mirror of
https://github.com/freqtrade/freqtrade.git
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1580 lines
59 KiB
HTML
1580 lines
59 KiB
HTML
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<!doctype html>
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<html lang="en" class="no-js">
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<head>
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<meta charset="utf-8">
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<meta name="viewport" content="width=device-width,initial-scale=1">
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<link rel="canonical" href="https://www.freqtrade.io/2021.8/backtesting/">
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<link rel="icon" href="../images/logo.png">
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<meta name="generator" content="mkdocs-1.2.2, mkdocs-material-7.2.4">
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<title>Backtesting - Freqtrade</title>
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<link rel="stylesheet" href="../assets/stylesheets/main.f7f47774.min.css">
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<link rel="stylesheet" href="../assets/stylesheets/palette.3f5d1f46.min.css">
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<link rel="preconnect" href="https://fonts.gstatic.com" crossorigin>
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<link rel="stylesheet" href="https://fonts.googleapis.com/css?family=Roboto:300,400,400i,700%7CRoboto+Mono&display=fallback">
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<style>:root{--md-text-font-family:"Roboto";--md-code-font-family:"Roboto Mono"}</style>
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<link rel="stylesheet" href="../stylesheets/ft.extra.css">
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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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<script>function __prefix(e){return new URL("..",location).pathname+"."+e}function __get(e,t=localStorage){return JSON.parse(t.getItem(__prefix(e)))}</script>
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<script>var palette=__get("__palette");if(null!==palette&&"object"==typeof palette.color)for(var key in palette.color)document.body.setAttribute("data-md-color-"+key,palette.color[key])</script>
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<input class="md-toggle" data-md-toggle="drawer" type="checkbox" id="__drawer" autocomplete="off">
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<input class="md-toggle" data-md-toggle="search" type="checkbox" id="__search" autocomplete="off">
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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="#backtesting" class="md-skip">
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Skip to content
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</a>
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</div>
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<div data-md-component="announce">
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</div>
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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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</label>
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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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Backtesting
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</span>
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</div>
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</div>
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</div>
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<form class="md-header__option" data-md-component="palette">
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<input class="md-option" data-md-color-media="" data-md-color-scheme="default" data-md-color-primary="blue-grey" data-md-color-accent="tear" aria-label="Switch to dark mode" type="radio" name="__palette" id="__palette_1">
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<label class="md-header__button md-icon" title="Switch to dark mode" for="__palette_2" hidden>
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M7 10a2 2 0 0 1 2 2 2 2 0 0 1-2 2 2 2 0 0 1-2-2 2 2 0 0 1 2-2m10-3a5 5 0 0 1 5 5 5 5 0 0 1-5 5H7a5 5 0 0 1-5-5 5 5 0 0 1 5-5h10M7 9a3 3 0 0 0-3 3 3 3 0 0 0 3 3h10a3 3 0 0 0 3-3 3 3 0 0 0-3-3H7z"/></svg>
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</label>
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<input class="md-option" data-md-color-media="" data-md-color-scheme="slate" data-md-color-primary="blue-grey" data-md-color-accent="tear" aria-label="Switch to dark mode" type="radio" name="__palette" id="__palette_2">
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<label class="md-header__button md-icon" title="Switch to dark mode" for="__palette_1" hidden>
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M7 10a2 2 0 0 1 2 2 2 2 0 0 1-2 2 2 2 0 0 1-2-2 2 2 0 0 1 2-2m10-3a5 5 0 0 1 5 5 5 5 0 0 1-5 5H7a5 5 0 0 1-5-5 5 5 0 0 1 5-5h10M7 9a3 3 0 0 0-3 3 3 3 0 0 0 3 3h10a3 3 0 0 0 3-3 3 3 0 0 0-3-3H7z"/></svg>
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</label>
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</form>
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<label class="md-header__button md-icon" for="__search">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5z"/></svg>
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</label>
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<div class="md-search" data-md-component="search" role="dialog">
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<label class="md-search__overlay" for="__search"></label>
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<div class="md-search__inner" role="search">
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<form class="md-search__form" name="search">
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<input type="text" class="md-search__input" name="query" aria-label="Search" placeholder="Search" autocapitalize="off" autocorrect="off" autocomplete="off" spellcheck="false" data-md-component="search-query" required>
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<label class="md-search__icon md-icon" for="__search">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5z"/></svg>
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M20 11v2H8l5.5 5.5-1.42 1.42L4.16 12l7.92-7.92L13.5 5.5 8 11h12z"/></svg>
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</label>
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<nav class="md-search__options" aria-label="Search">
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<button type="reset" class="md-search__icon md-icon" aria-label="Clear" tabindex="-1">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M19 6.41 17.59 5 12 10.59 6.41 5 5 6.41 10.59 12 5 17.59 6.41 19 12 13.41 17.59 19 19 17.59 13.41 12 19 6.41z"/></svg>
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</button>
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</nav>
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</form>
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<div class="md-search__output">
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<div class="md-search__scrollwrap" data-md-scrollfix>
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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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</div>
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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>
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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"><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"><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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||
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||
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||
|
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||
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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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||
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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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|
||
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|
||
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||
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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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||
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||
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||
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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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||
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||
|
||
|
||
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|
||
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|
||
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||
