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Merge pull request #10417 from freqtrade/feat/rich_tables_bt

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Backtest tables -> Rich
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Matthias 2024-07-10 06:48:26 +02:00 committed by GitHub
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4 changed files with 69 additions and 94 deletions
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2
freqtrade/optimize/edge_cli.py
View File

@ -52,4 +52,4 @@ class EdgeCli:
result = self.edge.calculate(self.config["exchange"]["pair_whitelist"])
if result:
print("") # blank line for readability
print(generate_edge_table(self.edge._cached_pairs))
generate_edge_table(self.edge._cached_pairs)

130
freqtrade/optimize/optimize_reports/bt_output.py
View File

@ -1,12 +1,10 @@
import logging
from typing import Any, Dict, List, Union
from tabulate import tabulate
from typing import Any, Dict, List, Literal, Union
from freqtrade.constants import UNLIMITED_STAKE_AMOUNT, Config
from freqtrade.optimize.optimize_reports.optimize_reports import generate_periodic_breakdown_stats
from freqtrade.types import BacktestResultType
from freqtrade.util import decimals_per_coin, fmt_coin
from freqtrade.util import decimals_per_coin, fmt_coin, print_rich_table
logger = logging.getLogger(__name__)
@ -46,22 +44,23 @@ def generate_wins_draws_losses(wins, draws, losses):
return f"{wins:>4} {draws:>4} {losses:>4} {wl_ratio:>4}"
def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: str) -> str:
def text_table_bt_results(
pair_results: List[Dict[str, Any]], stake_currency: str, title: str
) -> None:
"""
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
:param title: Title of the table
"""
headers = _get_line_header("Pair", stake_currency, "Trades")
floatfmt = _get_line_floatfmt(stake_currency)
output = [
[
t["key"],
t["trades"],
t["profit_mean_pct"],
t["profit_total_abs"],
f"{t['profit_total_abs']:.{decimals_per_coin(stake_currency)}f}",
t["profit_total_pct"],
t["duration_avg"],
generate_wins_draws_losses(t["wins"], t["draws"], t["losses"]),
@ -69,26 +68,32 @@ def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: st
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")
print_rich_table(output, headers, summary=title)
def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_currency: str) -> str:
def text_table_tags(
tag_type: Literal["enter_tag", "exit_tag", "mix_tag"],
tag_results: List[Dict[str, Any]],
stake_currency: str,
) -> None:
"""
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
"""
floatfmt = _get_line_floatfmt(stake_currency)
fallback: str = ""
is_list = False
if tag_type == "enter_tag":
headers = _get_line_header("Enter Tag", stake_currency, "Entries")
title = "Enter Tag"
headers = _get_line_header(title, stake_currency, "Entries")
elif tag_type == "exit_tag":
headers = _get_line_header("Exit Reason", stake_currency, "Exits")
title = "Exit Reason"
headers = _get_line_header(title, stake_currency, "Exits")
fallback = "exit_reason"
else:
# Mix tag
title = "Mixed Tag"
headers = _get_line_header(["Enter Tag", "Exit Reason"], stake_currency, "Trades")
floatfmt.insert(0, "s")
is_list = True
@ -106,7 +111,7 @@ def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_curr
),
t["trades"],
t["profit_mean_pct"],
t["profit_total_abs"],
f"{t['profit_total_abs']:.{decimals_per_coin(stake_currency)}f}",
t["profit_total_pct"],
t.get("duration_avg"),
generate_wins_draws_losses(t["wins"], t["draws"], t["losses"]),
@ -114,17 +119,16 @@ def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_curr
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")
print_rich_table(output, headers, summary=f"{title.upper()} STATS")
def text_table_periodic_breakdown(
days_breakdown_stats: List[Dict[str, Any]], stake_currency: str, period: str
) -> str:
) -> None:
"""
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(),
@ -143,17 +147,15 @@ def text_table_periodic_breakdown(
]
for d in days_breakdown_stats
]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
print_rich_table(output, headers, summary=f"{period.upper()} BREAKDOWN")
def text_table_strategy(strategy_results, stake_currency: str) -> str:
def text_table_strategy(strategy_results, stake_currency: str, title: str):
"""
Generate summary table per strategy
:param strategy_results: Dict of <Strategyname: DataFrame> 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, "Trades")
