freqtrade_origin/freqtrade/optimize/optimize_reports/bt_output.py

import logging
from typing import Any, Dict, List

from tabulate import tabulate

from freqtrade.constants import UNLIMITED_STAKE_AMOUNT, Config
from freqtrade.optimize.optimize_reports.optimize_reports import generate_periodic_breakdown_stats
from freqtrade.types import BacktestResultType
from freqtrade.util import decimals_per_coin, fmt_coin


logger = logging.getLogger(__name__)


def _get_line_floatfmt(stake_currency: str) -> List[str]:
    """
    Generate floatformat (goes in line with _generate_result_line())
    """
    return ["s", "d", ".2f", f".{decimals_per_coin(stake_currency)}f", ".2f", "d", "s", "s"]


def _get_line_header(
    first_column: str, stake_currency: str, direction: str = "Entries"
) -> List[str]:
    """
    Generate header lines (goes in line with _generate_result_line())
    """
    return [
        first_column,
        direction,
        "Avg Profit %",
        f"Tot Profit {stake_currency}",
        "Tot Profit %",
        "Avg Duration",
        "Win  Draw  Loss  Win%",
    ]


def generate_wins_draws_losses(wins, draws, losses):
    if wins > 0 and losses == 0:
        wl_ratio = "100"
    elif wins == 0:
        wl_ratio = "0"
    else:
        wl_ratio = f"{100.0 / (wins + draws + losses) * wins:.1f}" if losses > 0 else "100"
    return f"{wins:>4}  {draws:>4}  {losses:>4}  {wl_ratio:>4}"


def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: str) -> str:
    """
    Generates and returns a text table for the given backtest data and the results dataframe
    :param pair_results: List of Dictionaries - one entry per pair + final TOTAL row
    :param stake_currency: stake-currency - used to correctly name headers
    :return: pretty printed table with tabulate as string
    """

    headers = _get_line_header("Pair", stake_currency)
    floatfmt = _get_line_floatfmt(stake_currency)
    output = [
        [
            t["key"],
            t["trades"],
            t["profit_mean_pct"],
            t["profit_total_abs"],
            t["profit_total_pct"],
            t["duration_avg"],
            generate_wins_draws_losses(t["wins"], t["draws"], t["losses"]),
        ]
        for t in pair_results
    ]
    # Ignore type as floatfmt does allow tuples but mypy does not know that
    return tabulate(output, headers=headers, floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")


def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_currency: str) -> str:
    """
    Generates and returns a text table for the given backtest data and the results dataframe
    :param pair_results: List of Dictionaries - one entry per pair + final TOTAL row
    :param stake_currency: stake-currency - used to correctly name headers
    :return: pretty printed table with tabulate as string
    """
    fallback: str = ""
    if tag_type == "enter_tag":
        headers = _get_line_header("TAG", stake_currency)
    else:
        headers = _get_line_header("Exit Reason", stake_currency, "Exits")
        fallback = "exit_reason"

    floatfmt = _get_line_floatfmt(stake_currency)
    output = [
        [
            (
                t["key"]
                if t.get("key") is not None and len(str(t["key"])) > 0
                else t.get(fallback, "OTHER")
            ),
            t["trades"],
            t["profit_mean_pct"],
            t["profit_total_abs"],
            t["profit_total_pct"],
            t.get("duration_avg"),
            generate_wins_draws_losses(t["wins"], t["draws"], t["losses"]),
        ]
        for t in tag_results
    ]
    # Ignore type as floatfmt does allow tuples but mypy does not know that
    return tabulate(output, headers=headers, floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")


def text_table_periodic_breakdown(
    days_breakdown_stats: List[Dict[str, Any]], stake_currency: str, period: str
) -> str:
    """
    Generate small table with Backtest results by days
    :param days_breakdown_stats: Days breakdown metrics
    :param stake_currency: Stakecurrency used
    :return: pretty printed table with tabulate as string
    """
    headers = [
        period.capitalize(),
        f"Tot Profit {stake_currency}",
        "Wins",
        "Draws",
        "Losses",
    ]
    output = [
        [
            d["date"],
            fmt_coin(d["profit_abs"], stake_currency, False),
            d["wins"],
            d["draws"],
            d["loses"],
        ]
        for d in days_breakdown_stats
    ]
    return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")


def text_table_strategy(strategy_results, stake_currency: str) -> str:
    """
    Generate summary table per strategy
    :param strategy_results: Dict of <Strategyname: DataFrame> containing results for all strategies
    :param stake_currency: stake-currency - used to correctly name headers
    :return: pretty printed table with tabulate as string
    """
    floatfmt = _get_line_floatfmt(stake_currency)
    headers = _get_line_header("Strategy", stake_currency)
    # _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless
    # therefore we slip this column in only for strategy summary here.
    headers.append("Drawdown")

