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Quickstart with Docker
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Installation
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Linux/MacOS/Raspberry
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Windows
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Freqtrade Basics
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Configuration
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Strategy Customization
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<a href="../strategy-callbacks/" class="md-nav__link">
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<span class="md-ellipsis">
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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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<span class="md-ellipsis">
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Stoploss
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</span>
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</a>
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</li>
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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 class="md-nav__item">
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<a href="../bot-usage/" class="md-nav__link">
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<span class="md-ellipsis">
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Start the bot
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</a>
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Control the bot
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<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_11_label" aria-expanded="false">
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Control the bot
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<a href="../telegram-usage/" class="md-nav__link">
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<span class="md-ellipsis">
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Telegram
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</span>
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</a>
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<li class="md-nav__item">
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<a href="../freq-ui/" class="md-nav__link">
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<span class="md-ellipsis">
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freqUI
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</a>
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<a href="../rest-api/" class="md-nav__link">
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<span class="md-ellipsis">
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REST API
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</a>
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<a href="../webhook-config/" class="md-nav__link">
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<span class="md-ellipsis">
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Web Hook
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</nav>
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<a href="../data-download/" class="md-nav__link">
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<span class="md-ellipsis">
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Data Downloading
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</a>
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<li class="md-nav__item">
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<a href="../backtesting/" class="md-nav__link">
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<span class="md-ellipsis">
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Backtesting
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</span>
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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="../hyperopt/" class="md-nav__link">
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<span class="md-ellipsis">
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Hyperopt
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</span>
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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 " type="checkbox" id="__nav_15" >
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<label class="md-nav__link" for="__nav_15" id="__nav_15_label" tabindex="0">
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<span class="md-ellipsis">
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FreqAI
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</span>
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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" data-md-level="1" aria-labelledby="__nav_15_label" aria-expanded="false">
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<label class="md-nav__title" for="__nav_15">
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<span class="md-nav__icon md-icon"></span>
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FreqAI
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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="../freqai/" class="md-nav__link">
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<span class="md-ellipsis">
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Introduction
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</span>
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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="../freqai-configuration/" class="md-nav__link">
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<span class="md-ellipsis">
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Configuration
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</span>
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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="../freqai-parameter-table/" class="md-nav__link">
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<span class="md-ellipsis">
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Parameter table
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</span>
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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="../freqai-feature-engineering/" class="md-nav__link">
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<span class="md-ellipsis">
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Feature engineering
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</span>
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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="../freqai-running/" class="md-nav__link">
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<span class="md-ellipsis">
|
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Running FreqAI
|
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</span>
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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="../freqai-reinforcement-learning/" class="md-nav__link">
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<span class="md-ellipsis">
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Reinforcement Learning
|
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</span>
|
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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="../freqai-developers/" class="md-nav__link">
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<span class="md-ellipsis">
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Developer guide
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</span>
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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="../leverage/" class="md-nav__link">
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<span class="md-ellipsis">
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Short / Leverage
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</span>
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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="../utils/" class="md-nav__link">
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<span class="md-ellipsis">
|
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Utility Sub-commands
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</span>
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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="../plotting/" class="md-nav__link">
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<span class="md-ellipsis">
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Plotting
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</span>
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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="../exchanges/" class="md-nav__link">
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<span class="md-ellipsis">
