Merge pull request #10093 from freqtrade/feat/btmarketchange

Market change visualization

freqtrade/data/btanalysis.py

@@ -238,6 +238,16 @@ def update_backtest_metadata(filename: Path, strategy: str, content: Dict[str, A
     file_dump_json(get_backtest_metadata_filename(filename), metadata)
 
 
+def get_backtest_market_change(filename: Path, include_ts: bool = True) -> pd.DataFrame:
+    """
+    Read backtest market change file.
+    """
+    df = pd.read_feather(filename)
+    if include_ts:
+        df.loc[:, '__date_ts'] = df.loc[:, 'date'].astype(np.int64) // 1000 // 1000
+    return df
+
+
 def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, str],
                                  min_backtest_date: Optional[datetime] = None) -> Dict[str, Any]:
     """

freqtrade/data/metrics.py

@@ -30,8 +30,25 @@ def calculate_market_change(data: Dict[str, pd.DataFrame], column: str = "close"
     return float(np.mean(tmp_means))
 
 
-def combine_dataframes_with_mean(data: Dict[str, pd.DataFrame],
-                                 column: str = "close") -> pd.DataFrame:
+def combine_dataframes_by_column(
+        data: Dict[str, pd.DataFrame], column: str = "close") -> pd.DataFrame:
+    """
+    Combine multiple dataframes "column"
+    :param data: Dict of Dataframes, dict key should be pair.
+    :param column: Column in the original dataframes to use
+    :return: DataFrame with the column renamed to the dict key.
+    :raise: ValueError if no data is provided.
+    """
+    if not data:
+        raise ValueError("No data provided.")
+    df_comb = pd.concat([data[pair].set_index('date').rename(
+        {column: pair}, axis=1)[pair] for pair in data], axis=1)
+    return df_comb
+
+
+def combined_dataframes_with_rel_mean(
+        data: Dict[str, pd.DataFrame], fromdt: datetime, todt: datetime,
+        column: str = "close") -> pd.DataFrame:
     """
     Combine multiple dataframes "column"
     :param data: Dict of Dataframes, dict key should be pair.
@@ -40,8 +57,26 @@ def combine_dataframes_with_mean(data: Dict[str, pd.DataFrame],
         named mean, containing the mean of all pairs.
     :raise: ValueError if no data is provided.
     """
-    df_comb = pd.concat([data[pair].set_index('date').rename(
-        {column: pair}, axis=1)[pair] for pair in data], axis=1)
+    df_comb = combine_dataframes_by_column(data, column)
+    # Trim dataframes to the given timeframe
+    df_comb = df_comb.iloc[(df_comb.index >= fromdt) & (df_comb.index < todt)]
+    df_comb['count'] = df_comb.count(axis=1)
+    df_comb['mean'] = df_comb.mean(axis=1)
+    df_comb['rel_mean'] = df_comb['mean'].pct_change().fillna(0).cumsum()
+    return df_comb[['mean', 'rel_mean', 'count']]
+
+
+def combine_dataframes_with_mean(
+        data: Dict[str, pd.DataFrame], column: str = "close") -> pd.DataFrame:
+    """
+    Combine multiple dataframes "column"
+    :param data: Dict of Dataframes, dict key should be pair.
+    :param column: Column in the original dataframes to use
+    :return: DataFrame with the column renamed to the dict key, and a column
+        named mean, containing the mean of all pairs.
+    :raise: ValueError if no data is provided.
+    """
+    df_comb = combine_dataframes_by_column(data, column)
 
     df_comb['mean'] = df_comb.mean(axis=1)
 

freqtrade/optimize/backtesting.py

@@ -19,6 +19,7 @@ from freqtrade.data import history
 from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
 from freqtrade.data.converter import trim_dataframe, trim_dataframes
 from freqtrade.data.dataprovider import DataProvider
+from freqtrade.data.metrics import combined_dataframes_with_rel_mean
 from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType, RunMode,
                              TradingMode)
 from freqtrade.exceptions import DependencyException, OperationalException
@@ -1394,7 +1395,7 @@ class Backtesting:
         """
         Run backtesting end-to-end
         """
-        data: Dict[str, Any] = {}
+        data: Dict[str, DataFrame] = {}
 
