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

Merge pull request #6987 from freqtrade/profit_metrics

Browse Source 
Profit metrics
This commit is contained in:
Matthias
2022-06-18 17:20:20 +02:00
committed by GitHub
parent 53bfa7931d 0168343b76
commit bb61250bfe
11 changed files with 104 additions and 10 deletions
Download Patch File Download Diff File Expand all files Collapse all files

8
freqtrade/optimize/optimize_reports.py
View File

@@ -416,6 +416,9 @@ def generate_strategy_stats(pairlist: List[str],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
winning_profit = results.loc[results['profit_abs'] > 0, 'profit_abs'].sum()
losing_profit = results.loc[results['profit_abs'] < 0, 'profit_abs'].sum()
profit_factor = winning_profit / abs(losing_profit) if losing_profit else 0.0
backtest_days = (max_date - min_date).days or 1
strat_stats = {
@@ -443,6 +446,7 @@ def generate_strategy_stats(pairlist: List[str],
'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
'profit_factor': profit_factor,
'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
'backtest_start_ts': int(min_date.timestamp() * 1000),
'backtest_end': max_date.strftime(DATETIME_PRINT_FORMAT),
@@ -497,8 +501,10 @@ def generate_strategy_stats(pairlist: List[str],
(drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
max_drawdown) = calculate_max_drawdown(
results, value_col='profit_abs', starting_balance=start_balance)
# max_relative_drawdown = Underwater
(_, _, _, _, _, max_relative_drawdown) = calculate_max_drawdown(
results, value_col='profit_abs', starting_balance=start_balance, relative=True)
strat_stats.update({
'max_drawdown': max_drawdown_legacy, # Deprecated - do not use
'max_drawdown_account': max_drawdown,
@@ -777,6 +783,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Total profit %', f"{strat_results['profit_total']:.2%}"),
('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'),
('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
in strat_results else 'N/A'),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),