Add drawdown column to strategy summary table.
This commit is contained in:
Rokas Kupstys
parent
edcfa94093
commit
e1dc1357ce
@ -473,11 +473,11 @@ There will be an additional table comparing win/losses of the different strategi
|
||||
Detailed output for all strategies one after the other will be available, so make sure to scroll up to see the details per strategy.
|
||||
|
||||
```
|
||||
=========================================================== STRATEGY SUMMARY ===========================================================
|
||||
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses |
|
||||
|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|
|
||||
| Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 |
|
||||
| Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 |
|
||||
=========================================================== STRATEGY SUMMARY =========================================================================
|
||||
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | Drawdown % |
|
||||
|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|-----------:|
|
||||
| Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 | 45.2 |
|
||||
| Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 | 241.68 |
|
||||
```
|
||||
|
||||
## Next step
|
||||
|
||||
@ -164,6 +164,17 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
|
||||
tabular_data.append(_generate_result_line(
|
||||
results['results'], results['config']['dry_run_wallet'], strategy)
|
||||
)
|
||||
try:
|
||||
max_drawdown_per, _, _, _, _ = calculate_max_drawdown(results['results'],
|
||||
value_col='profit_ratio')
|
||||
max_drawdown_abs, _, _, _, _ = calculate_max_drawdown(results['results'],
|
||||
value_col='profit_abs')
|
||||
except ValueError:
|
||||
max_drawdown_per = 0
|
||||
max_drawdown_abs = 0
|
||||
tabular_data[-1]['max_drawdown_per'] = round(max_drawdown_per * 100, 2)
|
||||
tabular_data[-1]['max_drawdown_abs'] = \
|
||||
round_coin_value(max_drawdown_abs, results['config']['stake_currency'], False)
|
||||
return tabular_data
|
||||
|
||||
|
||||
@ -485,10 +496,15 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
|
||||
"""
|
||||
floatfmt = _get_line_floatfmt(stake_currency)
|
||||
headers = _get_line_header('Strategy', stake_currency)
|
||||
# _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless
|
||||
# therefore we slip this column in only for strategy summary here.
|
||||
headers.append(f'Drawdown {stake_currency}')
|
||||
headers.append('Drawdown %')
|
||||
|
||||
output = [[
|
||||
t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'],
|
||||
t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses']
|
||||
t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses'],
|
||||
t['max_drawdown_abs'], t['max_drawdown_per']
|
||||
] for t in strategy_results]
|
||||
# Ignore type as floatfmt does allow tuples but mypy does not know that
|
||||
return tabulate(output, headers=headers,
|
||||
|
||||
@ -1,3 +1,4 @@
|
||||
import datetime
|
||||
import re
|
||||
from datetime import timedelta
|
||||
from pathlib import Path
|
||||
@ -325,9 +326,12 @@ def test_text_table_strategy(default_conf):
|
||||
default_conf['max_open_trades'] = 2
|
||||
default_conf['dry_run_wallet'] = 3
|
||||
results = {}
|
||||
date = datetime.datetime(year=2020, month=1, day=1, hour=12, minute=30)
|
||||
delta = datetime.timedelta(days=1)
|
||||
results['TestStrategy1'] = {'results': pd.DataFrame(
|
||||
{
|
||||
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
|
||||
'close_date': [date, date + delta, date + delta * 2],
|
||||
'profit_ratio': [0.1, 0.2, 0.3],
|
||||
'profit_abs': [0.2, 0.4, 0.5],
|
||||
'trade_duration': [10, 30, 10],
|
||||
@ -340,6 +344,7 @@ def test_text_table_strategy(default_conf):
|
||||
results['TestStrategy2'] = {'results': pd.DataFrame(
|
||||
{
|
||||
'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
|
||||
'close_date': [date, date + delta, date + delta * 2],
|
||||
'profit_ratio': [0.4, 0.2, 0.3],
|
||||
'profit_abs': [0.4, 0.4, 0.5],
|
||||
'trade_duration': [15, 30, 15],
|
||||
@ -351,18 +356,21 @@ def test_text_table_strategy(default_conf):
|
||||
), 'config': default_conf}
|
||||
|
||||
result_str = (
|
||||
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot'
|
||||
' Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses |\n'
|
||||
'|---------------+--------+----------------+----------------+------------------+'
|
||||
'----------------+----------------+--------+---------+----------|\n'
|
||||
'| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 |'
|
||||
' 36.67 | 0:17:00 | 3 | 0 | 0 |\n'
|
||||
'| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 |'
|
||||
' 43.33 | 0:20:00 | 3 | 0 | 0 |'
|
||||
'| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC '
|
||||
'| Tot Profit % | Avg Duration | Wins | Draws | Losses | Drawdown BTC '
|
||||
'| Drawdown % |\n'
|
||||
'|---------------+--------+----------------+----------------+------------------'
|
||||
'+----------------+----------------+--------+---------+----------+----------------'
|
||||
'+--------------|\n'
|
||||
'| TestStrategy1 | 3 | 20.00 | 60.00 | 1.10000000 '
|
||||
'| 36.67 | 0:17:00 | 3 | 0 | 0 | 0 '
|
||||
'| 0 |\n'
|
||||
'| TestStrategy2 | 3 | 30.00 | 90.00 | 1.30000000 '
|
||||
'| 43.33 | 0:20:00 | 3 | 0 | 0 | 0 '
|
||||
'| 0 |'
|
||||
)
|
||||
|
||||
strategy_results = generate_strategy_comparison(all_results=results)
|
||||
|
||||
assert text_table_strategy(strategy_results, 'BTC') == result_str
|
||||
|
||||
|
||||
|
||||
Loading…
Reference in New Issue
Block a user