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stable/docs/advanced-backtesting.md
Matthias e2e6c790be Minor doc update
2022-06-15 16:50:25 +02:00

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Advanced Backtesting Analysis

Analyze the buy/entry and sell/exit tags

It can be helpful to understand how a strategy behaves according to the buy/entry tags used to mark up different buy conditions. You might want to see more complex statistics about each buy and sell condition above those provided by the default backtesting output. You may also want to determine indicator values on the signal candle that resulted in a trade opening.

!!! Note The following buy reason analysis is only available for backtesting, not hyperopt.

We need to run backtesting with the --export option set to signals to enable the exporting of signals and trades:

freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals

This will tell freqtrade to output a pickled dictionary of strategy, pairs and corresponding DataFrame of the candles that resulted in buy signals. Depending on how many buys your strategy makes, this file may get quite large, so periodically check your user_data/backtest_results folder to delete old exports.

Before running your next backtest, make sure you either delete your old backtest results or run backtesting with the --cache none option to make sure no cached results are used.

If all goes well, you should now see a backtest-result-{timestamp}_signals.pkl file in the user_data/backtest_results folder.

To analyze the entry/exit tags, we now need to use the freqtrade backtesting-analysis command with --analysis-groups option provided with space-separated arguments (default 0 1 2):

freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 1 2 3 4

This command will read from the last backtesting results. The --analysis-groups option is used to specify the various tabular outputs showing the profit fo each group or trade, ranging from the simplest (0) to the most detailed per pair, per buy and per sell tag (4):

  • 1: profit summaries grouped by enter_tag
  • 2: profit summaries grouped by enter_tag and exit_tag
  • 3: profit summaries grouped by pair and enter_tag
  • 4: profit summaries grouped by pair, enter_ and exit_tag (this can get quite large)

More options are available by running with the -h option.

Using export-filename

Normally, backtesting-analysis uses the latest backtest results, but if you wanted to go back to a previous backtest output, you need to supply the --export-filename option. You can supply the same parameter to backtest-analysis with the name of the final backtest output file. This allows you to keep historical versions of backtest results and re-analyse them at a later date:

freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals --export-filename=/tmp/mystrat_backtest.json

You should see some output similar to below in the logs with the name of the timestamped filename that was exported:

2022-06-14 16:28:32,698 - freqtrade.misc - INFO - dumping json to "/tmp/mystrat_backtest-2022-06-14_16-28-32.json"

You can then use that filename in backtesting-analysis:

freqtrade backtesting-analysis -c <config.json> --export-filename=/tmp/mystrat_backtest-2022-06-14_16-28-32.json

Tuning the buy tags and sell tags to display

To show only certain buy and sell tags in the displayed output, use the following two options:

--enter-reason-list : Space-separated list of enter signals to analyse. Default: "all"
--exit-reason-list : Space-separated list of exit signals to analyse. Default: "all"

For example:

freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 2 --enter-reason-list enter_tag_a enter_tag_b --exit-reason-list roi custom_exit_tag_a stop_loss

Outputting signal candle indicators

The real power of freqtrade backtesting-analysis comes from the ability to print out the indicator values present on signal candles to allow fine-grained investigation and tuning of buy signal indicators. To print out a column for a given set of indicators, use the --indicator-list option:

freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 2 --enter-reason-list enter_tag_a enter_tag_b --exit-reason-list roi custom_exit_tag_a stop_loss --indicator-list rsi rsi_1h bb_lowerband ema_9 macd macdsignal

The indicators have to be present in your strategy's main DataFrame (either for your main timeframe or for informative timeframes) otherwise they will simply be ignored in the script output.