         data, timerange = self.load_bt_data()
         self.load_bt_data_detail()
@@ -1421,7 +1422,9 @@ class Backtesting:
                 self.results = results
             dt_appendix = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
             if self.config.get('export', 'none') in ('trades', 'signals'):
-                store_backtest_stats(self.config['exportfilename'], self.results, dt_appendix)
+                combined_res = combined_dataframes_with_rel_mean(data, min_date, max_date)
+                store_backtest_stats(self.config['exportfilename'], self.results, dt_appendix,
+                                     market_change_data=combined_res)
 
             if (self.config.get('export', 'none') == 'signals' and
                     self.dataprovider.runmode == RunMode.BACKTEST):

freqtrade/optimize/optimize_reports/bt_storage.py

@@ -1,6 +1,8 @@
 import logging
 from pathlib import Path
-from typing import Dict
+from typing import Dict, Optional
+
+from pandas import DataFrame
 
 from freqtrade.constants import LAST_BT_RESULT_FN
 from freqtrade.misc import file_dump_joblib, file_dump_json
@@ -11,7 +13,7 @@ from freqtrade.types import BacktestResultType
 logger = logging.getLogger(__name__)
 
 
-def generate_filename(recordfilename: Path, appendix: str, suffix: str) -> Path:
+def _generate_filename(recordfilename: Path, appendix: str, suffix: str) -> Path:
     """
     Generates a filename based on the provided parameters.
     :param recordfilename: Path object, which can either be a filename or a directory.
@@ -29,7 +31,8 @@ def generate_filename(recordfilename: Path, appendix: str, suffix: str) -> Path:
 
 
 def store_backtest_stats(
-        recordfilename: Path, stats: BacktestResultType, dtappendix: str) -> Path:
+        recordfilename: Path, stats: BacktestResultType, dtappendix: str, *,
+        market_change_data: Optional[DataFrame] = None) -> Path:
     """
     Stores backtest results
     :param recordfilename: Path object, which can either be a filename or a directory.
@@ -38,7 +41,7 @@ def store_backtest_stats(
     :param stats: Dataframe containing the backtesting statistics
     :param dtappendix: Datetime to use for the filename
     """
-    filename = generate_filename(recordfilename, dtappendix, '.json')
+    filename = _generate_filename(recordfilename, dtappendix, '.json')
 
     # Store metadata separately.
     file_dump_json(get_backtest_metadata_filename(filename), stats['metadata'])
@@ -53,6 +56,11 @@ def store_backtest_stats(
     latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN)
     file_dump_json(latest_filename, {'latest_backtest': str(filename.name)})
 
+    if market_change_data is not None:
+        filename_mc = _generate_filename(recordfilename, f"{dtappendix}_market_change", '.feather')
+        market_change_data.reset_index().to_feather(
+            filename_mc, compression_level=9, compression='lz4')
+
     return filename
 
 
@@ -69,7 +77,7 @@ def _store_backtest_analysis_data(
     :param dtappendix: Datetime to use for the filename
     :param name: Name to use for the file, e.g. signals, rejected
     """
-    filename = generate_filename(recordfilename, f"{dtappendix}_{name}", '.pkl')
+    filename = _generate_filename(recordfilename, f"{dtappendix}_{name}", '.pkl')
 
     file_dump_joblib(filename, data)
 

freqtrade/rpc/api_server/api_backtest.py

@@ -10,15 +10,16 @@ from fastapi.exceptions import HTTPException
 
 from freqtrade.configuration.config_validation import validate_config_consistency
 from freqtrade.constants import Config
-from freqtrade.data.btanalysis import (delete_backtest_result, get_backtest_result,
-                                       get_backtest_resultlist, load_and_merge_backtest_result,
-                                       update_backtest_metadata)
+from freqtrade.data.btanalysis import (delete_backtest_result, get_backtest_market_change,
+                                       get_backtest_result, get_backtest_resultlist,
+                                       load_and_merge_backtest_result, update_backtest_metadata)
 from freqtrade.enums import BacktestState
 from freqtrade.exceptions import ConfigurationError, DependencyException, OperationalException
 from freqtrade.exchange.common import remove_exchange_credentials
 from freqtrade.misc import deep_merge_dicts, is_file_in_dir
-from freqtrade.rpc.api_server.api_schemas import (BacktestHistoryEntry, BacktestMetadataUpdate,
-                                                  BacktestRequest, BacktestResponse)
+from freqtrade.rpc.api_server.api_schemas import (BacktestHistoryEntry, BacktestMarketChange,
+                                                  BacktestMetadataUpdate, BacktestRequest,
+                                                  BacktestResponse)
 from freqtrade.rpc.api_server.deps import get_config
 from freqtrade.rpc.api_server.webserver_bgwork import ApiBG
 from freqtrade.rpc.rpc import RPCException
@@ -32,8 +33,10 @@ router = APIRouter()
 
