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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias
2021-11-18 20:20:01 +01:00
parent 8638e6fe47 5fb0f53539
commit f40221dd9f
49 changed files with 1112 additions and 363 deletions
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23
freqtrade/optimize/backtesting.py
View File

@@ -379,16 +379,6 @@ class Backtesting:
if sell.sell_flag:
trade.close_date = sell_candle_time
trade.sell_reason = sell.sell_reason
# Checks and adds an exit tag, after checking that the length of the
# sell_row has the length for an exit tag column
if(
len(sell_row) > EXIT_TAG_IDX
and sell_row[EXIT_TAG_IDX] is not None
and len(sell_row[EXIT_TAG_IDX]) > 0
):
trade.sell_reason = sell_row[EXIT_TAG_IDX]
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
@@ -403,6 +393,17 @@ class Backtesting:
current_time=sell_candle_time):
return None
trade.sell_reason = sell.sell_reason
# Checks and adds an exit tag, after checking that the length of the
# sell_row has the length for an exit tag column
if(
len(sell_row) > EXIT_TAG_IDX
and sell_row[EXIT_TAG_IDX] is not None
and len(sell_row[EXIT_TAG_IDX]) > 0
):
trade.sell_reason = sell_row[EXIT_TAG_IDX]
trade.close(closerate, show_msg=False)
return trade
@@ -451,7 +452,7 @@ class Backtesting:
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount,
side=direction)
stake_amount = self.wallets._validate_stake_amount(pair, stake_amount, min_stake_amount)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
if not stake_amount:
return None

8
freqtrade/optimize/hyperopt_tools.py
View File

@@ -284,10 +284,10 @@ class HyperoptTools():
return (f"{results_metrics['total_trades']:6d} trades. "
f"{results_metrics['wins']}/{results_metrics['draws']}"
f"/{results_metrics['losses']} Wins/Draws/Losses. "
f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. "
f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. "
f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_currency} "
f"({results_metrics['profit_total'] * 100: 7.2f}%). "
f"Avg profit {results_metrics['profit_mean']:7.2%}. "
f"Median profit {results_metrics['profit_median']:7.2%}. "
f"Total profit {results_metrics['profit_total_abs']:11.8f} {stake_currency} "
f"({results_metrics['profit_total']:8.2%}). "
f"Avg duration {results_metrics['holding_avg']} min."
)

18
freqtrade/optimize/optimize_reports.py
View File

@@ -725,22 +725,22 @@ def text_table_add_metrics(strat_results: Dict) -> str:
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"{strat_results['profit_total']:.2%}"),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{round(strat_results['profit_total'] / strat_results['backtest_days'] * 100, 2)}%"),
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),
('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'])),
('', ''), # Empty line to improve readability
('Best Pair', f"{strat_results['best_pair']['key']} "
f"{round(strat_results['best_pair']['profit_sum_pct'], 2)}%"),
f"{strat_results['best_pair']['profit_sum']:.2%}"),
('Worst Pair', f"{strat_results['worst_pair']['key']} "
f"{round(strat_results['worst_pair']['profit_sum_pct'], 2)}%"),
('Best trade', f"{best_trade['pair']} {round(best_trade['profit_ratio'] * 100, 2)}%"),
f"{strat_results['worst_pair']['profit_sum']:.2%}"),
('Best trade', f"{best_trade['pair']} {best_trade['profit_ratio']:.2%}"),
('Worst trade', f"{worst_trade['pair']} "
f"{round(worst_trade['profit_ratio'] * 100, 2)}%"),
f"{worst_trade['profit_ratio']:.2%}"),
('Best day', round_coin_value(strat_results['backtest_best_day_abs'],
strat_results['stake_currency'])),
@@ -758,7 +758,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Max balance', round_coin_value(strat_results['csum_max'],
strat_results['stake_currency'])),
('Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
('Drawdown', f"{strat_results['max_drawdown']:.2%}"),
('Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
strat_results['stake_currency'])),
('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
@@ -767,7 +767,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
('Drawdown Start', strat_results['drawdown_start']),
('Drawdown End', strat_results['drawdown_end']),
('Market change', f"{round(strat_results['market_change'] * 100, 2)}%"),
('Market change', f"{strat_results['market_change']:.2%}"),
]
return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl")
@@ -864,5 +864,5 @@ def show_sorted_pairlist(config: Dict, backtest_stats: Dict):
print(f"Pairs for Strategy {strategy}: \n[")
for result in results['results_per_pair']:
if result["key"] != 'TOTAL':
print(f'"{result["key"]}", // {round(result["profit_mean_pct"], 2)}%')
print(f'"{result["key"]}", // {result["profit_mean"]:.2%}')
print("]")