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Merge pull request #2755 from freqtrade/backtest_mean

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Add average profit to sell_reason stats
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hroff-1902 2020-01-09 20:35:35 +03:00 committed by GitHub
commit 7c7f7b9ece
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5 changed files with 56 additions and 56 deletions
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2
freqtrade/optimize/backtesting.py
View File

@ -18,7 +18,7 @@ from freqtrade.data.dataprovider import DataProvider
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
from freqtrade.misc import file_dump_json
from freqtrade.optimize.backtest_reports import (
from freqtrade.optimize.optimize_reports import (
generate_text_table, generate_text_table_sell_reason,
generate_text_table_strategy)
from freqtrade.persistence import Trade

32
freqtrade/optimize/edge_cli.py
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@ -6,13 +6,12 @@ This module contains the edge backtesting interface
import logging
from typing import Any, Dict
from tabulate import tabulate
from freqtrade import constants
from freqtrade.configuration import (TimeRange, remove_credentials,
validate_config_consistency)
from freqtrade.edge import Edge
from freqtrade.resolvers import StrategyResolver, ExchangeResolver
from freqtrade.optimize.optimize_reports import generate_edge_table
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
logger = logging.getLogger(__name__)
@ -44,33 +43,8 @@ class EdgeCli:
self.edge._timerange = TimeRange.parse_timerange(None if self.config.get(
'timerange') is None else str(self.config.get('timerange')))
def _generate_edge_table(self, results: dict) -> str:
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
tabular_data = []
headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
'required risk reward', 'expectancy', 'total number of trades',
'average duration (min)']
for result in results.items():
if result[1].nb_trades > 0:
tabular_data.append([
result[0],
result[1].stoploss,
result[1].winrate,
result[1].risk_reward_ratio,
result[1].required_risk_reward,
result[1].expectancy,
result[1].nb_trades,
round(result[1].avg_trade_duration)
])
# Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(tabular_data, headers=headers,
floatfmt=floatfmt, tablefmt="pipe") # type: ignore
def start(self) -> None:
result = self.edge.calculate()
if result:
print('') # blank line for readability
print(self._generate_edge_table(self.edge._cached_pairs))
print(generate_edge_table(self.edge._cached_pairs))

36
freqtrade/optimize/backtest_reports.py → freqtrade/optimize/optimize_reports.py
View File

@ -66,11 +66,13 @@ def generate_text_table_sell_reason(data: Dict[str, Dict], results: DataFrame) -
:return: pretty printed table with tabulate as string
"""
tabular_data = []
headers = ['Sell Reason', 'Count', 'Profit', 'Loss']
headers = ['Sell Reason', 'Count', 'Profit', 'Loss', 'Profit %']
for reason, count in results['sell_reason'].value_counts().iteritems():
profit = len(results[(results['sell_reason'] == reason) & (results['profit_abs'] >= 0)])
loss = len(results[(results['sell_reason'] == reason) & (results['profit_abs'] < 0)])
tabular_data.append([reason.value, count, profit, loss])
result = results.loc[results['sell_reason'] == reason]
profit = len(result[result['profit_abs'] >= 0])
loss = len(result[results['profit_abs'] < 0])
profit_mean = round(result['profit_percent'].mean() * 100.0, 2)
tabular_data.append([reason.value, count, profit, loss, profit_mean])
return tabulate(tabular_data, headers=headers, tablefmt="pipe")
@ -105,3 +107,29 @@ def generate_text_table_strategy(stake_currency: str, max_open_trades: str,
# Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(tabular_data, headers=headers,
floatfmt=floatfmt, tablefmt="pipe") # type: ignore
def generate_edge_table(results: dict) -> str:
floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '.d')
tabular_data = []
headers = ['pair', 'stoploss', 'win rate', 'risk reward ratio',
'required risk reward', 'expectancy', 'total number of trades',
'average duration (min)']
for result in results.items():
if result[1].nb_trades > 0:
tabular_data.append([
result[0],
result[1].stoploss,
result[1].winrate,
result[1].risk_reward_ratio,
result[1].required_risk_reward,
result[1].expectancy,
result[1].nb_trades,
round(result[1].avg_trade_duration)
])
# Ignore type as floatfmt does allow tuples but mypy does not know that
return tabulate(tabular_data, headers=headers,
floatfmt=floatfmt, tablefmt="pipe") # type: ignore

14
tests/optimize/test_edge_cli.py
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@ -3,7 +3,6 @@
from unittest.mock import MagicMock
from freqtrade.edge import PairInfo
from freqtrade.optimize import setup_configuration, start_edge
from freqtrade.optimize.edge_cli import EdgeCli
from freqtrade.state import RunMode
@ -106,16 +105,3 @@ def test_edge_init_fee(mocker, edge_conf) -> None:
edge_cli = EdgeCli(edge_conf)
assert edge_cli.edge.fee == 0.1234
assert fee_mock.call_count == 0
def test_generate_edge_table(edge_conf, mocker):
patch_exchange(mocker)
edge_cli = EdgeCli(edge_conf)
results = {}
results['ETH/BTC'] = PairInfo(-0.01, 0.60, 2, 1, 3, 10, 60)
assert edge_cli._generate_edge_table(results).count(':|') == 7
assert edge_cli._generate_edge_table(results).count('| ETH/BTC |') == 1
assert edge_cli._generate_edge_table(results).count(
'| risk reward ratio | required risk reward | expectancy |') == 1

28
tests/optimize/test_backtest_reports.py → tests/optimize/test_optimize_reports.py
View File

@ -1,7 +1,8 @@
import pandas as pd
from freqtrade.optimize.backtest_reports import (
generate_text_table, generate_text_table_sell_reason,
from freqtrade.edge import PairInfo
from freqtrade.optimize.optimize_reports import (
generate_edge_table, generate_text_table, generate_text_table_sell_reason,
generate_text_table_strategy)
from freqtrade.strategy.interface import SellType
@ -39,8 +40,8 @@ def test_generate_text_table_sell_reason(default_conf, mocker):
results = pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, -0.3],
'profit_abs': [0.2, 0.4, -0.5],
'profit_percent': [0.1, 0.2, -0.1],
'profit_abs': [0.2, 0.4, -0.2],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
@ -49,10 +50,10 @@ def test_generate_text_table_sell_reason(default_conf, mocker):
)
result_str = (
'| Sell Reason | Count | Profit | Loss |\n'
'|:--------------|--------:|---------:|-------:|\n'
'| roi | 2 | 2 | 0 |\n'
'| stop_loss | 1 | 0 | 1 |'
'| Sell Reason | Count | Profit | Loss | Profit % |\n'
'|:--------------|--------:|---------:|-------:|-----------:|\n'
'| roi | 2 | 2 | 0 | 15 |\n'
'| stop_loss | 1 | 0 | 1 | -10 |'
)
assert generate_text_table_sell_reason(
data={'ETH/BTC': {}}, results=results) == result_str
@ -94,3 +95,14 @@ def test_generate_text_table_strategy(default_conf, mocker):
'| 1.30000000 | 45.00 | 0:20:00 | 3 | 0 |'
)
assert generate_text_table_strategy('BTC', 2, all_results=results) == result_str
def test_generate_edge_table(edge_conf, mocker):
results = {}
results['ETH/BTC'] = PairInfo(-0.01, 0.60, 2, 1, 3, 10, 60)
assert generate_edge_table(results).count(':|') == 7
assert generate_edge_table(results).count('| ETH/BTC |') == 1
assert generate_edge_table(results).count(
'| risk reward ratio | required risk reward | expectancy |') == 1