592 lines
22 KiB
Python
592 lines
22 KiB
Python
import logging
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from pathlib import Path
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from typing import Any, Dict, List
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import pandas as pd
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from freqtrade.configuration import TimeRange
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from freqtrade.data.btanalysis import (calculate_max_drawdown, combine_dataframes_with_mean,
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create_cum_profit, extract_trades_of_period, load_trades)
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from freqtrade.data.converter import trim_dataframe
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.data.history import get_timerange, load_data
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import timeframe_to_prev_date, timeframe_to_seconds
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from freqtrade.misc import pair_to_filename
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from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
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from freqtrade.resolvers import ExchangeResolver, StrategyResolver
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from freqtrade.strategy import IStrategy
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logger = logging.getLogger(__name__)
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try:
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import plotly.graph_objects as go
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from plotly.offline import plot
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from plotly.subplots import make_subplots
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except ImportError:
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logger.exception("Module plotly not found \n Please install using `pip3 install plotly`")
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exit(1)
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def init_plotscript(config, markets: List, startup_candles: int = 0):
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"""
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Initialize objects needed for plotting
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:return: Dict with candle (OHLCV) data, trades and pairs
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"""
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if "pairs" in config:
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pairs = expand_pairlist(config['pairs'], markets)
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else:
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pairs = expand_pairlist(config['exchange']['pair_whitelist'], markets)
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# Set timerange to use
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timerange = TimeRange.parse_timerange(config.get('timerange'))
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data = load_data(
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datadir=config.get('datadir'),
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pairs=pairs,
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timeframe=config.get('timeframe', '5m'),
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timerange=timerange,
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startup_candles=startup_candles,
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data_format=config.get('dataformat_ohlcv', 'json'),
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)
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if startup_candles and data:
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min_date, max_date = get_timerange(data)
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logger.info(f"Loading data from {min_date} to {max_date}")
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timerange.adjust_start_if_necessary(timeframe_to_seconds(config.get('timeframe', '5m')),
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startup_candles, min_date)
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no_trades = False
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filename = config.get('exportfilename')
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if config.get('no_trades', False):
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no_trades = True
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elif config['trade_source'] == 'file':
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if not filename.is_dir() and not filename.is_file():
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logger.warning("Backtest file is missing skipping trades.")
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no_trades = True
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try:
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trades = load_trades(
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config['trade_source'],
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db_url=config.get('db_url'),
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exportfilename=filename,
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no_trades=no_trades,
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strategy=config.get('strategy'),
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)
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except ValueError as e:
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raise OperationalException(e) from e
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if not trades.empty:
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trades = trim_dataframe(trades, timerange, 'open_date')
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return {"ohlcv": data,
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"trades": trades,
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"pairs": pairs,
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"timerange": timerange,
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}
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def add_indicators(fig, row, indicators: Dict[str, Dict], data: pd.DataFrame) -> make_subplots:
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"""
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Generate all the indicators selected by the user for a specific row, based on the configuration
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:param fig: Plot figure to append to
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:param row: row number for this plot
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:param indicators: Dict of Indicators with configuration options.
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Dict key must correspond to dataframe column.
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:param data: candlestick DataFrame
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"""
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for indicator, conf in indicators.items():
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logger.debug(f"indicator {indicator} with config {conf}")
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if indicator in data:
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kwargs = {'x': data['date'],
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'y': data[indicator].values,
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'mode': 'lines',
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'name': indicator
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}
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if 'color' in conf:
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kwargs.update({'line': {'color': conf['color']}})
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scatter = go.Scatter(
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**kwargs
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)
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fig.add_trace(scatter, row, 1)
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else:
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logger.info(
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'Indicator "%s" ignored. Reason: This indicator is not found '
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'in your strategy.',
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indicator
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)
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return fig
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def add_profit(fig, row, data: pd.DataFrame, column: str, name: str) -> make_subplots:
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"""
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Add profit-plot
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:param fig: Plot figure to append to
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:param row: row number for this plot
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:param data: candlestick DataFrame
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:param column: Column to use for plot
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:param name: Name to use
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:return: fig with added profit plot
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"""
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profit = go.Scatter(
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x=data.index,
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y=data[column],
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name=name,
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)
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fig.add_trace(profit, row, 1)
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return fig
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def add_max_drawdown(fig, row, trades: pd.DataFrame, df_comb: pd.DataFrame,
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timeframe: str) -> make_subplots:
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"""
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Add scatter points indicating max drawdown
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"""
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try:
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max_drawdown, highdate, lowdate, _, _ = calculate_max_drawdown(trades)
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drawdown = go.Scatter(
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x=[highdate, lowdate],
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y=[
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df_comb.loc[timeframe_to_prev_date(timeframe, highdate), 'cum_profit'],
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df_comb.loc[timeframe_to_prev_date(timeframe, lowdate), 'cum_profit'],
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],
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mode='markers',
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name=f"Max drawdown {max_drawdown * 100:.2f}%",
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text=f"Max drawdown {max_drawdown * 100:.2f}%",
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marker=dict(
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symbol='square-open',
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size=9,
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line=dict(width=2),
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color='green'
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)
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)
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fig.add_trace(drawdown, row, 1)
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except ValueError:
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logger.warning("No trades found - not plotting max drawdown.")
