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1440 lines
52 KiB
HTML
1440 lines
52 KiB
HTML
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<link rel="canonical" href="https://www.freqtrade.io/2022.4.1/strategy_analysis_example/">
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<meta name="generator" content="mkdocs-1.3.0, mkdocs-material-8.2.10">
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<title>Strategy analysis - Freqtrade</title>
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<style>:root{--md-text-font:"Roboto";--md-code-font:"Roboto Mono"}</style>
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<link rel="stylesheet" href="../stylesheets/ft.extra.css">
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<script>__md_scope=new URL("..",location),__md_get=(e,_=localStorage,t=__md_scope)=>JSON.parse(_.getItem(t.pathname+"."+e)),__md_set=(e,_,t=localStorage,a=__md_scope)=>{try{t.setItem(a.pathname+"."+e,JSON.stringify(_))}catch(e){}}</script>
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</head>
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<body dir="ltr" data-md-color-scheme="default" data-md-color-primary="blue-grey" data-md-color-accent="tear">
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<label class="md-overlay" for="__drawer"></label>
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<div data-md-component="skip">
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<a href="#strategy-analysis-example" class="md-skip">
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Skip to content
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<div data-md-component="outdated" hidden>
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<header class="md-header" data-md-component="header">
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<nav class="md-header__inner md-grid" aria-label="Header">
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<a href=".." title="Freqtrade" class="md-header__button md-logo" aria-label="Freqtrade" data-md-component="logo">
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<img src="../images/logo.png" alt="logo">
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</a>
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<label class="md-header__button md-icon" for="__drawer">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M3 6h18v2H3V6m0 5h18v2H3v-2m0 5h18v2H3v-2Z"/></svg>
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<div class="md-header__title" data-md-component="header-title">
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<div class="md-header__ellipsis">
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<div class="md-header__topic">
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<span class="md-ellipsis">
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Freqtrade
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</span>
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</div>
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<div class="md-header__topic" data-md-component="header-topic">
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<span class="md-ellipsis">
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Strategy analysis
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<div class="md-search-result" data-md-component="search-result">
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<div class="md-search-result__meta">
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Initializing search
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<ol class="md-search-result__list"></ol>
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</div>
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</div>
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</div>
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</div>
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<div class="md-header__source">
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<a href="https://github.com/freqtrade/freqtrade" title="Go to repository" class="md-source" data-md-component="source">
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<div class="md-source__icon md-icon">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><!--! Font Awesome Free 6.1.1 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2022 Fonticons, Inc.--><path d="M439.55 236.05 244 40.45a28.87 28.87 0 0 0-40.81 0l-40.66 40.63 51.52 51.52c27.06-9.14 52.68 16.77 43.39 43.68l49.66 49.66c34.23-11.8 61.18 31 35.47 56.69-26.49 26.49-70.21-2.87-56-37.34L240.22 199v121.85c25.3 12.54 22.26 41.85 9.08 55a34.34 34.34 0 0 1-48.55 0c-17.57-17.6-11.07-46.91 11.25-56v-123c-20.8-8.51-24.6-30.74-18.64-45L142.57 101 8.45 235.14a28.86 28.86 0 0 0 0 40.81l195.61 195.6a28.86 28.86 0 0 0 40.8 0l194.69-194.69a28.86 28.86 0 0 0 0-40.81z"/></svg>
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</div>
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<div class="md-source__repository">
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GitHub
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</div>
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</a>
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</div>
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</nav>
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</header>
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<div class="md-container" data-md-component="container">
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<main class="md-main" data-md-component="main">
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<div class="md-main__inner md-grid">
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<!-- Main navigation -->
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<div class="md-sidebar md-sidebar--primary" data-md-component="sidebar" data-md-type="navigation" >
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<div class="md-sidebar__scrollwrap">
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<div id="widget-wrapper">
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</div>
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<div class="md-sidebar__inner">
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<nav class="md-nav md-nav--primary" aria-label="Navigation" data-md-level="0">
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<label class="md-nav__title" for="__drawer">
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<a href=".." title="Freqtrade" class="md-nav__button md-logo" aria-label="Freqtrade" data-md-component="logo">
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<img src="../images/logo.png" alt="logo">
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</a>
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Freqtrade
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</label>
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<div class="md-nav__source">
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<a href="https://github.com/freqtrade/freqtrade" title="Go to repository" class="md-source" data-md-component="source">
