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Merge pull request #3701 from freqtrade/fix/optimize_reports 

Fix bug in backtesting
This commit is contained in:
Matthias 2020-08-20 20:21:38 +02:00 committed by GitHub
parent bca24c8b6b 4f1179d85c
commit c4e597977c
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GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 20 additions and 2 deletions
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14
freqtrade/optimize/optimize_reports.py
View File

@ -185,6 +185,16 @@ def generate_edge_table(results: dict) -> str:
def generate_daily_stats(results: DataFrame) -> Dict[str, Any]:
if len(results) == 0:
return {
'backtest_best_day': 0,
'backtest_worst_day': 0,
'winning_days': 0,
'draw_days': 0,
'losing_days': 0,
'winner_holding_avg': timedelta(),
'loser_holding_avg': timedelta(),
}
daily_profit = results.resample('1d', on='close_date')['profit_percent'].sum()
worst = min(daily_profit)
best = max(daily_profit)
@ -249,7 +259,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
'sell_reason_summary': sell_reason_stats,
'left_open_trades': left_open_results,
'total_trades': len(results),
'profit_mean': results['profit_percent'].mean(),
'profit_mean': results['profit_percent'].mean() if len(results) > 0 else 0,
'profit_total': results['profit_percent'].sum(),
'profit_total_abs': results['profit_abs'].sum(),
'backtest_start': min_date.datetime,
@ -258,7 +268,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
'backtest_end_ts': max_date.timestamp * 1000,
'backtest_days': backtest_days,
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None,
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0,
'market_change': market_change,
'pairlist': list(btdata.keys()),
'stake_amount': config['stake_amount'],

8
tests/optimize/test_optimize_reports.py
View File

@ -204,6 +204,14 @@ def test_generate_daily_stats(testdatadir):
assert res['winner_holding_avg'] == timedelta(seconds=1440)
assert res['loser_holding_avg'] == timedelta(days=1, seconds=21420)
# Select empty dataframe!
res = generate_daily_stats(bt_data.loc[bt_data['open_date'] == '2000-01-01', :])
assert isinstance(res, dict)
assert round(res['backtest_best_day'], 4) == 0.0
assert res['winning_days'] == 0
assert res['draw_days'] == 0
assert res['losing_days'] == 0
def test_text_table_sell_reason(default_conf):