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generate_backtest_stats must take config options from the strategy

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config

as a strategy can override certain options.
This commit is contained in:
Matthias
2020-09-25 20:39:00 +02:00
parent 378f03a5b1
commit ff3e2641ae
3 changed files with 85 additions and 72 deletions
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33
freqtrade/optimize/optimize_reports.py
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@@ -1,7 +1,7 @@
import logging
from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Any, Dict, List
from typing import Any, Dict, List, Union
from arrow import Arrow
from pandas import DataFrame
@@ -143,19 +143,18 @@ def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List
return tabular_data
def generate_strategy_metrics(stake_currency: str, max_open_trades: int,
all_results: Dict) -> List[Dict]:
def generate_strategy_metrics(all_results: Dict) -> List[Dict]:
"""
Generate summary per strategy
:param stake_currency: stake-currency - used to correctly name headers
:param max_open_trades: Maximum allowed open trades used for backtest
:param all_results: Dict of <Strategyname: BacktestResult> containing results for all strategies
:return: List of Dicts containing the metrics per Strategy
"""
tabular_data = []
for strategy, results in all_results.items():
tabular_data.append(_generate_result_line(results, max_open_trades, strategy))
tabular_data.append(_generate_result_line(
results['results'], results['config']['max_open_trades'], strategy)
)
return tabular_data
@@ -219,25 +218,29 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]:
}
def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
all_results: Dict[str, DataFrame],
def generate_backtest_stats(btdata: Dict[str, DataFrame],
all_results: Dict[str, Dict[str, Union[DataFrame, Dict]]],
min_date: Arrow, max_date: Arrow
) -> Dict[str, Any]:
"""
:param config: Configuration object used for backtest
:param btdata: Backtest data
:param all_results: backtest result - dictionary with { Strategy: results}.
:param all_results: backtest result - dictionary in the form:
{ Strategy: {'results: results, 'config: config}}.
:param min_date: Backtest start date
:param max_date: Backtest end date
:return:
Dictionary containing results per strategy and a stratgy summary.
"""
stake_currency = config['stake_currency']
max_open_trades = config['max_open_trades']
result: Dict[str, Any] = {'strategy': {}}
market_change = calculate_market_change(btdata, 'close')
for strategy, results in all_results.items():
for strategy, content in all_results.items():
results: Dict[str, DataFrame] = content['results']
if not isinstance(results, DataFrame):
continue
config = content['config']
max_open_trades = config['max_open_trades']
stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency,
max_open_trades=max_open_trades,
@@ -310,9 +313,7 @@ def generate_backtest_stats(config: Dict, btdata: Dict[str, DataFrame],
'drawdown_end_ts': 0,
})
strategy_results = generate_strategy_metrics(stake_currency=stake_currency,
max_open_trades=max_open_trades,
all_results=all_results)
strategy_results = generate_strategy_metrics(all_results=all_results)
result['strategy_comparison'] = strategy_results