152 lines
6.0 KiB
Markdown
152 lines
6.0 KiB
Markdown
# 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:
|
|
|
|
``` bash
|
|
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:
|
|
|
|
``` bash
|
|
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):
|
|
|
|
* 0: overall winrate and profit summary by enter_tag
|
|
* 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:
|
|
|
|
``` bash
|
|
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:
|
|
|
|
```bash
|
|
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:
|
|
|
|
```bash
|
|
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.
|
|
|
|
### Filtering the trade output by date
|
|
|
|
To show only trades between dates within your backtested timerange, supply the usual `timerange` option in `YYYYMMDD-[YYYYMMDD]` format:
|
|
|
|
```
|
|
--timerange : Timerange to filter output trades, start date inclusive, end date exclusive. e.g. 20220101-20221231
|
|
```
|
|
|
|
For example, if your backtest timerange was `20220101-20221231` but you only want to output trades in January:
|
|
|
|
```bash
|
|
freqtrade backtesting-analysis -c <config.json> --timerange 20220101-20220201
|
|
```
|
|
|
|
### Printing out rejected trades
|
|
|
|
Use the `--rejected` option to print out rejected trades.
|
|
|
|
```bash
|
|
freqtrade backtesting-analysis -c <config.json> --rejected
|
|
```
|
|
|
|
### Writing tables to CSV
|
|
|
|
Some of the tabular outputs can become large, so printing them out to the terminal is not preferable.
|
|
Use the `--analysis-to-csv` option to disable printing out of tables to standard out and write them to CSV files.
|
|
|
|
```bash
|
|
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv
|
|
```
|
|
|
|
By default this will write one file per output table you specified in the `backtesting-analysis` command, e.g.
|
|
|
|
```bash
|
|
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv --rejected --analysis-groups 0 1
|
|
```
|
|
|
|
This will write to `user_data/backtest_results`:
|
|
* rejected.csv
|
|
* group_0.csv
|
|
* group_1.csv
|
|
|
|
To override where the files will be written, also specify the `--analysis-csv-path` option.
|
|
|
|
```bash
|
|
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv --analysis-csv-path another/data/path/
|
|
```
|