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return fig
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def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
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"""
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Add trades to "fig"
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"""
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# Trades can be empty
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if trades is not None and len(trades) > 0:
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# Create description for sell summarizing the trade
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trades['desc'] = trades.apply(lambda row: f"{round(row['profit_ratio'] * 100, 1)}%, "
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f"{row['sell_reason']}, "
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f"{row['trade_duration']} min",
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axis=1)
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trade_buys = go.Scatter(
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x=trades["open_date"],
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y=trades["open_rate"],
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mode='markers',
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name='Trade buy',
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text=trades["desc"],
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marker=dict(
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symbol='circle-open',
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size=11,
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line=dict(width=2),
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color='cyan'
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)
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)
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trade_sells = go.Scatter(
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x=trades.loc[trades['profit_ratio'] > 0, "close_date"],
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y=trades.loc[trades['profit_ratio'] > 0, "close_rate"],
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text=trades.loc[trades['profit_ratio'] > 0, "desc"],
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mode='markers',
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name='Sell - Profit',
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marker=dict(
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symbol='square-open',
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size=11,
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line=dict(width=2),
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color='green'
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)
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)
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trade_sells_loss = go.Scatter(
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x=trades.loc[trades['profit_ratio'] <= 0, "close_date"],
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y=trades.loc[trades['profit_ratio'] <= 0, "close_rate"],
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text=trades.loc[trades['profit_ratio'] <= 0, "desc"],
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mode='markers',
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name='Sell - Loss',
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marker=dict(
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symbol='square-open',
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size=11,
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line=dict(width=2),
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color='red'
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)
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)
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fig.add_trace(trade_buys, 1, 1)
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fig.add_trace(trade_sells, 1, 1)
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fig.add_trace(trade_sells_loss, 1, 1)
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else:
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logger.warning("No trades found.")
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return fig
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def create_plotconfig(indicators1: List[str], indicators2: List[str],
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plot_config: Dict[str, Dict]) -> Dict[str, Dict]:
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"""
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Combines indicators 1 and indicators 2 into plot_config if necessary
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:param indicators1: List containing Main plot indicators
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:param indicators2: List containing Sub plot indicators
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:param plot_config: Dict of Dicts containing advanced plot configuration
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:return: plot_config - eventually with indicators 1 and 2
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"""
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if plot_config:
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if indicators1:
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plot_config['main_plot'] = {ind: {} for ind in indicators1}
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if indicators2:
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plot_config['subplots'] = {'Other': {ind: {} for ind in indicators2}}
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if not plot_config:
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# If no indicators and no plot-config given, use defaults.
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if not indicators1:
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indicators1 = ['sma', 'ema3', 'ema5']
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if not indicators2:
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indicators2 = ['macd', 'macdsignal']
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# Create subplot configuration if plot_config is not available.
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plot_config = {
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'main_plot': {ind: {} for ind in indicators1},
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'subplots': {'Other': {ind: {} for ind in indicators2}},
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}
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if 'main_plot' not in plot_config:
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plot_config['main_plot'] = {}
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if 'subplots' not in plot_config:
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plot_config['subplots'] = {}
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return plot_config
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def plot_area(fig, row: int, data: pd.DataFrame, indicator_a: str,
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indicator_b: str, label: str = "",
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fill_color: str = "rgba(0,176,246,0.2)") -> make_subplots:
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""" Creates a plot for the area between two traces and adds it to fig.
