@ -4,7 +4,7 @@ from pathlib import Path
from typing import Any , Dict , List , Union
from numpy import int64
from pandas import DataFrame
from pandas import DataFrame , to_datetime
from tabulate import tabulate
from freqtrade . constants import DATETIME_PRINT_FORMAT , LAST_BT_RESULT_FN , UNLIMITED_STAKE_AMOUNT
@ -189,7 +189,6 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
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 ' ,
@ -214,6 +213,41 @@ def generate_edge_table(results: dict) -> str:
floatfmt = floatfmt , tablefmt = " orgtbl " , stralign = " right " ) # type: ignore
def _get_resample_from_period ( period : str ) - > str :
if period == ' day ' :
return ' 1d '
if period == ' week ' :
return ' 1w '
if period == ' month ' :
return ' 1M '
raise ValueError ( f " Period { period } is not supported. " )
def generate_periodic_breakdown_stats ( trade_list : List , period : str ) - > List [ Dict [ str , Any ] ] :
results = DataFrame . from_records ( trade_list )
if len ( results ) == 0 :
return [ ]
results [ ' close_date ' ] = to_datetime ( results [ ' close_date ' ] , utc = True )
resample_period = _get_resample_from_period ( period )
resampled = results . resample ( resample_period , on = ' close_date ' )
stats = [ ]
for name , day in resampled :
profit_abs = day [ ' profit_abs ' ] . sum ( ) . round ( 10 )
wins = sum ( day [ ' profit_abs ' ] > 0 )
draws = sum ( day [ ' profit_abs ' ] == 0 )
loses = sum ( day [ ' profit_abs ' ] < 0 )
stats . append (
{
' date ' : name . strftime ( ' %d / % m/ % Y ' ) ,
' profit_abs ' : profit_abs ,
' wins ' : wins ,
' draws ' : draws ,
' loses ' : loses
}
)
return stats
def generate_trading_stats ( results : DataFrame ) - > Dict [ str , Any ] :
""" Generate overall trade statistics """
if len ( results ) == 0 :
@ -329,7 +363,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
results [ ' open_timestamp ' ] = results [ ' open_date ' ] . view ( int64 ) / / 1e6
results [ ' close_timestamp ' ] = results [ ' close_date ' ] . view ( int64 ) / / 1e6
backtest_days = ( max_date - min_date ) . days
backtest_days = ( max_date - min_date ) . days or 1
strat_stats = {
' trades ' : results . to_dict ( orient = ' records ' ) ,
' locks ' : [ lock . to_json ( ) for lock in content [ ' locks ' ] ] ,
@ -338,6 +372,8 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
' results_per_pair ' : pair_results ,
' sell_reason_summary ' : sell_reason_stats ,
' left_open_trades ' : left_open_results ,
# 'days_breakdown_stats': days_breakdown_stats,
' total_trades ' : len ( results ) ,
' total_volume ' : float ( results [ ' stake_amount ' ] . sum ( ) ) ,
' avg_stake_amount ' : results [ ' stake_amount ' ] . mean ( ) if len ( results ) > 0 else 0 ,
@ -354,7 +390,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
' backtest_run_start_ts ' : content [ ' backtest_start_time ' ] ,
' backtest_run_end_ts ' : content [ ' backtest_end_time ' ] ,
' trades_per_day ' : round ( len ( results ) / backtest_days , 2 ) if backtest_days > 0 else 0 ,
' trades_per_day ' : round ( len ( results ) / backtest_days , 2 ) ,
' market_change ' : market_change ,
' pairlist ' : list ( btdata . keys ( ) ) ,
' stake_amount ' : config [ ' stake_amount ' ] ,
@ -506,6 +542,28 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
return tabulate ( output , headers = headers , tablefmt = " orgtbl " , stralign = " right " )
def text_table_periodic_breakdown ( days_breakdown_stats : List [ Dict [ str , Any ] ] ,
stake_currency : str , period : str ) - > str :
"""
Generate small table with Backtest results by days
: param days_breakdown_stats : Days breakdown metrics
: param stake_currency : Stakecurrency used
: return : pretty printed table with tabulate as string
"""
headers = [
period . capitalize ( ) ,
f ' Tot Profit { stake_currency } ' ,
' Wins ' ,
' Draws ' ,
' Losses ' ,
]
output = [ [
d [ ' date ' ] , round_coin_value ( d [ ' profit_abs ' ] , stake_currency , False ) ,
d [ ' wins ' ] , d [ ' draws ' ] , d [ ' loses ' ] ,
] for d in days_breakdown_stats ]
return tabulate ( output , headers = headers , tablefmt = " orgtbl " , stralign = " right " )
def text_table_strategy ( strategy_results , stake_currency : str ) - > str :
"""
Generate summary table per strategy
@ -557,7 +615,10 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results [ ' stake_currency ' ] ) ) ,
( ' Absolute profit ' , round_coin_value ( strat_results [ ' profit_total_abs ' ] ,
strat_results [ ' stake_currency ' ] ) ) ,
( ' Total profit % ' , f " { round ( strat_results [ ' profit_total ' ] * 100 , 2 ) : } % " ) ,
( ' Total profit % ' , f " { round ( strat_results [ ' profit_total ' ] * 100 , 2 ) } % " ) ,
( ' Trades per day ' , strat_results [ ' trades_per_day ' ] ) ,
( ' Avg. daily profit % ' ,
f " { round ( strat_results [ ' profit_total ' ] / strat_results [ ' backtest_days ' ] * 100 , 2 ) } % " ) ,
( ' Avg. stake amount ' , round_coin_value ( strat_results [ ' avg_stake_amount ' ] ,
strat_results [ ' stake_currency ' ] ) ) ,
( ' Total trade volume ' , round_coin_value ( strat_results [ ' total_volume ' ] ,
@ -614,7 +675,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
return message
def show_backtest_result ( strategy : str , results : Dict [ str , Any ] , stake_currency : str ) :
def show_backtest_result ( strategy : str , results : Dict [ str , Any ] , stake_currency : str ,
backtest_breakdown = [ ] ) :
"""
Print results for one strategy
"""
@ -636,6 +698,15 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print ( ' LEFT OPEN TRADES REPORT ' . center ( len ( table . splitlines ( ) [ 0 ] ) , ' = ' ) )
print ( table )
for period in backtest_breakdown :
days_breakdown_stats = generate_periodic_breakdown_stats (
trade_list = results [ ' trades ' ] , period = period )
table = text_table_periodic_breakdown ( days_breakdown_stats = days_breakdown_stats ,
stake_currency = stake_currency , period = period )
if isinstance ( table , str ) and len ( table ) > 0 :
print ( f ' { period . upper ( ) } BREAKDOWN ' . center ( len ( table . splitlines ( ) [ 0 ] ) , ' = ' ) )
print ( table )
table = text_table_add_metrics ( results )
if isinstance ( table , str ) and len ( table ) > 0 :
print ( ' SUMMARY METRICS ' . center ( len ( table . splitlines ( ) [ 0 ] ) , ' = ' ) )
@ -650,7 +721,9 @@ def show_backtest_results(config: Dict, backtest_stats: Dict):
stake_currency = config [ ' stake_currency ' ]
for strategy , results in backtest_stats [ ' strategy ' ] . items ( ) :
show_backtest_result ( strategy , results , stake_currency )
show_backtest_result (
strategy , results , stake_currency ,
config . get ( ' backtest_breakdown ' , [ ] ) )
if len ( backtest_stats [ ' strategy ' ] ) > 1 :
# Print Strategy summary table
Sam Germain
5 years ago