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103 lines
4.5 KiB
Markdown
103 lines
4.5 KiB
Markdown
# Advanced Backtesting Analysis
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## Analyze the buy/entry and sell/exit tags
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It can be helpful to understand how a strategy behaves according to the buy/entry tags used to
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mark up different buy conditions. You might want to see more complex statistics about each buy and
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sell condition above those provided by the default backtesting output. You may also want to
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determine indicator values on the signal candle that resulted in a trade opening.
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!!! Note
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The following buy reason analysis is only available for backtesting, *not hyperopt*.
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We need to run backtesting with the `--export` option set to `signals` to enable the exporting of
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signals **and** trades:
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``` bash
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freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals
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```
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This will tell freqtrade to output a pickled dictionary of strategy, pairs and corresponding
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DataFrame of the candles that resulted in buy signals. Depending on how many buys your strategy
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makes, this file may get quite large, so periodically check your `user_data/backtest_results`
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folder to delete old exports.
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Before running your next backtest, make sure you either delete your old backtest results or run
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backtesting with the `--cache none` option to make sure no cached results are used.
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If all goes well, you should now see a `backtest-result-{timestamp}_signals.pkl` file in the
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`user_data/backtest_results` folder.
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To analyze the entry/exit tags, we now need to use the `freqtrade backtesting-analysis` command
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with `--analysis-groups` option provided with space-separated arguments (default `0 1 2`):
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``` bash
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freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 1 2 3 4
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```
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This command will read from the last backtesting results. The `--analysis-groups` option is
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used to specify the various tabular outputs showing the profit fo each group or trade,
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ranging from the simplest (0) to the most detailed per pair, per buy and per sell tag (4):
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* 1: profit summaries grouped by enter_tag
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* 2: profit summaries grouped by enter_tag and exit_tag
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* 3: profit summaries grouped by pair and enter_tag
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* 4: profit summaries grouped by pair, enter_ and exit_tag (this can get quite large)
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More options are available by running with the `-h` option.
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### Using export-filename
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Normally, `backtesting-analysis` uses the latest backtest results, but if you wanted to go
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back to a previous backtest output, you need to supply the `--export-filename` option.
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You can supply the same parameter to `backtest-analysis` with the name of the final backtest
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output file. This allows you to keep historical versions of backtest results and re-analyse
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them at a later date:
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``` bash
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freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals --export-filename=/tmp/mystrat_backtest.json
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```
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You should see some output similar to below in the logs with the name of the timestamped
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filename that was exported:
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```
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2022-06-14 16:28:32,698 - freqtrade.misc - INFO - dumping json to "/tmp/mystrat_backtest-2022-06-14_16-28-32.json"
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```
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You can then use that filename in `backtesting-analysis`:
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```
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freqtrade backtesting-analysis -c <config.json> --export-filename=/tmp/mystrat_backtest-2022-06-14_16-28-32.json
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```
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### Tuning the buy tags and sell tags to display
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To show only certain buy and sell tags in the displayed output, use the following two options:
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```
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--enter-reason-list : Space-separated list of enter signals to analyse. Default: "all"
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--exit-reason-list : Space-separated list of exit signals to analyse. Default: "all"
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```
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For example:
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```bash
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freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 2 --enter-reason-list enter_tag_a enter_tag_b --exit-reason-list roi custom_exit_tag_a stop_loss
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```
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### Outputting signal candle indicators
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The real power of `freqtrade backtesting-analysis` comes from the ability to print out the indicator
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values present on signal candles to allow fine-grained investigation and tuning of buy signal
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indicators. To print out a column for a given set of indicators, use the `--indicator-list`
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option:
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```bash
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freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 2 --enter-reason-list enter_tag_a enter_tag_b --exit-reason-list roi custom_exit_tag_a stop_loss --indicator-list rsi rsi_1h bb_lowerband ema_9 macd macdsignal
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```
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The indicators have to be present in your strategy's main DataFrame (either for your main
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timeframe or for informative timeframes) otherwise they will simply be ignored in the script
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output.
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