# _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.
@ -177,8 +179,8 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
[
t["key"],
t["trades"],
t["profit_mean_pct"],
t["profit_total_abs"],
f"{t['profit_mean_pct']:.2f}",
f"{t['profit_total_abs']:.{decimals_per_coin(stake_currency)}f}",
t["profit_total_pct"],
t["duration_avg"],
generate_wins_draws_losses(t["wins"], t["draws"], t["losses"]),
@ -186,11 +188,10 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
]
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")
print_rich_table(output, headers, summary=title)
def text_table_add_metrics(strat_results: Dict) -> str:
def text_table_add_metrics(strat_results: Dict) -> None:
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"])
@ -372,8 +373,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
*drawdown_metrics,
("Market change", f"{strat_results['market_change']:.2%}"),
]
print_rich_table(metrics, ["Metric", "Value"], summary="SUMMARY METRICS", justify="left")
return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl")
else:
start_balance = fmt_coin(strat_results["starting_balance"], strat_results["stake_currency"])
stake_amount = (
@ -387,7 +388,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
f"Your starting balance was {start_balance}, "
f"and your stake was {stake_amount}."
)
return message
print(message)
def _show_tag_subresults(results: Dict[str, Any], stake_currency: str):
@ -395,25 +396,13 @@ def _show_tag_subresults(results: Dict[str, Any], stake_currency: str):
Print tag subresults (enter_tag, exit_reason_summary, mix_tag_stats)
"""
if (enter_tags := results.get("results_per_enter_tag")) is not None:
table = text_table_tags("enter_tag", enter_tags, stake_currency)
if isinstance(table, str) and len(table) > 0:
print(" ENTER TAG STATS ".center(len(table.splitlines()[0]), "="))
print(table)
text_table_tags("enter_tag", enter_tags, stake_currency)
if (exit_reasons := results.get("exit_reason_summary")) is not None:
table = text_table_tags("exit_tag", exit_reasons, stake_currency)
if isinstance(table, str) and len(table) > 0:
print(" EXIT REASON STATS ".center(len(table.splitlines()[0]), "="))
print(table)
text_table_tags("exit_tag", exit_reasons, stake_currency)
if (mix_tag := results.get("mix_tag_stats")) is not None:
table = text_table_tags("mix_tag", mix_tag, stake_currency)
if isinstance(table, str) and len(table) > 0:
print(" MIXED TAG STATS ".center(len(table.splitlines()[0]), "="))
print(table)
text_table_tags("mix_tag", mix_tag, stake_currency)
def show_backtest_result(
@ -424,15 +413,12 @@ def show_backtest_result(
"""
# 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)
text_table_bt_results(
results["results_per_pair"], stake_currency=stake_currency, title="BACKTESTING REPORT"
)
text_table_bt_results(
results["left_open_trades"], stake_currency=stake_currency, title="LEFT OPEN TRADES REPORT"
)
_show_tag_subresults(results, stake_currency)
@ -443,20 +429,11 @@ def show_backtest_result(
days_breakdown_stats = generate_periodic_breakdown_stats(
trade_list=results["trades"], period=period
)
table = text_table_periodic_breakdown(
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]))
text_table_add_metrics(results)
print()
@ -472,15 +449,13 @@ def show_backtest_results(config: Config, backtest_stats: BacktestResultType):
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")
text_table_strategy(
backtest_stats["strategy_comparison"], stake_currency, "STRATEGY SUMMARY"
)
def show_sorted_pairlist(config: Config, backtest_stats: BacktestResultType):
@ -493,8 +468,7 @@ def show_sorted_pairlist(config: Config, backtest_stats: BacktestResultType):
print("]")
def generate_edge_table(results: dict) -> str:
floatfmt = ("s", ".10g", ".2f", ".2f", ".2f", ".2f", "d", "d", "d")
def generate_edge_table(results: dict) -> None:
tabular_data = []
headers = [
"Pair",
@ -512,17 +486,13 @@ def generate_edge_table(results: dict) -> str:
tabular_data.append(
[
result[0],
result[1].stoploss,
result[1].winrate,
result[1].risk_reward_ratio,
result[1].required_risk_reward,
result[1].expectancy,
f"{result[1].stoploss:.10g}",
f"{result[1].winrate:.2f}",
f"{result[1].risk_reward_ratio:.2f}",
f"{result[1].required_risk_reward:.2f}",
f"{result[1].expectancy:.2f}",
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="orgtbl", stralign="right"
)
print_rich_table(tabular_data, headers, summary="EDGE TABLE")