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<div class="md-source__icon md-icon">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><!--! Font Awesome Free 6.1.1 by @fontawesome - https://fontawesome.com License - https://fontawesome.com/license/free (Icons: CC BY 4.0, Fonts: SIL OFL 1.1, Code: MIT License) Copyright 2022 Fonticons, Inc.--><path d="M439.55 236.05 244 40.45a28.87 28.87 0 0 0-40.81 0l-40.66 40.63 51.52 51.52c27.06-9.14 52.68 16.77 43.39 43.68l49.66 49.66c34.23-11.8 61.18 31 35.47 56.69-26.49 26.49-70.21-2.87-56-37.34L240.22 199v121.85c25.3 12.54 22.26 41.85 9.08 55a34.34 34.34 0 0 1-48.55 0c-17.57-17.6-11.07-46.91 11.25-56v-123c-20.8-8.51-24.6-30.74-18.64-45L142.57 101 8.45 235.14a28.86 28.86 0 0 0 0 40.81l195.61 195.6a28.86 28.86 0 0 0 40.8 0l194.69-194.69a28.86 28.86 0 0 0 0-40.81z"/></svg>
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</div>
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<div class="md-source__repository">
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GitHub
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</div>
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</a>
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</div>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href=".." class="md-nav__link">
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Home
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../docker_quickstart/" class="md-nav__link">
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Quickstart with Docker
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</a>
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</li>
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<li class="md-nav__item md-nav__item--nested">
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<input class="md-nav__toggle md-toggle" data-md-toggle="__nav_3" type="checkbox" id="__nav_3" >
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<label class="md-nav__link" for="__nav_3">
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Installation
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<span class="md-nav__icon md-icon"></span>
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</label>
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<nav class="md-nav" aria-label="Installation" data-md-level="1">
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<label class="md-nav__title" for="__nav_3">
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<span class="md-nav__icon md-icon"></span>
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Installation
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="../installation/" class="md-nav__link">
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Linux/MacOS/Raspberry
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../windows_installation/" class="md-nav__link">
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Windows
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</a>
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</li>
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</ul>
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</nav>
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</li>
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<li class="md-nav__item">
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<a href="../bot-basics/" class="md-nav__link">
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Freqtrade Basics
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../configuration/" class="md-nav__link">
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Configuration
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../strategy-customization/" class="md-nav__link">
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Strategy Customization
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../strategy-callbacks/" class="md-nav__link">
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Strategy Callbacks
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../stoploss/" class="md-nav__link">
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Stoploss
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../plugins/" class="md-nav__link">
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Plugins
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../bot-usage/" class="md-nav__link">
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Start the bot
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</a>
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</li>
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<li class="md-nav__item md-nav__item--nested">
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<input class="md-nav__toggle md-toggle" data-md-toggle="__nav_11" type="checkbox" id="__nav_11" >
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<label class="md-nav__link" for="__nav_11">
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Control the bot
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<span class="md-nav__icon md-icon"></span>
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</label>
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<nav class="md-nav" aria-label="Control the bot" data-md-level="1">
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<label class="md-nav__title" for="__nav_11">
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<span class="md-nav__icon md-icon"></span>
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Control the bot
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="../telegram-usage/" class="md-nav__link">
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Telegram
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../rest-api/" class="md-nav__link">
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REST API & FreqUI
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../webhook-config/" class="md-nav__link">
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Web Hook
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</a>
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</li>
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</ul>
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</nav>
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</li>
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<li class="md-nav__item">
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<a href="../data-download/" class="md-nav__link">
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Data Downloading
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../backtesting/" class="md-nav__link">
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Backtesting
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</a>
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</li>
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M20.71 7.04c.39-.39.39-1.04 0-1.41l-2.34-2.34c-.37-.39-1.02-.39-1.41 0l-1.84 1.83 3.75 3.75M3 17.25V21h3.75L17.81 9.93l-3.75-3.75L3 17.25Z"/></svg>
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<h1 id="strategy-analysis-example">Strategy analysis example<a class="headerlink" href="#strategy-analysis-example" title="Permanent link">¶</a></h1>
|
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<p>Debugging a strategy can be time-consuming. Freqtrade offers helper functions to visualize raw data.