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Exchange-specific Notes
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--active md-nav__item--nested">
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Data Analysis
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<span class="md-nav__icon md-icon"></span>
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<span class="md-nav__icon md-icon"></span>
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Data Analysis
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<ul class="md-nav__list" data-md-scrollfix>
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<a href="../data-analysis/" class="md-nav__link">
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<span class="md-ellipsis">
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Jupyter Notebooks
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--active">
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<input class="md-nav__toggle md-toggle" type="checkbox" id="__toc">
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<label class="md-nav__link md-nav__link--active" for="__toc">
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<span class="md-ellipsis">
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Strategy analysis
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</span>
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<span class="md-nav__icon md-icon"></span>
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</label>
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<a href="./" class="md-nav__link md-nav__link--active">
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<span class="md-ellipsis">
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Strategy analysis
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</span>
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</a>
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<nav class="md-nav md-nav--secondary" aria-label="Table of contents">
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<label class="md-nav__title" for="__toc">
|
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<span class="md-nav__icon md-icon"></span>
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Table of contents
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</label>
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<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="#setup" class="md-nav__link">
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<span class="md-ellipsis">
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Setup
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</span>
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</a>
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<nav class="md-nav" aria-label="Setup">
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<ul class="md-nav__list">
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<li class="md-nav__item">
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<a href="#change-working-directory-to-repository-root" class="md-nav__link">
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<span class="md-ellipsis">
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Change Working directory to repository root
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</span>
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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="#configure-freqtrade-environment" class="md-nav__link">
|
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<span class="md-ellipsis">
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Configure Freqtrade environment
|
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</span>
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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="#load-and-run-strategy" class="md-nav__link">
|
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<span class="md-ellipsis">
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Load and run strategy
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</span>
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</a>
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<nav class="md-nav" aria-label="Load and run strategy">
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<ul class="md-nav__list">
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<li class="md-nav__item">
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<a href="#display-the-trade-details" class="md-nav__link">
|
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<span class="md-ellipsis">
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Display the trade details
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</span>
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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="#load-existing-objects-into-a-jupyter-notebook" class="md-nav__link">
|
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<span class="md-ellipsis">
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Load existing objects into a Jupyter notebook
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</span>
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</a>
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<nav class="md-nav" aria-label="Load existing objects into a Jupyter notebook">
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<ul class="md-nav__list">
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<a href="#load-backtest-results-to-pandas-dataframe" class="md-nav__link">
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<span class="md-ellipsis">
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Load backtest results to pandas dataframe
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</span>
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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="#plotting-daily-profit-equity-line" class="md-nav__link">
|
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<span class="md-ellipsis">
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Plotting daily profit / equity line
|
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</span>
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</a>
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|
|
<nav class="md-nav" aria-label="Plotting daily profit / equity line">
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<ul class="md-nav__list">
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<li class="md-nav__item">
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<a href="#load-live-trading-results-into-a-pandas-dataframe" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
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Load live trading results into a pandas dataframe
|
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</span>
|
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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="#analyze-the-loaded-trades-for-trade-parallelism" class="md-nav__link">
|
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<span class="md-ellipsis">
|
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Analyze the loaded trades for trade parallelism
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
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|
|
<li class="md-nav__item">
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<a href="#plot-results" class="md-nav__link">
|
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<span class="md-ellipsis">
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Plot results
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</span>
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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="#plot-average-profit-per-trade-as-distribution-graph" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Plot average profit per trade as distribution graph
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
</ul>
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</nav>
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</li>
|
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<h1 id="strategy-analysis-example">Strategy analysis example<a class="headerlink" href="#strategy-analysis-example" title="Permanent link">¶</a></h1>
|
|
<p>Debugging a strategy can be time-consuming. Freqtrade offers helper functions to visualize raw data.
|
|
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.
|
|
Please follow the <a href="https://www.freqtrade.io/en/stable/data-download/">documentation</a> for more details.</p>
|
|
<h2 id="setup">Setup<a class="headerlink" href="#setup" title="Permanent link">¶</a></h2>
|
|
<h3 id="change-working-directory-to-repository-root">Change Working directory to repository root<a class="headerlink" href="#change-working-directory-to-repository-root" title="Permanent link">¶</a></h3>
