136 lines
5.7 KiB
Python
136 lines
5.7 KiB
Python
from datetime import timedelta
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from typing import Dict
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from pandas import DataFrame
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from tabulate import tabulate
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def generate_text_table(data: Dict[str, Dict], stake_currency: str, max_open_trades: int,
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results: DataFrame, skip_nan: bool = False) -> str:
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"""
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Generates and returns a text table for the given backtest data and the results dataframe
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:param data: Dict of <pair: dataframe> containing data that was used during backtesting.
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:param stake_currency: stake-currency - used to correctly name headers
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:param max_open_trades: Maximum allowed open trades
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:param results: Dataframe containing the backtest results
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:param skip_nan: Print "left open" open trades
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:return: pretty printed table with tabulate as string
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"""
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floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
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tabular_data = []
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headers = ['pair', 'buy count', 'avg profit %', 'cum profit %',
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f'tot profit {stake_currency}', 'tot profit %', 'avg duration',
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'profit', 'loss']
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for pair in data:
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result = results[results.pair == pair]
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if skip_nan and result.profit_abs.isnull().all():
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continue
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tabular_data.append([
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pair,
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len(result.index),
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result.profit_percent.mean() * 100.0,
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result.profit_percent.sum() * 100.0,
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result.profit_abs.sum(),
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result.profit_percent.sum() * 100.0 / max_open_trades,
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str(timedelta(
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minutes=round(result.trade_duration.mean()))) if not result.empty else '0:00',
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len(result[result.profit_abs > 0]),
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len(result[result.profit_abs < 0])
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])
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# Append Total
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tabular_data.append([
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'TOTAL',
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len(results.index),
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results.profit_percent.mean() * 100.0,
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results.profit_percent.sum() * 100.0,
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results.profit_abs.sum(),
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results.profit_percent.sum() * 100.0 / max_open_trades,
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str(timedelta(
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minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
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len(results[results.profit_abs > 0]),
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len(results[results.profit_abs < 0])
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])
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# Ignore type as floatfmt does allow tuples but mypy does not know that
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return tabulate(tabular_data, headers=headers,
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floatfmt=floatfmt, tablefmt="pipe") # type: ignore
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def generate_text_table_sell_reason(data: Dict[str, Dict], results: DataFrame) -> str:
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"""
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Generate small table outlining Backtest results
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:param data: Dict of <pair: dataframe> containing data that was used during backtesting.
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:param results: Dataframe containing the backtest results
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:return: pretty printed table with tabulate as string
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"""
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tabular_data = []
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headers = ['Sell Reason', 'Count', 'Profit', 'Loss', 'Profit %']
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for reason, count in results['sell_reason'].value_counts().iteritems():
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result = results.loc[results['sell_reason'] == reason]
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profit = len(result[result['profit_abs'] >= 0])
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loss = len(result[results['profit_abs'] < 0])
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profit_mean = round(result['profit_percent'].mean() * 100.0, 2)
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tabular_data.append([reason.value, count, profit, loss, profit_mean])
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return tabulate(tabular_data, headers=headers, tablefmt="pipe")
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def generate_text_table_strategy(stake_currency: str, max_open_trades: str,
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all_results: Dict) -> str:
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"""
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Generate summary table per strategy
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:param stake_currency: stake-currency - used to correctly name headers
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:param max_open_trades: Maximum allowed open trades used for backtest
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:param all_results: Dict of <Strategyname: BacktestResult> containing results for all strategies
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:return: pretty printed table with tabulate as string
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"""
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floatfmt = ('s', 'd', '.2f', '.2f', '.8f', '.2f', 'd', '.1f', '.1f')
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tabular_data = []
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headers = ['Strategy', 'buy count', 'avg profit %', 'cum profit %',
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f'tot profit {stake_currency}', 'tot profit %', 'avg duration',
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'profit', 'loss']
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for strategy, results in all_results.items():
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tabular_data.append([
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strategy,
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len(results.index),
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results.profit_percent.mean() * 100.0,
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results.profit_percent.sum() * 100.0,
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results.profit_abs.sum(),
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results.profit_percent.sum() * 100.0 / max_open_trades,
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str(timedelta(
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minutes=round(results.trade_duration.mean()))) if not results.empty else '0:00',
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len(results[results.profit_abs > 0]),
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len(results[results.profit_abs < 0])
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])
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# Ignore type as floatfmt does allow tuples but mypy does not know that
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return tabulate(tabular_data, headers=headers,
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floatfmt=floatfmt, tablefmt="pipe") # type: ignore
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def generate_edge_table(results: dict) -> str:
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floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
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tabular_data = []
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headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
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'required risk reward', 'expectancy', 'total number of trades',
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'average duration (min)']
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for result in results.items():
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if result[1].nb_trades > 0:
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tabular_data.append([
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result[0],
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result[1].stoploss,
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result[1].winrate,
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result[1].risk_reward_ratio,
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result[1].required_risk_reward,
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result[1].expectancy,
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result[1].nb_trades,
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round(result[1].avg_trade_duration)
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])
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# Ignore type as floatfmt does allow tuples but mypy does not know that
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return tabulate(tabular_data, headers=headers,
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floatfmt=floatfmt, tablefmt="pipe") # type: ignore
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