 
 def __run_backtest_bg(btconfig: Config):
+    from freqtrade.data.metrics import combined_dataframes_with_rel_mean
     from freqtrade.optimize.optimize_reports import generate_backtest_stats, store_backtest_stats
     from freqtrade.resolvers import StrategyResolver
+
     asyncio.set_event_loop(asyncio.new_event_loop())
     try:
         # Reload strategy
@@ -89,11 +92,14 @@ def __run_backtest_bg(btconfig: Config):
                 min_date=min_date, max_date=max_date)
 
         if btconfig.get('export', 'none') == 'trades':
+            combined_res = combined_dataframes_with_rel_mean(ApiBG.bt['data'], min_date, max_date)
             fn = store_backtest_stats(
-                btconfig['exportfilename'], ApiBG.bt['bt'].results,
-                datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
+                btconfig['exportfilename'],
+                ApiBG.bt['bt'].results,
+                datetime.now().strftime("%Y-%m-%d_%H-%M-%S"),
+                market_change_data=combined_res
                 )
-            ApiBG.bt['bt'].results['metadata'][strategy_name]['filename'] = str(fn.name)
+            ApiBG.bt['bt'].results['metadata'][strategy_name]['filename'] = str(fn.stem)
             ApiBG.bt['bt'].results['metadata'][strategy_name]['strategy'] = strategy_name
 
         logger.info("Backtest finished.")
@@ -308,3 +314,20 @@ def api_update_backtest_history_entry(file: str, body: BacktestMetadataUpdate,
         raise HTTPException(status_code=400, detail=str(e))
 
     return get_backtest_result(file_abs)
+
+
+@router.get('/backtest/history/{file}/market_change', response_model=BacktestMarketChange,
+            tags=['webserver', 'backtest'])
+def api_get_backtest_market_change(file: str, config=Depends(get_config)):
+    bt_results_base: Path = config['user_data_dir'] / 'backtest_results'
+    file_abs = (bt_results_base / f"{file}_market_change").with_suffix('.feather')
+    # Ensure file is in backtest_results directory
+    if not is_file_in_dir(file_abs, bt_results_base):
+        raise HTTPException(status_code=404, detail="File not found.")
+    df = get_backtest_market_change(file_abs)
+
+    return {
+        'columns': df.columns.tolist(),
+        'data': df.values.tolist(),
+        'length': len(df),
+    }

freqtrade/rpc/api_server/api_schemas.py

@@ -558,6 +558,12 @@ class BacktestMetadataUpdate(BaseModel):
     notes: str = ''
 
 
+class BacktestMarketChange(BaseModel):
+    columns: List[str]
+    length: int
+    data: List[List[Any]]
+
+
 class SysInfo(BaseModel):
     cpu_pct: List[float]
     ram_pct: float

tests/data/test_btanalysis.py

@@ -16,7 +16,7 @@ from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_
                                     calculate_expectancy, calculate_market_change,
                                     calculate_max_drawdown, calculate_sharpe, calculate_sortino,
                                     calculate_underwater, combine_dataframes_with_mean,
-                                    create_cum_profit)
+                                    combined_dataframes_with_rel_mean, create_cum_profit)
 from freqtrade.exceptions import OperationalException
 from freqtrade.util import dt_utc
 from tests.conftest import CURRENT_TEST_STRATEGY, create_mock_trades
@@ -251,10 +251,29 @@ def test_combine_dataframes_with_mean(testdatadir):
     assert "mean" in df.columns
 
 
+def test_combined_dataframes_with_rel_mean(testdatadir):
+    pairs = ["ETH/BTC", "ADA/BTC"]
+    data = load_data(datadir=testdatadir, pairs=pairs, timeframe='5m')
+    df = combined_dataframes_with_rel_mean(
+        data,
+        datetime(2018, 1, 12, tzinfo=timezone.utc),
+        datetime(2018, 1, 28, tzinfo=timezone.utc)
+    )
+    assert isinstance(df, DataFrame)
+    assert "ETH/BTC" not in df.columns
+    assert "ADA/BTC" not in df.columns
+    assert "mean" in df.columns
+    assert "rel_mean" in df.columns
+    assert "count" in df.columns
+    assert df.iloc[0]['count'] == 2
+    assert df.iloc[-1]['count'] == 2
+    assert len(df) < len(data['ETH/BTC'])
+
+
 def test_combine_dataframes_with_mean_no_data(testdatadir):
     pairs = ["ETH/BTC", "ADA/BTC"]
     data = load_data(datadir=testdatadir, pairs=pairs, timeframe='6m')
-    with pytest.raises(ValueError, match=r"No objects to concatenate"):
+    with pytest.raises(ValueError, match=r"No data provided\."):
         combine_dataframes_with_mean(data)
 
