Improve backtesting metrics
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Matthias
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7913166453
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@ -252,11 +252,12 @@ A backtesting result will look like that:
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| Max open trades | 3 |
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| Total trades | 429 |
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| Starting capital | 0.01000000 BTC |
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| End capital | 0.01762792 BTC |
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| Starting balance | 0.01000000 BTC |
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| Final balance | 0.01762792 BTC |
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| Absolute profit | 0.00762792 BTC |
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| Total Profit % | 76.2% |
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| Total profit % | 76.2% |
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| Trades per day | 3.575 |
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| Avg. stake amount | 0.001 |
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| Total trade volume | 0.429 BTC |
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| Best Pair | LSK/BTC 26.26% |
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@ -269,7 +270,12 @@ A backtesting result will look like that:
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Max Drawdown | 50.63% |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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| Drawdown | 50.63% |
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| Drawdown | 0.0015 BTC |
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| Drawdown high | 0.0013 BTC |
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| Drawdown low | -0.0002 BTC |
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| Drawdown Start | 2019-02-15 14:10:00 |
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| Drawdown End | 2019-04-11 18:15:00 |
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| Market change | -5.88% |
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@ -333,11 +339,12 @@ It contains some useful key metrics about performance of your strategy on backte
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| Max open trades | 3 |
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| Total trades | 429 |
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| Starting capital | 0.01000000 BTC |
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| End capital | 0.01762792 BTC |
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| Starting balance | 0.01000000 BTC |
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| Final balance | 0.01762792 BTC |
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| Absolute profit | 0.00762792 BTC |
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| Total Profit % | 76.2% |
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| Total profit % | 76.2% |
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| Trades per day | 3.575 |
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| Avg. stake amount | 0.001 |
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| Total trade volume | 0.429 BTC |
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| Best Pair | LSK/BTC 26.26% |
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@ -350,7 +357,12 @@ It contains some useful key metrics about performance of your strategy on backte
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| Avg. Duration Winners | 4:23:00 |
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| Avg. Duration Loser | 6:55:00 |
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| Max Drawdown | 50.63% |
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| Min balance | 0.00945123 BTC |
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| Max balance | 0.01846651 BTC |
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| Drawdown | 50.63% |
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| Drawdown | 0.0015 BTC |
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| Drawdown high | 0.0013 BTC |
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| Drawdown low | -0.0002 BTC |
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| Drawdown Start | 2019-02-15 14:10:00 |
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| Drawdown End | 2019-04-11 18:15:00 |
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| Market change | -5.88% |
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@ -361,18 +373,21 @@ It contains some useful key metrics about performance of your strategy on backte
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- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).
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- `Max open trades`: Setting of `max_open_trades` (or `--max-open-trades`) - or number of pairs in the pairlist (whatever is lower).
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- `Total trades`: Identical to the total trades of the backtest output table.
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- `Starting capital`: Start capital - as given by dry-run-wallet (config or command line).
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- `End capital`: Final capital - starting capital + absolute profit.
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- `Starting balance`: Start balance - as given by dry-run-wallet (config or command line).
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- `End balance`: Final balance - starting balance + absolute profit.
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- `Absolute profit`: Profit made in stake currency.
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- `Total Profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
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- `Total profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
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- `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy).
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- `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
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- `Total trade volume`: Volume generated on the exchange to reach the above profit.
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- `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`.
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- `Best Trade` / `Worst Trade`: Biggest winning trade and biggest losing trade
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- `Best day` / `Worst day`: Best and worst day based on daily profit.
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- `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
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- `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
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- `Max Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
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- `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
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- `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
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- `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
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- `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
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- `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column.
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@ -278,6 +278,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
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'left_open_trades': left_open_results,
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'total_trades': len(results),
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'total_volume': results['stake_amount'].sum(),
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'avg_stake_amount': results['stake_amount'].mean(),
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'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0,
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'profit_total': results['profit_abs'].sum() / starting_balance,
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'profit_total_abs': results['profit_abs'].sum(),
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@ -295,6 +296,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
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'pairlist': list(btdata.keys()),
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'stake_amount': config['stake_amount'],
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'stake_currency': config['stake_currency'],
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'stake_currency_decimals': decimals_per_coin(config['stake_currency']),
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'starting_balance': starting_balance,
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'dry_run_wallet': starting_balance,
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'final_balance': content['final_balance'],
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@ -334,8 +336,8 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
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'drawdown_end': drawdown_end,
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'drawdown_end_ts': drawdown_end.timestamp() * 1000,
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'max_drawdown_low': low_val + starting_balance,
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'max_drawdown_high': high_val + starting_balance,
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'max_drawdown_low': low_val,
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'max_drawdown_high': high_val,
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})
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csum_min, csum_max = calculate_csum(results, starting_balance)
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@ -446,14 +448,16 @@ def text_table_add_metrics(strat_results: Dict) -> str:
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('Max open trades', strat_results['max_open_trades']),
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('', ''), # Empty line to improve readability
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('Total trades', strat_results['total_trades']),
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('Starting capital', round_coin_value(strat_results['starting_balance'],
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('Starting balance', round_coin_value(strat_results['starting_balance'],
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strat_results['stake_currency'])),
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('End capital', round_coin_value(strat_results['final_balance'],
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strat_results['stake_currency'])),
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('Final balance', round_coin_value(strat_results['final_balance'],
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strat_results['stake_currency'])),
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('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
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strat_results['stake_currency'])),
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('Total Profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
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('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
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('Trades per day', strat_results['trades_per_day']),
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('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
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strat_results['stake_currency'])),
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('Total trade volume', round_coin_value(strat_results['total_volume'],
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strat_results['stake_currency'])),
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@ -474,18 +478,18 @@ def text_table_add_metrics(strat_results: Dict) -> str:
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('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
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('', ''), # Empty line to improve readability
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('Abs Profit Min', round_coin_value(strat_results['csum_min'],
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strat_results['stake_currency'])),
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('Abs Profit Max', round_coin_value(strat_results['csum_max'],
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strat_results['stake_currency'])),
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('Min balance', round_coin_value(strat_results['csum_min'],
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strat_results['stake_currency'])),
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('Max balance', round_coin_value(strat_results['csum_max'],
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strat_results['stake_currency'])),
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('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
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('Max Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
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('Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
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('Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
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strat_results['stake_currency'])),
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('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
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strat_results['stake_currency'])),
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('Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
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strat_results['stake_currency'])),
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('Max Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
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strat_results['stake_currency'])),
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('Max Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
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strat_results['stake_currency'])),
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('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)),
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('Drawdown End', strat_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)),
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('Market change', f"{round(strat_results['market_change'] * 100, 2)}%"),
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