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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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||
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|
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|
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|
||
|
||
|
||
|
||
<li class="md-nav__item md-nav__item--nested">
|
||
|
||
|
||
<input class="md-nav__toggle md-toggle" data-md-toggle="__nav_10" type="checkbox" id="__nav_10" >
|
||
|
||
<label class="md-nav__link" for="__nav_10">
|
||
Control the bot
|
||
<span class="md-nav__icon md-icon"></span>
|
||
</label>
|
||
<nav class="md-nav" aria-label="Control the bot" data-md-level="1">
|
||
<label class="md-nav__title" for="__nav_10">
|
||
<span class="md-nav__icon md-icon"></span>
|
||
Control the bot
|
||
</label>
|
||
<ul class="md-nav__list" data-md-scrollfix>
|
||
|
||
|
||
|
||
|
||
|
||
<li class="md-nav__item">
|
||
<a href="../telegram-usage/" class="md-nav__link">
|
||
Telegram
|
||
</a>
|
||
</li>
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
<li class="md-nav__item">
|
||
<a href="../rest-api/" class="md-nav__link">
|
||
REST API & FreqUI
|
||
</a>
|
||
</li>
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
<li class="md-nav__item">
|
||
<a href="../webhook-config/" class="md-nav__link">
|
||
Web Hook
|
||
</a>
|
||
</li>
|
||
|
||
|
||
|
||
</ul>
|
||
</nav>
|
||
</li>
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
<li class="md-nav__item">
|
||
<a href="../data-download/" class="md-nav__link">
|
||
Data Downloading
|
||
</a>
|
||
</li>
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
|
||
<li class="md-nav__item md-nav__item--active">
|
||
|
||
<input class="md-nav__toggle md-toggle" data-md-toggle="toc" type="checkbox" id="__toc">
|
||
|
||
|
||
|
||
|
||
|
||
<label class="md-nav__link md-nav__link--active" for="__toc">
|
||
Backtesting
|
||
<span class="md-nav__icon md-icon"></span>
|
||
</label>
|
||
|
||
<a href="./" class="md-nav__link md-nav__link--active">
|
||
Backtesting
|
||
</a>
|
||
|
||
|
||
<nav class="md-nav md-nav--secondary" aria-label="Table of contents">
|
||
|
||
|
||
|
||
|
||
|
||
|
||
<label class="md-nav__title" for="__toc">
|
||
<span class="md-nav__icon md-icon"></span>
|
||
Table of contents
|
||
</label>
|
||
<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#backtesting-command-reference" class="md-nav__link">
|
||
Backtesting command reference
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#test-your-strategy-with-backtesting" class="md-nav__link">
|
||
Test your strategy with Backtesting
|
||
</a>
|
||
|
||
<nav class="md-nav" aria-label="Test your strategy with Backtesting">
|
||
<ul class="md-nav__list">
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#starting-balance" class="md-nav__link">
|
||
Starting balance
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#dynamic-stake-amount" class="md-nav__link">
|
||
Dynamic stake amount
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#example-backtesting-commands" class="md-nav__link">
|
||
Example backtesting commands
|
||
</a>
|
||
|
||
</li>
|
||
|
||
</ul>
|
||
</nav>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#understand-the-backtesting-result" class="md-nav__link">
|
||
Understand the backtesting result
|
||
</a>
|
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|
||
<nav class="md-nav" aria-label="Understand the backtesting result">
|
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<ul class="md-nav__list">
|
||
|
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<li class="md-nav__item">
|
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<a href="#backtesting-report-table" class="md-nav__link">
|
||
Backtesting report table
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#sell-reasons-table" class="md-nav__link">
|
||
Sell reasons table
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#left-open-trades-table" class="md-nav__link">
|
||
Left open trades table
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#summary-metrics" class="md-nav__link">
|
||
Summary metrics
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#assumptions-made-by-backtesting" class="md-nav__link">
|
||
Assumptions made by backtesting
|
||
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|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#further-backtest-result-analysis" class="md-nav__link">
|
||
Further backtest-result analysis
|
||
</a>
|
||
|
||
</li>
|
||
|
||
</ul>
|
||
</nav>
|
||
|
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</li>
|
||
|
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<li class="md-nav__item">
|
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<a href="#backtesting-multiple-strategies" class="md-nav__link">
|
||
Backtesting multiple strategies
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#next-step" class="md-nav__link">
|
||
Next step
|
||
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|
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</ul>
|
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</nav>
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|
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|
||
|
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|
||
<li class="md-nav__item">
|
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<a href="../hyperopt/" class="md-nav__link">
|
||
Hyperopt
|
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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">
|
||
Utility Sub-commands
|
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</a>
|
||
</li>
|
||
|
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||
|
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|
||
|
||
|
||
|
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|
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|
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<li class="md-nav__item">
|
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<a href="../plotting/" class="md-nav__link">
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Plotting
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</a>
|
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</li>
|
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|
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Data Analysis
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<a href="../data-analysis/" class="md-nav__link">
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Jupyter Notebooks
|
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</a>
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|
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|
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|
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<a href="../strategy_analysis_example/" class="md-nav__link">
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Strategy analysis
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|
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</nav>
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|
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<li class="md-nav__item">
|
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<a href="../exchanges/" class="md-nav__link">
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Exchange-specific Notes
|
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</a>
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</li>
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|
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<a href="../advanced-setup/" class="md-nav__link">
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Advanced Post-installation Tasks
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</a>
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Edge Positioning
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Advanced Strategy
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|
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|
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|
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<a href="../advanced-hyperopt/" class="md-nav__link">
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Advanced Hyperopt
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</a>
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|
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|
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|
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|
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<li class="md-nav__item">
|
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<a href="../sandbox-testing/" class="md-nav__link">
|
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Sandbox Testing
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|
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|
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|
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|
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</ul>
|
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</nav>
|
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FAQ
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SQL Cheat-sheet