|
|
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">os</span>
|
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<span class="kn">from</span> <span class="nn">pathlib</span> <span class="kn">import</span> <span class="n">Path</span>
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|
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<span class="c1"># Change directory</span>
|
|
<span class="c1"># Modify this cell to insure that the output shows the correct path.</span>
|
|
<span class="c1"># Define all paths relative to the project root shown in the cell output</span>
|
|
<span class="n">project_root</span> <span class="o">=</span> <span class="s2">"somedir/freqtrade"</span>
|
|
<span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
|
|
<span class="k">try</span><span class="p">:</span>
|
|
<span class="n">os</span><span class="o">.</span><span class="n">chdir</span><span class="p">(</span><span class="n">project_root</span><span class="p">)</span>
|
|
<span class="k">if</span> <span class="ow">not</span> <span class="n">Path</span><span class="p">(</span><span class="s2">"LICENSE"</span><span class="p">)</span><span class="o">.</span><span class="n">is_file</span><span class="p">():</span>
|
|
<span class="n">i</span> <span class="o">=</span> <span class="mi">0</span>
|
|
<span class="k">while</span> <span class="n">i</span> <span class="o"><</span> <span class="mi">4</span> <span class="ow">and</span> <span class="p">(</span><span class="ow">not</span> <span class="n">Path</span><span class="p">(</span><span class="s2">"LICENSE"</span><span class="p">)</span><span class="o">.</span><span class="n">is_file</span><span class="p">()):</span>
|
|
<span class="n">os</span><span class="o">.</span><span class="n">chdir</span><span class="p">(</span><span class="n">Path</span><span class="p">(</span><span class="n">Path</span><span class="o">.</span><span class="n">cwd</span><span class="p">(),</span> <span class="s2">"../"</span><span class="p">))</span>
|
|
<span class="n">i</span> <span class="o">+=</span> <span class="mi">1</span>
|
|
<span class="n">project_root</span> <span class="o">=</span> <span class="n">Path</span><span class="o">.</span><span class="n">cwd</span><span class="p">()</span>
|
|
<span class="k">except</span> <span class="ne">FileNotFoundError</span><span class="p">:</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="s2">"Please define the project root relative to the current directory"</span><span class="p">)</span>
|
|
<span class="nb">print</span><span class="p">(</span><span class="n">Path</span><span class="o">.</span><span class="n">cwd</span><span class="p">())</span>
|
|
</code></pre></div>
|
|
<h3 id="configure-freqtrade-environment">Configure Freqtrade environment<a class="headerlink" href="#configure-freqtrade-environment" title="Permanent link">¶</a></h3>
|
|
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.configuration</span> <span class="kn">import</span> <span class="n">Configuration</span>
|
|
|
|
|
|
<span class="c1"># Customize these according to your needs.</span>
|
|
|
|
<span class="c1"># Initialize empty configuration object</span>
|
|
<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 (recommended), use existing configuration file</span>
|
|
<span class="c1"># config = Configuration.from_files(["user_data/config.json"])</span>
|
|
|
|
<span class="c1"># Define some constants</span>
|
|
<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>
|
|
<span class="c1"># Name of the strategy class</span>
|
|
<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>
|
|
<span class="c1"># Location of the data</span>
|
|
<span class="n">data_location</span> <span class="o">=</span> <span class="n">config</span><span class="p">[</span><span class="s2">"datadir"</span><span class="p">]</span>
|
|
<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>
|
|
</code></pre></div>
|
|
<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="kn">from</span> <span class="nn">freqtrade.enums</span> <span class="kn">import</span> <span class="n">CandleType</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">"json"</span><span class="p">,</span> <span class="c1"># Make sure to update this to your data</span>
|
|
<span class="n">candle_type</span><span class="o">=</span><span class="n">CandleType</span><span class="o">.</span><span class="n">SPOT</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="sa">f</span><span class="s2">"Loaded </span><span class="si">{</span><span class="nb">len</span><span class="p">(</span><span class="n">candles</span><span class="p">)</span><span class="si">}</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.data.dataprovider</span> <span class="kn">import</span> <span class="n">DataProvider</span>
|
|
<span class="kn">from</span> <span class="nn">freqtrade.resolvers</span> <span class="kn">import</span> <span class="n">StrategyResolver</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="n">strategy</span><span class="o">.</span><span class="n">ft_bot_start</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="s2">"pair"</span><span class="p">:</span> <span class="n">pair</span><span class="p">})</span>
|
|
<span class="n">df</span><span class="o">.</span><span class="n">tail</span><span class="p">()</span>
|
|
</code></pre></div>
|
|
<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="s2">"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 = (</span>
|
|
<span class="c1"># config["user_data_dir"] / "backtest_results/backtest-result-2020-07-01_20-04-22.json"</span>
|
|
<span class="c1"># )</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="s2">"SampleStrategy"</span>
|
|
<span class="c1"># All statistics are available per strategy, so if `--strategy-list` was used during backtest,</span>
|
|
<span class="c1"># 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="s2">"strategy"</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s2">"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="s2">"strategy"</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s2">"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="s2">"strategy"</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s2">"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="s2">"strategy"</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s2">"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="s2">"strategy"</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s2">"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="s2">"strategy"</span><span class="p">][</span><span class="n">strategy</span><span class="p">][</span><span class="s2">"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="s2">"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">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</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">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_stats</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="s2">"strategy"</span><span class="p">][</span><span class="n">strategy</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="n">columns</span><span class="o">=</span><span class="p">[</span><span class="s2">"dates"</span><span class="p">,</span> <span class="s2">"equity"</span><span class="p">],</span> <span class="n">data</span><span class="o">=</span><span class="n">strategy_stats</span><span class="p">[</span><span class="s2">"daily_profit"</span><span class="p">])</span>
|
|
<span class="n">df</span><span class="p">[</span><span class="s2">"equity_daily"</span><span class="p">]</span> <span class="o">=</span> <span class="n">df</span><span class="p">[</span><span class="s2">"equity"</span><span class="p">]</span><span class="o">.</span><span class="n">cumsum</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="s2">"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="s2">"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="s2">"2019-06-01"</span><span class="p">:</span><span class="s2">"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="s2">"sma20"</span><span class="p">,</span> <span class="s2">"ema50"</span><span class="p">,</span> <span class="s2">"ema55"</span><span class="p">],</span>
|
|
<span class="n">indicators2</span><span class="o">=</span><span class="p">[</span><span class="s2">"rsi"</span><span class="p">,</span> <span class="s2">"macd"</span><span class="p">,</span> <span class="s2">"macdsignal"</span><span class="p">,</span> <span class="s2">"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 separate 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>
|
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|
|
|
<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="s2">"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>
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<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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