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Improve backtesting metrics

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Matthias
2021-02-17 20:19:03 +01:00
parent 7913166453
commit f04f07299c
2 changed files with 47 additions and 28 deletions
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docs/backtesting.md
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@@ -252,11 +252,12 @@ A backtesting result will look like that:
| Max open trades | 3 |
| | |
| Total trades | 429 |
| Starting capital | 0.01000000 BTC |
| End capital | 0.01762792 BTC |
| Starting balance | 0.01000000 BTC |
| Final balance | 0.01762792 BTC |
| Absolute profit | 0.00762792 BTC |
| Total Profit % | 76.2% |
| Total profit % | 76.2% |
| Trades per day | 3.575 |
| Avg. stake amount | 0.001 |
| Total trade volume | 0.429 BTC |
| | |
| Best Pair | LSK/BTC 26.26% |
@@ -269,7 +270,12 @@ A backtesting result will look like that:
| Avg. Duration Winners | 4:23:00 |
| Avg. Duration Loser | 6:55:00 |
| | |
| Max Drawdown | 50.63% |
| Min balance | 0.00945123 BTC |
| Max balance | 0.01846651 BTC |
| Drawdown | 50.63% |
| Drawdown | 0.0015 BTC |
| Drawdown high | 0.0013 BTC |
| Drawdown low | -0.0002 BTC |
| Drawdown Start | 2019-02-15 14:10:00 |
| Drawdown End | 2019-04-11 18:15:00 |
| Market change | -5.88% |
@@ -333,11 +339,12 @@ It contains some useful key metrics about performance of your strategy on backte
| Max open trades | 3 |
| | |
| Total trades | 429 |
| Starting capital | 0.01000000 BTC |
| End capital | 0.01762792 BTC |
| Starting balance | 0.01000000 BTC |
| Final balance | 0.01762792 BTC |
| Absolute profit | 0.00762792 BTC |
| Total Profit % | 76.2% |
| Total profit % | 76.2% |
| Trades per day | 3.575 |
| Avg. stake amount | 0.001 |
| Total trade volume | 0.429 BTC |
| | |
| Best Pair | LSK/BTC 26.26% |
@@ -350,7 +357,12 @@ It contains some useful key metrics about performance of your strategy on backte
| Avg. Duration Winners | 4:23:00 |
| Avg. Duration Loser | 6:55:00 |
| | |
| Max Drawdown | 50.63% |
| Min balance | 0.00945123 BTC |
| Max balance | 0.01846651 BTC |
| Drawdown | 50.63% |
| Drawdown | 0.0015 BTC |
| Drawdown high | 0.0013 BTC |
| Drawdown low | -0.0002 BTC |
| Drawdown Start | 2019-02-15 14:10:00 |
| Drawdown End | 2019-04-11 18:15:00 |
| Market change | -5.88% |
@@ -361,18 +373,21 @@ It contains some useful key metrics about performance of your strategy on backte
- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).
- `Max open trades`: Setting of `max_open_trades` (or `--max-open-trades`) - or number of pairs in the pairlist (whatever is lower).
- `Total trades`: Identical to the total trades of the backtest output table.
- `Starting capital`: Start capital - as given by dry-run-wallet (config or command line).
- `End capital`: Final capital - starting capital + absolute profit.
- `Starting balance`: Start balance - as given by dry-run-wallet (config or command line).
- `End balance`: Final balance - starting balance + absolute profit.
- `Absolute profit`: Profit made in stake currency.
- `Total Profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
- `Total profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`.
- `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).
- `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
- `Total trade volume`: Volume generated on the exchange to reach the above profit.
- `Best Pair` / `Worst Pair`: Best and worst performing pair, and it's corresponding `Cum Profit %`.
- `Best Trade` / `Worst Trade`: Biggest winning trade and biggest losing trade
- `Best day` / `Worst day`: Best and worst day based on daily profit.
- `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
- `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
- `Max Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
- `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
- `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
- `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
- `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
- `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.