3
freqtrade/util/rich_tables.py
View File

@ -15,10 +15,11 @@ def print_rich_table(
headers: Sequence[str],
summary: Optional[str] = None,
*,
justify="right",
table_kwargs: Optional[Dict[str, Any]] = None,
) -> None:
table = Table(
*[c if isinstance(c, Column) else Column(c, justify="right") for c in headers],
*[c if isinstance(c, Column) else Column(c, justify=justify) for c in headers],
title=summary,
**(table_kwargs or {}),
)

28
tests/optimize/test_optimize_reports.py
View File

@ -59,7 +59,7 @@ def _backup_file(file: Path, copy_file: bool = False) -> None:
copyfile(file_swp, file)
def test_text_table_bt_results():
def test_text_table_bt_results(capsys):
results = pd.DataFrame(
{
"pair": ["ETH/BTC", "ETH/BTC", "ETH/BTC"],
@ -72,7 +72,8 @@ def test_text_table_bt_results():
pair_results = generate_pair_metrics(
["ETH/BTC"], stake_currency="BTC", starting_balance=4, results=results
)
text = text_table_bt_results(pair_results, stake_currency="BTC")
text_table_bt_results(pair_results, stake_currency="BTC", title="title")
text = capsys.readouterr().out
re.search(
r".* Pair .* Trades .* Avg Profit % .* Tot Profit BTC .* Tot Profit % .* "
r"Avg Duration .* Win Draw Loss Win% .*",
@ -435,7 +436,7 @@ def test_calc_streak(testdatadir):
assert calc_streak(bt_data) == (7, 18)
def test_text_table_exit_reason():
def test_text_table_exit_reason(capsys):
results = pd.DataFrame(
{
"pair": ["ETH/BTC", "ETH/BTC", "ETH/BTC"],
@ -452,7 +453,8 @@ def test_text_table_exit_reason():
exit_reason_stats = generate_tag_metrics(
"exit_reason", starting_balance=22, results=results, skip_nan=False
)
text = text_table_tags("exit_tag", exit_reason_stats, "BTC")
text_table_tags("exit_tag", exit_reason_stats, "BTC")
text = capsys.readouterr().out
assert re.search(
r".* Exit Reason .* Exits .* Avg Profit % .* Tot Profit BTC .* Tot Profit % .* "
@ -460,11 +462,11 @@ def test_text_table_exit_reason():
text,
)
assert re.search(
r".* roi .* 2 .* 15.00 .* 0.60000000 .* 2.73 .* 0:20:00 .* 2 0 0 100 .*",
r".* roi .* 2 .* 15.0 .* 0.60000000 .* 2.73 .* 0:20:00 .* 2 0 0 100 .*",
text,
)
assert re.search(
r".* stop_loss .* 1 .* -10.00 .* -0.20000000 .* -0.91 .* 0:10:00 .* 0 0 1 0 .*",
r".* stop_loss .* 1 .* -10.0 .* -0.20000000 .* -0.91 .* 0:10:00 .* 0 0 1 0 .*",
text,
)
assert re.search(
@ -507,7 +509,7 @@ def test_generate_sell_reason_stats():
assert stop_result["profit_mean_pct"] == round(stop_result["profit_mean"] * 100, 2)
def test_text_table_strategy(testdatadir):
def test_text_table_strategy(testdatadir, capsys):
filename = testdatadir / "backtest_results/backtest-result_multistrat.json"
bt_res_data = load_backtest_stats(filename)
@ -515,8 +517,10 @@ def test_text_table_strategy(testdatadir):
strategy_results = generate_strategy_comparison(bt_stats=bt_res_data["strategy"])
assert strategy_results == bt_res_data_comparison
text = text_table_strategy(strategy_results, "BTC")
text_table_strategy(strategy_results, "BTC", "STRATEGY SUMMARY")
captured = capsys.readouterr()
text = captured.out
assert re.search(
r".* Strategy .* Trades .* Avg Profit % .* Tot Profit BTC .* Tot Profit % .* "
r"Avg Duration .* Win Draw Loss Win% .* Drawdown .*",
@ -534,12 +538,12 @@ def test_text_table_strategy(testdatadir):
)
def test_generate_edge_table():
def test_generate_edge_table(capsys):
results = {}
results["ETH/BTC"] = PairInfo(-0.01, 0.60, 2, 1, 3, 10, 60)
text = generate_edge_table(results)
assert text.count("+") == 7
assert text.count("| ETH/BTC |") == 1
generate_edge_table(results)
text = capsys.readouterr().out
assert re.search(r".* ETH/BTC .*", text)
assert re.search(r".* Risk Reward Ratio .* Required Risk Reward .* Expectancy .*", text)