From 794bca13795f33731c49ba2d0bb58d573fb91ce2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Jun 2023 17:09:57 +0200 Subject: [PATCH] Split optimize report generation from visualization --- .../optimize/optimize_reports/__init__.py | 14 +- .../optimize_reports/optimize_reports.py | 374 +---------------- .../optimize_reports/visualization.py | 380 ++++++++++++++++++ tests/optimize/test_backtesting.py | 4 +- 4 files changed, 394 insertions(+), 378 deletions(-) create mode 100644 freqtrade/optimize/optimize_reports/visualization.py diff --git a/freqtrade/optimize/optimize_reports/__init__.py b/freqtrade/optimize/optimize_reports/__init__.py index df42e03bb..4e7375ab4 100644 --- a/freqtrade/optimize/optimize_reports/__init__.py +++ b/freqtrade/optimize/optimize_reports/__init__.py @@ -4,7 +4,13 @@ from freqtrade.optimize.optimize_reports.optimize_reports import ( generate_edge_table, generate_exit_reason_stats, generate_pair_metrics, generate_periodic_breakdown_stats, generate_rejected_signals, generate_strategy_comparison, generate_strategy_stats, generate_tag_metrics, generate_trade_signal_candles, - generate_trading_stats, generate_wins_draws_losses, show_backtest_result, show_backtest_results, - show_sorted_pairlist, store_backtest_analysis_results, store_backtest_stats, - text_table_add_metrics, text_table_bt_results, text_table_exit_reason, - text_table_periodic_breakdown, text_table_strategy, text_table_tags) + generate_trading_stats, generate_wins_draws_losses, store_backtest_analysis_results, + store_backtest_stats) +from freqtrade.optimize.optimize_reports.visualization import (show_backtest_result, + show_backtest_results, + show_sorted_pairlist, + text_table_add_metrics, + text_table_bt_results, + text_table_exit_reason, + text_table_periodic_breakdown, + text_table_strategy, text_table_tags) diff --git a/freqtrade/optimize/optimize_reports/optimize_reports.py b/freqtrade/optimize/optimize_reports/optimize_reports.py index e60047a79..6bf7da329 100644 --- a/freqtrade/optimize/optimize_reports/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports/optimize_reports.py @@ -8,7 +8,7 @@ from pandas import DataFrame, concat, to_datetime from tabulate import tabulate from freqtrade.constants import (BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, - UNLIMITED_STAKE_AMOUNT, Config, IntOrInf) + IntOrInf) from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum, calculate_expectancy, calculate_market_change, calculate_max_drawdown, calculate_sharpe, calculate_sortino) @@ -120,24 +120,6 @@ def generate_rejected_signals(preprocessed_df: Dict[str, DataFrame], return rejected_candles_only -def _get_line_floatfmt(stake_currency: str) -> List[str]: - """ - Generate floatformat (goes in line with _generate_result_line()) - """ - return ['s', 'd', '.2f', '.2f', f'.{decimals_per_coin(stake_currency)}f', - '.2f', 'd', 's', 's'] - - -def _get_line_header(first_column: str, stake_currency: str, - direction: str = 'Entries') -> List[str]: - """ - Generate header lines (goes in line with _generate_result_line()) - """ - return [first_column, direction, 'Avg Profit %', 'Cum Profit %', - f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration', - 'Win Draw Loss Win%'] - - def generate_wins_draws_losses(wins, draws, losses): if wins > 0 and losses == 0: wl_ratio = '100' @@ -652,357 +634,3 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], result['strategy_comparison'] = strategy_results return result - - -### -# Start output section -### - -def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: str) -> str: - """ - Generates and returns a text table for the given backtest data and the results dataframe - :param pair_results: List of Dictionaries - one entry per pair + final TOTAL row - :param stake_currency: stake-currency - used to correctly name headers - :return: pretty printed table with tabulate as string - """ - - headers = _get_line_header('Pair', stake_currency) - floatfmt = _get_line_floatfmt(stake_currency) - output = [[ - t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], - t['profit_total_pct'], t['duration_avg'], - generate_wins_draws_losses(t['wins'], t['draws'], t['losses']) - ] for t in pair_results] - # Ignore type as floatfmt does allow tuples but mypy does not know that - return tabulate(output, headers=headers, - floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") - - -def text_table_exit_reason(exit_reason_stats: List[Dict[str, Any]], stake_currency: str) -> str: - """ - Generate