9.8 KiB
Advanced Backtesting Analysis
Analyze the buy/entry and sell/exit tags
It can be helpful to understand how a strategy behaves according to the buy/entry tags used to mark up different buy conditions. You might want to see more complex statistics about each buy and sell condition above those provided by the default backtesting output. You may also want to determine indicator values on the signal candle that resulted in a trade opening.
!!! Note The following buy reason analysis is only available for backtesting, not hyperopt.
We need to run backtesting with the --export option set to signals to enable the exporting of
signals and trades:
freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals
This will tell freqtrade to output a pickled dictionary of strategy, pairs and corresponding
DataFrame of the candles that resulted in entry and exit signals.
Depending on how many entries your strategy makes, this file may get quite large, so periodically check your user_data/backtest_results folder to delete old exports.
Before running your next backtest, make sure you either delete your old backtest results or run
backtesting with the --cache none option to make sure no cached results are used.
If all goes well, you should now see a backtest-result-{timestamp}_signals.pkl and backtest-result-{timestamp}_exited.pkl files in the user_data/backtest_results folder.
To analyze the entry/exit tags, we now need to use the freqtrade backtesting-analysis command
with --analysis-groups option provided with space-separated arguments:
freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 1 2 3 4 5
This command will read from the last backtesting results. The --analysis-groups option is
used to specify the various tabular outputs showing the profit of each group or trade,
ranging from the simplest (0) to the most detailed per pair, per buy and per sell tag (4):
- 0: overall winrate and profit summary by enter_tag
- 1: profit summaries grouped by enter_tag
- 2: profit summaries grouped by enter_tag and exit_tag
- 3: profit summaries grouped by pair and enter_tag
- 4: profit summaries grouped by pair, enter_ and exit_tag (this can get quite large)
- 5: profit summaries grouped by exit_tag
More options are available by running with the -h option.
Using export-filename
Normally, backtesting-analysis uses the latest backtest results, but if you wanted to go
back to a previous backtest output, you need to supply the --export-filename option.
You can supply the same parameter to backtest-analysis with the name of the final backtest
output file. This allows you to keep historical versions of backtest results and re-analyse
them at a later date:
freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_name> --timerange=<timerange> --export=signals --export-filename=/tmp/mystrat_backtest.json
You should see some output similar to below in the logs with the name of the timestamped filename that was exported:
2022-06-14 16:28:32,698 - freqtrade.misc - INFO - dumping json to "/tmp/mystrat_backtest-2022-06-14_16-28-32.json"
You can then use that filename in backtesting-analysis:
freqtrade backtesting-analysis -c <config.json> --export-filename=/tmp/mystrat_backtest-2022-06-14_16-28-32.json
Tuning the buy tags and sell tags to display
To show only certain buy and sell tags in the displayed output, use the following two options:
--enter-reason-list : Space-separated list of enter signals to analyse. Default: "all"
--exit-reason-list : Space-separated list of exit signals to analyse. Default: "all"
For example:
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
Outputting signal candle indicators
The real power of freqtrade backtesting-analysis comes from the ability to print out the indicator
values present on signal candles to allow fine-grained investigation and tuning of buy signal
indicators. To print out a column for a given set of indicators, use the --indicator-list
option:
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
The indicators have to be present in your strategy's main DataFrame (either for your main timeframe or for informative timeframes) otherwise they will simply be ignored in the script output.
!!! Note "Indicator List"
The indicator values will be displayed for both entry and exit points. If --indicator-list all is specified,
only the indicators at the entry point will be shown to avoid excessively large lists, which could occur depending on the strategy.
There are a range of candle and trade-related fields that are included in the analysis so are automatically accessible by including them on the indicator-list, and these include:
- open_date : trade open datetime
- close_date : trade close datetime
- min_rate : minimum price seen throughout the position
- max_rate : maximum price seen throughout the position
- open : signal candle open price
- close : signal candle close price
- high : signal candle high price
- low : signal candle low price
- volume : signal candle volume
- profit_ratio : trade profit ratio
- profit_abs : absolute profit return of the trade
Sample Output for Indicator Values
freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen
In this example,
we aim to display the chikou_span and tenkan_sen indicator values at both the entry and exit points of trades.
A sample output for indicators might look like this:
| pair | open_date | enter_reason | exit_reason | chikou_span (entry) | tenkan_sen (entry) | chikou_span (exit) | tenkan_sen (exit) |
|---|---|---|---|---|---|---|---|
| DOGE/USDT | 2024-07-06 00:35:00+00:00 | exit_signal | 0.105 | 0.106 | 0.105 | 0.107 | |
| BTC/USDT | 2024-08-05 14:20:00+00:00 | roi | 54643.440 | 51696.400 | 54386.000 | 52072.010 |
As shown in the table, chikou_span (entry) represents the indicator value at the time of trade entry,
while chikou_span (exit) reflects its value at the time of exit.
This detailed view of indicator values enhances the analysis.
The (entry) and (exit) suffixes are added to indicators
to distinguish the values at the entry and exit points of the trade.
!!! Note "Trade-wide Indicators"
Certain trade-wide indicators do not have the (entry) or (exit) suffix. These indicators include: pair, stake_amount,
max_stake_amount, amount, open_date, close_date, open_rate, close_rate, fee_open, fee_close, trade_duration,
profit_ratio, profit_abs, exit_reason,initial_stop_loss_abs, initial_stop_loss_ratio, stop_loss_abs, stop_loss_ratio,
min_rate, max_rate, is_open, enter_tag, leverage, is_short, open_timestamp, close_timestamp and orders
Filtering Indicators Based on Entry or Exit Signals
The --indicator-list option, by default, displays indicator values for both entry and exit signals. To filter the indicator values exclusively for entry signals, you can use the --entry-only argument. Similarly, to display indicator values only at exit signals, use the --exit-only argument.
Example: Display indicator values at entry signals:
freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --entry-only
Example: Display indicator values at exit signals:
freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --exit-only
!!! note
When using these filters, the indicator names will not be suffixed with (entry) or (exit).
Filtering the trade output by date
To show only trades between dates within your backtested timerange, supply the usual timerange option in YYYYMMDD-[YYYYMMDD] format:
--timerange : Timerange to filter output trades, start date inclusive, end date exclusive. e.g. 20220101-20221231
For example, if your backtest timerange was 20220101-20221231 but you only want to output trades in January:
freqtrade backtesting-analysis -c <config.json> --timerange 20220101-20220201
Printing out rejected signals
Use the --rejected-signals option to print out rejected signals.
freqtrade backtesting-analysis -c <config.json> --rejected-signals
Writing tables to CSV
Some of the tabular outputs can become large, so printing them out to the terminal is not preferable.
Use the --analysis-to-csv option to disable printing out of tables to standard out and write them to CSV files.
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv
By default this will write one file per output table you specified in the backtesting-analysis command, e.g.
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv --rejected-signals --analysis-groups 0 1
This will write to user_data/backtest_results:
- rejected_signals.csv
- group_0.csv
- group_1.csv
To override where the files will be written, also specify the --analysis-csv-path option.
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv --analysis-csv-path another/data/path/