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<a href="../updating/" class="md-nav__link">
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Updating Freqtrade
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<a href="../deprecated/" class="md-nav__link">
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Deprecated Features
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</a>
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Contributors Guide
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|
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|
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</nav>
|
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|
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</div>
|
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</div>
|
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|
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|
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<!-- Table of contents -->
|
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|
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|
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<div class="md-sidebar md-sidebar--secondary" data-md-component="sidebar" data-md-type="toc" >
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<div class="md-sidebar__scrollwrap">
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<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
|
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|
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<li class="md-nav__item">
|
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<a href="#backtesting-command-reference" class="md-nav__link">
|
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Backtesting command reference
|
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</a>
|
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|
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</li>
|
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|
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<li class="md-nav__item">
|
||
<a href="#test-your-strategy-with-backtesting" class="md-nav__link">
|
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Test your strategy with Backtesting
|
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|
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Starting balance
|
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</a>
|
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|
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|
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<li class="md-nav__item">
|
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<a href="#dynamic-stake-amount" class="md-nav__link">
|
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Dynamic stake amount
|
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</a>
|
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</li>
|
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|
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<li class="md-nav__item">
|
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<a href="#example-backtesting-commands" class="md-nav__link">
|
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Example backtesting commands
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|
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</ul>
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</nav>
|
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Understand the backtesting result
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Backtesting report table
|
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</a>
|
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</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#sell-reasons-table" class="md-nav__link">
|
||
Sell reasons table
|
||
</a>
|
||
|
||
</li>
|
||
|
||
<li class="md-nav__item">
|
||
<a href="#left-open-trades-table" class="md-nav__link">
|
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Left open trades table
|
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</a>
|
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|
||
</li>
|
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|
||
<li class="md-nav__item">
|
||
<a href="#summary-metrics" class="md-nav__link">
|
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Summary metrics
|
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</a>
|
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</li>
|
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|
||
<li class="md-nav__item">
|
||
<a href="#assumptions-made-by-backtesting" class="md-nav__link">
|
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Assumptions made by backtesting
|
||
</a>
|
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|
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</li>
|
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|
||
<li class="md-nav__item">
|
||
<a href="#further-backtest-result-analysis" class="md-nav__link">
|
||
Further backtest-result analysis
|
||
</a>
|
||
|
||
</li>
|
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|
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</ul>
|
||
</nav>
|
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</li>
|
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|
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<li class="md-nav__item">
|
||
<a href="#backtesting-multiple-strategies" class="md-nav__link">
|
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Backtesting multiple strategies
|
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</a>
|
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</li>
|
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|
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<li class="md-nav__item">
|
||
<a href="#next-step" class="md-nav__link">
|
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Next step
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</li>
|
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|
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</ul>
|
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|
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</nav>
|
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</div>
|
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</div>
|
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|
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|
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<div class="md-content" data-md-component="content">
|
||
<article class="md-content__inner md-typeset">
|
||
|
||
|
||
<a href="https://github.com/freqtrade/freqtrade/edit/master/docs/backtesting.md" title="Edit this page" class="md-content__button md-icon">
|
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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>
|
||
</a>
|
||
|
||
|
||
<h1 id="backtesting">Backtesting<a class="headerlink" href="#backtesting" title="Permanent link">¶</a></h1>
|
||
<p>This page explains how to validate your strategy performance by using Backtesting.</p>
|
||
<p>Backtesting requires historic data to be available.
|
||
To learn how to get data for the pairs and exchange you're interested in, head over to the <a href="../data-download/">Data Downloading</a> section of the documentation.</p>
|
||
<h2 id="backtesting-command-reference">Backtesting command reference<a class="headerlink" href="#backtesting-command-reference" title="Permanent link">¶</a></h2>
|
||
<p>```
|
||
usage: freqtrade backtesting [-h] [-v] [--logfile FILE] [-V] [-c PATH]
|
||
[-d PATH] [--userdir PATH] [-s NAME]
|
||
[--strategy-path PATH] [-i TIMEFRAME]
|
||
[--timerange TIMERANGE]
|
||
[--data-format-ohlcv {json,jsongz,hdf5}]
|
||
[--max-open-trades INT]
|
||
[--stake-amount STAKE_AMOUNT] [--fee FLOAT]
|
||
[-p PAIRS [PAIRS ...]] [--eps] [--dmmp]
|
||
[--enable-protections]
|
||
[--dry-run-wallet DRY_RUN_WALLET]
|
||
[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
|
||
[--export {none,trades}] [--export-filename PATH]</p>
|
||
<p>optional arguments:
|
||
-h, --help show this help message and exit
|
||
-i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME
|
||
Specify timeframe (<code>1m</code>, <code>5m</code>, <code>30m</code>, <code>1h</code>, <code>1d</code>).
|
||
--timerange TIMERANGE
|
||
Specify what timerange of data to use.
|
||
--data-format-ohlcv {json,jsongz,hdf5}
|
||
Storage format for downloaded candle (OHLCV) data.
|
||
(default: <code>None</code>).
|
||
--max-open-trades INT
|
||
Override the value of the <code>max_open_trades</code>
|
||
configuration setting.
|
||
--stake-amount STAKE_AMOUNT
|
||
Override the value of the <code>stake_amount</code> configuration
|
||
setting.
|
||
--fee FLOAT Specify fee ratio. Will be applied twice (on trade
|
||
entry and exit).
|
||
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
|
||
Limit command to these pairs. Pairs are space-
|
||
separated.
|
||
--eps, --enable-position-stacking
|
||
Allow buying the same pair multiple times (position
|
||
stacking).
|
||
--dmmp, --disable-max-market-positions
|
||
Disable applying <code>max_open_trades</code> during backtest
|
||
(same as setting <code>max_open_trades</code> to a very high
|
||
number).
