import logging from typing import Any, Dict, List from tabulate import tabulate from freqtrade.constants import UNLIMITED_STAKE_AMOUNT, Config from freqtrade.misc import decimals_per_coin, round_coin_value from freqtrade.optimize.optimize_reports.optimize_reports import (generate_periodic_breakdown_stats, generate_wins_draws_losses) logger = logging.getLogger(__name__) def _get_line_floatfmt(stake_currency: str) -> List[str]: """ Generate floatformat (goes in line with _generate_result_line()) """ return ['s', 'd', '.2f', '.2f', f'.{decimals_per_coin(stake_currency)}f', '.2f', 'd', 's', 's'] def _get_line_header(first_column: str, stake_currency: str, direction: str = 'Entries') -> List[str]: """ Generate header lines (goes in line with _generate_result_line()) """ return [first_column, direction, 'Avg Profit %', 'Cum Profit %', f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration', 'Win Draw Loss Win%'] def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: str) -> str: """ 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 """ headers = _get_line_header('Pair', stake_currency) floatfmt = _get_line_floatfmt(stake_currency) output = [[ t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], t['profit_total_pct'], t['duration_avg'], generate_wins_draws_losses(t['wins'], t['draws'], t['losses']) ] 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") def text_table_exit_reason(exit_reason_stats: List[Dict[str, Any]], stake_currency: str) -> str: """ Generate small table outlining Backtest results :param sell_reason_stats: Exit reason metrics :param stake_currency: Stakecurrency used :return: pretty printed table with tabulate as string """ headers = [ 'Exit Reason', 'Exits', 'Win Draws Loss Win%', 'Avg Profit %', 'Cum Profit %', f'Tot Profit {stake_currency}', 'Tot Profit %', ] output = [[ t.get('exit_reason', t.get('sell_reason')), t['trades'], generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), t['profit_mean_pct'], t['profit_sum_pct'], round_coin_value(t['profit_total_abs'], stake_currency, False), t['profit_total_pct'], ] for t in exit_reason_stats] return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right") def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_currency: str) -> str: """ 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 """ if (tag_type == "enter_tag"): headers = _get_line_header("TAG", stake_currency) else: headers = _get_line_header("TAG", stake_currency, 'Exits') floatfmt = _get_line_floatfmt(stake_currency) output = [ [ t['key'] if t['key'] is not None and len( t['key']) > 0 else "OTHER", t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], t['profit_total_pct'], t['duration_avg'], generate_wins_draws_losses( t['wins'], t['draws'], t['losses'])] 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") def text_table_periodic_breakdown(days_breakdown_stats: List[Dict[str, Any]], stake_currency: str, period: str) -> str: """ 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(), f'Tot Profit {stake_currency}', 'Wins', 'Draws', 'Losses', ] output = [[ d['date'], round_coin_value(d['profit_abs'], stake_currency, False), d['wins'], d['draws'], d['loses'], ] for d in days_breakdown_stats] return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right") def text_table_strategy(strategy_results, stake_currency: str) -> str: """ Generate summary table per strategy :param strategy_results: Dict of 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) # _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. headers.append('Drawdown') # Align drawdown string on the center two space separator. if 'max_drawdown_account' in strategy_results[0]: drawdown = [f'{t["max_drawdown_account"] * 100:.2f}' for t in strategy_results] else: # Support for prior backtest results drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results] dd_pad_abs = max([len(t['max_drawdown_abs']) for t in strategy_results]) dd_pad_per = max([len(dd) for dd in drawdown]) drawdown = [f'{t["max_drawdown_abs"]:>{dd_pad_abs}} {stake_currency} {dd:>{dd_pad_per}}%' for t, dd in zip(strategy_results, drawdown)] output = [[ t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'], t['profit_total_pct'], t['duration_avg'], generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), drawdown] 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") def text_table_add_metrics(strat_results: Dict) -> str: 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']) short_metrics = [ ('', ''), # Empty line to improve readability ('Long / Short', f"{strat_results.get('trade_count_long', 'total_trades')} / " f"{strat_results.get('trade_count_short', 0)}"), ('Total profit Long %', f"{strat_results['profit_total_long']:.2%}"), ('Total profit Short %', f"{strat_results['profit_total_short']:.2%}"), ('Absolute profit Long', round_coin_value(strat_results['profit_total_long_abs'], strat_results['stake_currency'])), ('Absolute profit Short', round_coin_value(strat_results['profit_total_short_abs'], strat_results['stake_currency'])), ] if strat_results.get('trade_count_short', 0) > 0 else [] drawdown_metrics = [] if 'max_relative_drawdown' in strat_results: # Compatibility to show old hyperopt results drawdown_metrics.append( ('Max % of account underwater', f"{strat_results['max_relative_drawdown']:.2%}") ) drawdown_metrics.extend([ ('Absolute Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}") if 'max_drawdown_account' in strat_results else ( 'Drawdown', f"{strat_results['max_drawdown']:.2%}"), ('Absolute Drawdown', round_coin_value(strat_results['max_drawdown_abs'], strat_results['stake_currency'])), ('Drawdown high', round_coin_value(strat_results['max_drawdown_high'], strat_results['stake_currency'])), ('Drawdown low', round_coin_value(strat_results['max_drawdown_low'], strat_results['stake_currency'])), ('Drawdown Start', strat_results['drawdown_start']), ('Drawdown End', strat_results['drawdown_end']), ]) entry_adjustment_metrics = [ ('Canceled Trade Entries', strat_results.get('canceled_trade_entries', 