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:param fig: Plot figure to append to
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:param row: row number for this plot
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:param data: candlestick DataFrame
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:param indicator_a: indicator name as populated in stragetie
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:param indicator_b: indicator name as populated in stragetie
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:param label: label for the filled area
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:param fill_color: color to be used for the filled area
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:return: fig with added filled_traces plot
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"""
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if indicator_a in data and indicator_b in data:
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# make lines invisible to get the area plotted, only.
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line = {'color': 'rgba(255,255,255,0)'}
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# TODO: Figure out why scattergl causes problems plotly/plotly.js#2284
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trace_a = go.Scatter(x=data.date, y=data[indicator_a],
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showlegend=False,
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line=line)
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trace_b = go.Scatter(x=data.date, y=data[indicator_b], name=label,
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fill="tonexty", fillcolor=fill_color,
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line=line)
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fig.add_trace(trace_a, row, 1)
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fig.add_trace(trace_b, row, 1)
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return fig
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def add_areas(fig, row: int, data: pd.DataFrame, indicators) -> make_subplots:
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""" Adds all area plots (specified in plot_config) to fig.
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:param fig: Plot figure to append to
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:param row: row number for this plot
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:param data: candlestick DataFrame
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:param indicators: dict with indicators. ie.: plot_config['main_plot'] or
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plot_config['subplots'][subplot_label]
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:return: fig with added filled_traces plot
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"""
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for indicator, ind_conf in indicators.items():
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if 'fill_to' in ind_conf:
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indicator_b = ind_conf['fill_to']
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if indicator in data and indicator_b in data:
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label = ind_conf.get('fill_label',
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f'{indicator}<>{indicator_b}')
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fill_color = ind_conf.get('fill_color', 'rgba(0,176,246,0.2)')
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fig = plot_area(fig, row, data, indicator, indicator_b,
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label=label, fill_color=fill_color)
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elif indicator not in data:
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logger.info(
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'Indicator "%s" ignored. Reason: This indicator is not '
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'found in your strategy.', indicator
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)
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elif indicator_b not in data:
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logger.info(
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'fill_to: "%s" ignored. Reason: This indicator is not '
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'in your strategy.', indicator_b
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)
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return fig
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def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFrame = None, *,
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indicators1: List[str] = [],
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indicators2: List[str] = [],
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plot_config: Dict[str, Dict] = {},
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) -> go.Figure:
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"""
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Generate the graph from the data generated by Backtesting or from DB
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Volume will always be ploted in row2, so Row 1 and 3 are to our disposal for custom indicators
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:param pair: Pair to Display on the graph
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:param data: OHLCV DataFrame containing indicators and buy/sell signals
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:param trades: All trades created
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:param indicators1: List containing Main plot indicators
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:param indicators2: List containing Sub plot indicators
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:param plot_config: Dict of Dicts containing advanced plot configuration
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:return: Plotly figure
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"""
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plot_config = create_plotconfig(indicators1, indicators2, plot_config)
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rows = 2 + len(plot_config['subplots'])
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row_widths = [1 for _ in plot_config['subplots']]
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# Define the graph
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fig = make_subplots(
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rows=rows,
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cols=1,
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shared_xaxes=True,
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row_width=row_widths + [1, 4],
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vertical_spacing=0.0001,
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)
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fig['layout'].update(title=pair)
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fig['layout']['yaxis1'].update(title='Price')
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fig['layout']['yaxis2'].update(title='Volume')
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for i, name in enumerate(plot_config['subplots']):
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fig['layout'][f'yaxis{3 + i}'].update(title=name)
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fig['layout']['xaxis']['rangeslider'].update(visible=False)
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# Common information
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candles = go.Candlestick(
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x=data.date,
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open=data.open,
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high=data.high,
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low=data.low,
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close=data.close,
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name='Price'
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)
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fig.add_trace(candles, 1, 1)
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if 'buy' in data.columns:
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df_buy = data[data['buy'] == 1]
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if len(df_buy) > 0:
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buys = go.Scatter(
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x=df_buy.date,
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y=df_buy.close,
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mode='markers',
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name='buy',
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marker=dict(
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symbol='triangle-up-dot',
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size=9,
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line=dict(width=1),
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color='green',
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)
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)
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fig.add_trace(buys, 1, 1)
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else:
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logger.warning("No buy-signals found.")