small table outlining Backtest results - :param sell_reason_stats: Exit reason metrics - :param stake_currency: Stakecurrency used - :return: pretty printed table with tabulate as string - """ - headers = [ - 'Exit Reason', - 'Exits', - 'Win Draws Loss Win%', - 'Avg Profit %', - 'Cum Profit %', - f'Tot Profit {stake_currency}', - 'Tot Profit %', - ] - - output = [[ - t.get('exit_reason', t.get('sell_reason')), t['trades'], - generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), - t['profit_mean_pct'], t['profit_sum_pct'], - round_coin_value(t['profit_total_abs'], stake_currency, False), - t['profit_total_pct'], - ] for t in exit_reason_stats] - return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right") - - -def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_currency: str) -> str: - """ - Generates and returns a text table for the given backtest data and the results dataframe - :param pair_results: List of Dictionaries - one entry per pair + final TOTAL row - :param stake_currency: stake-currency - used to correctly name headers - :return: pretty printed table with tabulate as string - """ - if (tag_type == "enter_tag"): - headers = _get_line_header("TAG", stake_currency) - else: - headers = _get_line_header("TAG", stake_currency, 'Exits') - floatfmt = _get_line_floatfmt(stake_currency) - output = [ - [ - t['key'] if t['key'] is not None and len( - t['key']) > 0 else "OTHER", - t['trades'], - t['profit_mean_pct'], - t['profit_sum_pct'], - t['profit_total_abs'], - t['profit_total_pct'], - t['duration_avg'], - generate_wins_draws_losses( - t['wins'], - t['draws'], - t['losses'])] for t in tag_results] - # Ignore type as floatfmt does allow tuples but mypy does not know that - return tabulate(output, headers=headers, - floatfmt=floatfmt, 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 - :param strategy_results: Dict of containing results for all strategies - :param stake_currency: stake-currency - used to correctly name headers - :return: pretty printed table with tabulate as string - """ - floatfmt = _get_line_floatfmt(stake_currency) - headers = _get_line_header('Strategy', stake_currency) - # _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless - # therefore we slip this column in only for strategy summary here. - headers.append('Drawdown') - - # Align drawdown string on the center two space separator. - if 'max_drawdown_account' in strategy_results[0]: - drawdown = [f'{t["max_drawdown_account"] * 100:.2f}' for t in strategy_results] - else: - # Support for prior backtest results - drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results] - - dd_pad_abs = max([len(t['max_drawdown_abs']) for t in strategy_results]) - dd_pad_per = max([len(dd) for dd in drawdown]) - drawdown = [f'{t["max_drawdown_abs"]:>{dd_pad_abs}} {stake_currency} {dd:>{dd_pad_per}}%' - for t, dd in zip(strategy_results, drawdown)] - - output = [[ - t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], - t['profit_total_pct'], t['duration_avg'], - generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), drawdown] - for t, drawdown in zip(strategy_results, drawdown)] - # Ignore type as floatfmt does allow tuples but mypy does not know that - return tabulate(output, headers=headers, - floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") - - -def text_table_add_metrics(strat_results: Dict) -> str: - if len(strat_results['trades']) > 0: - best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio']) - worst_trade = min(strat_results['trades'], key=lambda x: x['profit_ratio']) - - short_metrics = [ - ('', ''), # Empty line to improve readability - ('Long / Short', - f"{strat_results.get('trade_count_long', 'total_trades')} / " - f"{strat_results.get('trade_count_short', 0)}"), - ('Total profit Long %', f"{strat_results['profit_total_long']:.2%}"), - ('Total profit Short %', f"{strat_results['profit_total_short']:.2%}"), - ('Absolute profit Long', round_coin_value(strat_results['profit_total_long_abs'], - strat_results['stake_currency'])), - ('Absolute profit Short', round_coin_value(strat_results['profit_total_short_abs'], - strat_results['stake_currency'])), - ] if strat_results.get('trade_count_short', 0) > 0 else [] - - drawdown_metrics = [] - if 'max_relative_drawdown' in strat_results: - # Compatibility to show old hyperopt results - drawdown_metrics.append( - ('Max % of account underwater', f"{strat_results['max_relative_drawdown']:.2%}") - ) - drawdown_metrics.extend([ - ('Absolute Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}") - if 'max_drawdown_account' in strat_results else ( - 'Drawdown', f"{strat_results['max_drawdown']:.2%}"), - ('Absolute Drawdown', round_coin_value(strat_results['max_drawdown_abs'], - strat_results['stake_currency'])), - ('Drawdown high', round_coin_value(strat_results['max_drawdown_high'], - strat_results['stake_currency'])), - ('Drawdown low', round_coin_value(strat_results['max_drawdown_low'], - strat_results['stake_currency'])), - ('Drawdown Start', strat_results['drawdown_start']), - ('Drawdown End', strat_results['drawdown_end']), - ]) - - entry_adjustment_metrics = [ - ('Canceled Trade Entries', strat_results.get('canceled_trade_entries', 'N/A')), - ('Canceled Entry Orders', strat_results.get('canceled_entry_orders', 'N/A')), - ('Replaced Entry Orders', strat_results.get('replaced_entry_orders', 'N/A')), - ] if strat_results.get('canceled_entry_orders', 0) > 0 else [] - - # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show - # command stores these results and newer version of freqtrade must be able to handle old - # results with missing new fields. - metrics = [ - ('Backtesting from', strat_results['backtest_start']), - ('Backtesting to', strat_results['backtest_end']), - ('Max open trades', strat_results['max_open_trades']), - ('', ''), # Empty line to improve readability - ('Total/Daily Avg Trades', - f"{strat_results['total_trades']} / {strat_results['trades_per_day']}"), - - ('Starting balance', round_coin_value(strat_results['starting_balance'], - strat_results['stake_currency'])), - ('Final balance', round_coin_value(strat_results['final_balance'], - strat_results['stake_currency'])), - ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'], - strat_results['stake_currency'])), - ('Total profit %', f"{strat_results['profit_total']:.2%}"), - ('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'), - ('Sortino', f"{strat_results['sortino']:.2f}" if 'sortino' in strat_results else 'N/A'), - ('Sharpe', f"{strat_results['sharpe']:.2f}" if 'sharpe' in strat_results else 'N/A'), - ('Calmar', f"{strat_results['calmar']:.2f}" if 'calmar' in strat_results else 'N/A'), - ('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor' - in strat_results else 'N/A'), - ('Expectancy', f"{strat_results['expectancy']:.2f}" if 'expectancy' - in strat_results else 'N/A'), - ('Trades per day', strat_results['trades_per_day']), - ('Avg. daily profit %', - f"{(strat_results['profit_total'] / strat_results['backtest_days']):.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'], - strat_results['stake_currency'])), - *short_metrics, - ('', ''), # Empty line to improve readability - ('Best Pair', f"{strat_results['best_pair']['key']} " - f"{strat_results['best_pair']['profit_sum']:.2%}"), - ('Worst Pair', f"{strat_results['worst_pair']['key']} " - f"{strat_results['worst_pair']['profit_sum']:.2%}"), - ('Best trade', f"{best_trade['pair']} {best_trade['profit_ratio']:.2%}"), - ('Worst trade', f"{worst_trade['pair']} " - f"{worst_trade['profit_ratio']:.2%}"), - - ('Best day', round_coin_value(strat_results['backtest_best_day_abs'], - strat_results['stake_currency'])), - ('Worst day', round_coin_value(strat_results['backtest_worst_day_abs'], - strat_results['stake_currency'])), - ('Days win/draw/lose', f"{strat_results['winning_days']} / " - f"{strat_results['draw_days']} / {strat_results['losing_days']}"), - ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"), - ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"), - ('Rejected Entry signals', strat_results.get('rejected_signals', 'N/A')), - ('Entry/Exit Timeouts', - f"{strat_results.get('timedout_entry_orders', 'N/A')} / " - f"{strat_results.get('timedout_exit_orders', 'N/A')}"), - *entry_adjustment_metrics, - ('', ''), # Empty line to improve readability - - ('Min balance', round_coin_value(strat_results['csum_min'], - strat_results['stake_currency'])), - ('Max balance', round_coin_value(strat_results['csum_max'], - strat_results['stake_currency'])), - - *drawdown_metrics, - ('Market change', f"{strat_results['market_change']:.2%}"), - ] - - return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") - else: - start_balance = round_coin_value(strat_results['starting_balance'], - strat_results['stake_currency']) - stake_amount = round_coin_value( - strat_results['stake_amount'], strat_results['stake_currency'] - ) if strat_results['stake_amount'] != UNLIMITED_STAKE_AMOUNT else 'unlimited' - - message = ("No trades made. " - f"Your