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Merge pull request #6874 from froggleston/buy_reasons

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Buy reasons
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Matthias
2022-06-15 19:06:00 +02:00
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parent 3c62df6b86 e2e6c790be
commit ec40e79362
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57
docs/advanced-backtesting.md
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@@ -22,50 +22,79 @@ DataFrame of the candles that resulted in buy signals. Depending on how many buy
makes, this file may get quite large, so periodically check your `user_data/backtest_results`
folder to delete old exports.
To analyze the buy tags, we need to use the `buy_reasons.py` script from
[froggleston's repo](https://github.com/froggleston/freqtrade-buyreasons). Follow the instructions
in their README to copy the script into your `freqtrade/scripts/` folder.
Before running your next backtest, make sure you either delete your old backtest results or run
backtesting with the `--cache none` option to make sure no cached results are used.
If all goes well, you should now see a `backtest-result-{timestamp}_signals.pkl` file in the
`user_data/backtest_results` folder.
Now run the `buy_reasons.py` script, supplying a few options:
To analyze the entry/exit tags, we now need to use the `freqtrade backtesting-analysis` command
with `--analysis-groups` option provided with space-separated arguments (default `0 1 2`):
``` bash
python3 scripts/buy_reasons.py -c <config.json> -s <strategy_name> -t <timerange> -g0,1,2,3,4
freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 1 2 3 4
```
The `-g` option is used to specify the various tabular outputs, ranging from the simplest (0)
to the most detailed per pair, per buy and per sell tag (4). More options are available by
running with the `-h` option.
This command will read from the last backtesting results. The `--analysis-groups` option is
used to specify the various tabular outputs showing the profit fo each group or trade,
ranging from the simplest (0) to the most detailed per pair, per buy and per sell tag (4):
* 1: profit summaries grouped by enter_tag
* 2: profit summaries grouped by enter_tag and exit_tag
* 3: profit summaries grouped by pair and enter_tag
* 4: profit summaries grouped by pair, enter_ and exit_tag (this can get quite large)
More options are available by running with the `-h` option.
### Using export-filename
Normally, `backtesting-analysis` uses the latest backtest results, but if you wanted to go
back to a previous backtest output, you need to supply the `--export-filename` option.
You can supply the same parameter to `backtest-analysis` with the name of the final backtest
output file. This allows you to keep historical versions of backtest results and re-analyse
them at a later date:
``` bash
freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals --export-filename=/tmp/mystrat_backtest.json
```
You should see some output similar to below in the logs with the name of the timestamped
filename that was exported:
```
2022-06-14 16:28:32,698 - freqtrade.misc - INFO - dumping json to "/tmp/mystrat_backtest-2022-06-14_16-28-32.json"
```
You can then use that filename in `backtesting-analysis`:
```
freqtrade backtesting-analysis -c <config.json> --export-filename=/tmp/mystrat_backtest-2022-06-14_16-28-32.json
```
### Tuning the buy tags and sell tags to display
To show only certain buy and sell tags in the displayed output, use the following two options:
```
--enter_reason_list : Comma separated list of enter signals to analyse. Default: "all"
--exit_reason_list : Comma separated list of exit signals to analyse. Default: "stop_loss,trailing_stop_loss"
--enter-reason-list : Space-separated list of enter signals to analyse. Default: "all"
--exit-reason-list : Space-separated list of exit signals to analyse. Default: "all"
```
For example:
```bash
python3 scripts/buy_reasons.py -c <config.json> -s <strategy_name> -t <timerange> -g0,1,2,3,4 --enter_reason_list "enter_tag_a,enter_tag_b" --exit_reason_list "roi,custom_exit_tag_a,stop_loss"
freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 2 --enter-reason-list enter_tag_a enter_tag_b --exit-reason-list roi custom_exit_tag_a stop_loss
```
### Outputting signal candle indicators
The real power of the buy_reasons.py script comes from the ability to print out the indicator
The real power of `freqtrade backtesting-analysis` comes from the ability to print out the indicator
values present on signal candles to allow fine-grained investigation and tuning of buy signal
indicators. To print out a column for a given set of indicators, use the `--indicator-list`
option:
```bash
python3 scripts/buy_reasons.py -c <config.json> -s <strategy_name> -t <timerange> -g0,1,2,3,4 --enter_reason_list "enter_tag_a,enter_tag_b" --exit_reason_list "roi,custom_exit_tag_a,stop_loss" --indicator_list "rsi,rsi_1h,bb_lowerband,ema_9,macd,macdsignal"
freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 2 --enter-reason-list enter_tag_a enter_tag_b --exit-reason-list roi custom_exit_tag_a stop_loss --indicator-list rsi rsi_1h bb_lowerband ema_9 macd macdsignal
```
The indicators have to be present in your strategy's main DataFrame (either for your main

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docs/utils.md
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@@ -651,6 +651,61 @@ Common arguments:
```
## Detailed backtest analysis
Advanced backtest result analysis.
More details in the [Backtesting analysis](advanced-backtesting.md#analyze-the-buyentry-and-sellexit-tags) Section.
```
usage: freqtrade backtesting-analysis [-h] [-v] [--logfile FILE] [-V]
[-c PATH] [-d PATH] [--userdir PATH]
[--export-filename PATH]
[--analysis-groups {0,1,2,3,4} [{0,1,2,3,4} ...]]
[--enter-reason-list ENTER_REASON_LIST [ENTER_REASON_LIST ...]]
[--exit-reason-list EXIT_REASON_LIST [EXIT_REASON_LIST ...]]
[--indicator-list INDICATOR_LIST [INDICATOR_LIST ...]]
optional arguments:
-h, --help show this help message and exit
--export-filename PATH, --backtest-filename PATH
Use this filename for backtest results.Requires
`--export` to be set as well. Example: `--export-filen
ame=user_data/backtest_results/backtest_today.json`
--analysis-groups {0,1,2,3,4} [{0,1,2,3,4} ...]
grouping output - 0: simple wins/losses by enter tag,
1: by enter_tag, 2: by enter_tag and exit_tag, 3: by
pair and enter_tag, 4: by pair, enter_ and exit_tag
(this can get quite large)
--enter-reason-list ENTER_REASON_LIST [ENTER_REASON_LIST ...]
Comma separated list of entry signals to analyse.
Default: all. e.g. 'entry_tag_a,entry_tag_b'
--exit-reason-list EXIT_REASON_LIST [EXIT_REASON_LIST ...]
Comma separated list of exit signals to analyse.
Default: all. e.g.
'exit_tag_a,roi,stop_loss,trailing_stop_loss'
--indicator-list INDICATOR_LIST [INDICATOR_LIST ...]
Comma separated list of indicators to analyse. e.g.
'close,rsi,bb_lowerband,profit_abs'
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
--logfile FILE Log to the file specified. Special values are:
'syslog', 'journald'. See the documentation for more
details.
-V, --version show program's version number and exit
-c PATH, --config PATH
Specify configuration file (default:
`userdir/config.json` or `config.json` whichever
exists). Multiple --config options may be used. Can be
set to `-` to read config from stdin.
-d PATH, --datadir PATH
Path to directory with historical backtesting data.
--userdir PATH, --user-data-dir PATH
Path to userdata directory.
```
## List Hyperopt results
You can list the hyperoptimization epochs the Hyperopt module evaluated previously with the `hyperopt-list` sub-command.