mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-10 02:12:01 +00:00
#000 | Anuj | Merge Dfs for entry and exit in one table
This commit is contained in:
jainanuj94
parent
8085e24dcd
commit
19a2e06c0b
|
|
@ -257,16 +257,14 @@ def prepare_results(
|
|||
|
||||
def print_results(
|
||||
res_df: pd.DataFrame,
|
||||
exit_df: pd.DataFrame,
|
||||
analysis_groups: List[str],
|
||||
indicator_list: List[str],
|
||||
csv_path: Path,
|
||||
rejected_signals=None,
|
||||
to_csv=False,
|
||||
exited_signals=False,
|
||||
):
|
||||
if res_df.shape[0] > 0:
|
||||
if exited_signals is True:
|
||||
print("Analysing on exit signals.")
|
||||
if analysis_groups:
|
||||
_do_group_table_output(res_df, analysis_groups, to_csv=to_csv, csv_path=csv_path)
|
||||
|
||||
|
|
@ -286,9 +284,11 @@ def print_results(
|
|||
for ind in indicator_list:
|
||||
if ind in res_df:
|
||||
available_inds.append(ind)
|
||||
ilist = ["pair", "enter_reason", "exit_reason"] + available_inds
|
||||
|
||||
merged_df = _merge_dfs(res_df, exit_df, available_inds)
|
||||
|
||||
_print_table(
|
||||
res_df[ilist],
|
||||
merged_df,
|
||||
sortcols=["exit_reason"],
|
||||
show_index=False,
|
||||
name="Indicators:",
|
||||
|
|
@ -299,6 +299,21 @@ def print_results(
|
|||
print("\\No trades to show")
|
||||
|
||||
|
||||
def _merge_dfs(entry_df, exit_df, available_inds):
|
||||
merge_on = ["pair", "open_date"]
|
||||
columns_to_keep = merge_on + ["enter_reason", "exit_reason"] + available_inds
|
||||
if exit_df is not None and not exit_df.empty:
|
||||
merged_df = pd.merge(
|
||||
entry_df[columns_to_keep],
|
||||
exit_df[merge_on + available_inds],
|
||||
on=merge_on,
|
||||
suffixes=(" (entry)", " (exit)"),
|
||||
)
|
||||
else:
|
||||
merged_df = entry_df[columns_to_keep]
|
||||
return merged_df
|
||||
|
||||
|
||||
def _print_table(
|
||||
df: pd.DataFrame, sortcols=None, *, show_index=False, name=None, to_csv=False, csv_path: Path
|
||||
):
|
||||
|
|
@ -324,7 +339,6 @@ def process_entry_exit_reasons(config: Config):
|
|||
enter_reason_list = config.get("enter_reason_list", ["all"])
|
||||
exit_reason_list = config.get("exit_reason_list", ["all"])
|
||||
indicator_list = config.get("indicator_list", [])
|
||||
do_exited = config.get("analysis_exited", False)
|
||||
do_rejected = config.get("analysis_rejected", False)
|
||||
to_csv = config.get("analysis_to_csv", False)
|
||||
csv_path = Path(config.get("analysis_csv_path", config["exportfilename"]))
|
||||
|
|
@ -341,12 +355,8 @@ def process_entry_exit_reasons(config: Config):
|
|||
trades = load_backtest_data(config["exportfilename"], strategy_name)
|
||||
|
||||
if trades is not None and not trades.empty:
|
||||
date_col = "open_date"
|
||||
if do_exited is True:
|
||||
signal_candles = _load_exit_signal_candles(config["exportfilename"])
|
||||
date_col = "close_date"
|
||||
else:
|
||||
signal_candles = _load_signal_candles(config["exportfilename"])
|
||||
signal_candles = _load_signal_candles(config["exportfilename"])
|
||||
exit_signals = _load_exit_signal_candles(config["exportfilename"])
|
||||
|
||||
rej_df = None
|
||||
if do_rejected:
|
||||
|
|
@ -359,31 +369,64 @@ def process_entry_exit_reasons(config: Config):
|
|||
timerange=timerange,
|
||||
)
|
||||
|
||||