 

tests/optimize/test_optimize_reports.py

@@ -229,6 +229,28 @@ def test_store_backtest_stats(testdatadir, mocker):
     assert str(dump_mock.call_args_list[0][0][0]).startswith(str(testdatadir / 'testresult'))
 
 
+def test_store_backtest_stats_real(tmp_path):
+    data = {'metadata': {}, 'strategy': {}, 'strategy_comparison': []}
+    store_backtest_stats(tmp_path, data, '2022_01_01_15_05_13')
+
+    assert (tmp_path / 'backtest-result-2022_01_01_15_05_13.json').is_file()
+    assert (tmp_path / 'backtest-result-2022_01_01_15_05_13.meta.json').is_file()
+    assert not (tmp_path / 'backtest-result-2022_01_01_15_05_13_market_change.feather').is_file()
+    assert (tmp_path / LAST_BT_RESULT_FN).is_file()
+    fn = get_latest_backtest_filename(tmp_path)
+    assert fn == 'backtest-result-2022_01_01_15_05_13.json'
+
+    store_backtest_stats(tmp_path, data, '2024_01_01_15_05_25', market_change_data=pd.DataFrame())
+    assert (tmp_path / 'backtest-result-2024_01_01_15_05_25.json').is_file()
+    assert (tmp_path / 'backtest-result-2024_01_01_15_05_25.meta.json').is_file()
+    assert (tmp_path / 'backtest-result-2024_01_01_15_05_25_market_change.feather').is_file()
+    assert (tmp_path / LAST_BT_RESULT_FN).is_file()
+
+    # Last file reference should be updated
+    fn = get_latest_backtest_filename(tmp_path)
+    assert fn == 'backtest-result-2024_01_01_15_05_25.json'
+
+
 def test_store_backtest_candles(testdatadir, mocker):
 
     dump_mock = mocker.patch(

tests/rpc/test_rpc_apiserver.py

@@ -2249,6 +2249,42 @@ def test_api_patch_backtest_history_entry(botclient, tmp_path: Path):
     assert fileres[CURRENT_TEST_STRATEGY]['notes'] == 'FooBar'
 
 
+def test_api_patch_backtest_market_change(botclient, tmp_path: Path):
+    ftbot, client = botclient
+
+    # Create a temporary directory and file
+    bt_results_base = tmp_path / "backtest_results"
+    bt_results_base.mkdir()
+    file_path = bt_results_base / "test_22_market_change.feather"
+    df = pd.DataFrame({
+        'date': ['2018-01-01T00:00:00Z', '2018-01-01T00:05:00Z'],
+        'count': [2, 4],
+        'mean': [2555, 2556],
+        'rel_mean': [0, 0.022],
+    })
+    df['date'] = pd.to_datetime(df['date'])
+    df.to_feather(file_path, compression_level=9, compression='lz4')
+    # Nonexisting file
+    rc = client_get(client, f"{BASE_URI}/backtest/history/randomFile.json/market_change")
+    assert_response(rc, 503)
+
+    ftbot.config['user_data_dir'] = tmp_path
+    ftbot.config['runmode'] = RunMode.WEBSERVER
+
+    rc = client_get(client, f"{BASE_URI}/backtest/history/randomFile.json/market_change")
+    assert_response(rc, 404)
+
+    rc = client_get(client, f"{BASE_URI}/backtest/history/test_22/market_change")
+    assert_response(rc, 200)
+    result = rc.json()
+    assert result['length'] == 2
+    assert result['columns'] == ['date', 'count', 'mean', 'rel_mean', '__date_ts']
+    assert result['data'] == [
+        ['2018-01-01T00:00:00Z', 2, 2555, 0.0, 1514764800000],
+        ['2018-01-01T00:05:00Z', 4, 2556, 0.022, 1514765100000]
+    ]
+
+
 def test_health(botclient):
     _ftbot, client = botclient