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Merge pull request #10639 from jainanuj94/backtesting
Add entry-only and exit-only filters to --indicator-list in backtesting analysis
This commit is contained in:
Matthias
GitHub
commit
e96928588e
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@ -149,6 +149,25 @@ to distinguish the values at the entry and exit points of the trade.
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`profit_ratio`, `profit_abs`, `exit_reason`,`initial_stop_loss_abs`, `initial_stop_loss_ratio`, `stop_loss_abs`, `stop_loss_ratio`,
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`min_rate`, `max_rate`, `is_open`, `enter_tag`, `leverage`, `is_short`, `open_timestamp`, `close_timestamp` and `orders`
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#### Filtering Indicators Based on Entry or Exit Signals
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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.
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Example: Display indicator values at entry signals:
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```bash
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freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --entry-only
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```
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Example: Display indicator values at exit signals:
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```bash
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freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --exit-only
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```
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!!! note
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When using these filters, the indicator names will not be suffixed with `(entry)` or `(exit)`.
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### Filtering the trade output by date
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To show only trades between dates within your backtested timerange, supply the usual `timerange` option in `YYYYMMDD-[YYYYMMDD]` format:
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@ -228,6 +228,8 @@ ARGS_ANALYZE_ENTRIES_EXITS = [
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"enter_reason_list",
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"exit_reason_list",
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"indicator_list",
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"entry_only",
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"exit_only",
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"timerange",
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"analysis_rejected",
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"analysis_to_csv",
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@ -719,6 +719,12 @@ AVAILABLE_CLI_OPTIONS = {
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nargs="+",
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default=[],
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),
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"entry_only": Arg(
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"--entry-only", help=("Only analyze entry signals."), action="store_true", default=False
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),
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"exit_only": Arg(
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"--exit-only", help=("Only analyze exit signals."), action="store_true", default=False
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),
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"analysis_rejected": Arg(
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"--rejected-signals",
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help="Analyse rejected signals",
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@ -407,6 +407,8 @@ class Configuration:
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("enter_reason_list", "Analysis enter tag list: {}"),
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("exit_reason_list", "Analysis exit tag list: {}"),
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("indicator_list", "Analysis indicator list: {}"),
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("entry_only", "Only analyze entry signals: {}"),
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("exit_only", "Only analyze exit signals: {}"),
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("timerange", "Filter trades by timerange: {}"),
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("analysis_rejected", "Analyse rejected signals: {}"),
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("analysis_to_csv", "Store analysis tables to CSV: {}"),
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@ -263,6 +263,8 @@ def print_results(
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exit_df: pd.DataFrame,
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analysis_groups: List[str],
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indicator_list: List[str],
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entry_only: bool,
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exit_only: bool,
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csv_path: Path,
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rejected_signals=None,
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to_csv=False,
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@ -288,7 +290,7 @@ def print_results(
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if ind in res_df:
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available_inds.append(ind)
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merged_df = _merge_dfs(res_df, exit_df, available_inds)
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merged_df = _merge_dfs(res_df, exit_df, available_inds, entry_only, exit_only)
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_print_table(
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merged_df,
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@ -302,14 +304,21 @@ def print_results(
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print("\\No trades to show")
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def _merge_dfs(entry_df, exit_df, available_inds):
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def _merge_dfs(
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entry_df: pd.DataFrame,
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exit_df: pd.DataFrame,
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available_inds: List[str],
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entry_only: bool,
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exit_only: bool,
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):
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merge_on = ["pair", "open_date"]
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signal_wide_indicators = list(set(available_inds) - set(BT_DATA_COLUMNS))
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columns_to_keep = merge_on + ["enter_reason", "exit_reason"] + available_inds
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columns_to_keep = merge_on + ["enter_reason", "exit_reason"]
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if exit_df is None or exit_df.empty:
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return entry_df[columns_to_keep]
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if exit_df is None or exit_df.empty or entry_only is True:
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return entry_df[columns_to_keep + available_inds]
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if exit_only is True:
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return pd.merge(
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entry_df[columns_to_keep],
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exit_df[merge_on + signal_wide_indicators],
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@ -317,6 +326,13 @@ def _merge_dfs(entry_df, exit_df, available_inds):
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suffixes=(" (entry)", " (exit)"),
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)
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return pd.merge(
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entry_df[columns_to_keep + available_inds],
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exit_df[merge_on + signal_wide_indicators],
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on=merge_on,
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suffixes=(" (entry)", " (exit)"),
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)
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def _print_table(
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df: pd.DataFrame, sortcols=None, *, show_index=False, name=None, to_csv=False, csv_path: Path
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@ -343,9 +359,16 @@ def process_entry_exit_reasons(config: Config):
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enter_reason_list = config.get("enter_reason_list", ["all"])
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exit_reason_list = config.get("exit_reason_list", ["all"])
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indicator_list = config.get("indicator_list", [])
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entry_only = config.get("entry_only", False)
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exit_only = config.get("exit_only", False)
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do_rejected = config.get("analysis_rejected", False)
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to_csv = config.get("analysis_to_csv", False)
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csv_path = Path(config.get("analysis_csv_path", config["exportfilename"]))
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if entry_only is True and exit_only is True:
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raise OperationalException(
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"Cannot use --entry-only and --exit-only at the same time. Please choose one."