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if 'sell' in data.columns:
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df_sell = data[data['sell'] == 1]
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if len(df_sell) > 0:
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sells = go.Scatter(
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x=df_sell.date,
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y=df_sell.close,
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mode='markers',
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name='sell',
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marker=dict(
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symbol='triangle-down-dot',
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size=9,
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line=dict(width=1),
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color='red',
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)
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)
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fig.add_trace(sells, 1, 1)
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else:
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logger.warning("No sell-signals found.")
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# Add Bollinger Bands
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fig = plot_area(fig, 1, data, 'bb_lowerband', 'bb_upperband',
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label="Bollinger Band")
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# prevent bb_lower and bb_upper from plotting
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try:
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del plot_config['main_plot']['bb_lowerband']
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del plot_config['main_plot']['bb_upperband']
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except KeyError:
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pass
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# main plot goes to row 1
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fig = add_indicators(fig=fig, row=1, indicators=plot_config['main_plot'], data=data)
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fig = add_areas(fig, 1, data, plot_config['main_plot'])
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fig = plot_trades(fig, trades)
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# sub plot: Volume goes to row 2
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volume = go.Bar(
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x=data['date'],
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y=data['volume'],
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name='Volume',
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marker_color='DarkSlateGrey',
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marker_line_color='DarkSlateGrey'
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)
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fig.add_trace(volume, 2, 1)
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# add each sub plot to a separate row
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for i, label in enumerate(plot_config['subplots']):
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sub_config = plot_config['subplots'][label]
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row = 3 + i
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fig = add_indicators(fig=fig, row=row, indicators=sub_config,
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data=data)
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# fill area between indicators ( 'fill_to': 'other_indicator')
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fig = add_areas(fig, row, data, sub_config)
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return fig
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def generate_profit_graph(pairs: str, data: Dict[str, pd.DataFrame],
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trades: pd.DataFrame, timeframe: str, stake_currency: str) -> go.Figure:
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# Combine close-values for all pairs, rename columns to "pair"
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df_comb = combine_dataframes_with_mean(data, "close")
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# Trim trades to available OHLCV data
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trades = extract_trades_of_period(df_comb, trades, date_index=True)
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if len(trades) == 0:
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raise OperationalException('No trades found in selected timerange.')
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# Add combined cumulative profit
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df_comb = create_cum_profit(df_comb, trades, 'cum_profit', timeframe)
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# Plot the pairs average close prices, and total profit growth
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avgclose = go.Scatter(
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x=df_comb.index,
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y=df_comb['mean'],
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name='Avg close price',
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)
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fig = make_subplots(rows=3, cols=1, shared_xaxes=True,
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row_width=[1, 1, 1],
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vertical_spacing=0.05,
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subplot_titles=["AVG Close Price", "Combined Profit", "Profit per pair"])
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fig['layout'].update(title="Freqtrade Profit plot")
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fig['layout']['yaxis1'].update(title='Price')
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fig['layout']['yaxis2'].update(title=f'Profit {stake_currency}')
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fig['layout']['yaxis3'].update(title=f'Profit {stake_currency}')
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fig['layout']['xaxis']['rangeslider'].update(visible=False)