|
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The following assumes you work with SampleStrategy, data for 5m timeframe from Binance and have downloaded them into the data directory in the default location.</p>
|
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<h2 id="setup">Setup<a class="headerlink" href="#setup" title="Permanent link">¶</a></h2>
|
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<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">pathlib</span> <span class="kn">import</span> <span class="n">Path</span>
|
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<span class="kn">from</span> <span class="nn">freqtrade.configuration</span> <span class="kn">import</span> <span class="n">Configuration</span>
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<span class="c1"># Customize these according to your needs.</span>
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|
<span class="c1"># Initialize empty configuration object</span>
|
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<span class="n">config</span> <span class="o">=</span> <span class="n">Configuration</span><span class="o">.</span><span class="n">from_files</span><span class="p">([])</span>
|
|
<span class="c1"># Optionally, use existing configuration file</span>
|
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<span class="c1"># config = Configuration.from_files(["config.json"])</span>
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<span class="c1"># Define some constants</span>
|
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<span class="n">config</span><span class="p">[</span><span class="s2">"timeframe"</span><span class="p">]</span> <span class="o">=</span> <span class="s2">"5m"</span>
|
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<span class="c1"># Name of the strategy class</span>
|
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<span class="n">config</span><span class="p">[</span><span class="s2">"strategy"</span><span class="p">]</span> <span class="o">=</span> <span class="s2">"SampleStrategy"</span>
|
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<span class="c1"># Location of the data</span>
|
|
<span class="n">data_location</span> <span class="o">=</span> <span class="n">Path</span><span class="p">(</span><span class="n">config</span><span class="p">[</span><span class="s1">'user_data_dir'</span><span class="p">],</span> <span class="s1">'data'</span><span class="p">,</span> <span class="s1">'binance'</span><span class="p">)</span>
|
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<span class="c1"># Pair to analyze - Only use one pair here</span>
|
|
<span class="n">pair</span> <span class="o">=</span> <span class="s2">"BTC/USDT"</span>
|
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</code></pre></div>
|
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<div class="highlight"><pre><span></span><code><span class="c1"># Load data using values set above</span>
|
|
<span class="kn">from</span> <span class="nn">freqtrade.data.history</span> <span class="kn">import</span> <span class="n">load_pair_history</span>
|
|
|
|
<span class="n">candles</span> <span class="o">=</span> <span class="n">load_pair_history</span><span class="p">(</span><span class="n">datadir</span><span class="o">=</span><span class="n">data_location</span><span class="p">,</span>
|
|
<span class="n">timeframe</span><span class="o">=</span><span class="n">config</span><span class="p">[</span><span class="s2">"timeframe"</span><span class="p">],</span>
|
|
<span class="n">pair</span><span class="o">=</span><span class="n">pair</span><span class="p">,</span>
|
|
<span class="n">data_format</span> <span class="o">=</span> <span class="s2">"hdf5"</span><span class="p">,</span>
|
|
<span class="p">)</span>
|
|
|
|
<span class="c1"># Confirm success</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="s2">"Loaded "</span> <span class="o">+</span> <span class="nb">str</span><span class="p">(</span><span class="nb">len</span><span class="p">(</span><span class="n">candles</span><span class="p">))</span> <span class="o">+</span> <span class="sa">f</span><span class="s2">" rows of data for </span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2"> from </span><span class="si">{</span><span class="n">data_location</span><span class="si">}</span><span class="s2">"</span><span class="p">)</span>
|
|
<span class="n">candles</span><span class="o">.</span><span class="n">head</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<h2 id="load-and-run-strategy">Load and run strategy<a class="headerlink" href="#load-and-run-strategy" title="Permanent link">¶</a></h2>
|
