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Improve backtesting metrics

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This commit is contained in:
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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36
freqtrade/optimize/optimize_reports.py
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@@ -278,6 +278,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
'left_open_trades': left_open_results,
'total_trades': len(results),
'total_volume': results['stake_amount'].sum(),
'avg_stake_amount': results['stake_amount'].mean(),
'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0,
'profit_total': results['profit_abs'].sum() / starting_balance,
'profit_total_abs': results['profit_abs'].sum(),
@@ -295,6 +296,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
'pairlist': list(btdata.keys()),
'stake_amount': config['stake_amount'],
'stake_currency': config['stake_currency'],
'stake_currency_decimals': decimals_per_coin(config['stake_currency']),
'starting_balance': starting_balance,
'dry_run_wallet': starting_balance,
'final_balance': content['final_balance'],
@@ -334,8 +336,8 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
'drawdown_end': drawdown_end,
'drawdown_end_ts': drawdown_end.timestamp() * 1000,
'max_drawdown_low': low_val + starting_balance,
'max_drawdown_high': high_val + starting_balance,
'max_drawdown_low': low_val,
'max_drawdown_high': high_val,
})
csum_min, csum_max = calculate_csum(results, starting_balance)
@@ -446,14 +448,16 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Max open trades', strat_results['max_open_trades']),
('', ''), # Empty line to improve readability
('Total trades', strat_results['total_trades']),
('Starting capital', round_coin_value(strat_results['starting_balance'],
('Starting balance', round_coin_value(strat_results['starting_balance'],
strat_results['stake_currency'])),
('End capital', round_coin_value(strat_results['final_balance'],
strat_results['stake_currency'])),
('Final balance', round_coin_value(strat_results['final_balance'],
strat_results['stake_currency'])),
('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
strat_results['stake_currency'])),
('Total Profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
('Trades per day', strat_results['trades_per_day']),
('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
strat_results['stake_currency'])),
('Total trade volume', round_coin_value(strat_results['total_volume'],
strat_results['stake_currency'])),
@@ -474,18 +478,18 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
('', ''), # Empty line to improve readability
('Abs Profit Min', round_coin_value(strat_results['csum_min'],
strat_results['stake_currency'])),
('Abs Profit Max', round_coin_value(strat_results['csum_max'],
strat_results['stake_currency'])),
('Min balance', round_coin_value(strat_results['csum_min'],
strat_results['stake_currency'])),
('Max balance', round_coin_value(strat_results['csum_max'],
strat_results['stake_currency'])),
('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
('Max Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
('Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
('Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
strat_results['stake_currency'])),
('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
strat_results['stake_currency'])),
('Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
strat_results['stake_currency'])),
('Max Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
strat_results['stake_currency'])),
('Max Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
strat_results['stake_currency'])),
('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)),
('Drawdown End', strat_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)),
('Market change', f"{round(strat_results['market_change'] * 100, 2)}%"),