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fig.add_trace(avgclose, 1, 1)
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fig = add_profit(fig, 2, df_comb, 'cum_profit', 'Profit')
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fig = add_max_drawdown(fig, 2, trades, df_comb, timeframe)
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for pair in pairs:
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profit_col = f'cum_profit_{pair}'
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try:
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df_comb = create_cum_profit(df_comb, trades[trades['pair'] == pair], profit_col,
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timeframe)
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fig = add_profit(fig, 3, df_comb, profit_col, f"Profit {pair}")
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except ValueError:
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pass
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return fig
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def generate_plot_filename(pair: str, timeframe: str) -> str:
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"""
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Generate filenames per pair/timeframe to be used for storing plots
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"""
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pair_s = pair_to_filename(pair)
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file_name = 'freqtrade-plot-' + pair_s + '-' + timeframe + '.html'
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logger.info('Generate plot file for %s', pair)
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return file_name
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def store_plot_file(fig, filename: str, directory: Path, auto_open: bool = False) -> None:
|
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"""
|
|
Generate a plot html file from pre populated fig plotly object
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:param fig: Plotly Figure to plot
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:param filename: Name to store the file as
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:param directory: Directory to store the file in
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:param auto_open: Automatically open files saved
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:return: None
|
|
"""
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directory.mkdir(parents=True, exist_ok=True)
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|
|
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_filename = directory.joinpath(filename)
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plot(fig, filename=str(_filename),
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auto_open=auto_open)
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logger.info(f"Stored plot as {_filename}")
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|
|
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|
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def load_and_plot_trades(config: Dict[str, Any]):
|
|
"""
|
|
From configuration provided
|
|
- Initializes plot-script
|
|
- Get candle (OHLCV) data
|
|
- Generate Dafaframes populated with indicators and signals based on configured strategy
|
|
- Load trades excecuted during the selected period
|
|
- Generate Plotly plot objects
|
|
- Generate plot files
|
|
:return: None
|
|
"""
|
|
strategy = StrategyResolver.load_strategy(config)
|
|
|
|
exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config)
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IStrategy.dp = DataProvider(config, exchange)
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plot_elements = init_plotscript(config, list(exchange.markets), strategy.startup_candle_count)
|
|
timerange = plot_elements['timerange']
|
|
trades = plot_elements['trades']
|
|
pair_counter = 0
|
|
for pair, data in plot_elements["ohlcv"].items():
|
|
pair_counter += 1
|
|
logger.info("analyse pair %s", pair)
|
|
|
|
df_analyzed = strategy.analyze_ticker(data, {'pair': pair})
|
|
df_analyzed = trim_dataframe(df_analyzed, timerange)
|
|
if not trades.empty:
|
|
trades_pair = trades.loc[trades['pair'] == pair]
|
|
trades_pair = extract_trades_of_period(df_analyzed, trades_pair)
|
|
else:
|
|
trades_pair = trades
|
|
|
|
fig = generate_candlestick_graph(
|
|
pair=pair,
|
|
data=df_analyzed,
|
|
trades=trades_pair,
|
|
indicators1=config.get('indicators1', []),
|
|
indicators2=config.get('indicators2', []),
|
|
plot_config=strategy.plot_config if hasattr(strategy, 'plot_config') else {}
|
|
)
|
|
|
|
store_plot_file(fig, filename=generate_plot_filename(pair, config['timeframe']),
|
|
directory=config['user_data_dir'] / 'plot')
|
|
|
|
logger.info('End of plotting process. %s plots generated', pair_counter)
|
|
|
|
|
|
def plot_profit(config: Dict[str, Any]) -> None:
|
|
"""
|
|
Plots the total profit for all pairs.
|
|
Note, the profit calculation isn't realistic.
|
|
But should be somewhat proportional, and therefor useful
|
|
in helping out to find a good algorithm.
|
|
"""
|
|
exchange = ExchangeResolver.load_exchange(config['exchange']['name'], config)
|
|
plot_elements = init_plotscript(config, list(exchange.markets))
|
|
trades = plot_elements['trades']
|
|
# Filter trades to relevant pairs
|
|
# Remove open pairs - we don't know the profit yet so can't calculate profit for these.
|
|
# Also, If only one open pair is left, then the profit-generation would fail.
|
|
trades = trades[(trades['pair'].isin(plot_elements['pairs']))
|
|
& (~trades['close_date'].isnull())
|
|
]
|
|
if len(trades) == 0:
|
|
raise OperationalException("No trades found, cannot generate Profit-plot without "
|
|
"trades from either Backtest result or database.")
|
|
|
|
# Create an average close price of all the pairs that were involved.
|
|
# this could be useful to gauge the overall market trend
|
|
fig = generate_profit_graph(plot_elements['pairs'], plot_elements['ohlcv'],
|
|
trades, config.get('timeframe', '5m'),
|
|
config.get('stake_currency', ''))
|
|
store_plot_file(fig, filename='freqtrade-profit-plot.html',
|
|
directory=config['user_data_dir'] / 'plot', auto_open=True)
|