starting balance was {start_balance}, " - f"and your stake was {stake_amount}." - ) - return message - - -def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str, - backtest_breakdown=[]): - """ - Print results for one strategy - """ - # Print results - print(f"Result for strategy {strategy}") - table = text_table_bt_results(results['results_per_pair'], stake_currency=stake_currency) - if isinstance(table, str): - print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '=')) - print(table) - - table = text_table_bt_results(results['left_open_trades'], stake_currency=stake_currency) - if isinstance(table, str) and len(table) > 0: - print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) - print(table) - - if (results.get('results_per_enter_tag') is not None - or results.get('results_per_buy_tag') is not None): - # results_per_buy_tag is deprecated and should be removed 2 versions after short golive. - table = text_table_tags( - "enter_tag", - results.get('results_per_enter_tag', results.get('results_per_buy_tag')), - stake_currency=stake_currency) - - if isinstance(table, str) and len(table) > 0: - print(' ENTER TAG STATS '.center(len(table.splitlines()[0]), '=')) - print(table) - - exit_reasons = results.get('exit_reason_summary', results.get('sell_reason_summary')) - table = text_table_exit_reason(exit_reason_stats=exit_reasons, - stake_currency=stake_currency) - if isinstance(table, str) and len(table) > 0: - print(' EXIT REASON STATS '.center(len(table.splitlines()[0]), '=')) - print(table) - - for period in backtest_breakdown: - if period in results.get('periodic_breakdown', {}): - days_breakdown_stats = results['periodic_breakdown'][period] - else: - 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]), '=')) - print(table) - - if isinstance(table, str) and len(table) > 0: - print('=' * len(table.splitlines()[0])) - - print() - - -def show_backtest_results(config: Config, backtest_stats: Dict): - stake_currency = config['stake_currency'] - - for strategy, results in backtest_stats['strategy'].items(): - show_backtest_result( - strategy, results, stake_currency, - config.get('backtest_breakdown', [])) - - if len(backtest_stats['strategy']) > 0: - # Print Strategy summary table - - table = text_table_strategy(backtest_stats['strategy_comparison'], stake_currency) - print(f"Backtested {results['backtest_start']} -> {results['backtest_end']} |" - f" Max open trades : {results['max_open_trades']}") - print(' STRATEGY SUMMARY '.center(len(table.splitlines()[0]), '=')) - print(table) - print('=' * len(table.splitlines()[0])) - print('\nFor more details, please look at the detail tables above') - - -def show_sorted_pairlist(config: Config, backtest_stats: Dict): - if config.get('backtest_show_pair_list', False): - for strategy, results in backtest_stats['strategy'].items(): - print(f"Pairs for Strategy {strategy}: \n[") - for result in results['results_per_pair']: - if result["key"] != 'TOTAL': - print(f'"{result["key"]}", // {result["profit_mean"]:.2%}') - print("]") diff --git a/freqtrade/optimize/optimize_reports/visualization.py b/freqtrade/optimize/optimize_reports/visualization.py new file mode 100644 index 000000000..c9d4478b3 --- /dev/null +++ b/freqtrade/optimize/optimize_reports/visualization.py @@ -0,0 +1,380 @@ +import logging +from typing import Any, Dict, List + +from tabulate import tabulate + +from freqtrade.constants import UNLIMITED_STAKE_AMOUNT, Config +from freqtrade.misc import decimals_per_coin, round_coin_value +from freqtrade.optimize.optimize_reports.optimize_reports import (generate_periodic_breakdown_stats, + generate_wins_draws_losses) + + +logger = logging.getLogger(__name__) + + +def _get_line_floatfmt(stake_currency: str) -> List[str]: + """ + Generate floatformat (goes in line with _generate_result_line()) + """ + return ['s', 'd', '.2f', '.2f', f'.