analysed_trades_dict = _process_candles_and_indicators(
|
||||
entry_df = _generate_dfs(
|
||||
config["exchange"]["pair_whitelist"],
|
||||
strategy_name,
|
||||
trades,
|
||||
signal_candles,
|
||||
date_col,
|
||||
)
|
||||
|
||||
res_df = prepare_results(
|
||||
analysed_trades_dict,
|
||||
strategy_name,
|
||||
enter_reason_list,
|
||||
exit_reason_list,
|
||||
timerange=timerange,
|
||||
signal_candles,
|
||||
strategy_name,
|
||||
timerange,
|
||||
trades,
|
||||
"open_date",
|
||||
)
|
||||
|
||||
exit_df = _generate_dfs(
|
||||
config["exchange"]["pair_whitelist"],
|
||||
enter_reason_list,
|
||||
exit_reason_list,
|
||||
exit_signals,
|
||||
strategy_name,
|
||||
timerange,
|
||||
trades,
|
||||
"close_date",
|
||||
)
|
||||
|
||||
print_results(
|
||||
res_df,
|
||||
entry_df,
|
||||
exit_df,
|
||||
analysis_groups,
|
||||
indicator_list,
|
||||
rejected_signals=rej_df,
|
||||
to_csv=to_csv,
|
||||
csv_path=csv_path,
|
||||
exited_signals=do_exited,
|
||||
)
|
||||
|
||||
except ValueError as e:
|
||||
raise OperationalException(e) from e
|
||||
|
||||
|
||||
def _generate_dfs(
|
||||
pairlist: list,
|
||||
enter_reason_list: list,
|
||||
exit_reason_list: list,
|
||||
signal_candles: Dict,
|
||||
strategy_name: str,
|
||||
timerange: TimeRange,
|
||||
trades: pd.DataFrame,
|
||||
date_col: str,
|
||||
) -> pd.DataFrame:
|
||||
analysed_trades_dict = _process_candles_and_indicators(
|
||||
pairlist,
|
||||
strategy_name,
|
||||
trades,
|
||||
signal_candles,
|
||||
date_col,
|
||||
)
|
||||
res_df = prepare_results(
|
||||
analysed_trades_dict,
|
||||
strategy_name,
|
||||
enter_reason_list,
|
||||
exit_reason_list,
|
||||
timerange=timerange,
|
||||
)
|
||||
return res_df
|
||||
|
|
|
|||
|
|
@ -160,6 +160,14 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
|
|||
assert "34.049" in captured.out
|
||||
assert "0.104" in captured.out
|
||||
assert "52.829" in captured.out
|
||||
# assert indicator list
|
||||
assert "close (entry)" in captured.out
|
||||
assert "0.016" in captured.out
|
||||
assert "rsi (entry)" in captured.out
|
||||
assert "54.320" in captured.out
|
||||
assert "close (exit)" in captured.out
|
||||
assert "rsi (exit)" in captured.out
|
||||
assert "52.829" in captured.out
|
||||
|
||||
# test group 1
|
||||
args = get_args(base_args + ["--analysis-groups", "1"])
|
||||
|
|
@ -247,236 +255,3 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
|
|||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "no rejected signals" in captured.out
|
||||
|
||||
|
||||
def test_backtest_analysis_on_exit_signals_nomock(
|
||||
default_conf, mocker, caplog, testdatadir, user_dir, capsys
|
||||
):
|
||||
caplog.set_level(logging.INFO)
|
||||
(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
|
||||
|
||||
default_conf.update(
|
||||
{
|
||||
"use_exit_signal": True,
|
||||
"exit_profit_only": False,
|
||||
"exit_profit_offset": 0.0,
|
||||
"ignore_roi_if_entry_signal": False,
|
||||
}
|
||||
)
|
||||
patch_exchange(mocker)
|
||||
result1 = pd.DataFrame(
|
||||
{
|
||||
"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
|
||||
"profit_ratio": [0.025, 0.05, -0.1, -0.05],
|
||||
"profit_abs": [0.5, 2.0, -4.0, -2.0],
|
||||
"open_date": pd.to_datetime(
|
||||
[
|
||||
"2018-01-29 18:40:00",