|
||
--enable-protections, --enableprotections
|
||
Enable protections for backtesting.Will slow
|
||
backtesting down by a considerable amount, but will
|
||
include configured protections
|
||
--dry-run-wallet DRY_RUN_WALLET, --starting-balance DRY_RUN_WALLET
|
||
Starting balance, used for backtesting / hyperopt and
|
||
dry-runs.
|
||
--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]
|
||
Provide a space-separated list of strategies to
|
||
backtest. Please note that ticker-interval needs to be
|
||
set either in config or via command line. When using
|
||
this together with <code>--export trades</code>, the strategy-
|
||
name is injected into the filename (so <code>backtest-
|
||
data.json</code> becomes <code>backtest-data-
|
||
SampleStrategy.json</code>
|
||
--export {none,trades}
|
||
Export backtest results (default: trades).
|
||
--export-filename PATH
|
||
Save backtest results to the file with this filename.
|
||
Requires <code>--export</code> to be set as well. Example:
|
||
<code>--export-filename=user_data/backtest_results/backtest
|
||
_today.json</code></p>
|
||
<p>Common arguments:
|
||
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
|
||
--logfile FILE Log to the file specified. Special values are:
|
||
'syslog', 'journald'. See the documentation for more
|
||
details.
|
||
-V, --version show program's version number and exit
|
||
-c PATH, --config PATH
|
||
Specify configuration file (default:
|
||
<code>userdir/config.json</code> or <code>config.json</code> whichever
|
||
exists). Multiple --config options may be used. Can be
|
||
set to <code>-</code> to read config from stdin.
|
||
-d PATH, --datadir PATH
|
||
Path to directory with historical backtesting data.
|
||
--userdir PATH, --user-data-dir PATH
|
||
Path to userdata directory.</p>
|
||
<p>Strategy arguments:
|
||
-s NAME, --strategy NAME
|
||
Specify strategy class name which will be used by the
|
||
bot.
|
||
--strategy-path PATH Specify additional strategy lookup path.</p>
|
||
<p>```</p>
|
||
<h2 id="test-your-strategy-with-backtesting">Test your strategy with Backtesting<a class="headerlink" href="#test-your-strategy-with-backtesting" title="Permanent link">¶</a></h2>
|
||
<p>Now you have good Buy and Sell strategies and some historic data, you want to test it against
|
||
real data. This is what we call <a href="https://en.wikipedia.org/wiki/Backtesting">backtesting</a>.</p>
|
||
<p>Backtesting will use the crypto-currencies (pairs) from your config file and load historical candle (OHLCV) data from <code>user_data/data/<exchange></code> by default.
|
||
If no data is available for the exchange / pair / timeframe combination, backtesting will ask you to download them first using <code>freqtrade download-data</code>.
|
||
For details on downloading, please refer to the <a href="../data-download/">Data Downloading</a> section in the documentation.</p>
|
||
<p>The result of backtesting will confirm if your bot has better odds of making a profit than a loss.</p>
|
||
<p>All profit calculations include fees, and freqtrade will use the exchange's default fees for the calculation.</p>
|
||
<div class="admonition warning">
|
||
<p class="admonition-title">Using dynamic pairlists for backtesting</p>
|
||
<p>Using dynamic pairlists is possible, however it relies on the current market conditions - which will not reflect the historic status of the pairlist.
|
||
Also, when using pairlists other than StaticPairlist, reproducibility of backtesting-results cannot be guaranteed.
|
||
Please read the <a href="../plugins/#pairlists">pairlists documentation</a> for more information.</p>
|
||
<p>To achieve reproducible results, best generate a pairlist via the <a href="../utils/#test-pairlist"><code>test-pairlist</code></a> command and use that as static pairlist.</p>
|
||
</div>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>By default, Freqtrade will export backtesting results to <code>user_data/backtest_results</code>.
|
||
The exported trades can be used for <a href="#further-backtest-result-analysis">further analysis</a> or can be used by the <a href="../plotting/#plot-price-and-indicators">plotting sub-command</a> (<code>freqtrade plot-dataframe</code>) in the scripts directory.</p>
|
||
</div>
|
||
<h3 id="starting-balance">Starting balance<a class="headerlink" href="#starting-balance" title="Permanent link">¶</a></h3>
|
||
<p>Backtesting will require a starting balance, which can be provided as <code>--dry-run-wallet <balance></code> or <code>--starting-balance <balance></code> command line argument, or via <code>dry_run_wallet</code> configuration setting.
|
||
This amount must be higher than <code>stake_amount</code>, otherwise the bot will not be able to simulate any trade.</p>
|
||
<h3 id="dynamic-stake-amount">Dynamic stake amount<a class="headerlink" href="#dynamic-stake-amount" title="Permanent link">¶</a></h3>
|
||
<p>Backtesting supports <a href="../configuration/#dynamic-stake-amount">dynamic stake amount</a> by configuring <code>stake_amount</code> as <code>"unlimited"</code>, which will split the starting balance into <code>max_open_trades</code> pieces.
|
||
Profits from early trades will result in subsequent higher stake amounts, resulting in compounding of profits over the backtesting period.</p>
|
||
<h3 id="example-backtesting-commands">Example backtesting commands<a class="headerlink" href="#example-backtesting-commands" title="Permanent link">¶</a></h3>
|
||
<p>With 5 min candle (OHLCV) data (per default)</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --strategy AwesomeStrategy</code></p>
|
||
<p>Where <code>--strategy AwesomeStrategy</code> / <code>-s AwesomeStrategy</code> refers to the class name of the strategy, which is within a python file in the <code>user_data/strategies</code> directory.</p>
|
||
<hr />
|
||
<p>With 1 min candle (OHLCV) data</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --strategy AwesomeStrategy --timeframe 1m</code></p>
|
||
<hr />
|
||
<p>Providing a custom starting balance of 1000 (in stake currency)</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --strategy AwesomeStrategy --dry-run-wallet 1000</code></p>
|
||
<hr />
|
||
<p>Using a different on-disk historical candle (OHLCV) data source</p>
|
||
<p>Assume you downloaded the history data from the Bittrex exchange and kept it in the <code>user_data/data/bittrex-20180101</code> directory.
