Extract backtestResultGeneration to separate function

This commit is contained in:
Matthias 2023-10-24 19:45:37 +02:00
parent 61ba6a836e
commit 69f032ac2e
2 changed files with 183 additions and 185 deletions

View File

@ -75,8 +75,8 @@ import {
formatPercent,
formatPrice,
humanizeDurationFromSeconds,
isNotUndefined,
} from '@/shared/formatters';
import { generateBacktestMetricRows } from '@/shared/backtestMetrics';
import { TableField, TableItem } from 'bootstrap-vue-next';
const props = defineProps({
@ -88,192 +88,9 @@ const formatPriceStake = (price) => {
props.backtestResult.stake_currency
}`;
};
const getSortedTrades = (backtestResult: StrategyBacktestResult): Trade[] => {
const sortedTrades = backtestResult.trades
.slice()
.sort((a, b) => a.profit_ratio - b.profit_ratio);
return sortedTrades;
};
const bestPair = computed((): string => {
const trades = getSortedTrades(props.backtestResult);
if (trades.length === 0) {
return 'N/A';
}
const value = trades[trades.length - 1];
return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
});
const worstPair = computed((): string => {
const trades = getSortedTrades(props.backtestResult);
if (trades.length === 0) {
return 'N/A';
}
const value = trades[0];
return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
});
const pairSummary = computed(() => {
return props.backtestResult.results_per_pair[props.backtestResult.results_per_pair.length - 1];
});
const backtestResultStats = computed(() => {
// Transpose Result into readable format
const shortMetrics =
props.backtestResult?.trade_count_short && props.backtestResult?.trade_count_short > 0
? [
{ '___ ': '___' },
{
'Long / Short': `${props.backtestResult.trade_count_long} / ${props.backtestResult.trade_count_short}`,
},
{
'Total profit Long': `${formatPercent(
props.backtestResult.profit_total_long || 0,
)} | ${formatPriceStake(props.backtestResult.profit_total_long_abs)}`,
},
{
'Total profit Short': `${formatPercent(
props.backtestResult.profit_total_short || 0,
)} | ${formatPriceStake(props.backtestResult.profit_total_short_abs)}`,
},
]
: [];
const tmp = [
{
'Total Profit': `${formatPercent(props.backtestResult.profit_total)} | ${formatPriceStake(
props.backtestResult.profit_total_abs,
)}`,
},
{
CAGR: `${props.backtestResult.cagr ? formatPercent(props.backtestResult.cagr) : 'N/A'}`,
},
{
Sortino: `${props.backtestResult.sortino ? props.backtestResult.sortino.toFixed(2) : 'N/A'}`,
},
{
Sharpe: `${props.backtestResult.sharpe ? props.backtestResult.sharpe.toFixed(2) : 'N/A'}`,
},
{
Calmar: `${props.backtestResult.calmar ? props.backtestResult.calmar.toFixed(2) : 'N/A'}`,
},
{
[`Expectancy ${props.backtestResult.expectancy_ratio ? '(ratio)' : ''}`]: `${
props.backtestResult.expectancy
? props.backtestResult.expectancy_ratio
? props.backtestResult.expectancy.toFixed(2) +
' (' +
props.backtestResult.expectancy_ratio.toFixed(2) +
')'
: props.backtestResult.expectancy.toFixed(2)
: 'N/A'
}`,
},
{
'Profit factor': `${
props.backtestResult.profit_factor
? formatPrice(props.backtestResult.profit_factor, 3)
: 'N/A'
