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Support day/week/month breakdowns

This commit is contained in:
Matthias 2021-10-21 06:58:40 +02:00
parent 7197f4ce77
commit fa028c2134
6 changed files with 45 additions and 27 deletions
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4
freqtrade/commands/arguments.py
View File

@ -23,7 +23,7 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
"enable_protections", "dry_run_wallet", "timeframe_detail",
"strategy_list", "export", "exportfilename", "show_days"]
"strategy_list", "export", "exportfilename", "backtest_breakdown"]
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"position_stacking", "use_max_market_positions",
@ -89,7 +89,7 @@ ARGS_HYPEROPT_LIST = ["hyperopt_list_best", "hyperopt_list_profitable",
ARGS_HYPEROPT_SHOW = ["hyperopt_list_best", "hyperopt_list_profitable", "hyperopt_show_index",
"print_json", "hyperoptexportfilename", "hyperopt_show_no_header",
"disableparamexport", "show_days"]
"disableparamexport", "backtest_breakdown"]
NO_CONF_REQURIED = ["convert-data", "convert-trade-data", "download-data", "list-timeframes",
"list-markets", "list-pairs", "list-strategies", "list-data",

10
freqtrade/commands/cli_options.py
View File

@ -193,11 +193,11 @@ AVAILABLE_CLI_OPTIONS = {
type=float,
metavar='FLOAT',
),
"show_days": Arg(
'--show-days',
help='Print days breakdown for backtest results',
action='store_true',
default=False,
"backtest_breakdown": Arg(
'--breakdown',
help='Show backtesting breakdown per [day, week, month].',
nargs='+',
choices=constants.BACKTEST_BREAKDOWNS
),
# Edge
"stoploss_range": Arg(

2
freqtrade/commands/hyperopt_commands.py
View File

@ -96,7 +96,7 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
if 'strategy_name' in metrics:
strategy_name = metrics['strategy_name']
show_backtest_result(strategy_name, metrics,
metrics['stake_currency'], config.get('show_days', False))
metrics['stake_currency'], config.get('backtest_breakdown', []))
HyperoptTools.try_export_params(config, strategy_name, val)

4
freqtrade/configuration/configuration.py
View File

@ -269,8 +269,8 @@ class Configuration:
self._args_to_config(config, argname='export',
logstring='Parameter --export detected: {} ...')
self._args_to_config(config, argname='show_days',
logstring='Parameter --show-days detected ...')
self._args_to_config(config, argname='backtest_breakdown',
logstring='Parameter --breakdown detected ...')
self._args_to_config(config, argname='disableparamexport',
logstring='Parameter --disableparamexport detected: {} ...')

5
freqtrade/constants.py
View File

@ -32,6 +32,7 @@ AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'ShuffleFilter', 'SpreadFilter', 'VolatilityFilter']
AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
BACKTEST_BREAKDOWNS = ['day', 'week', 'month']
DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'
MATH_CLOSE_PREC = 1e-14 # Precision used for float comparisons
@ -146,6 +147,10 @@ CONF_SCHEMA = {
'sell_profit_offset': {'type': 'number'},
'ignore_roi_if_buy_signal': {'type': 'boolean'},
'ignore_buying_expired_candle_after': {'type': 'number'},
'backtest_breakdown': {
'type': 'array',
'items': {'type': 'string', 'enum': BACKTEST_BREAKDOWNS}
},
'bot_name': {'type': 'string'},
'unfilledtimeout': {
'type': 'object',

47
freqtrade/optimize/optimize_reports.py
View File

@ -213,17 +213,28 @@ def generate_edge_table(results: dict) -> str:
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
def generate_days_breakdown_stats(trade_list: List, starting_balance: int) -> List[Dict[str, Any]]:
def _get_resample_from_period(period: str) -> str:
if period == 'day':
return '1d'
if period == 'week':
return '1w'
if period == 'month':
return '1m'
raise ValueError(f"Period {period} is not supported.")
def generate_periodic_breakdown_stats(trade_list: List, period: str) -> List[Dict[str, Any]]:
results = DataFrame.from_records(trade_list)
results['close_date'] = to_datetime(results['close_date'], utc=True)
days = results.resample('1d', on='close_date')
days_stats = []
for name, day in days:
resample = _get_resample_from_period(period)
period = results.resample(resample, on='close_date')
stats = []
for name, day in period:
profit_abs = day['profit_abs'].sum().round(10)
wins = sum(day['profit_abs'] > 0)
draws = sum(day['profit_abs'] == 0)
loses = sum(day['profit_abs'] < 0)
days_stats.append(
stats.append(
{
'date': name.strftime('%d/%m/%Y'),
'profit_abs': profit_abs,
@ -232,7 +243,7 @@ def generate_days_breakdown_stats(trade_list: List, starting_balance: int) -> Li
'loses': loses
}
)
return days_stats
return stats
def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
@ -529,8 +540,8 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_days_breakdown(days_breakdown_stats: List[Dict[str, Any]],
stake_currency: str) -> str:
def text_table_periodic_breakdown(days_breakdown_stats: List[Dict[str, Any]],
stake_currency: str, period: str) -> str:
"""
Generate small table with Backtest results by days
:param days_breakdown_stats: Days breakdown metrics
@ -538,7 +549,7 @@ def text_table_days_breakdown(days_breakdown_stats: List[Dict[str, Any]],
:return: pretty printed table with tabulate as string
"""
headers = [
'Day',
period.capitalize(),
f'Tot Profit {stake_currency}',
'Wins',
'Draws',
@ -663,7 +674,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str,
show_days=False):
backtest_breakdown=[]):
"""
Print results for one strategy
"""
@ -685,13 +696,13 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table)
if show_days:
days_breakdown_stats = generate_days_breakdown_stats(
trade_list=results['trades'], starting_balance=results['starting_balance'])
table = text_table_days_breakdown(days_breakdown_stats=days_breakdown_stats,
stake_currency=stake_currency)
for period in backtest_breakdown:
days_breakdown_stats = generate_periodic_breakdown_stats(
trade_list=results['trades'], period=period)
table = text_table_periodic_breakdown(days_breakdown_stats=days_breakdown_stats,
stake_currency=stake_currency, period=period)
if isinstance(table, str) and len(table) > 0:
print(' DAYS BREAKDOWN '.center(len(table.splitlines()[0]), '='))
print(f' {period.upper()} BREAKDOWN '.center(len(table.splitlines()[0]), '='))
print(table)
table = text_table_add_metrics(results)
@ -708,7 +719,9 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
stake_currency = config['stake_currency']
for strategy, results in backtest_stats['strategy'].items():
show_backtest_result(strategy, results, stake_currency, config.get('show_days', False))
show_backtest_result(
strategy, results, stake_currency,
config.get('backtest_breakdown', []))
if len(backtest_stats['strategy']) > 1:
# Print Strategy summary table