results_per_pair'], stake_currency=stake_currency)
         if isinstance(table, str):
             print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '='))
         print(table)
 
-        table = generate_text_table_sell_reason(sell_reason_stats=sell_reason_stats,
+        table = generate_text_table_sell_reason(sell_reason_stats=results['sell_reason_summary'],
                                                 stake_currency=stake_currency,
                                                 )
         if isinstance(table, str):
             print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '='))
         print(table)
 
-        table = generate_text_table(left_open_results, stake_currency=stake_currency)
+        table = generate_text_table(results['left_open_trades'], stake_currency=stake_currency)
         if isinstance(table, str):
             print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
         print(table)
@@ -283,13 +315,10 @@ def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
             print('=' * len(table.splitlines()[0]))
         print()
 
-    if len(all_results) > 1:
+    if len(backtest_stats['strategy']) > 1:
         # Print Strategy summary table
-        strategy_results = generate_strategy_metrics(stake_currency=stake_currency,
-                                                     max_open_trades=max_open_trades,
-                                                     all_results=all_results)
 
-        table = generate_text_table_strategy(strategy_results, stake_currency)
+        table = generate_text_table_strategy(backtest_stats['strategy_comparison'], stake_currency)
         print(' STRATEGY SUMMARY '.center(len(table.splitlines()[0]), '='))
         print(table)
         print('=' * len(table.splitlines()[0]))

tests/optimize/test_backtesting.py

@@ -333,6 +333,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
     mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
     patch_exchange(mocker)
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
+    mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
     mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
     mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
                  PropertyMock(return_value=['UNITTEST/BTC']))
@@ -612,8 +613,9 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
 def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir):
 
     patch_exchange(mocker)
-    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', MagicMock())
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest')
-    mocker.patch('freqtrade.optimize.backtesting.show_backtest_results', MagicMock())
+    mocker.patch('freqtrade.optimize.backtesting.generate_backtest_stats')
+    mocker.patch('freqtrade.optimize.backtesting.show_backtest_results')
     mocker.patch('freqtrade.pairlist.pairlistmanager.PairListManager.whitelist',
                  PropertyMock(return_value=['UNITTEST/BTC']))
     patched_configuration_load_config_file(mocker, default_conf)