}`,
},
{
'Total trades / Daily Avg Trades': `${props.backtestResult.total_trades} / ${props.backtestResult.trades_per_day}`,
},
// { 'First trade': props.backtestResult.backtest_fi },
// { 'First trade Pair': props.backtestResult.backtest_best_day },
{
'Best day': `${formatPercent(props.backtestResult.backtest_best_day, 2)} | ${formatPriceStake(
props.backtestResult.backtest_best_day_abs,
)}`,
},
{
'Worst day': `${formatPercent(
props.backtestResult.backtest_worst_day,
2,
)} | ${formatPriceStake(props.backtestResult.backtest_worst_day_abs)}`,
},
{
'Win/Draw/Loss': `${pairSummary.value.wins} / ${pairSummary.value.draws} / ${
pairSummary.value.losses
} ${
isNotUndefined(pairSummary.value.winrate)
? '(WR: ' +
formatPercent(
props.backtestResult.results_per_pair[
props.backtestResult.results_per_pair.length - 1
].winrate ?? 0,
2,
) +
')'
: ''
}`,
},
{
'Days win/draw/loss': `${props.backtestResult.winning_days} / ${props.backtestResult.draw_days} / ${props.backtestResult.losing_days}`,
},
{
'Avg. Duration winners': humanizeDurationFromSeconds(
props.backtestResult.winner_holding_avg_s,
),
},
{
'Avg. Duration Losers': humanizeDurationFromSeconds(props.backtestResult.loser_holding_avg_s),
},
{
'Max Consecutive Wins / Loss':
props.backtestResult.max_consecutive_wins === undefined
? 'N/A'
: `${props.backtestResult.max_consecutive_wins} / ${props.backtestResult.max_consecutive_losses}`,
},
{ 'Rejected entry signals': props.backtestResult.rejected_signals },
{
'Entry/Exit timeouts': `${props.backtestResult.timedout_entry_orders} / ${props.backtestResult.timedout_exit_orders}`,
},
{
'Canceled Trade Entries': props.backtestResult.canceled_trade_entries ?? 'N/A',
},
{
'Canceled Entry Orders': props.backtestResult.canceled_entry_orders ?? 'N/A',
},
{
'Replaced Entry Orders': props.backtestResult.replaced_entry_orders ?? 'N/A',
},
...shortMetrics,
{ ___: '___' },
{ 'Min balance': formatPriceStake(props.backtestResult.csum_min) },
{ 'Max balance': formatPriceStake(props.backtestResult.csum_max) },
{ 'Market change': formatPercent(props.backtestResult.market_change) },
{ '___ ': '___' },
{
'Max Drawdown (Account)': formatPercent(props.backtestResult.max_drawdown_account),
},
{
'Max Drawdown ABS': formatPriceStake(props.backtestResult.max_drawdown_abs),
},
{
'Drawdown high | low': `${formatPriceStake(
props.backtestResult.max_drawdown_high,
)} | ${formatPriceStake(props.backtestResult.max_drawdown_low)}`,
},
{ 'Drawdown start': timestampms(props.backtestResult.drawdown_start_ts) },
{ 'Drawdown end': timestampms(props.backtestResult.drawdown_end_ts) },
{ '___ ': '___' },
{
'Best Pair': `${props.backtestResult.best_pair.key} ${formatPercent(
props.backtestResult.best_pair.profit_sum,
)}`,
},
{
'Worst Pair': `${props.backtestResult.worst_pair.key} ${formatPercent(
props.backtestResult.worst_pair.profit_sum,
)}`,
},
{ 'Best single Trade': bestPair.value },
{ 'Worst single Trade': worstPair.value },
];
const tmp = generateBacktestMetricRows(props.backtestResult);
return formatObjectForTable({ value: tmp }, 'metric');
});

