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Merge pull request #3235 from freqtrade/xmatthias-patch-1

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Be clear on evaluation logic during backtesting
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hroff-1902 2020-04-29 12:08:41 +03:00 committed by GitHub
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docs/backtesting.md
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@ -202,7 +202,7 @@ Since backtesting lacks some detailed information about what happens within a ca
- Buys happen at open-price - Buys happen at open-price
- Sell signal sells happen at open-price of the following candle - Sell signal sells happen at open-price of the following candle
- Low happens before high for stoploss, protecting capital first. - Low happens before high for stoploss, protecting capital first
- ROI - ROI
- sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%) - sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%)
- sells are never "below the candle", so a ROI of 2% may result in a sell at 2.4% if low was at 2.4% profit - sells are never "below the candle", so a ROI of 2% may result in a sell at 2.4% if low was at 2.4% profit
@ -212,6 +212,7 @@ Since backtesting lacks some detailed information about what happens within a ca
- High happens first - adjusting stoploss - High happens first - adjusting stoploss
- Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly)
- Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used) - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used)
- Stoploss (and trailing stoploss) is evaluated before ROI within one candle. So you can often see more trades with the `stoploss` and/or `trailing_stop` sell reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes.
Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode. Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode.
Also, keep in mind that past results don't guarantee future success. Also, keep in mind that past results don't guarantee future success.