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)
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if to_csv and not csv_path.is_dir():
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raise OperationalException(f"Specified directory {csv_path} does not exist.")
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@ -400,6 +423,8 @@ def process_entry_exit_reasons(config: Config):
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exit_df,
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analysis_groups,
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indicator_list,
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entry_only,
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exit_only,
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rejected_signals=rej_df,
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to_csv=to_csv,
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csv_path=csv_path,
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@ -7,6 +7,7 @@ import pytest
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from freqtrade.commands.analyze_commands import start_analysis_entries_exits
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from freqtrade.commands.optimize_commands import start_backtesting
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from freqtrade.enums import ExitType
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from freqtrade.exceptions import OperationalException
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from freqtrade.optimize.backtesting import Backtesting
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from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file
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@ -256,3 +257,306 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "no rejected signals" in captured.out
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def test_backtest_analysis_with_invalid_config(
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default_conf, mocker, caplog, testdatadir, user_dir, capsys
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):
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caplog.set_level(logging.INFO)
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(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
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default_conf.update(
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{
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"use_exit_signal": True,
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"exit_profit_only": False,
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"exit_profit_offset": 0.0,
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"ignore_roi_if_entry_signal": False,
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}
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)
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patch_exchange(mocker)
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result1 = pd.DataFrame(
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{
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"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
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"profit_ratio": [0.025, 0.05, -0.1, -0.05],
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"profit_abs": [0.5, 2.0, -4.0, -2.0],
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"open_date": pd.to_datetime(
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[
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"2018-01-29 18:40:00",
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"2018-01-30 03:30:00",
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"2018-01-30 08:10:00",
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"2018-01-31 13:30:00",
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],
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utc=True,
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),
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"close_date": pd.to_datetime(
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[
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"2018-01-29 20:45:00",
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"2018-01-30 05:35:00",
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"2018-01-30 09:10:00",
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"2018-01-31 15:00:00",
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],
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utc=True,
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),
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"trade_duration": [235, 40, 60, 90],
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"is_open": [False, False, False, False],
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"stake_amount": [0.01, 0.01, 0.01, 0.01],
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"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
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"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
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"is_short": [False, False, False, False],
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"enter_tag": [
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"enter_tag_long_a",
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"enter_tag_long_b",
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"enter_tag_long_a",
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"enter_tag_long_b",
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],
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"exit_reason": [
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ExitType.ROI.value,
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ExitType.EXIT_SIGNAL.value,
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ExitType.STOP_LOSS.value,
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ExitType.TRAILING_STOP_LOSS.value,
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],
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}
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)
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backtestmock = MagicMock(
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side_effect=[
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{
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"results": result1,
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"config": default_conf,
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"locks": [],
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"rejected_signals": 20,
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"timedout_entry_orders": 0,
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"timedout_exit_orders": 0,
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"canceled_trade_entries": 0,
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"canceled_entry_orders": 0,
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"replaced_entry_orders": 0,
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"final_balance": 1000,
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}
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]
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)
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mocker.patch(
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"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
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PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
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)
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mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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"backtesting",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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"--timeframe",
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"5m",
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"--timerange",
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"1515560100-1517287800",
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"--export",
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"signals",
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"--cache",
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"none",
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]
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args = get_args(args)
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start_backtesting(args)
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captured = capsys.readouterr()
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assert "BACKTESTING REPORT" in captured.out
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assert "EXIT REASON STATS" in captured.out
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assert "LEFT OPEN TRADES REPORT" in captured.out
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base_args = [
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"backtesting-analysis",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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]
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# test with both entry and exit only arguments
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args = get_args(
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base_args
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+ [
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"--analysis-groups",
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"0",
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"--indicator-list",
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"close",
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"rsi",
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"profit_abs",
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"--entry-only",
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"--exit-only",
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]
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)
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with pytest.raises(
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OperationalException,
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match=r"Cannot use --entry-only and --exit-only at the same time. Please choose one.",
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):
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start_analysis_entries_exits(args)