{decimals_per_coin(stake_currency)}f', + '.2f', 'd', 's', 's'] + + +def _get_line_header(first_column: str, stake_currency: str, + direction: str = 'Entries') -> List[str]: + """ + Generate header lines (goes in line with _generate_result_line()) + """ + return [first_column, direction, 'Avg Profit %', 'Cum Profit %', + f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration', + 'Win Draw Loss Win%'] + + +def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: str) -> str: + """ + Generates and returns a text table for the given backtest data and the results dataframe + :param pair_results: List of Dictionaries - one entry per pair + final TOTAL row + :param stake_currency: stake-currency - used to correctly name headers + :return: pretty printed table with tabulate as string + """ + + headers = _get_line_header('Pair', stake_currency) + floatfmt = _get_line_floatfmt(stake_currency) + output = [[ + t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], + t['profit_total_pct'], t['duration_avg'], + generate_wins_draws_losses(t['wins'], t['draws'], t['losses']) + ] for t in pair_results] + # Ignore type as floatfmt does allow tuples but mypy does not know that + return tabulate(output, headers=headers, + floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") + + +def text_table_exit_reason(exit_reason_stats: List[Dict[str, Any]], stake_currency: str) -> str: + """ + Generate small table outlining Backtest results + :param sell_reason_stats: Exit reason metrics + :param stake_currency: Stakecurrency used + :return: pretty printed table with tabulate as string + """ + headers = [ + 'Exit Reason', + 'Exits', + 'Win Draws Loss Win%', + 'Avg Profit %', + 'Cum Profit %', + f'Tot Profit {stake_currency}', + 'Tot Profit %', + ] + + output = [[ + t.get('exit_reason', t.get('sell_reason')), t['trades'], + generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), + t['profit_mean_pct'], t['profit_sum_pct'], + round_coin_value(t['profit_total_abs'], stake_currency, False), + t['profit_total_pct'], + ] for t in exit_reason_stats] + return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right") + + +def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_currency: str) -> str: + """ + Generates and returns a text table for the given backtest data and the results dataframe + :param pair_results: List of Dictionaries - one entry per pair + final TOTAL row + :param stake_currency: stake-currency - used to correctly name headers + :return: pretty printed table with tabulate as string + """ + if (tag_type == "enter_tag"): + headers = _get_line_header("TAG", stake_currency) + else: + headers = _get_line_header("TAG", stake_currency, 'Exits') + floatfmt = _get_line_floatfmt(stake_currency) + output = [ + [ + t['key'] if t['key'] is not None and len( + t['key']) > 0 else "OTHER", + t['trades'], + t['profit_mean_pct'], + t['profit_sum_pct'], + t['profit_total_abs'], + t['profit_total_pct'], + t['duration_avg'], + generate_wins_draws_losses( + t['wins'], + t['draws'], + t['losses'])] for t in tag_results] + # Ignore type as floatfmt does allow tuples but mypy does not know that + return tabulate(output, headers=headers, + floatfmt=floatfmt, 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 + :param strategy_results: Dict of containing results for all strategies + :param stake_currency: stake-currency - used to correctly name headers + :return: pretty printed table with tabulate as string + """ + floatfmt = _get_line_floatfmt(stake_currency) + headers = _get_line_header('Strategy', stake_currency) + # _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless + # therefore we slip this column in only for strategy summary here. + headers.append('Drawdown') + + # Align drawdown string on the center two space separator. + if 'max_drawdown_account' in strategy_results[0]: + drawdown = [f'{t["max_drawdown_account"] * 100:.2f}' for t in strategy_results] + else: + # Support for prior backtest results + drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results] + + dd_pad_abs = max([len(t['max_drawdown_abs']) for t in strategy_results]) + dd_pad_per = max([len(dd) for dd in drawdown]) + drawdown = [f'{t["max_drawdown_abs"]:>{dd_pad_abs}} {stake_currency} {dd:>{dd_pad_per}}%' + for t, dd in zip(strategy_results, drawdown)] + + output = [[ + t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], + t['profit_total_pct'], t['duration_avg'], + generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), drawdown] + for t, drawdown in zip(strategy_results, drawdown)] + # Ignore type as floatfmt does allow tuples but mypy does not know that + return tabulate(output, headers=headers, + floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") + + +def text_table_add_metrics(strat_results: Dict) -> str: + if len(strat_results['trades']) > 0: + best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio']) + worst_trade = min(strat_results['trades'], key=lambda x: x['profit_ratio']) + + short_metrics = [ + ('', ''), # Empty line to improve readability + ('Long / Short', + f"{strat_results.get('trade_count_long', 'total_trades')} / " + f"{strat_results.get('trade_count_short', 