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Add more metrics to summarytable

This commit is contained in:
Matthias 2020-06-09 08:00:35 +02:00
parent 6922fbc3aa
commit cbcf3dbb43
2 changed files with 26 additions and 3 deletions
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3
freqtrade/optimize/backtesting.py
View File

@ -417,5 +417,6 @@ class Backtesting:
if self.config.get('export', False):
store_backtest_result(self.config['exportfilename'], all_results)
# Show backtest results
stats = generate_backtest_stats(self.config, data, all_results)
stats = generate_backtest_stats(self.config, data, all_results,
min_date=min_date, max_date=max_date)
show_backtest_results(self.config, stats)

26
freqtrade/optimize/optimize_reports.py
View File

@ -1,8 +1,9 @@
import logging
from datetime import timedelta, datetime
from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Any, Dict, List
from arrow import Arrow
from pandas import DataFrame
from tabulate import tabulate
@ -191,11 +192,15 @@ def generate_edge_table(results: dict) -> str:
def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
all_results: Dict[str, DataFrame]) -> Dict[str, Any]:
all_results: Dict[str, DataFrame],
min_date: Arrow, max_date: Arrow
) -> Dict[str, Any]:
"""
:param config: Configuration object used for backtest
:param btdata: Backtest data
:param all_results: backtest result - dictionary with { Strategy: results}.
:param min_date: Backtest start date
:param max_date: Backtest end date
:return:
Dictionary containing results per strategy and a stratgy summary.
"""
@ -214,11 +219,19 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
results=results.loc[results['open_at_end']],
skip_nan=True)
backtest_days = (max_date - min_date).days
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,
'total_trades': len(results),
'backtest_start': min_date.datetime,
'backtest_start_ts': min_date.timestamp,
'backtest_end': max_date.datetime,
'backtest_end_ts': max_date.timestamp,
'backtest_days': backtest_days,
'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else None
}
result['strategy'][strategy] = strat_stats
@ -321,7 +334,16 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
def text_table_add_metrics(strategy_results: Dict) -> str:
if len(strategy_results['trades']) > 0:
min_trade = min(strategy_results['trades'], key=lambda x: x[2])
metrics = [
('Total trades', strategy_results['total_trades']),
('First trade', datetime.fromtimestamp(min_trade[2],
tz=timezone.utc).strftime('%Y-%m-%d %H:%M:%S')),
('First trade Pair', min_trade[0]),
('Backtesting from', strategy_results['backtest_start'].strftime('%Y-%m-%d %H:%M:%S')),
('Backtesting to', strategy_results['backtest_end'].strftime('%Y-%m-%d %H:%M:%S')),
('Trades per day', strategy_results['trades_per_day']),
('', ''), # Empty line to improve readability
('Max Drawdown', f"{round(strategy_results['max_drawdown'] * 100, 2)}%"),
('Drawdown Start', strategy_results['drawdown_start'].strftime('%Y-%m-%d %H:%M:%S')),
('Drawdown End', strategy_results['drawdown_end'].strftime('%Y-%m-%d %H:%M:%S')),