diff --git a/docs/advanced-backtesting.md b/docs/advanced-backtesting.md index b97db79c5..40584a656 100644 --- a/docs/advanced-backtesting.md +++ b/docs/advanced-backtesting.md @@ -149,6 +149,25 @@ to distinguish the values at the entry and exit points of the trade. `profit_ratio`, `profit_abs`, `exit_reason`,`initial_stop_loss_abs`, `initial_stop_loss_ratio`, `stop_loss_abs`, `stop_loss_ratio`, `min_rate`, `max_rate`, `is_open`, `enter_tag`, `leverage`, `is_short`, `open_timestamp`, `close_timestamp` and `orders` +#### Filtering Indicators Based on Entry or Exit Signals + +The `--indicator-list` option, by default, displays indicator values for both entry and exit signals. To filter the indicator values exclusively for entry signals, you can use the `--entry-only` argument. Similarly, to display indicator values only at exit signals, use the `--exit-only` argument. + +Example: Display indicator values at entry signals: + +```bash +freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --entry-only +``` + +Example: Display indicator values at exit signals: + +```bash +freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --exit-only +``` + +!!! note + When using these filters, the indicator names will not be suffixed with `(entry)` or `(exit)`. + ### Filtering the trade output by date To show only trades between dates within your backtested timerange, supply the usual `timerange` option in `YYYYMMDD-[YYYYMMDD]` format: diff --git a/tests/data/test_entryexitanalysis.py b/tests/data/test_entryexitanalysis.py index 374b84fc7..509c9b92c 100644 --- a/tests/data/test_entryexitanalysis.py +++ b/tests/data/test_entryexitanalysis.py @@ -7,6 +7,7 @@ import pytest from freqtrade.commands.analyze_commands import start_analysis_entries_exits from freqtrade.commands.optimize_commands import start_backtesting from freqtrade.enums import ExitType +from freqtrade.exceptions import OperationalException from freqtrade.optimize.backtesting import Backtesting from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file @@ -256,3 +257,306 @@ 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_with_invalid_config( + 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( + [ + "2018-01-29 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 with both entry and exit only arguments + args = get_args( + base_args + + [ + "--analysis-groups", + "0", + "--indicator-list", + "close", + "rsi", + "profit_abs", + "--entry-only", + "--exit-only", + ] + ) + with pytest.raises( + OperationalException, + match=r"Cannot use --entry-only and --exit-only at the same time. Please choose one.", + ): + start_analysis_entries_exits(args) + + +def test_backtest_analysis_on_entry_and_rejected_signals_only_entry_signals( + 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( + [ + "2018-01-29 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", + "--indicator-list", + "close", + "rsi", + "profit_abs", + "--entry-only", + ] + ) + 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 "-3.5" in captured.out + assert "50" in captured.out + assert "0" in captured.out + assert "0.016" in captured.out + assert "34.049" in captured.out + assert "0.104" in captured.out + assert "52.829" in captured.out + # assert indicator list + assert "close" in captured.out + assert "close (entry)" not in captured.out + assert "0.016" in captured.out + assert "rsi (entry)" not in captured.out + assert "rsi" in captured.out + assert "54.320" in captured.out + assert "close (exit)" not in captured.out + assert "rsi (exit)" not in captured.out + assert "52.829" in captured.out + assert "profit_abs" in captured.out