279 lines
12 KiB
Python
279 lines
12 KiB
Python
import logging
|
|
from datetime import timedelta
|
|
from pathlib import Path
|
|
from typing import Dict, Tuple, List, Any
|
|
|
|
from pandas import DataFrame
|
|
from tabulate import tabulate
|
|
|
|
from freqtrade.misc import file_dump_json
|
|
|
|
logger = logging.getLogger(__name__)
|
|
|
|
|
|
def store_backtest_result(recordfilename: Path, all_results: Dict[str, DataFrame]) -> None:
|
|
"""
|
|
Stores backtest results to file (one file per strategy)
|
|
:param recordfilename: Destination filename
|
|
:param all_results: Dict of Dataframes, one results dataframe per strategy
|
|
"""
|
|
for strategy, results in all_results.items():
|
|
records = [(t.pair, t.profit_percent, t.open_time.timestamp(),
|
|
t.close_time.timestamp(), t.open_index - 1, t.trade_duration,
|
|
t.open_rate, t.close_rate, t.open_at_end, t.sell_reason.value)
|
|
for index, t in results.iterrows()]
|
|
|
|
if records:
|
|
filename = recordfilename
|
|
if len(all_results) > 1:
|
|
# Inject strategy to filename
|
|
filename = Path.joinpath(
|
|
recordfilename.parent,
|
|
f'{recordfilename.stem}-{strategy}').with_suffix(recordfilename.suffix)
|
|
logger.info(f'Dumping backtest results to {filename}')
|
|
file_dump_json(filename, records)
|
|
|
|
|
|
def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
|
|
"""
|
|
Generate header lines (goes in line with _generate_result_line())
|
|
"""
|
|
return [first_column, 'Buys', 'Avg Profit %', 'Cum Profit %',
|
|
f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
|
|
'Wins', 'Draws', 'Losses']
|
|
|
|
|
|
def _generate_result_line(result: DataFrame, max_open_trades: int, first_column: str) -> List:
|
|
"""
|
|
Generate One Result line.
|
|
Columns are:
|
|
first_column
|
|
'Buys', 'Avg Profit %', 'Cum Profit %', f'Tot Profit',
|
|
'Tot Profit %', 'Avg Duration', 'Wins', 'Draws', 'Losses'
|
|
"""
|
|
return [
|
|
first_column,
|
|
len(result.index),
|
|
result.profit_percent.mean() * 100.0,
|
|
result.profit_percent.sum() * 100.0,
|
|
result.profit_abs.sum(),
|
|
result.profit_percent.sum() * 100.0 / max_open_trades,
|
|
str(timedelta(
|
|
minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00',
|
|
len(result[result.profit_abs > 0]),
|
|
len(result[result.profit_abs == 0]),
|
|
len(result[result.profit_abs < 0])
|
|
]
|
|
|
|
|
|
def _generate_pair_results(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,
|
|
results: DataFrame, skip_nan: bool = False) -> Tuple:
|
|
"""
|
|
Generates and returns a list for the given backtest data and the results dataframe
|
|
:param data: Dict of <pair: dataframe> containing data that was used during backtesting.
|
|
:param stake_currency: stake-currency - used to correctly name headers
|
|
:param max_open_trades: Maximum allowed open trades
|
|
:param results: Dataframe containing the backtest results
|
|
:param skip_nan: Print "left open" open trades
|
|
:return: Tuple of (data, headers, floatfmt) of summarized results.
|
|
"""
|
|
|
|
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', 'd', 'd', 'd')
|
|
tabular_data = []
|
|
headers = _get_line_header('Pair', stake_currency)
|
|
for pair in data:
|
|
result = results[results.pair == pair]
|
|
if skip_nan and result.profit_abs.isnull().all():
|
|
continue
|
|
|
|
tabular_data.append(_generate_result_line(result, max_open_trades, pair))
|
|
|
|
# Append Total
|
|
tabular_data.append(_generate_result_line(results, max_open_trades, 'TOTAL'))
|
|
return tabular_data, headers, floatfmt
|
|
|
|
|
|
def generate_text_table(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,
|
|
results: DataFrame, skip_nan: bool = False) -> str:
|
|
"""
|
|
Generates and returns a text table for the given backtest data and the results dataframe
|
|
:param data: Dict of <pair: dataframe> containing data that was used during backtesting.