|
||
You can then use this data for backtesting as follows:</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --strategy AwesomeStrategy --datadir user_data/data/bittrex-20180101</code></p>
|
||
<hr />
|
||
<p>Comparing multiple Strategies</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --strategy-list SampleStrategy1 AwesomeStrategy --timeframe 5m</code></p>
|
||
<p>Where <code>SampleStrategy1</code> and <code>AwesomeStrategy</code> refer to class names of strategies.</p>
|
||
<hr />
|
||
<p>Prevent exporting trades to file</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --strategy backtesting --export none --config config.json</code></p>
|
||
<p>Only use this if you're sure you'll not want to plot or analyze your results further.</p>
|
||
<hr />
|
||
<p>Exporting trades to file specifying a custom filename</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --strategy backtesting --export trades --export-filename=backtest_samplestrategy.json</code></p>
|
||
<p>Please also read about the <a href="../strategy-customization/#strategy-startup-period">strategy startup period</a>.</p>
|
||
<hr />
|
||
<p>Supplying custom fee value</p>
|
||
<p>Sometimes your account has certain fee rebates (fee reductions starting with a certain account size or monthly volume), which are not visible to ccxt.
|
||
To account for this in backtesting, you can use the <code>--fee</code> command line option to supply this value to backtesting.
|
||
This fee must be a ratio, and will be applied twice (once for trade entry, and once for trade exit).</p>
|
||
<p>For example, if the buying and selling commission fee is 0.1% (i.e., 0.001 written as ratio), then you would run backtesting as the following:</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --fee 0.001</code></p>
|
||
<div class="admonition note">
|
||
<p class="admonition-title">Note</p>
|
||
<p>Only supply this option (or the corresponding configuration parameter) if you want to experiment with different fee values. By default, Backtesting fetches the default fee from the exchange pair/market info.</p>
|
||
</div>
|
||
<hr />
|
||
<p>Running backtest with smaller test-set by using timerange</p>
|
||
<p>Use the <code>--timerange</code> argument to change how much of the test-set you want to use.</p>
|
||
<p>For example, running backtesting with the <code>--timerange=20190501-</code> option will use all available data starting with May 1<sup>st</sup>, 2019 from your input data.</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --timerange=20190501-</code></p>
|
||
<p>You can also specify particular date ranges.</p>
|
||
<p>The full timerange specification:</p>
|
||
<ul>
|
||
<li>Use data until 2018/01/31: <code>--timerange=-20180131</code></li>
|
||
<li>Use data since 2018/01/31: <code>--timerange=20180131-</code></li>
|
||
<li>Use data since 2018/01/31 till 2018/03/01 : <code>--timerange=20180131-20180301</code></li>
|
||
<li>Use data between POSIX / epoch timestamps 1527595200 1527618600: <code>--timerange=1527595200-1527618600</code></li>
|
||
</ul>
|
||
<h2 id="understand-the-backtesting-result">Understand the backtesting result<a class="headerlink" href="#understand-the-backtesting-result" title="Permanent link">¶</a></h2>
|
||
<p>The most important in the backtesting is to understand the result.</p>
|
||
<p>A backtesting result will look like that:</p>
|
||
<p><code>========================================================= BACKTESTING REPORT ==========================================================
|
||
| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins Draws Loss Win% |
|
||
|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:-------------|-------------------------:|
|
||
| ADA/BTC | 35 | -0.11 | -3.88 | -0.00019428 | -1.94 | 4:35:00 | 14 0 21 40.0 |
|
||
| ARK/BTC | 11 | -0.41 | -4.52 | -0.00022647 | -2.26 | 2:03:00 | 3 0 8 27.3 |
|
||
| BTS/BTC | 32 | 0.31 | 9.78 | 0.00048938 | 4.89 | 5:05:00 | 18 0 14 56.2 |
|
||
| DASH/BTC | 13 | -0.08 | -1.07 | -0.00005343 | -0.53 | 4:39:00 | 6 0 7 46.2 |
|
||
| ENG/BTC | 18 | 1.36 | 24.54 | 0.00122807 | 12.27 | 2:50:00 | 8 0 10 44.4 |
|
||
| EOS/BTC | 36 | 0.08 | 3.06 | 0.00015304 | 1.53 | 3:34:00 | 16 0 20 44.4 |
|
||
| ETC/BTC | 26 | 0.37 | 9.51 | 0.00047576 | 4.75 | 6:14:00 | 11 0 15 42.3 |
|
||
| ETH/BTC | 33 | 0.30 | 9.96 | 0.00049856 | 4.98 | 7:31:00 | 16 0 17 48.5 |
|
||
| IOTA/BTC | 32 | 0.03 | 1.09 | 0.00005444 | 0.54 | 3:12:00 | 14 0 18 43.8 |
|
||
| LSK/BTC | 15 | 1.75 | 26.26 | 0.00131413 | 13.13 | 2:58:00 | 6 0 9 40.0 |
|
||
| LTC/BTC | 32 | -0.04 | -1.38 | -0.00006886 | -0.69 | 4:49:00 | 11 0 21 34.4 |
|
||
| NANO/BTC | 17 | 1.26 | 21.39 | 0.00107058 | 10.70 | 1:55:00 | 10 0 7 58.5 |
|