0)}"), + ('Total profit Long %', f"{strat_results['profit_total_long']:.2%}"), + ('Total profit Short %', f"{strat_results['profit_total_short']:.2%}"), + ('Absolute profit Long', round_coin_value(strat_results['profit_total_long_abs'], + strat_results['stake_currency'])), + ('Absolute profit Short', round_coin_value(strat_results['profit_total_short_abs'], + strat_results['stake_currency'])), + ] if strat_results.get('trade_count_short', 0) > 0 else [] + + drawdown_metrics = [] + if 'max_relative_drawdown' in strat_results: + # Compatibility to show old hyperopt results + drawdown_metrics.append( + ('Max % of account underwater', f"{strat_results['max_relative_drawdown']:.2%}") + ) + drawdown_metrics.extend([ + ('Absolute Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}") + if 'max_drawdown_account' in strat_results else ( + 'Drawdown', f"{strat_results['max_drawdown']:.2%}"), + ('Absolute Drawdown', round_coin_value(strat_results['max_drawdown_abs'], + strat_results['stake_currency'])), + ('Drawdown high', round_coin_value(strat_results['max_drawdown_high'], + strat_results['stake_currency'])), + ('Drawdown low', round_coin_value(strat_results['max_drawdown_low'], + strat_results['stake_currency'])), + ('Drawdown Start', strat_results['drawdown_start']), + ('Drawdown End', strat_results['drawdown_end']), + ]) + + entry_adjustment_metrics = [ + ('Canceled Trade Entries', strat_results.get('canceled_trade_entries', 'N/A')), + ('Canceled Entry Orders', strat_results.get('canceled_entry_orders', 'N/A')), + ('Replaced Entry Orders', strat_results.get('replaced_entry_orders', 'N/A')), + ] if strat_results.get('canceled_entry_orders', 0) > 0 else [] + + # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show + # command stores these results and newer version of freqtrade must be able to handle old + # results with missing new fields. + metrics = [ + ('Backtesting from', strat_results['backtest_start']), + ('Backtesting to', strat_results['backtest_end']), + ('Max open trades', strat_results['max_open_trades']), + ('', ''), # Empty line to improve readability + ('Total/Daily Avg Trades', + f"{strat_results['total_trades']} / {strat_results['trades_per_day']}"), + + ('Starting balance', round_coin_value(strat_results['starting_balance'], + strat_results['stake_currency'])), + ('Final balance', round_coin_value(strat_results['final_balance'], + strat_results['stake_currency'])), + ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'], + strat_results['stake_currency'])), + ('Total profit %', f"{strat_results['profit_total']:.2%}"), + ('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'), + ('Sortino', f"{strat_results['sortino']:.2f}" if 'sortino' in strat_results else 'N/A'), + ('Sharpe', f"{strat_results['sharpe']:.2f}" if 'sharpe' in strat_results else 'N/A'), + ('Calmar', f"{strat_results['calmar']:.2f}" if 'calmar' in strat_results else 'N/A'), + ('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor' + in strat_results else 'N/A'), + ('Expectancy', f"{strat_results['expectancy']:.2f}" if 'expectancy' + in strat_results else 'N/A'), + ('Trades per day', strat_results['trades_per_day']), + ('Avg. daily profit %', + f"{(strat_results['profit_total'] / strat_results['backtest_days']):.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'], + strat_results['stake_currency'])), + *short_metrics, + ('', ''), # Empty line to improve readability + ('Best Pair', f"{strat_results['best_pair']['key']} " + f"{strat_results['best_pair']['profit_sum']:.2%}"), + ('Worst Pair', f"{strat_results['worst_pair']['key']} " + f"{strat_results['worst_pair']['profit_sum']:.2%}"), + ('Best trade', f"{best_trade['pair']} {best_trade['profit_ratio']:.2%}"), + ('Worst trade', f"{worst_trade['pair']} " + f"{worst_trade['profit_ratio']:.2%}"), + + ('Best day', round_coin_value(strat_results['backtest_best_day_abs'], + strat_results['stake_currency'])), + ('Worst day', round_coin_value(strat_results['backtest_worst_day_abs'], + strat_results['stake_currency'])), + ('Days win/draw/lose', f"{strat_results['winning_days']} / " + f"{strat_results['draw_days']} / {strat_results['losing_days']}"), + ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"), + ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"), + ('Rejected Entry signals', strat_results.get('rejected_signals', 'N/A')), + ('Entry/Exit Timeouts', + f"{strat_results.get('timedout_entry_orders', 'N/A')} / " + f"{strat_results.get('timedout_exit_orders', 