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def test_backtest_analysis_on_entry_and_rejected_signals_only_entry_signals(
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default_conf, mocker, caplog, testdatadir, user_dir, capsys
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):
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caplog.set_level(logging.INFO)
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(user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
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default_conf.update(
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{
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"use_exit_signal": True,
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"exit_profit_only": False,
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"exit_profit_offset": 0.0,
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"ignore_roi_if_entry_signal": False,
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}
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)
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patch_exchange(mocker)
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result1 = pd.DataFrame(
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{
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"pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
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"profit_ratio": [0.025, 0.05, -0.1, -0.05],
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"profit_abs": [0.5, 2.0, -4.0, -2.0],
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"open_date": pd.to_datetime(
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[
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"2018-01-29 18:40:00",
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"2018-01-30 03:30:00",
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"2018-01-30 08:10:00",
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"2018-01-31 13:30:00",
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],
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utc=True,
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),
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"close_date": pd.to_datetime(
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[
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"2018-01-29 20:45:00",
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"2018-01-30 05:35:00",
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"2018-01-30 09:10:00",
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"2018-01-31 15:00:00",
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],
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utc=True,
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),
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"trade_duration": [235, 40, 60, 90],
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"is_open": [False, False, False, False],
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"stake_amount": [0.01, 0.01, 0.01, 0.01],
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"open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
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"close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
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"is_short": [False, False, False, False],
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"enter_tag": [
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"enter_tag_long_a",
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"enter_tag_long_b",
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"enter_tag_long_a",
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"enter_tag_long_b",
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],
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"exit_reason": [
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ExitType.ROI.value,
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ExitType.EXIT_SIGNAL.value,
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ExitType.STOP_LOSS.value,
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ExitType.TRAILING_STOP_LOSS.value,
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],
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}
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)
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backtestmock = MagicMock(
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side_effect=[
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{
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"results": result1,
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"config": default_conf,
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"locks": [],
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"rejected_signals": 20,
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"timedout_entry_orders": 0,
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"timedout_exit_orders": 0,
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"canceled_trade_entries": 0,
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"canceled_entry_orders": 0,
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"replaced_entry_orders": 0,
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"final_balance": 1000,
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}
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]
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)
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mocker.patch(
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"freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
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PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
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)
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mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
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patched_configuration_load_config_file(mocker, default_conf)
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args = [
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"backtesting",
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"--config",
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"config.json",
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"--datadir",
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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"--timeframe",
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"5m",
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"--timerange",
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||||
"1515560100-1517287800",
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"--export",
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"signals",
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"--cache",
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||||
"none",
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||||
]
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args = get_args(args)
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start_backtesting(args)
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captured = capsys.readouterr()
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assert "BACKTESTING REPORT" in captured.out
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assert "EXIT REASON STATS" in captured.out
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assert "LEFT OPEN TRADES REPORT" in captured.out
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base_args = [
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"backtesting-analysis",
|
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"--config",
|
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"config.json",
|
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"--datadir",
|
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str(testdatadir),
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"--user-data-dir",
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str(user_dir),
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]
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# test group 0 and indicator list
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args = get_args(
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base_args
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||||
+ [
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"--analysis-groups",
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||||
"0",
|
||||
"--indicator-list",
|
||||
"close",
|
||||
"rsi",
|
||||
"profit_abs",
|
||||
"--entry-only",
|
||||
]
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||||
)
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start_analysis_entries_exits(args)
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captured = capsys.readouterr()
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assert "LTC/BTC" in captured.out
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assert "ETH/BTC" in captured.out
|
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assert "enter_tag_long_a" in captured.out
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assert "enter_tag_long_b" in captured.out
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assert "exit_signal" in captured.out
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assert "roi" in captured.out
|
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assert "stop_loss" in captured.out
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assert "trailing_stop_loss" in captured.out
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assert "0.5" in captured.out
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assert "-4" in captured.out
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assert "-2" in captured.out
|
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assert "-3.5" in captured.out
|
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assert "50" in captured.out
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assert "0" in captured.out
|
||||
assert "0.016" in captured.out
|
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assert "34.049" in captured.out
|
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assert "0.104" in captured.out
|
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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
|
||||
|
|
|
|||
Loading…
Reference in New Issue
Block a user