|
||||
"2018-01-30 03:30:00",
|
||||
"2018-01-30 08:10:00",
|
||||
"2018-01-31 13:30:00",
|
||||
],
|
||||
utc=True,
|
||||
),
|
||||
"close_date": pd.to_datetime(
|
||||
[
|
||||
"2018-01-30 20:45:00",
|
||||
"2018-01-30 05:35:00",
|
||||
"2018-01-30 09:10:00",
|
||||
"2018-01-31 15:00:00",
|
||||
],
|
||||
utc=True,
|
||||
),
|
||||
"trade_duration": [235, 40, 60, 90],
|
||||
"is_open": [False, False, False, False],
|
||||
"stake_amount": [0.01, 0.01, 0.01, 0.01],
|
||||
"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
|
||||
"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
|
||||
"is_short": [False, False, False, False],
|
||||
"enter_tag": [
|
||||
"enter_tag_long_a",
|
||||
"enter_tag_long_b",
|
||||
"enter_tag_long_a",
|
||||
"enter_tag_long_b",
|
||||
],
|
||||
"exit_reason": [
|
||||
ExitType.ROI.value,
|
||||
ExitType.EXIT_SIGNAL.value,
|
||||
ExitType.STOP_LOSS.value,
|
||||
ExitType.TRAILING_STOP_LOSS.value,
|
||||
],
|
||||
}
|
||||
)
|
||||
|
||||
backtestmock = MagicMock(
|
||||
side_effect=[
|
||||
{
|
||||
"results": result1,
|
||||
"config": default_conf,
|
||||
"locks": [],
|
||||
"rejected_signals": 20,
|
||||
"timedout_entry_orders": 0,
|
||||
"timedout_exit_orders": 0,
|
||||
"canceled_trade_entries": 0,
|
||||
"canceled_entry_orders": 0,
|
||||
"replaced_entry_orders": 0,
|
||||
"final_balance": 1000,
|
||||
}
|
||||
]
|
||||
)
|
||||
mocker.patch(
|
||||
"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
|
||||
PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
|
||||
)
|
||||
mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
|
||||
|
||||
patched_configuration_load_config_file(mocker, default_conf)
|
||||
|
||||
args = [
|
||||
"backtesting",
|
||||
"--config",
|
||||
"config.json",
|
||||
"--datadir",
|
||||
str(testdatadir),
|
||||
"--user-data-dir",
|
||||
str(user_dir),
|
||||
"--timeframe",
|
||||
"5m",
|
||||
"--timerange",
|
||||
"1515560100-1517287800",
|
||||
"--export",
|
||||
"signals",
|
||||
"--cache",
|
||||
"none",
|
||||
]
|
||||
args = get_args(args)
|
||||
start_backtesting(args)
|
||||
|
||||
captured = capsys.readouterr()
|
||||
assert "BACKTESTING REPORT" in captured.out
|
||||
assert "EXIT REASON STATS" in captured.out
|
||||
assert "LEFT OPEN TRADES REPORT" in captured.out
|
||||
|
||||
base_args = [
|
||||
"backtesting-analysis",
|
||||
"--config",
|
||||
"config.json",
|
||||
"--datadir",
|
||||
str(testdatadir),
|
||||
"--user-data-dir",
|
||||
str(user_dir),
|
||||
]
|
||||
|
||||
# test group 0 and indicator list
|
||||
args = get_args(
|
||||
base_args
|
||||
+ [
|
||||
"--analysis-groups",
|
||||
"0",
|
||||
"--exit-signals",
|
||||
"--indicator-list",
|
||||
"close",
|
||||
"rsi",
|
||||
"profit_abs",
|
||||
]
|
||||
)
|
||||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "LTC/BTC" in captured.out
|
||||
assert "ETH/BTC" in captured.out
|
||||
assert "enter_tag_long_a" in captured.out
|
||||
assert "enter_tag_long_b" in captured.out
|
||||
assert "exit_signal" in captured.out
|
||||
assert "roi" in captured.out
|
||||
assert "stop_loss" in captured.out
|
||||
assert "trailing_stop_loss" in captured.out
|
||||
assert "0.5" in captured.out
|
||||
assert "-4" in captured.out
|
||||
assert "-2" in captured.out
|