|
<ul>
|
|
<li>Rerun each time the strategy file is changed</li>
|
|
</ul>
|
|
<div class="highlight"><pre><span></span><code><span class="c1"># Load strategy using values set above</span>
|
|
<span class="kn">from</span> <span class="nn">freqtrade.resolvers</span> <span class="kn">import</span> <span class="n">StrategyResolver</span>
|
|
<span class="kn">from</span> <span class="nn">freqtrade.data.dataprovider</span> <span class="kn">import</span> <span class="n">DataProvider</span>
|
|
<span class="n">strategy</span> <span class="o">=</span> <span class="n">StrategyResolver</span><span class="o">.</span><span class="n">load_strategy</span><span class="p">(</span><span class="n">config</span><span class="p">)</span>
|
|
<span class="n">strategy</span><span class="o">.</span><span class="n">dp</span> <span class="o">=</span> <span class="n">DataProvider</span><span class="p">(</span><span class="n">config</span><span class="p">,</span> <span class="kc">None</span><span class="p">,</span> <span class="kc">None</span><span class="p">)</span>
|
|
|
|
<span class="c1"># Generate buy/sell signals using strategy</span>
|
|
<span class="n">df</span> <span class="o">=</span> <span class="n">strategy</span><span class="o">.</span><span class="n">analyze_ticker</span><span class="p">(</span><span class="n">candles</span><span class="p">,</span> <span class="p">{</span><span class="s1">'pair'</span><span class="p">:</span> <span class="n">pair</span><span class="p">})</span>
|
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<span class="n">df</span><span class="o">.</span><span class="n">tail</span><span class="p">()</span>
|
|
</code></pre></div>
|
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<h3 id="display-the-trade-details">Display the trade details<a class="headerlink" href="#display-the-trade-details" title="Permanent link">¶</a></h3>
|
|
<ul>
|
|
<li>Note that using <code>data.head()</code> would also work, however most indicators have some "startup" data at the top of the dataframe.</li>
|
|
<li>Some possible problems
|
|
* Columns with NaN values at the end of the dataframe
|
|
* Columns used in <code>crossed*()</code> functions with completely different units</li>
|
|
<li>Comparison with full backtest
|
|
* having 200 buy signals as output for one pair from <code>analyze_ticker()</code> does not necessarily mean that 200 trades will be made during backtesting.
|
|
* Assuming you use only one condition such as, <code>df['rsi'] < 30</code> as buy condition, this will generate multiple "buy" signals for each pair in sequence (until rsi returns > 29). The bot will only buy on the first of these signals (and also only if a trade-slot ("max_open_trades") is still available), or on one of the middle signals, as soon as a "slot" becomes available. </li>
|
|
</ul>
|
|
<div class="highlight"><pre><span></span><code><span class="c1"># Report results</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="sa">f</span><span class="s2">"Generated </span><span class="si">{</span><span class="n">df</span><span class="p">[</span><span class="s1">'enter_long'</span><span class="p">]</span><span class="o">.</span><span class="n">sum</span><span class="p">()</span><span class="si">}</span><span class="s2"> entry signals"</span><span class="p">)</span>
|
|
<span class="n">data</span> <span class="o">=</span> <span class="n">df</span><span class="o">.</span><span class="n">set_index</span><span class="p">(</span><span class="s1">'date'</span><span class="p">,</span> <span class="n">drop</span><span class="o">=</span><span class="kc">False</span><span class="p">)</span>
|
|
<span class="n">data</span><span class="o">.</span><span class="n">tail</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<h2 id="load-existing-objects-into-a-jupyter-notebook">Load existing objects into a Jupyter notebook<a class="headerlink" href="#load-existing-objects-into-a-jupyter-notebook" title="Permanent link">¶</a></h2>
|
|
<p>The following cells assume that you have already generated data using the cli.<br />
|
|
They will allow you to drill deeper into your results, and perform analysis which otherwise would make the output very difficult to digest due to information overload.</p>
|
|
<h3 id="load-backtest-results-to-pandas-dataframe">Load backtest results to pandas dataframe<a class="headerlink" href="#load-backtest-results-to-pandas-dataframe" title="Permanent link">¶</a></h3>
|
|
<p>Analyze a trades dataframe (also used below for plotting)</p>
|
|
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">load_backtest_data</span><span class="p">,</span> <span class="n">load_backtest_stats</span>
|
|
|
|
