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This commit is contained in:
Stefano Ariestasia 2023-07-22 09:13:24 +09:00
parent c048e7229a
commit 4812bcc28b
4 changed files with 12 additions and 10 deletions
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4
freqtrade/data/metrics.py
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@ -244,9 +244,9 @@ def calculate_expectancy_ratio(trades: pd.DataFrame) -> float:
if (average_loss > 0): if (average_loss > 0):
risk_reward_ratio = average_win / average_loss risk_reward_ratio = average_win / average_loss
winrate = nb_win_trades / len(trades) winrate = nb_win_trades / len(trades)
expectancy = ((1 + risk_reward_ratio) * winrate) - 1 expectancy_ratio = ((1 + risk_reward_ratio) * winrate) - 1
return expectancy return expectancy_ratio
def calculate_sortino(trades: pd.DataFrame, min_date: datetime, max_date: datetime, def calculate_sortino(trades: pd.DataFrame, min_date: datetime, max_date: datetime,

2
freqtrade/optimize/optimize_reports/bt_output.py
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@ -234,7 +234,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor' ('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
in strat_results else 'N/A'), in strat_results else 'N/A'),
('Expectancy Ratio', f"{strat_results['expectancy_ratio']:.2f}" if 'expectancy_ratio' ('Expectancy Ratio', f"{strat_results['expectancy_ratio']:.2f}" if 'expectancy_ratio'
in strat_results else 'N/A'), in strat_results else 'N/A'),
('Trades per day', strat_results['trades_per_day']), ('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %', ('Avg. daily profit %',
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"), f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),

5
freqtrade/optimize/optimize_reports/optimize_reports.py
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@ -7,9 +7,8 @@ from pandas import DataFrame, concat, to_datetime
from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, IntOrInf from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, IntOrInf
from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum, from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum,
calculate_expectancy, calculate_expectancy_ratio, calculate_expectancy_ratio, calculate_market_change,
calculate_market_change, calculate_max_drawdown, calculate_max_drawdown, calculate_sharpe, calculate_sortino)
calculate_sharpe, calculate_sortino)
from freqtrade.misc import decimals_per_coin, round_coin_value from freqtrade.misc import decimals_per_coin, round_coin_value

11
freqtrade/rpc/rpc.py
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@ -530,10 +530,13 @@ class RPC:
winrate = (winning_trades / closed_trade_count) if closed_trade_count > 0 else 0 winrate = (winning_trades / closed_trade_count) if closed_trade_count > 0 else 0
loserate = (1 - winrate) loserate = (1 - winrate)
expectancy, expectancy_ratio = self.__calc_expectancy(mean_winning_profit, # expectancy, expectancy_ratio = self.__calc_expectancy(mean_winning_profit,
mean_losing_profit, # mean_losing_profit,
winrate, # winrate,
loserate) # loserate)
expectancy = calculate_expectancy(trades)
expectancy_ratio = calculate_expectancy_ratio(trades)
trades_df = DataFrame([{'close_date': trade.close_date.strftime(DATETIME_PRINT_FORMAT), trades_df = DataFrame([{'close_date': trade.close_date.strftime(DATETIME_PRINT_FORMAT),
'profit_abs': trade.close_profit_abs} 'profit_abs': trade.close_profit_abs}