||||
assert "57.654" in captured.out
|
||||
assert "-8" in captured.out
|
||||
assert "0" in captured.out
|
||||
assert "0.104" in captured.out
|
||||
assert "0.016" in captured.out
|
||||
assert "52.829" in captured.out
|
||||
|
||||
# test group 1
|
||||
args = get_args(base_args + ["--analysis-groups", "1"])
|
||||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "enter_tag_long_a" in captured.out
|
||||
assert "enter_tag_long_b" in captured.out
|
||||
assert "total_profit_pct" in captured.out
|
||||
assert "-3.5" in captured.out
|
||||
assert "-1.75" in captured.out
|
||||
assert "-7.5" in captured.out
|
||||
assert "-3.75" in captured.out
|
||||
assert "0" in captured.out
|
||||
|
||||
# test group 2
|
||||
args = get_args(base_args + ["--analysis-groups", "2"])
|
||||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "enter_tag_long_a" in captured.out
|
||||
assert "enter_tag_long_b" in captured.out
|
||||
assert "exit_signal" in captured.out
|
||||
assert "roi" in captured.out
|
||||
assert "stop_loss" in captured.out
|
||||
assert "trailing_stop_loss" in captured.out
|
||||
assert "total_profit_pct" in captured.out
|
||||
assert "-10" in captured.out
|
||||
assert "-5" in captured.out
|
||||
assert "2.5" in captured.out
|
||||
|
||||
# test group 3
|
||||
args = get_args(base_args + ["--analysis-groups", "3"])
|
||||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "LTC/BTC" in captured.out
|
||||
assert "ETH/BTC" in captured.out
|
||||
assert "enter_tag_long_a" in captured.out
|
||||
assert "enter_tag_long_b" in captured.out
|
||||
assert "total_profit_pct" in captured.out
|
||||
assert "-7.5" in captured.out
|
||||
assert "-3.75" in captured.out
|
||||
assert "-1.75" in captured.out
|
||||
assert "0" in captured.out
|
||||
assert "2" in captured.out
|
||||
|
||||
# test group 4
|
||||
args = get_args(base_args + ["--analysis-groups", "4"])
|
||||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "LTC/BTC" in captured.out
|
||||
assert "ETH/BTC" in captured.out
|
||||
assert "enter_tag_long_a" in captured.out
|
||||
assert "enter_tag_long_b" in captured.out
|
||||
assert "exit_signal" in captured.out
|
||||
assert "roi" in captured.out
|
||||
assert "stop_loss" in captured.out
|
||||
assert "trailing_stop_loss" in captured.out
|
||||
assert "total_profit_pct" in captured.out
|
||||
assert "-10" in captured.out
|
||||
assert "-5" in captured.out
|
||||
assert "-4" in captured.out
|
||||
assert "0.5" in captured.out
|
||||
assert "1" in captured.out
|
||||
assert "2.5" in captured.out
|
||||
|
||||
# test group 5
|
||||
args = get_args(base_args + ["--analysis-groups", "5"])
|
||||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "exit_signal" in captured.out
|
||||
assert "roi" in captured.out
|
||||
assert "stop_loss" in captured.out
|
||||
assert "trailing_stop_loss" in captured.out
|
||||
|
||||
# test date filtering
|
||||
args = get_args(
|
||||
base_args + ["--analysis-groups", "0", "1", "2", "--timerange", "20180129-20180130"]
|
||||
)
|
||||
start_analysis_entries_exits(args)
|
||||
captured = capsys.readouterr()
|
||||
assert "enter_tag_long_a" in captured.out
|
||||
assert "enter_tag_long_b" not in captured.out
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user