<span class="c1"># if backtest_dir points to a directory, it'll automatically load the last backtest file.</span>
|
|
<span class="n">backtest_dir</span> <span class="o">=</span> <span class="n">config</span><span class="p">[</span><span class="s2">"user_data_dir"</span><span class="p">]</span> <span class="o">/</span> <span class="s2">"backtest_results"</span>
|
|
<span class="c1"># backtest_dir can also point to a specific file</span>
|
|
<span class="c1"># backtest_dir = config["user_data_dir"] / "backtest_results/backtest-result-2020-07-01_20-04-22.json"</span>
|
|
</code></pre></div>
|
|
<div class="highlight"><pre><span></span><code><span class="c1"># You can get the full backtest statistics by using the following command.</span>
|
|
<span class="c1"># This contains all information used to generate the backtest result.</span>
|
|
<span class="n">stats</span> <span class="o">=</span> <span class="n">load_backtest_stats</span><span class="p">(</span><span class="n">backtest_dir</span><span class="p">)</span>
|
|
|
|
<span class="n">strategy</span> <span class="o">=</span> <span class="s1">'SampleStrategy'</span>
|
|
<span class="c1"># All statistics are available per strategy, so if `--strategy-list` was used during backtest, this will be reflected here as well.</span>
|
|
<span class="c1"># Example usages:</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">stats</span><span class="p">[</span><span class="s1">'strategy'</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s1">'results_per_pair'</span><span class="p">])</span>
|
|
<span class="c1"># Get pairlist used for this backtest</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">stats</span><span class="p">[</span><span class="s1">'strategy'</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s1">'pairlist'</span><span class="p">])</span>
|
|
<span class="c1"># Get market change (average change of all pairs from start to end of the backtest period)</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">stats</span><span class="p">[</span><span class="s1">'strategy'</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s1">'market_change'</span><span class="p">])</span>
|
|
<span class="c1"># Maximum drawdown ()</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">stats</span><span class="p">[</span><span class="s1">'strategy'</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s1">'max_drawdown'</span><span class="p">])</span>
|
|
<span class="c1"># Maximum drawdown start and end</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">stats</span><span class="p">[</span><span class="s1">'strategy'</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s1">'drawdown_start'</span><span class="p">])</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">stats</span><span class="p">[</span><span class="s1">'strategy'</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s1">'drawdown_end'</span><span class="p">])</span>
|
|
|
|
|
|
<span class="c1"># Get strategy comparison (only relevant if multiple strategies were compared)</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">stats</span><span class="p">[</span><span class="s1">'strategy_comparison'</span><span class="p">])</span>
|
|
</code></pre></div>
|
|
<div class="highlight"><pre><span></span><code><span class="c1"># Load backtested trades as dataframe</span>
|
|
<span class="n">trades</span> <span class="o">=</span> <span class="n">load_backtest_data</span><span class="p">(</span><span class="n">backtest_dir</span><span class="p">)</span>
|
|
|
|
<span class="c1"># Show value-counts per pair</span>
|
|
<span class="n">trades</span><span class="o">.</span><span class="n">groupby</span><span class="p">(</span><span class="s2">"pair"</span><span class="p">)[</span><span class="s2">"exit_reason"</span><span class="p">]</span><span class="o">.</span><span class="n">value_counts</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<h2 id="plotting-daily-profit-equity-line">Plotting daily profit / equity line<a class="headerlink" href="#plotting-daily-profit-equity-line" title="Permanent link">¶</a></h2>
|
|
<div class="highlight"><pre><span></span><code><span class="c1"># Plotting equity line (starting with 0 on day 1 and adding daily profit for each backtested day)</span>
|
|
|
|
<span class="kn">from</span> <span class="nn">freqtrade.configuration</span> <span class="kn">import</span> <span class="n">Configuration</span>
|
|
<span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">load_backtest_data</span><span class="p">,</span> <span class="n">load_backtest_stats</span>
|
|
<span class="kn">import</span> <span class="nn">plotly.express</span> <span class="k">as</span> <span class="nn">px</span>