    # Align drawdown string on the center two space separator.
    if "max_drawdown_account" in strategy_results[0]:
        drawdown = [f'{t["max_drawdown_account"] * 100:.2f}' for t in strategy_results]
    else:
        # Support for prior backtest results
        drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results]

    dd_pad_abs = max([len(t["max_drawdown_abs"]) for t in strategy_results])
    dd_pad_per = max([len(dd) for dd in drawdown])
    drawdown = [
        f'{t["max_drawdown_abs"]:>{dd_pad_abs}} {stake_currency}  {dd:>{dd_pad_per}}%'
        for t, dd in zip(strategy_results, drawdown)
    ]

    output = [
        [
            t["key"],
            t["trades"],
            t["profit_mean_pct"],
            t["profit_total_abs"],
            t["profit_total_pct"],
            t["duration_avg"],
            generate_wins_draws_losses(t["wins"], t["draws"], t["losses"]),
            drawdown,
        ]
        for t, drawdown in zip(strategy_results, drawdown)
    ]
    # Ignore type as floatfmt does allow tuples but mypy does not know that
    return tabulate(output, headers=headers, floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")


def text_table_add_metrics(strat_results: Dict) -> str:
    if len(strat_results["trades"]) > 0:
        best_trade = max(strat_results["trades"], key=lambda x: x["profit_ratio"])
        worst_trade = min(strat_results["trades"], key=lambda x: x["profit_ratio"])

        short_metrics = (
            [
                ("", ""),  # Empty line to improve readability
                (
                    "Long / Short",
                    f"{strat_results.get('trade_count_long', 'total_trades')} / "
                    f"{strat_results.get('trade_count_short', 0)}",
                ),
                ("Total profit Long %", f"{strat_results['profit_total_long']:.2%}"),
                ("Total profit Short %", f"{strat_results['profit_total_short']:.2%}"),
                (
                    "Absolute profit Long",
                    fmt_coin(
                        strat_results["profit_total_long_abs"], strat_results["stake_currency"]
                    ),
                ),
                (
                    "Absolute profit Short",
                    fmt_coin(
                        strat_results["profit_total_short_abs"], strat_results["stake_currency"]
                    ),
                ),
            ]
            if strat_results.get("trade_count_short", 0) > 0
            else []
        )

        drawdown_metrics = []
        if "max_relative_drawdown" in strat_results:
            # Compatibility to show old hyperopt results
            drawdown_metrics.append(
                ("Max % of account underwater", f"{strat_results['max_relative_drawdown']:.2%}")
            )
        drawdown_metrics.extend(
            [
                (
                    ("Absolute Drawdown (Account)", f"{strat_results['max_drawdown_account']:.2%}")
                    if "max_drawdown_account" in strat_results
                    else ("Drawdown", f"{strat_results['max_drawdown']:.2%}")
                ),
                (
                    "Absolute Drawdown",
                    fmt_coin(strat_results["max_drawdown_abs"], strat_results["stake_currency"]),
                ),
                (
                    "Drawdown high",
                    fmt_coin(strat_results["max_drawdown_high"], strat_results["stake_currency"]),
                ),
                (
                    "Drawdown low",
                    fmt_coin(strat_results["max_drawdown_low"], strat_results["stake_currency"]),
                ),
                ("Drawdown Start", strat_results["drawdown_start"]),
                ("Drawdown End", strat_results["drawdown_end"]),
            ]
        )

        entry_adjustment_metrics = (
            [
                ("Canceled Trade Entries", strat_results.get("canceled_trade_entries", "N/A")),
                ("Canceled Entry Orders", strat_results.get("canceled_entry_orders", "N/A")),
                ("Replaced Entry Orders", strat_results.get("replaced_entry_orders", "N/A")),
            ]
            if strat_results.get("canceled_entry_orders", 0) > 0
            else []
        )

        # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show
        # command stores these results and newer version of freqtrade must be able to handle old
        # results with missing new fields.
        metrics = [
            ("Backtesting from", strat_results["backtest_start"]),
            ("Backtesting to", strat_results["backtest_end"]),
            ("Max open trades", strat_results["max_open_trades"]),
            ("", ""),  # Empty line to improve readability
            (
                "Total/Daily Avg Trades",
                f"{strat_results['total_trades']} / {strat_results['trades_per_day']}",
            ),
            (
                "Starting balance",
                fmt_coin(strat_results["starting_balance"], strat_results["stake_currency"]),
            ),
            (
                "Final balance",
                fmt_coin(strat_results["final_balance"], strat_results["stake_currency"]),
            ),
            (
                "Absolute profit ",
                fmt_coin(strat_results["profit_total_abs"], strat_results["stake_currency"]),
            ),
            ("Total profit %", f"{strat_results['profit_total']:.2%}"),
            ("CAGR %", f"{strat_results['cagr']:.2%}" if "cagr" in strat_results else "N/A"),
            ("Sortino", f"{strat_results['sortino']:.2f}" if "sortino" in strat_results else "N/A"),
            ("Sharpe", f"{strat_results['sharpe']:.2f}" if "sharpe" in strat_results else "N/A"),
            ("Calmar", f"{strat_results['calmar']:.2f}" if "calmar" in strat_results else "N/A"),
            (
                "Profit factor",
                (
                    f'{strat_results["profit_factor"]:.2f}'
                    if "profit_factor" in strat_results
                    else "N/A"
                ),
            ),
            (
                "Expectancy (Ratio)",
                (
                    f"{strat_results['expectancy']:.2f} ({strat_results['expectancy_ratio']:.2f})"
                    if "expectancy_ratio" in strat_results
                    else "N/A"
                ),
            ),
            (
                "Avg. daily profit %",
                f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}",
            ),
            (
                "Avg. stake amount",
                fmt_coin(strat_results["avg_stake_amount"], strat_results["stake_currency"]),
            ),
            (
                "Total trade volume",
                fmt_coin(strat_results["total_volume"], strat_results["stake_currency"]),
            ),
            *short_metrics,
            ("", ""),  # Empty line to improve readability
            (
                "Best Pair",
                f"{strat_results['best_pair']['key']} "
                f"{strat_results['best_pair']['profit_total']:.2%}",
            ),
            (
                "Worst Pair",
                f"{strat_results['worst_pair']['key']} "
                f"{strat_results['worst_pair']['profit_total']:.2%}",
            ),
            ("Best trade", f"{best_trade['pair']} {best_trade['profit_ratio']:.2%}"),
            ("Worst trade", f"{worst_trade['pair']} {worst_trade['profit_ratio']:.2%}"),
            (
                "Best day",
                fmt_coin(strat_results["backtest_best_day_abs"], strat_results["stake_currency"]),
            ),
            (
                "Worst day",
                fmt_coin(strat_results["backtest_worst_day_abs"], strat_results["stake_currency"]),
            ),
            (
                "Days win/draw/lose",
                f"{strat_results['winning_days']} / "
                f"{strat_results['draw_days']} / {strat_results['losing_days']}",
            ),
            ("Avg. Duration Winners", f"{strat_results['winner_holding_avg']}"),
            ("Avg. Duration Loser", f"{strat_results['loser_holding_avg']}"),
            (
                "Max Consecutive Wins / Loss",
                (
                    (
                        f"{strat_results['max_consecutive_wins']} / "
                        f"{strat_results['max_consecutive_losses']}"
                    )
                    if "max_consecutive_losses" in strat_results
                    else "N/A"
                ),
            ),
            ("Rejected Entry signals", strat_results.get("rejected_signals", "N/A")),
            (
                "Entry/Exit Timeouts",
                f"{strat_results.get('timedout_entry_orders', 'N/A')} / "
                f"{strat_results.get('timedout_exit_orders', 'N/A')}",
            ),
            *entry_adjustment_metrics,
            ("", ""),  # Empty line to improve readability
            ("Min balance", fmt_coin(strat_results["csum_min"], strat_results["stake_currency"])),
            ("Max balance", fmt_coin(strat_results["csum_max"], strat_results["stake_currency"])),
            *drawdown_metrics,
            ("Market change", f"{strat_results['market_change']:.2%}"),
        ]

        return tabulate(metrics, headers=["Metric", "Value"], tablefmt="orgtbl")
    else:
        start_balance = fmt_coin(strat_results["starting_balance"], strat_results["stake_currency"])
        stake_amount = (
            fmt_coin(strat_results["stake_amount"], strat_results["stake_currency"])
            if strat_results["stake_amount"] != UNLIMITED_STAKE_AMOUNT
            else "unlimited"
        )

        message = (
            "No trades made. "
            f"Your starting balance was {start_balance}, "
            f"and your stake was {stake_amount}."
        )
        return message