'N/A')}"), + *entry_adjustment_metrics, + ('', ''), # Empty line to improve readability + + ('Min balance', round_coin_value(strat_results['csum_min'], + strat_results['stake_currency'])), + ('Max balance', round_coin_value(strat_results['csum_max'], + strat_results['stake_currency'])), + + *drawdown_metrics, + ('Market change', f"{strat_results['market_change']:.2%}"), + ] + + return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") + else: + start_balance = round_coin_value(strat_results['starting_balance'], + strat_results['stake_currency']) + stake_amount = round_coin_value( + strat_results['stake_amount'], strat_results['stake_currency'] + ) if strat_results['stake_amount'] != UNLIMITED_STAKE_AMOUNT else 'unlimited' + + message = ("No trades made. " + f"Your starting balance was {start_balance}, " + f"and your stake was {stake_amount}." + ) + return message + + +def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str, + backtest_breakdown=[]): + """ + Print results for one strategy + """ + # Print results + print(f"Result for strategy {strategy}") + table = text_table_bt_results(results['results_per_pair'], stake_currency=stake_currency) + if isinstance(table, str): + print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '=')) + print(table) + + table = text_table_bt_results(results['left_open_trades'], stake_currency=stake_currency) + if isinstance(table, str) and len(table) > 0: + print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) + print(table) + + if (results.get('results_per_enter_tag') is not None + or results.get('results_per_buy_tag') is not None): + # results_per_buy_tag is deprecated and should be removed 2 versions after short golive. + table = text_table_tags( + "enter_tag", + results.get('results_per_enter_tag', results.get('results_per_buy_tag')), + stake_currency=stake_currency) + + if isinstance(table, str) and len(table) > 0: + print(' ENTER TAG STATS '.center(len(table.splitlines()[0]), '=')) + print(table) + + exit_reasons = results.get('exit_reason_summary', results.get('sell_reason_summary')) + table = text_table_exit_reason(exit_reason_stats=exit_reasons, + stake_currency=stake_currency) + if isinstance(table, str) and len(table) > 0: + print(' EXIT REASON STATS '.center(len(table.splitlines()[0]), '=')) + print(table) + + for period in backtest_breakdown: + if period in results.get('periodic_breakdown', {}): + days_breakdown_stats = results['periodic_breakdown'][period] + else: + 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]), '=')) + print(table) + + if isinstance(table, str) and len(table) > 0: + print('=' * len(table.splitlines()[0])) + + print() + + +def show_backtest_results(config: Config, backtest_stats: Dict): + stake_currency = config['stake_currency'] + + for strategy, results in backtest_stats['strategy'].items(): + show_backtest_result( + strategy, results, stake_currency, + config.get('backtest_breakdown', [])) + + if len(backtest_stats['strategy']) > 0: + # Print Strategy summary table + + table = text_table_strategy(backtest_stats['strategy_comparison'], stake_currency) + print(f"Backtested {results['backtest_start']} -> {results['backtest_end']} |" + f" Max open trades : {results['max_open_trades']}") + print(' STRATEGY SUMMARY '.center(len(table.splitlines()[0]), '=')) + print(table) + print('=' * len(table.splitlines()[0])) + print('\nFor more details, please look at the detail tables above') + + +def show_sorted_pairlist(config: Config, backtest_stats: Dict): + if config.get('backtest_show_pair_list', False): + for strategy, results in backtest_stats['strategy'].items(): + print(f"Pairs for Strategy {strategy}: \n[") + for result in results['results_per_pair']: + if result["key"] != 'TOTAL': + print(f'"{result["key"]}", // {result["profit_mean"]:.2%}') + print("]") diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 15be6bb28..5dc3121e7 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -1437,9 +1437,11 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): strattable_mock = MagicMock() strat_summary = MagicMock() - mocker.patch.multiple('freqtrade.optimize.optimize_reports.optimize_reports', + mocker.patch.multiple('freqtrade.optimize.optimize_reports.visualization', text_table_bt_results=text_table_mock, text_table_strategy=strattable_mock, + ) + mocker.patch.multiple('freqtrade.optimize.optimize_reports.optimize_reports', generate_pair_metrics=MagicMock(), generate_exit_reason_stats=sell_reason_mock, generate_strategy_comparison=strat_summary,