|
|
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
|
|
|
<span class="c1"># strategy = 'SampleStrategy'</span>
|
|
<span class="c1"># config = Configuration.from_files(["user_data/config.json"])</span>
|
|
<span class="c1"># backtest_dir = config["user_data_dir"] / "backtest_results"</span>
|
|
|
|
<span class="n">stats</span> <span class="o">=</span> <span class="n">load_backtest_stats</span><span class="p">(</span><span class="n">backtest_dir</span><span class="p">)</span>
|
|
<span class="n">strategy_stats</span> <span class="o">=</span> <span class="n">stats</span><span class="p">[</span><span class="s1">'strategy'</span><span class="p">][</span><span class="n">strategy</span><span class="p">]</span>
|
|
|
|
<span class="n">dates</span> <span class="o">=</span> <span class="p">[]</span>
|
|
<span class="n">profits</span> <span class="o">=</span> <span class="p">[]</span>
|
|
<span class="k">for</span> <span class="n">date_profit</span> <span class="ow">in</span> <span class="n">strategy_stats</span><span class="p">[</span><span class="s1">'daily_profit'</span><span class="p">]:</span>
|
|
<span class="n">dates</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">date_profit</span><span class="p">[</span><span class="mi">0</span><span class="p">])</span>
|
|
<span class="n">profits</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">date_profit</span><span class="p">[</span><span class="mi">1</span><span class="p">])</span>
|
|
|
|
<span class="n">equity</span> <span class="o">=</span> <span class="mi">0</span>
|
|
<span class="n">equity_daily</span> <span class="o">=</span> <span class="p">[]</span>
|
|
<span class="k">for</span> <span class="n">daily_profit</span> <span class="ow">in</span> <span class="n">profits</span><span class="p">:</span>
|
|
<span class="n">equity_daily</span><span class="o">.</span><span class="n">append</span><span class="p">(</span><span class="n">equity</span><span class="p">)</span>
|
|
<span class="n">equity</span> <span class="o">+=</span> <span class="nb">float</span><span class="p">(</span><span class="n">daily_profit</span><span class="p">)</span>
|
|
|
|
|
|
<span class="n">df</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">DataFrame</span><span class="p">({</span><span class="s1">'dates'</span><span class="p">:</span> <span class="n">dates</span><span class="p">,</span><span class="s1">'equity_daily'</span><span class="p">:</span> <span class="n">equity_daily</span><span class="p">})</span>
|
|
|
|
<span class="n">fig</span> <span class="o">=</span> <span class="n">px</span><span class="o">.</span><span class="n">line</span><span class="p">(</span><span class="n">df</span><span class="p">,</span> <span class="n">x</span><span class="o">=</span><span class="s2">"dates"</span><span class="p">,</span> <span class="n">y</span><span class="o">=</span><span class="s2">"equity_daily"</span><span class="p">)</span>
|
|
<span class="n">fig</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<h3 id="load-live-trading-results-into-a-pandas-dataframe">Load live trading results into a pandas dataframe<a class="headerlink" href="#load-live-trading-results-into-a-pandas-dataframe" title="Permanent link">¶</a></h3>
|
|
<p>In case you did already some trading and want to analyze your performance</p>
|
|
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">load_trades_from_db</span>
|
|
|
|
<span class="c1"># Fetch trades from database</span>
|
|
<span class="n">trades</span> <span class="o">=</span> <span class="n">load_trades_from_db</span><span class="p">(</span><span class="s2">"sqlite:///tradesv3.sqlite"</span><span class="p">)</span>
|
|
|
|
<span class="c1"># Display results</span>
|
|
<span class="n">trades</span><span class="o">.</span><span class="n">groupby</span><span class="p">(</span><span class="s2">"pair"</span><span class="p">)[</span><span class="s2">"exit_reason"</span><span class="p">]</span><span class="o">.</span><span class="n">value_counts</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<h2 id="analyze-the-loaded-trades-for-trade-parallelism">Analyze the loaded trades for trade parallelism<a class="headerlink" href="#analyze-the-loaded-trades-for-trade-parallelism" title="Permanent link">¶</a></h2>
|
|
<p>This can be useful to find the best <code>max_open_trades</code> parameter, when used with backtesting in conjunction with <code>--disable-max-market-positions</code>.</p>
|
|
<p><code>analyze_trade_parallelism()</code> returns a timeseries dataframe with an "open_trades" column, specifying the number of open trades for each candle.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">analyze_trade_parallelism</span>