||
| NEO/BTC | 23 | 0.82 | 18.97 | 0.00094936 | 9.48 | 2:59:00 | 10 0 13 43.5 |
|
||
| REQ/BTC | 9 | 1.17 | 10.54 | 0.00052734 | 5.27 | 3:47:00 | 4 0 5 44.4 |
|
||
| XLM/BTC | 16 | 1.22 | 19.54 | 0.00097800 | 9.77 | 3:15:00 | 7 0 9 43.8 |
|
||
| XMR/BTC | 23 | -0.18 | -4.13 | -0.00020696 | -2.07 | 5:30:00 | 12 0 11 52.2 |
|
||
| XRP/BTC | 35 | 0.66 | 22.96 | 0.00114897 | 11.48 | 3:49:00 | 12 0 23 34.3 |
|
||
| ZEC/BTC | 22 | -0.46 | -10.18 | -0.00050971 | -5.09 | 2:22:00 | 7 0 15 31.8 |
|
||
| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 0 243 43.4 |
|
||
========================================================= SELL REASON STATS ==========================================================
|
||
| Sell Reason | Sells | Wins | Draws | Losses |
|
||
|:-------------------|--------:|------:|-------:|--------:|
|
||
| trailing_stop_loss | 205 | 150 | 0 | 55 |
|
||
| stop_loss | 166 | 0 | 0 | 166 |
|
||
| sell_signal | 56 | 36 | 0 | 20 |
|
||
| force_sell | 2 | 0 | 0 | 2 |
|
||
====================================================== LEFT OPEN TRADES REPORT ======================================================
|
||
| Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Win Draw Loss Win% |
|
||
|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|--------------------:|
|
||
| ADA/BTC | 1 | 0.89 | 0.89 | 0.00004434 | 0.44 | 6:00:00 | 1 0 0 100 |
|
||
| LTC/BTC | 1 | 0.68 | 0.68 | 0.00003421 | 0.34 | 2:00:00 | 1 0 0 100 |
|
||
| TOTAL | 2 | 0.78 | 1.57 | 0.00007855 | 0.78 | 4:00:00 | 2 0 0 100 |
|
||
=============== SUMMARY METRICS ===============
|
||
| Metric | Value |
|
||
|-----------------------+---------------------|
|
||
| Backtesting from | 2019-01-01 00:00:00 |
|
||
| Backtesting to | 2019-05-01 00:00:00 |
|
||
| Max open trades | 3 |
|
||
| | |
|
||
| Total/Daily Avg Trades| 429 / 3.575 |
|
||
| Starting balance | 0.01000000 BTC |
|
||
| Final balance | 0.01762792 BTC |
|
||
| Absolute profit | 0.00762792 BTC |
|
||
| Total profit % | 76.2% |
|
||
| Trades per day | 3.575 |
|
||
| Avg. stake amount | 0.001 BTC |
|
||
| Total trade volume | 0.429 BTC |
|
||
| | |
|
||
| Best Pair | LSK/BTC 26.26% |
|
||
| Worst Pair | ZEC/BTC -10.18% |
|
||
| Best Trade | LSK/BTC 4.25% |
|
||
| Worst Trade | ZEC/BTC -10.25% |
|
||
| Best day | 0.00076 BTC |
|
||
| Worst day | -0.00036 BTC |
|
||
| Days win/draw/lose | 12 / 82 / 25 |
|
||
| Avg. Duration Winners | 4:23:00 |
|
||
| Avg. Duration Loser | 6:55:00 |
|
||
| Rejected Buy signals | 3089 |
|
||
| | |
|
||
| Min balance | 0.00945123 BTC |
|
||
| Max balance | 0.01846651 BTC |
|
||
| Drawdown | 50.63% |
|
||
| Drawdown | 0.0015 BTC |
|
||
| Drawdown high | 0.0013 BTC |
|
||
| Drawdown low | -0.0002 BTC |
|
||
| Drawdown Start | 2019-02-15 14:10:00 |
|
||
| Drawdown End | 2019-04-11 18:15:00 |
|
||
| Market change | -5.88% |
|
||
===============================================</code></p>
|
||
<h3 id="backtesting-report-table">Backtesting report table<a class="headerlink" href="#backtesting-report-table" title="Permanent link">¶</a></h3>
|
||
<p>The 1<sup>st</sup> table contains all trades the bot made, including "left open trades".</p>
|
||
<p>The last line will give you the overall performance of your strategy,
|
||
here:</p>
|
||
<p><code>| TOTAL | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 0 243 43.4 |</code></p>
|
||
<p>The bot has made <code>429</code> trades for an average duration of <code>4:12:00</code>, with a performance of <code>76.20%</code> (profit), that means it has
|
||
earned a total of <code>0.00762792 BTC</code> starting with a capital of 0.01 BTC.</p>
|
||
<p>The column <code>Avg Profit %</code> shows the average profit for all trades made while the column <code>Cum Profit %</code> sums up all the profits/losses.
|
||
The column <code>Tot Profit %</code> shows instead the total profit % in relation to the starting balance.
|
||
In the above results, we have a starting balance of 0.01 BTC and an absolute profit of 0.00762792 BTC - so the <code>Tot Profit %</code> will be <code>(0.00762792 / 0.01) * 100 ~= 76.2%</code>.</p>
|
||
<p>Your strategy performance is influenced by your buy strategy, your sell strategy, and also by the <code>minimal_roi</code> and <code>stop_loss</code> you have set.</p>
|
||
<p>For example, if your <code>minimal_roi</code> is only <code>"0": 0.01</code> you cannot expect the bot to make more profit than 1% (because it will sell every time a trade reaches 1%).</p>
|
||
<p><code>json
|
||
"minimal_roi": {
|
||
"0": 0.01
|
||
},</code></p>
|
||
<p>On the other hand, if you set a too high <code>minimal_roi</code> like <code>"0": 0.55</code>
|
||
(55%), there is almost no chance that the bot will ever reach this profit.