View File

@ -0,0 +1,181 @@
import { StrategyBacktestResult, Trade } from '@/types';
import {
formatPercent,
formatPrice,
humanizeDurationFromSeconds,
isNotUndefined,
timestampms,
} from './formatters';
function getSortedTrades(trades: Trade[]): Trade[] {
const sortedTrades = trades.slice().sort((a, b) => a.profit_ratio - b.profit_ratio);
return sortedTrades;
}
function getBestPair(trades: Trade[]) {
if (trades.length === 0) {
return 'N/A';
}
const value = trades[trades.length - 1];
return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
}
function getWorstPair(trades: Trade[]) {
if (trades.length === 0) {
return 'N/A';
}
const value = trades[0];
return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
}
export function generateBacktestMetricRows(result: StrategyBacktestResult) {
const sortedTrades = getSortedTrades(result.trades);
const bestPair = getBestPair(sortedTrades);
const worstPair = getWorstPair(sortedTrades);
const pairSummary = result.results_per_pair[result.results_per_pair.length - 1];
const formatPriceStake = (price) => {
return `${formatPrice(price, result.stake_currency_decimals)} ${result.stake_currency}`;
};
// Transpose Result into readable format
const shortMetrics =
result.trade_count_short && result.trade_count_short > 0
? [
{ '___ ': '___' },
{
'Long / Short': `${result.trade_count_long} / ${result.trade_count_short}`,
},
{
'Total profit Long': `${formatPercent(
result.profit_total_long || 0,
)} | ${formatPriceStake(result.profit_total_long_abs)}`,
},
{
'Total profit Short': `${formatPercent(
result.profit_total_short || 0,
)} | ${formatPriceStake(result.profit_total_short_abs)}`,
},
]
: [];
const tmp = [
{
'Total Profit': `${formatPercent(result.profit_total)} | ${formatPriceStake(
result.profit_total_abs,
)}`,
},
{
CAGR: `${result.cagr ? formatPercent(result.cagr) : 'N/A'}`,
},
{
Sortino: `${result.sortino ? result.sortino.toFixed(2) : 'N/A'}`,
},
{
Sharpe: `${result.sharpe ? result.sharpe.toFixed(2) : 'N/A'}`,
},
{
Calmar: `${result.calmar ? result.calmar.toFixed(2) : 'N/A'}`,
},
{
[`Expectancy ${result.expectancy_ratio ? '(ratio)' : ''}`]: `${
result.expectancy
? result.expectancy_ratio
? result.expectancy.toFixed(2) + ' (' + result.expectancy_ratio.toFixed(2) + ')'
: result.expectancy.toFixed(2)
: 'N/A'
}`,
},
{
'Profit factor': `${result.profit_factor ? formatPrice(result.profit_factor, 3) : 'N/A'}`,
},
{
'Total trades / Daily Avg Trades': `${result.total_trades} / ${result.trades_per_day}`,
},
// { 'First trade': result.backtest_fi },
// { 'First trade Pair': result.backtest_best_day },
{
'Best day': `${formatPercent(result.backtest_best_day, 2)} | ${formatPriceStake(
result.backtest_best_day_abs,
)}`,
},
{
'Worst day': `${formatPercent(result.backtest_worst_day, 2)} | ${formatPriceStake(
result.backtest_worst_day_abs,
)}`,
},
{
'Win/Draw/Loss': `${pairSummary.wins} / ${pairSummary.draws} / ${pairSummary.losses} ${
isNotUndefined(pairSummary.winrate)
? '(WR: ' +
formatPercent(
result.results_per_pair[result.results_per_pair.length - 1].winrate ?? 0,
2,
) +
')'
: ''
}`,
},
{
'Days win/draw/loss': `${result.winning_days} / ${result.draw_days} / ${result.losing_days}`,
},
{
'Avg. Duration winners': humanizeDurationFromSeconds(result.winner_holding_avg_s),
},
{
'Avg. Duration Losers': humanizeDurationFromSeconds(result.loser_holding_avg_s),
},
{
'Max Consecutive Wins / Loss':
result.max_consecutive_wins === undefined
? 'N/A'
: `${result.max_consecutive_wins} / ${result.max_consecutive_losses}`,
},
{ 'Rejected entry signals': result.rejected_signals },
{
'Entry/Exit timeouts': `${result.timedout_entry_orders} / ${result.timedout_exit_orders}`,
},
{
'Canceled Trade Entries': result.canceled_trade_entries ?? 'N/A',
},
{
'Canceled Entry Orders': result.canceled_entry_orders ?? 'N/A',
},
{
'Replaced Entry Orders': result.replaced_entry_orders ?? 'N/A',
},
...shortMetrics,
{ ___: '___' },
{ 'Min balance': formatPriceStake(result.csum_min) },
{ 'Max balance': formatPriceStake(result.csum_max) },
{ 'Market change': formatPercent(result.market_change) },
{ '___ ': '___' },
{
'Max Drawdown (Account)': formatPercent(result.max_drawdown_account),
},
{
'Max Drawdown ABS': formatPriceStake(result.max_drawdown_abs),
},
{
'Drawdown high | low': `${formatPriceStake(result.max_drawdown_high)} | ${formatPriceStake(
result.max_drawdown_low,
)}`,
},
{ 'Drawdown start': timestampms(result.drawdown_start_ts) },
{ 'Drawdown end': timestampms(result.drawdown_end_ts) },
{ '___ ': '___' },
{
'Best Pair': `${result.best_pair.key} ${formatPercent(result.best_pair.profit_sum)}`,
},
{
'Worst Pair': `${result.worst_pair.key} ${formatPercent(result.worst_pair.profit_sum)}`,
},
{ 'Best single Trade': bestPair },
{ 'Worst single Trade': worstPair },
];
return tmp;
}