|
|
:param stake_currency: stake-currency - used to correctly name headers
|
|
:param max_open_trades: Maximum allowed open trades
|
|
:param results: Dataframe containing the backtest results
|
|
:param skip_nan: Print "left open" open trades
|
|
:return: pretty printed table with tabulate as string
|
|
"""
|
|
|
|
tabular_data, headers, floatfmt = _generate_pair_results(data, stake_currency, max_open_trades,
|
|
results, skip_nan)
|
|
# Ignore type as floatfmt does allow tuples but mypy does not know that
|
|
return tabulate(tabular_data, headers=headers,
|
|
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
|
|
|
|
|
|
def generate_sell_reason_stats(max_open_trades: int,
|
|
results: DataFrame) -> List[Dict]:
|
|
"""
|
|
Generate small table outlining Backtest results
|
|
:param max_open_trades: Max_open_trades parameter
|
|
:param results: Dataframe containing the backtest result for one strategy
|
|
:return: List of Dicts containing the metrics per Sell reason
|
|
"""
|
|
tabular_data = []
|
|
|
|
for reason, count in results['sell_reason'].value_counts().iteritems():
|
|
result = results.loc[results['sell_reason'] == reason]
|
|
|
|
profit_mean = result['profit_percent'].mean()
|
|
profit_sum = result["profit_percent"].sum()
|
|
profit_percent_tot = round(result['profit_percent'].sum() * 100.0 / max_open_trades, 2)
|
|
|
|
tabular_data.append(
|
|
{
|
|
'sell_reason': reason.value,
|
|
'trades': count,
|
|
'wins': len(result[result['profit_abs'] > 0]),
|
|
'draws': len(result[result['profit_abs'] == 0]),
|
|
'losses': len(result[result['profit_abs'] < 0]),
|
|
'profit_mean': profit_mean,
|
|
'profit_mean_pct': round(profit_mean * 100, 2),
|
|
'profit_sum': profit_sum,
|
|
'profit_sum_pct': round(profit_sum * 100, 2),
|
|
'profit_total_abs': result['profit_abs'].sum(),
|
|
'profit_pct_total': profit_percent_tot,
|
|
}
|
|
)
|
|
return tabular_data
|
|
|
|
|
|
def generate_text_table_sell_reason(sell_reason_stats: Dict[str, Any], stake_currency: str) -> str:
|
|
"""
|
|
Generate small table outlining Backtest results
|
|
:param stake_currency: Stakecurrency used
|
|
:param max_open_trades: Max_open_trades parameter
|
|
:param results: Dataframe containing the backtest result for one strategy
|
|
:return: pretty printed table with tabulate as string
|
|
"""
|
|
headers = [
|
|
'Sell Reason',
|
|
'Sells',
|
|
'Wins',
|
|
'Draws',
|
|
'Losses',
|
|
'Avg Profit %',
|
|
'Cum Profit %',
|
|
f'Tot Profit {stake_currency}',
|
|
'Tot Profit %',
|
|
]
|
|
|
|
output = [[
|
|
t['sell_reason'], t['trades'], t['wins'], t['draws'], t['losses'],
|
|
t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], t['profit_pct_total'],
|
|
] for t in sell_reason_stats]
|
|
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
|
|
|
|
|
|
def _generate_strategy_summary(stake_currency: str, max_open_trades: str,
|
|
all_results: Dict) -> Tuple[List, List, List]:
|
|
"""
|
|
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: Tuple of (data, headers, floatfmt) of summarized results.
|
|
"""
|
|
|
|
floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', 'd', 'd', 'd')
|
|
tabular_data = []
|
|
headers = _get_line_header('Strategy', stake_currency)
|
|
for strategy, results in all_results.items():
|
|
tabular_data.append(_generate_result_line(results, max_open_trades, strategy))
|
|
return tabular_data, headers, floatfmt
|
|
|
|
|
|
def generate_text_table_strategy(stake_currency: str, max_open_trades: str,
|
|
all_results: Dict) -> str:
|
|
"""
|
|
Generate summary table 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: pretty printed table with tabulate as string
|
|
"""
|
|
|
|
tabular_data, headers, floatfmt = _generate_strategy_summary(stake_currency,
|
|
max_open_trades, all_results)
|
|
# Ignore type as floatfmt does allow tuples but mypy does not know that
|
|
return tabulate(tabular_data, headers=headers,
|
|
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
|
|
|
|
|
|
def generate_edge_table(results: dict) -> str:
|
|
|
|
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', 'd', 'd')
|
|
tabular_data = []
|
|
headers = ['Pair', 'Stoploss', 'Win Rate', 'Risk Reward Ratio',
|
|
'Required Risk Reward', 'Expectancy', 'Total Number of Trades',
|
|
'Average Duration (min)']
|
|
|
|
for result in results.items():
|
|
if result[1].nb_trades > 0:
|
|
tabular_data.append([
|
|
result[0],
|
|
result[1].stoploss,
|
|
result[1].winrate,
|
|
result[1].risk_reward_ratio,
|
|
result[1].required_risk_reward,
|
|
result[1].expectancy,
|
|
result[1].nb_trades,
|
|
round(result[1].avg_trade_duration)
|
|
])
|
|
|
|
# Ignore type as floatfmt does allow tuples but mypy does not know that
|
|
return tabulate(tabular_data, headers=headers,
|
|
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore
|
|
|
|
|
|
def show_backtest_results(config: Dict, btdata: Dict[str, DataFrame],
|
|
all_results: Dict[str, DataFrame]):
|
|
for strategy, results in all_results.items():
|
|
|
|
print(f"Result for strategy {strategy}")
|
|
table = generate_text_table(btdata, stake_currency=config['stake_currency'],
|
|
max_open_trades=config['max_open_trades'],
|
|
results=results)
|
|
if isinstance(table, str):
|
|
print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '='))
|
|
print(table)
|
|
|
|
sell_reason_stats = generate_sell_reason_stats(max_open_trades=config['max_open_trades'],
|
|
results=results)
|
|
table = generate_text_table_sell_reason(sell_reason_stats=sell_reason_stats,
|
|
stake_currency=config['stake_currency'],
|
|
)
|
|
if isinstance(table, str):
|
|
print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '='))
|
|
print(table)
|
|
|
|
table = generate_text_table(btdata,
|
|
stake_currency=config['stake_currency'],
|
|
max_open_trades=config['max_open_trades'],
|
|
results=results.loc[results.open_at_end], skip_nan=True)
|
|
if isinstance(table, str):
|
|
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
|
|
print(table)
|
|
if isinstance(table, str):
|
|
print('=' * len(table.splitlines()[0]))
|
|
print()
|
|
|
|
if len(all_results) > 1:
|
|
# Print Strategy summary table
|
|
table = generate_text_table_strategy(config['stake_currency'],
|
|
config['max_open_trades'],
|
|
all_results=all_results)
|
|
print(' STRATEGY SUMMARY '.center(len(table.splitlines()[0]), '='))
|
|
print(table)
|
|
print('=' * len(table.splitlines()[0]))
|
|
print('\nFor more details, please look at the detail tables above')
|