def show_backtest_result(
    strategy: str, results: Dict[str, Any], stake_currency: str, backtest_breakdown: List[str]
):
    """
    Print results for one strategy
    """
    # Print results
    print(f"Result for strategy {strategy}")
    table = text_table_bt_results(results["results_per_pair"], stake_currency=stake_currency)
    if isinstance(table, str):
        print(" BACKTESTING REPORT ".center(len(table.splitlines()[0]), "="))
    print(table)

    table = text_table_bt_results(results["left_open_trades"], stake_currency=stake_currency)
    if isinstance(table, str) and len(table) > 0:
        print(" LEFT OPEN TRADES REPORT ".center(len(table.splitlines()[0]), "="))
    print(table)

    if (enter_tags := results.get("results_per_enter_tag")) is not None:
        table = text_table_tags("enter_tag", enter_tags, stake_currency)

        if isinstance(table, str) and len(table) > 0:
            print(" ENTER TAG STATS ".center(len(table.splitlines()[0]), "="))
        print(table)

    if (exit_reasons := results.get("exit_reason_summary")) is not None:
        table = text_table_tags("exit_tag", exit_reasons, stake_currency)

        if isinstance(table, str) and len(table) > 0:
            print(" EXIT REASON STATS ".center(len(table.splitlines()[0]), "="))
        print(table)

    for period in backtest_breakdown:
        if period in results.get("periodic_breakdown", {}):
            days_breakdown_stats = results["periodic_breakdown"][period]
        else:
            days_breakdown_stats = generate_periodic_breakdown_stats(
                trade_list=results["trades"], period=period
            )
        table = text_table_periodic_breakdown(
            days_breakdown_stats=days_breakdown_stats, stake_currency=stake_currency, period=period
        )
        if isinstance(table, str) and len(table) > 0:
            print(f" {period.upper()} BREAKDOWN ".center(len(table.splitlines()[0]), "="))
        print(table)

    table = text_table_add_metrics(results)
    if isinstance(table, str) and len(table) > 0:
        print(" SUMMARY METRICS ".center(len(table.splitlines()[0]), "="))
    print(table)

    if isinstance(table, str) and len(table) > 0:
        print("=" * len(table.splitlines()[0]))

    print()


def show_backtest_results(config: Config, backtest_stats: BacktestResultType):
    stake_currency = config["stake_currency"]

    for strategy, results in backtest_stats["strategy"].items():
        show_backtest_result(
            strategy, results, stake_currency, config.get("backtest_breakdown", [])
        )

    if len(backtest_stats["strategy"]) > 0:
        # Print Strategy summary table

        table = text_table_strategy(backtest_stats["strategy_comparison"], stake_currency)
        print(
            f"Backtested {results['backtest_start']} -> {results['backtest_end']} |"
            f" Max open trades : {results['max_open_trades']}"
        )
        print(" STRATEGY SUMMARY ".center(len(table.splitlines()[0]), "="))
        print(table)
        print("=" * len(table.splitlines()[0]))
        print("\nFor more details, please look at the detail tables above")


def show_sorted_pairlist(config: Config, backtest_stats: BacktestResultType):
    if config.get("backtest_show_pair_list", False):
        for strategy, results in backtest_stats["strategy"].items():
            print(f"Pairs for Strategy {strategy}: \n[")
            for result in results["results_per_pair"]:
                if result["key"] != "TOTAL":
                    print(f'"{result["key"]}",  // {result["profit_mean"]:.2%}')
            print("]")


def generate_edge_table(results: dict) -> str:
    floatfmt = ("s", ".10g", ".2f", ".2f", ".2f", ".2f", "d", "d", "d")
    tabular_data = []
    headers = [
        "Pair",
        "Stoploss",
        "Win Rate",
        "Risk Reward Ratio",
        "Required Risk Reward",
        "Expectancy",
        "Total Number of Trades",
        "Average Duration (min)",
    ]

    for result in results.items():
        if result[1].nb_trades > 0:
            tabular_data.append(
                [
                    result[0],
                    result[1].stoploss,
                    result[1].winrate,
                    result[1].risk_reward_ratio,
                    result[1].required_risk_reward,
                    result[1].expectancy,
                    result[1].nb_trades,
                    round(result[1].avg_trade_duration),
                ]
            )

    # Ignore type as floatfmt does allow tuples but mypy does not know that
    return tabulate(
        tabular_data, headers=headers, floatfmt=floatfmt, tablefmt="orgtbl", stralign="right"
    )