'N/A')), ('Canceled Entry Orders', strat_results.get('canceled_entry_orders', 'N/A')), ('Replaced Entry Orders', strat_results.get('replaced_entry_orders', 'N/A')), ] if strat_results.get('canceled_entry_orders', 0) > 0 else [] # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show # command stores these results and newer version of freqtrade must be able to handle old # results with missing new fields. metrics = [ ('Backtesting from', strat_results['backtest_start']), ('Backtesting to', strat_results['backtest_end']), ('Max open trades', strat_results['max_open_trades']), ('', ''), # Empty line to improve readability ('Total/Daily Avg Trades', f"{strat_results['total_trades']} / {strat_results['trades_per_day']}"), ('Starting balance', round_coin_value(strat_results['starting_balance'], strat_results['stake_currency'])), ('Final balance', round_coin_value(strat_results['final_balance'], strat_results['stake_currency'])), ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'], strat_results['stake_currency'])), ('Total profit %', f"{strat_results['profit_total']:.2%}"), ('CAGR %', f"{strat_results['cagr']:.2%}" if 'cagr' in strat_results else 'N/A'), ('Sortino', f"{strat_results['sortino']:.2f}" if 'sortino' in strat_results else 'N/A'), ('Sharpe', f"{strat_results['sharpe']:.2f}" if 'sharpe' in strat_results else 'N/A'), ('Calmar', f"{strat_results['calmar']:.2f}" if 'calmar' in strat_results else 'N/A'), ('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor' in strat_results else 'N/A'), ('Expectancy (Ratio)', f"{strat_results['expectancy']:.2f} " f"({strat_results['expectancy_ratio']:.2f})"), ('Trades per day', strat_results['trades_per_day']), ('Avg. daily profit %', f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"), ('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'], strat_results['stake_currency'])), ('Total trade volume', round_coin_value(strat_results['total_volume'], strat_results['stake_currency'])), *short_metrics, ('', ''), # Empty line to improve readability ('Best Pair', f"{strat_results['best_pair']['key']} " f"{strat_results['best_pair']['profit_sum']:.2%}"), ('Worst Pair', f"{strat_results['worst_pair']['key']} " f"{strat_results['worst_pair']['profit_sum']:.2%}"), ('Best trade', f"{best_trade['pair']} {best_trade['profit_ratio']:.2%}"), ('Worst trade', f"{worst_trade['pair']} " f"{worst_trade['profit_ratio']:.2%}"), ('Best day', round_coin_value(strat_results['backtest_best_day_abs'], strat_results['stake_currency'])), ('Worst day', round_coin_value(strat_results['backtest_worst_day_abs'], strat_results['stake_currency'])), ('Days win/draw/lose', f"{strat_results['winning_days']} / " f"{strat_results['draw_days']} / {strat_results['losing_days']}"), ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"), ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"), ('Rejected Entry signals', strat_results.get('rejected_signals', 'N/A')), ('Entry/Exit Timeouts', f"{strat_results.get('timedout_entry_orders', 'N/A')} / " f"{strat_results.get('timedout_exit_orders', 'N/A')}"), *entry_adjustment_metrics, ('', ''), # Empty line to improve readability ('Min balance', round_coin_value(strat_results['csum_min'], strat_results['stake_currency'])), ('Max balance', round_coin_value(strat_results['csum_max'], strat_results['stake_currency'])), *drawdown_metrics, ('Market change', f"{strat_results['market_change']:.2%}"), ] return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl") else: start_balance = round_coin_value(strat_results['starting_balance'], strat_results['stake_currency']) stake_amount = round_coin_value( strat_results['stake_amount'], strat_results['stake_currency'] ) if strat_results['stake_amount'] != UNLIMITED_STAKE_AMOUNT else 'unlimited' message = ("No trades made. " f"Your starting balance was {start_balance}, " f"and your stake was {stake_amount}." ) return message def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str, backtest_breakdown=[]): """ Print results for one strategy """ # 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) if (results.get('results_per_enter_tag') is not None or results.get('results_per_buy_tag') is not None): # results_per_buy_tag is deprecated and should be removed 2 versions after short golive. table = text_table_tags( "enter_tag", results.get('results_per_enter_tag', results.get('results_per_buy_tag')), stake_currency=stake_currency) if isinstance(table, str) and len(table) > 0: print(' ENTER TAG STATS '.center(len(table.splitlines()[0]), '=')) print(table) exit_reasons = results.get('exit_reason_summary', results.get('sell_reason_summary')) table = text_table_exit_reason(exit_reason_stats=exit_reasons, stake_currency=stake_currency) if isinstance(table, str) and len(table) > 0: print(' EXIT REASON STATS '.center(len(table.splitlines()[0]), '=')) print(table) for period in backtest_breakdown: if period in results.get('periodic_breakdown', {}): days_breakdown_stats = results['periodic_breakdown'][period] else: days_breakdown_stats = generate_periodic_breakdown_stats( trade_list=results['trades'], period=period) table = 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])) print() def show_backtest_results(config: Config, backtest_stats: Dict): stake_currency = config['stake_currency'] for strategy, results in backtest_stats['strategy'].items(): show_backtest_result( strategy, results, stake_currency, config.get('backtest_breakdown', [])) 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') def show_sorted_pairlist(config: Config, backtest_stats: Dict): if config.get('backtest_show_pair_list', False): for strategy, results in backtest_stats['strategy'].items(): print(f"Pairs for Strategy {strategy}: \n[") for result in results['results_per_pair']: if result["key"] != 'TOTAL': print(f'"{result["key"]}", // {result["profit_mean"]:.2%}') print("]") def generate_edge_table(results: dict) -> str: floatfmt = ('s', '.10g', '.2f', '.2f', '.2f', '.2f', 'd', '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="orgtbl", stralign="right")