|
||
Hence, keep in mind that your performance is an integral mix of all different elements of the strategy, your configuration, and the crypto-currency pairs you have set up.</p>
|
||
<h3 id="sell-reasons-table">Sell reasons table<a class="headerlink" href="#sell-reasons-table" title="Permanent link">¶</a></h3>
|
||
<p>The 2<sup>nd</sup> table contains a recap of sell reasons.
|
||
This table can tell you which area needs some additional work (e.g. all or many of the <code>sell_signal</code> trades are losses, so you should work on improving the sell signal, or consider disabling it).</p>
|
||
<h3 id="left-open-trades-table">Left open trades table<a class="headerlink" href="#left-open-trades-table" title="Permanent link">¶</a></h3>
|
||
<p>The 3<sup>rd</sup> table contains all trades the bot had to <code>forcesell</code> at the end of the backtesting period to present you the full picture.
|
||
This is necessary to simulate realistic behavior, since the backtest period has to end at some point, while realistically, you could leave the bot running forever.
|
||
These trades are also included in the first table, but are also shown separately in this table for clarity.</p>
|
||
<h3 id="summary-metrics">Summary metrics<a class="headerlink" href="#summary-metrics" title="Permanent link">¶</a></h3>
|
||
<p>The last element of the backtest report is the summary metrics table.
|
||
It contains some useful key metrics about performance of your strategy on backtesting data.</p>
|
||
<p>```
|
||
=============== SUMMARY METRICS ===============
|
||
| Metric | Value |
|
||
|-----------------------+---------------------|
|
||
| Backtesting from | 2019-01-01 00:00:00 |
|
||
| Backtesting to | 2019-05-01 00:00:00 |
|
||
| Max open trades | 3 |
|
||
| | |
|
||
| Total/Daily Avg Trades| 429 / 3.575 |
|
||
| Starting balance | 0.01000000 BTC |
|
||
| Final balance | 0.01762792 BTC |
|
||
| Absolute profit | 0.00762792 BTC |
|
||
| Total profit % | 76.2% |
|
||
| Avg. stake amount | 0.001 BTC |
|
||
| Total trade volume | 0.429 BTC |
|
||
| | |
|
||
| Best Pair | LSK/BTC 26.26% |
|
||
| Worst Pair | ZEC/BTC -10.18% |
|
||
| Best Trade | LSK/BTC 4.25% |
|
||
| Worst Trade | ZEC/BTC -10.25% |
|
||
| Best day | 0.00076 BTC |
|
||
| Worst day | -0.00036 BTC |
|
||
| Days win/draw/lose | 12 / 82 / 25 |
|
||
| Avg. Duration Winners | 4:23:00 |
|
||
| Avg. Duration Loser | 6:55:00 |
|
||
| Rejected Buy signals | 3089 |
|
||
| | |
|
||
| Min balance | 0.00945123 BTC |
|
||
| Max balance | 0.01846651 BTC |
|
||
| Drawdown | 50.63% |
|
||
| Drawdown | 0.0015 BTC |
|
||
| Drawdown high | 0.0013 BTC |
|
||
| Drawdown low | -0.0002 BTC |
|
||
| Drawdown Start | 2019-02-15 14:10:00 |
|
||
| Drawdown End | 2019-04-11 18:15:00 |
|
||
| Market change | -5.88% |
|
||
===============================================</p>
|
||
<p>```</p>
|
||
<ul>
|
||
<li><code>Backtesting from</code> / <code>Backtesting to</code>: Backtesting range (usually defined with the <code>--timerange</code> option).</li>
|
||
<li><code>Max open trades</code>: Setting of <code>max_open_trades</code> (or <code>--max-open-trades</code>) - or number of pairs in the pairlist (whatever is lower).</li>
|
||
<li><code>Total/Daily Avg Trades</code>: Identical to the total trades of the backtest output table / Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy).</li>
|
||
<li><code>Starting balance</code>: Start balance - as given by dry-run-wallet (config or command line).</li>
|
||
<li><code>Final balance</code>: Final balance - starting balance + absolute profit.</li>
|
||
<li><code>Absolute profit</code>: Profit made in stake currency.</li>
|
||
<li><code>Total profit %</code>: Total profit. Aligned to the <code>TOTAL</code> row's <code>Tot Profit %</code> from the first table. Calculated as <code>(End capital − Starting capital) / Starting capital</code>.</li>
|
||
<li><code>Avg. stake amount</code>: Average stake amount, either <code>stake_amount</code> or the average when using dynamic stake amount.</li>
|
||
<li><code>Total trade volume</code>: Volume generated on the exchange to reach the above profit.</li>
|
||
<li><code>Best Pair</code> / <code>Worst Pair</code>: Best and worst performing pair, and it's corresponding <code>Cum Profit %</code>.</li>
|
||
<li><code>Best Trade</code> / <code>Worst Trade</code>: Biggest single winning trade and biggest single losing trade.</li>
|
||
<li><code>Best day</code> / <code>Worst day</code>: Best and worst day based on daily profit.</li>
|
||
<li><code>Days win/draw/lose</code>: Winning / Losing days (draws are usually days without closed trade).</li>
|
||
<li><code>Avg. Duration Winners</code> / <code>Avg. Duration Loser</code>: Average durations for winning and losing trades.</li>
|
||
<li><code>Rejected Buy signals</code>: Buy signals that could not be acted upon due to max_open_trades being reached.</li>
|
||
<li><code>Min balance</code> / <code>Max balance</code>: Lowest and Highest Wallet balance during the backtest period.</li>
|
||
<li><code>Drawdown</code>: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).</li>
|
||
<li><code>Drawdown high</code> / <code>Drawdown low</code>: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.</li>
|
||
