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Align drawdown backtesting metrics

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This commit is contained in:
Matthias 2022-04-07 06:43:07 +02:00
parent 829628127b
commit 44363be94e
2 changed files with 25 additions and 8 deletions
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29
src/components/ftbot/BacktestResultView.vue
View File

@ -164,21 +164,34 @@ export default class BacktestResultView extends Vue {
metric: 'Avg. Duration Losers', metric: 'Avg. Duration Losers',
value: humanizeDurationFromSeconds(this.backtestResult.loser_holding_avg), value: humanizeDurationFromSeconds(this.backtestResult.loser_holding_avg),
}, },
{ metric: 'Rejected buy signals', value: this.backtestResult.rejected_signals }, { metric: 'Rejected entry signals', value: this.backtestResult.rejected_signals },
{ metric: '___', value: '___' },
{ metric: 'Max Drawdown', value: formatPercent(this.backtestResult.max_drawdown) },
{ {
metric: 'Max Drawdown ABS', metric: 'Entry/Exit timeouts',
value: this.formatPriceStake(this.backtestResult.max_drawdown_abs), value: `${this.backtestResult.timedout_entry_orders} / ${this.backtestResult.timedout_exit_orders}`,
}, },
{ metric: 'Drawdown start', value: timestampms(this.backtestResult.drawdown_start_ts) },
{ metric: 'Drawdown end', value: timestampms(this.backtestResult.drawdown_end_ts) },
{ metric: '___', value: '___' }, { metric: '___', value: '___' },
{ metric: 'Min balance', value: this.formatPriceStake(this.backtestResult.csum_min) }, { metric: 'Min balance', value: this.formatPriceStake(this.backtestResult.csum_min) },
{ metric: 'Max balance', value: this.formatPriceStake(this.backtestResult.csum_max) }, { metric: 'Max balance', value: this.formatPriceStake(this.backtestResult.csum_max) },
{ metric: 'Market change', value: formatPercent(this.backtestResult.market_change) }, { metric: 'Market change', value: formatPercent(this.backtestResult.market_change) },
{ metric: '___', value: '___' }, { metric: '___', value: '___' },
{
metric: 'Max Drawdown (Account)',
value: formatPercent(this.backtestResult.max_drawdown_account),
},
{
metric: 'Max Drawdown ABS',
value: this.formatPriceStake(this.backtestResult.max_drawdown_abs),
},
{
metric: 'Drawdown high | low',
value: `${this.formatPriceStake(
this.backtestResult.max_drawdown_high,
)} | ${this.formatPriceStake(this.backtestResult.max_drawdown_low)}`,
},
{ metric: 'Drawdown start', value: timestampms(this.backtestResult.drawdown_start_ts) },
{ metric: 'Drawdown end', value: timestampms(this.backtestResult.drawdown_end_ts) },
{ metric: '___', value: '___' },
{ {
metric: 'Best Pair', metric: 'Best Pair',

4
src/types/backtest.ts
View File

@ -103,6 +103,9 @@ export interface StrategyBacktestResult {
exit_profit_offset?: number; exit_profit_offset?: number;
rejected_signals: number; rejected_signals: number;
timedout_entry_orders: number;
timedout_exit_orders: number;
// Daily stats ... // Daily stats ...
draw_days: number; draw_days: number;
drawdown_end: string; drawdown_end: string;
@ -112,6 +115,7 @@ export interface StrategyBacktestResult {
loser_holding_avg: number; loser_holding_avg: number;
losing_days: number; losing_days: number;
max_drawdown: number; max_drawdown: number;
max_drawdown_account: number;
/** Absolute max drawdown */ /** Absolute max drawdown */
max_drawdown_abs: number; max_drawdown_abs: number;
max_drawdown_low: number; max_drawdown_low: number;