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Update notebook with new statistics example

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This commit is contained in:
Matthias 2020-07-03 07:20:43 +02:00
parent 619eb183fe
commit d56f9655e2
4 changed files with 85 additions and 10 deletions
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2
docs/plotting.md
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@ -285,7 +285,7 @@ Examples:
Use custom backtest-export file
``` bash
freqtrade plot-profit -p LTC/BTC --export-filename user_data/backtest_results/backtest-result-Strategy005.json
freqtrade plot-profit -p LTC/BTC --export-filename user_data/backtest_results/backtest-result.json
```
Use custom database

44
docs/strategy_analysis_example.md
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@ -18,7 +18,7 @@ config = Configuration.from_files([])
# config = Configuration.from_files(["config.json"])
# Define some constants
config["timeframe"] = "5m"
config["ticker_interval"] = "5m"
# Name of the strategy class
config["strategy"] = "SampleStrategy"
# Location of the data
@ -33,7 +33,7 @@ pair = "BTC_USDT"
from freqtrade.data.history import load_pair_history
candles = load_pair_history(datadir=data_location,
timeframe=config["timeframe"],
timeframe=config["ticker_interval"],
pair=pair)
# Confirm success
@ -85,10 +85,44 @@ Analyze a trades dataframe (also used below for plotting)
```python
from freqtrade.data.btanalysis import load_backtest_data
from freqtrade.data.btanalysis import load_backtest_data, load_backtest_stats
# Load backtest results
trades = load_backtest_data(config["user_data_dir"] / "backtest_results/backtest-result.json")
# if backtest_dir points to a directory, it'll automatically load the last backtest file.
backtest_dir = config["user_data_dir"] / "backtest_results"
# backtest_dir can also point to a specific file
# backtest_dir = config["user_data_dir"] / "backtest_results/backtest-result-2020-07-01_20-04-22.json"
```
```python
# You can get the full backtest statistics by using the following command.
# This contains all information used to generate the backtest result.
stats = load_backtest_stats(backtest_dir)
strategy = 'SampleStrategy'
# All statistics are available per strategy, so if `--strategy-list` was used during backtest, this will be reflected here as well.
# Example usages:
print(stats['strategy'][strategy]['results_per_pair'])
# Get pairlist used for this backtest
print(stats['strategy'][strategy]['pairlist'])
# Get market change (average change of all pairs from start to end of the backtest period)
print(stats['strategy'][strategy]['market_change'])
# Maximum drawdown ()
print(stats['strategy'][strategy]['max_drawdown'])
# Maximum drawdown start and end
print(stats['strategy'][strategy]['drawdown_start'])
print(stats['strategy'][strategy]['drawdown_end'])
# Get strategy comparison (only relevant if multiple strategies were compared)
print(stats['strategy_comparison'])
```
```python
# Load backtested trades as dataframe
trades = load_backtest_data(backtest_dir)
# Show value-counts per pair
trades.groupby("pair")["sell_reason"].value_counts()

2
freqtrade/data/btanalysis.py
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@ -72,7 +72,7 @@ def load_backtest_stats(filename: Union[Path, str]) -> Dict[str, Any]:
def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = None) -> pd.DataFrame:
"""
Load backtest data file.
:param filename: pathlib.Path object, or string pointing to the file.
:param filename: pathlib.Path object, or string pointing to a file or directory
:param strategy: Strategy to load - mainly relevant for multi-strategy backtests
Can also serve as protection to load the correct result.
:return: a dataframe with the analysis results

47
freqtrade/templates/strategy_analysis_example.ipynb
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@ -136,10 +136,51 @@
"metadata": {},
"outputs": [],
"source": [
"from freqtrade.data.btanalysis import load_backtest_data\n",
"from freqtrade.data.btanalysis import load_backtest_data, load_backtest_stats\n",
"\n",
"# Load backtest results\n",
"trades = load_backtest_data(config[\"user_data_dir\"] / \"backtest_results/backtest-result.json\")\n",
"# if backtest_dir points to a directory, it'll automatically load the last backtest file.\n",
"backtest_dir = config[\"user_data_dir\"] / \"backtest_results\"\n",
"# backtest_dir can also point to a specific file \n",
"# backtest_dir = config[\"user_data_dir\"] / \"backtest_results/backtest-result-2020-07-01_20-04-22.json\""
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"# You can get the full backtest statistics by using the following command.\n",
"# This contains all information used to generate the backtest result.\n",
"stats = load_backtest_stats(backtest_dir)\n",
"\n",
"strategy = 'SampleStrategy'\n",
"# All statistics are available per strategy, so if `--strategy-list` was used during backtest, this will be reflected here as well.\n",
"# Example usages:\n",
"print(stats['strategy'][strategy]['results_per_pair'])\n",
"# Get pairlist used for this backtest\n",
"print(stats['strategy'][strategy]['pairlist'])\n",
"# Get market change (average change of all pairs from start to end of the backtest period)\n",
"print(stats['strategy'][strategy]['market_change'])\n",
"# Maximum drawdown ()\n",
"print(stats['strategy'][strategy]['max_drawdown'])\n",
"# Maximum drawdown start and end\n",
"print(stats['strategy'][strategy]['drawdown_start'])\n",
"print(stats['strategy'][strategy]['drawdown_end'])\n",
"\n",
"\n",
"# Get strategy comparison (only relevant if multiple strategies were compared)\n",
"print(stats['strategy_comparison'])\n"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"# Load backtested trades as dataframe\n",
"trades = load_backtest_data(backtest_dir)\n",
"\n",
"# Show value-counts per pair\n",
"trades.groupby(\"pair\")[\"sell_reason\"].value_counts()"