<li><code>Drawdown Start</code> / <code>Drawdown End</code>: Start and end datetime for this largest drawdown (can also be visualized via the <code>plot-dataframe</code> sub-command).</li>
|
||
<li><code>Market change</code>: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column.</li>
|
||
</ul>
|
||
<h3 id="assumptions-made-by-backtesting">Assumptions made by backtesting<a class="headerlink" href="#assumptions-made-by-backtesting" title="Permanent link">¶</a></h3>
|
||
<p>Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions:</p>
|
||
<ul>
|
||
<li>Buys happen at open-price</li>
|
||
<li>All orders are filled at the requested price (no slippage, no unfilled orders)</li>
|
||
<li>Sell-signal sells happen at open-price of the consecutive candle</li>
|
||
<li>Sell-signal is favored over Stoploss, because sell-signals are assumed to trigger on candle's open</li>
|
||
<li>ROI<ul>
|
||
<li>sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%)</li>
|
||
<li>sells are never "below the candle", so a ROI of 2% may result in a sell at 2.4% if low was at 2.4% profit</li>
|
||
<li>Forcesells caused by <code><N>=-1</code> ROI entries use low as sell value, unless N falls on the candle open (e.g. <code>120: -1</code> for 1h candles)</li>
|
||
</ul>
|
||
</li>
|
||
<li>Stoploss sells happen exactly at stoploss price, even if low was lower, but the loss will be <code>2 * fees</code> higher than the stoploss price</li>
|
||
<li>Stoploss is evaluated before ROI within one candle. So you can often see more trades with the <code>stoploss</code> sell reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes</li>
|
||
<li>Low happens before high for stoploss, protecting capital first</li>
|
||
<li>Trailing stoploss<ul>
|
||
<li>Trailing Stoploss is only adjusted if it's below the candle's low (otherwise it would be triggered)</li>
|
||
<li>High happens first - adjusting stoploss</li>
|
||
<li>Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly)</li>
|
||
<li>ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies</li>
|
||
</ul>
|
||
</li>
|
||
<li>Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used)</li>
|
||
<li>Evaluation sequence (if multiple signals happen on the same candle)<ul>
|
||
<li>ROI (if not stoploss)</li>
|
||
<li>Sell-signal</li>
|
||
<li>Stoploss</li>
|
||
</ul>
|
||
</li>
|
||
</ul>
|
||
<p>Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will <strong>never</strong> replace running a strategy in dry-run mode.
|
||
Also, keep in mind that past results don't guarantee future success.</p>
|
||
<p>In addition to the above assumptions, strategy authors should carefully read the <a href="../strategy-customization/#common-mistakes-when-developing-strategies">Common Mistakes</a> section, to avoid using data in backtesting which is not available in real market conditions.</p>
|
||
<h3 id="further-backtest-result-analysis">Further backtest-result analysis<a class="headerlink" href="#further-backtest-result-analysis" title="Permanent link">¶</a></h3>
|
||
<p>To further analyze your backtest results, you can <a href="#exporting-trades-to-file">export the trades</a>.
|
||
You can then load the trades to perform further analysis as shown in our <a href="../data-analysis/#backtesting">data analysis</a> backtesting section.</p>
|
||
<h2 id="backtesting-multiple-strategies">Backtesting multiple strategies<a class="headerlink" href="#backtesting-multiple-strategies" title="Permanent link">¶</a></h2>
|
||
<p>To compare multiple strategies, a list of Strategies can be provided to backtesting.</p>
|
||
<p>This is limited to 1 timeframe value per run. However, data is only loaded once from disk so if you have multiple
|
||
strategies you'd like to compare, this will give a nice runtime boost.</p>
|
||
<p>All listed Strategies need to be in the same directory.</p>
|
||
<p><code>bash
|
||
freqtrade backtesting --timerange 20180401-20180410 --timeframe 5m --strategy-list Strategy001 Strategy002 --export trades</code></p>
|
||
<p>This will save the results to <code>user_data/backtest_results/backtest-result-<strategy>.json</code>, injecting the strategy-name into the target filename.
|
||
There will be an additional table comparing win/losses of the different strategies (identical to the "Total" row in the first table).
|
||
Detailed output for all strategies one after the other will be available, so make sure to scroll up to see the details per strategy.</p>
|
||
<p><code>=========================================================== STRATEGY SUMMARY =========================================================================
|
||
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit BTC | Tot Profit % | Avg Duration | Wins | Draws | Losses | Drawdown % |
|
||
|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|-----------:|
|
||
| Strategy1 | 429 | 0.36 | 152.41 | 0.00762792 | 76.20 | 4:12:00 | 186 | 0 | 243 | 45.2 |
|
||
| Strategy2 | 1487 | -0.13 | -197.58 | -0.00988917 | -98.79 | 4:43:00 | 662 | 0 | 825 | 241.68 |</code></p>
|
||
<h2 id="next-step">Next step<a class="headerlink" href="#next-step" title="Permanent link">¶</a></h2>
|
||
<p>Great, your strategy is profitable. What if the bot can give your the optimal parameters to use for your strategy?
|
||
Your next step is to learn <a href="../hyperopt/">how to find optimal parameters with Hyperopt</a></p>
|
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