Merge pull request #4116 from squat0001/develop-squat

Develop squat

freqtrade/data/btanalysis.py

@@ -383,3 +383,21 @@ def calculate_max_drawdown(trades: pd.DataFrame, *, date_col: str = 'close_date'
     high_date = profit_results.loc[max_drawdown_df.iloc[:idxmin]['high_value'].idxmax(), date_col]
     low_date = profit_results.loc[idxmin, date_col]
     return abs(min(max_drawdown_df['drawdown'])), high_date, low_date
+
+
+def calculate_csum(trades: pd.DataFrame) -> Tuple[float, float]:
+    """
+    Calculate min/max cumsum of trades, to show if the wallet/stake amount ratio is sane
+    :param trades: DataFrame containing trades (requires columns close_date and profit_percent)
+    :return: Tuple (float, float) with cumsum of profit_abs
+    :raise: ValueError if trade-dataframe was found empty.
+    """
+    if len(trades) == 0:
+        raise ValueError("Trade dataframe empty.")
+
+    csum_df = pd.DataFrame()
+    csum_df['sum'] = trades['profit_abs'].cumsum()
+    csum_min = csum_df['sum'].min()
+    csum_max = csum_df['sum'].max()
+
+    return csum_min, csum_max

freqtrade/optimize/optimize_reports.py

@@ -9,7 +9,8 @@ from pandas import DataFrame
 from tabulate import tabulate
 
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN
-from freqtrade.data.btanalysis import calculate_market_change, calculate_max_drawdown
+from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
+                                       calculate_max_drawdown)
 from freqtrade.misc import decimals_per_coin, file_dump_json, round_coin_value
 
 
@@ -324,6 +325,13 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
                 'drawdown_end': drawdown_end,
                 'drawdown_end_ts': drawdown_end.timestamp() * 1000,
             })
+
+            csum_min, csum_max = calculate_csum(results)
+            strat_stats.update({
+                'csum_min': csum_min,
+                'csum_max': csum_max
+            })
+
         except ValueError:
             strat_stats.update({
                 'max_drawdown': 0.0,
@@ -331,6 +339,8 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame],
                 'drawdown_start_ts': 0,
                 'drawdown_end': datetime(1970, 1, 1, tzinfo=timezone.utc),
                 'drawdown_end_ts': 0,
+                'csum_min': 0,
+                'csum_max': 0
             })
 
     strategy_results = generate_strategy_metrics(all_results=all_results)
@@ -439,6 +449,12 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
             ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
             ('', ''),  # Empty line to improve readability
+
+            ('Abs Profit Min', round_coin_value(strat_results['csum_min'],
+                                                strat_results['stake_currency'])),
+            ('Abs Profit Max', round_coin_value(strat_results['csum_max'],
+                                                strat_results['stake_currency'])),
+
             ('Max Drawdown', f"{round(strat_results['max_drawdown'] * 100, 2)}%"),
             ('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)),
             ('Drawdown End', strat_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)),

tests/data/test_btanalysis.py

@@ -8,11 +8,12 @@ from pandas import DataFrame, DateOffset, Timestamp, to_datetime
 from freqtrade.configuration import TimeRange
 from freqtrade.constants import LAST_BT_RESULT_FN
 from freqtrade.data.btanalysis import (BT_DATA_COLUMNS, BT_DATA_COLUMNS_MID, BT_DATA_COLUMNS_OLD,
-                                       analyze_trade_parallelism, calculate_market_change,
-                                       calculate_max_drawdown, combine_dataframes_with_mean,
-                                       create_cum_profit, extract_trades_of_period,
-                                       get_latest_backtest_filename, get_latest_hyperopt_file,
-                                       load_backtest_data, load_trades, load_trades_from_db)
+                                       analyze_trade_parallelism, calculate_csum,
+                                       calculate_market_change, calculate_max_drawdown,
+                                       combine_dataframes_with_mean, create_cum_profit,
+                                       extract_trades_of_period, get_latest_backtest_filename,
+                                       get_latest_hyperopt_file, load_backtest_data, load_trades,
+                                       load_trades_from_db)
 from freqtrade.data.history import load_data, load_pair_history
 from tests.conftest import create_mock_trades
 from tests.conftest_trades import MOCK_TRADE_COUNT
@@ -284,6 +285,20 @@ def test_calculate_max_drawdown(testdatadir):
         drawdown, h, low = calculate_max_drawdown(DataFrame())
 
 
+def test_calculate_csum(testdatadir):
+    filename = testdatadir / "backtest-result_test.json"
+    bt_data = load_backtest_data(filename)
+    csum_min, csum_max = calculate_csum(bt_data)
+
+    assert isinstance(csum_min, float)
+    assert isinstance(csum_max, float)
+    assert csum_min < 0.01
+    assert csum_max > 0.02
+
+    with pytest.raises(ValueError, match='Trade dataframe empty.'):
+        csum_min, csum_max = calculate_csum(DataFrame())
+
+
 def test_calculate_max_drawdown2():
     values = [0.011580, 0.010048, 0.011340, 0.012161, 0.010416, 0.010009, 0.020024,
               -0.024662, -0.022350, 0.020496, -0.029859, -0.030511, 0.010041, 0.010872,