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Implement calc_consecutive_losses

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This commit is contained in:
Matthias 2023-07-24 06:36:24 +02:00
parent a7bd6725f5
commit 0f046ceaf2
1 changed files with 25 additions and 2 deletions
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27
freqtrade/optimize/optimize_reports/optimize_reports.py
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@ -1,9 +1,10 @@
import logging
from copy import deepcopy
from datetime import datetime, timedelta, timezone
from typing import Any, Dict, List, Union
from typing import Any, Dict, List, Tuple, Union
from pandas import DataFrame, concat, to_datetime
import numpy as np
from pandas import DataFrame, Series, concat, to_datetime
from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, IntOrInf
from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum,
@ -252,6 +253,23 @@ def generate_all_periodic_breakdown_stats(trade_list: List) -> Dict[str, List]:
return result
def calc_consecutive(dataframe: DataFrame) -> Tuple[int, int]:
"""
Calculate consecutive wins and losses
:param dataframe: Dataframe containing the trades dataframe, with profit_ratio column
:return: Tuple containing consecutive wins and losses
"""
df = Series(np.where(dataframe['profit_ratio'] > 0, 'win', 'loss')).to_frame('result')
df['streaks'] = df['result'].ne(df['result'].shift()).cumsum().rename('streaks')
df['counter'] = df['streaks'].groupby(df['streaks']).cumcount() + 1
res = df.groupby(df['result']).max()
#
cons_wins = res.loc['win', 'counter'] if 'win' in res.index else 0
cons_losses = res.loc['loss', 'counter'] if 'loss' in res.index else 0
return cons_wins, cons_losses
def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
""" Generate overall trade statistics """
if len(results) == 0:
@ -263,6 +281,8 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
'holding_avg': timedelta(),
'winner_holding_avg': timedelta(),
'loser_holding_avg': timedelta(),
'max_consecutive_wins': 0,
'max_consecutive_losses': 0,
}
winning_trades = results.loc[results['profit_ratio'] > 0]
@ -275,6 +295,7 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
if not winning_trades.empty else timedelta())
loser_holding_avg = (timedelta(minutes=round(losing_trades['trade_duration'].mean()))
if not losing_trades.empty else timedelta())
winstreak, loss_streak = calc_consecutive(results)
return {
'wins': len(winning_trades),
@ -287,6 +308,8 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
'winner_holding_avg_s': winner_holding_avg.total_seconds(),
'loser_holding_avg': loser_holding_avg,
'loser_holding_avg_s': loser_holding_avg.total_seconds(),
'max_consecutive_wins': winstreak,
'max_consecutive_losses': loss_streak,
}