|
|
|
|
<span class="c1"># Analyze the above</span>
|
|
<span class="n">parallel_trades</span> <span class="o">=</span> <span class="n">analyze_trade_parallelism</span><span class="p">(</span><span class="n">trades</span><span class="p">,</span> <span class="s1">'5m'</span><span class="p">)</span>
|
|
|
|
<span class="n">parallel_trades</span><span class="o">.</span><span class="n">plot</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<h2 id="plot-results">Plot results<a class="headerlink" href="#plot-results" title="Permanent link">¶</a></h2>
|
|
<p>Freqtrade offers interactive plotting capabilities based on plotly.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.plot.plotting</span> <span class="kn">import</span> <span class="n">generate_candlestick_graph</span>
|
|
<span class="c1"># Limit graph period to keep plotly quick and reactive</span>
|
|
|
|
<span class="c1"># Filter trades to one pair</span>
|
|
<span class="n">trades_red</span> <span class="o">=</span> <span class="n">trades</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span><span class="n">trades</span><span class="p">[</span><span class="s1">'pair'</span><span class="p">]</span> <span class="o">==</span> <span class="n">pair</span><span class="p">]</span>
|
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|
|
<span class="n">data_red</span> <span class="o">=</span> <span class="n">data</span><span class="p">[</span><span class="s1">'2019-06-01'</span><span class="p">:</span><span class="s1">'2019-06-10'</span><span class="p">]</span>
|
|
<span class="c1"># Generate candlestick graph</span>
|
|
<span class="n">graph</span> <span class="o">=</span> <span class="n">generate_candlestick_graph</span><span class="p">(</span><span class="n">pair</span><span class="o">=</span><span class="n">pair</span><span class="p">,</span>
|
|
<span class="n">data</span><span class="o">=</span><span class="n">data_red</span><span class="p">,</span>
|
|
<span class="n">trades</span><span class="o">=</span><span class="n">trades_red</span><span class="p">,</span>
|
|
<span class="n">indicators1</span><span class="o">=</span><span class="p">[</span><span class="s1">'sma20'</span><span class="p">,</span> <span class="s1">'ema50'</span><span class="p">,</span> <span class="s1">'ema55'</span><span class="p">],</span>
|
|
<span class="n">indicators2</span><span class="o">=</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">,</span> <span class="s1">'macd'</span><span class="p">,</span> <span class="s1">'macdsignal'</span><span class="p">,</span> <span class="s1">'macdhist'</span><span class="p">]</span>
|
|
<span class="p">)</span>
|
|
</code></pre></div>
|
|
<div class="highlight"><pre><span></span><code><span class="c1"># Show graph inline</span>
|
|
<span class="c1"># graph.show()</span>
|
|
|
|
<span class="c1"># Render graph in a seperate window</span>
|
|
<span class="n">graph</span><span class="o">.</span><span class="n">show</span><span class="p">(</span><span class="n">renderer</span><span class="o">=</span><span class="s2">"browser"</span><span class="p">)</span>
|
|
</code></pre></div>
|
|
<h2 id="plot-average-profit-per-trade-as-distribution-graph">Plot average profit per trade as distribution graph<a class="headerlink" href="#plot-average-profit-per-trade-as-distribution-graph" title="Permanent link">¶</a></h2>
|
|
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">plotly.figure_factory</span> <span class="k">as</span> <span class="nn">ff</span>
|
|
|
|
<span class="n">hist_data</span> <span class="o">=</span> <span class="p">[</span><span class="n">trades</span><span class="o">.</span><span class="n">profit_ratio</span><span class="p">]</span>
|
|
<span class="n">group_labels</span> <span class="o">=</span> <span class="p">[</span><span class="s1">'profit_ratio'</span><span class="p">]</span> <span class="c1"># name of the dataset</span>
|
|
|
|
<span class="n">fig</span> <span class="o">=</span> <span class="n">ff</span><span class="o">.</span><span class="n">create_distplot</span><span class="p">(</span><span class="n">hist_data</span><span class="p">,</span> <span class="n">group_labels</span><span class="p">,</span> <span class="n">bin_size</span><span class="o">=</span><span class="mf">0.01</span><span class="p">)</span>
|
|
<span class="n">fig</span><span class="o">.</span><span class="n">show</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<p>Feel free to submit an issue or Pull Request enhancing this document if you would like to share ideas on how to best analyze the data.</p>
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</article>
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