mirror of
https://github.com/freqtrade/frequi.git
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Extract backtestResultGeneration to separate function
This commit is contained in:
Matthias
parent
61ba6a836e
commit
69f032ac2e
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@ -75,8 +75,8 @@ import {
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formatPercent,
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formatPrice,
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humanizeDurationFromSeconds,
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isNotUndefined,
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} from '@/shared/formatters';
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import { generateBacktestMetricRows } from '@/shared/backtestMetrics';
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import { TableField, TableItem } from 'bootstrap-vue-next';
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const props = defineProps({
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@ -88,192 +88,9 @@ const formatPriceStake = (price) => {
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props.backtestResult.stake_currency
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}`;
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};
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const getSortedTrades = (backtestResult: StrategyBacktestResult): Trade[] => {
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const sortedTrades = backtestResult.trades
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.slice()
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.sort((a, b) => a.profit_ratio - b.profit_ratio);
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return sortedTrades;
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};
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const bestPair = computed((): string => {
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const trades = getSortedTrades(props.backtestResult);
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if (trades.length === 0) {
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return 'N/A';
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}
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const value = trades[trades.length - 1];
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return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
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});
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const worstPair = computed((): string => {
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const trades = getSortedTrades(props.backtestResult);
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if (trades.length === 0) {
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return 'N/A';
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}
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const value = trades[0];
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return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
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});
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const pairSummary = computed(() => {
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return props.backtestResult.results_per_pair[props.backtestResult.results_per_pair.length - 1];
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});
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const backtestResultStats = computed(() => {
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// Transpose Result into readable format
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const shortMetrics =
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props.backtestResult?.trade_count_short && props.backtestResult?.trade_count_short > 0
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? [
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{ '___ ': '___' },
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{
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'Long / Short': `${props.backtestResult.trade_count_long} / ${props.backtestResult.trade_count_short}`,
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},
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{
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'Total profit Long': `${formatPercent(
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props.backtestResult.profit_total_long || 0,
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)} | ${formatPriceStake(props.backtestResult.profit_total_long_abs)}`,
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},
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{
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'Total profit Short': `${formatPercent(
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props.backtestResult.profit_total_short || 0,
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)} | ${formatPriceStake(props.backtestResult.profit_total_short_abs)}`,
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},
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]
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: [];
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const tmp = [
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{
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'Total Profit': `${formatPercent(props.backtestResult.profit_total)} | ${formatPriceStake(
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props.backtestResult.profit_total_abs,
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)}`,
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},
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{
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CAGR: `${props.backtestResult.cagr ? formatPercent(props.backtestResult.cagr) : 'N/A'}`,
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},
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{
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Sortino: `${props.backtestResult.sortino ? props.backtestResult.sortino.toFixed(2) : 'N/A'}`,
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},
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{
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Sharpe: `${props.backtestResult.sharpe ? props.backtestResult.sharpe.toFixed(2) : 'N/A'}`,
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},
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{
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Calmar: `${props.backtestResult.calmar ? props.backtestResult.calmar.toFixed(2) : 'N/A'}`,
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},
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{
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[`Expectancy ${props.backtestResult.expectancy_ratio ? '(ratio)' : ''}`]: `${
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props.backtestResult.expectancy
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? props.backtestResult.expectancy_ratio
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? props.backtestResult.expectancy.toFixed(2) +
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' (' +
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props.backtestResult.expectancy_ratio.toFixed(2) +
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')'
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: props.backtestResult.expectancy.toFixed(2)
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: 'N/A'
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}`,
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},
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{
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'Profit factor': `${
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props.backtestResult.profit_factor
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? formatPrice(props.backtestResult.profit_factor, 3)
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: 'N/A'
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}`,
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},
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{
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'Total trades / Daily Avg Trades': `${props.backtestResult.total_trades} / ${props.backtestResult.trades_per_day}`,
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},
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// { 'First trade': props.backtestResult.backtest_fi },
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// { 'First trade Pair': props.backtestResult.backtest_best_day },
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{
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'Best day': `${formatPercent(props.backtestResult.backtest_best_day, 2)} | ${formatPriceStake(
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props.backtestResult.backtest_best_day_abs,
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)}`,
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},
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{
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'Worst day': `${formatPercent(
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props.backtestResult.backtest_worst_day,
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2,
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)} | ${formatPriceStake(props.backtestResult.backtest_worst_day_abs)}`,
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},
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{
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'Win/Draw/Loss': `${pairSummary.value.wins} / ${pairSummary.value.draws} / ${
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pairSummary.value.losses
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} ${
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isNotUndefined(pairSummary.value.winrate)
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? '(WR: ' +
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formatPercent(
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props.backtestResult.results_per_pair[
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props.backtestResult.results_per_pair.length - 1
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].winrate ?? 0,
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2,
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) +
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')'
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: ''
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}`,
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},
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{
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'Days win/draw/loss': `${props.backtestResult.winning_days} / ${props.backtestResult.draw_days} / ${props.backtestResult.losing_days}`,
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},
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{
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'Avg. Duration winners': humanizeDurationFromSeconds(
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props.backtestResult.winner_holding_avg_s,
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),
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},
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{
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'Avg. Duration Losers': humanizeDurationFromSeconds(props.backtestResult.loser_holding_avg_s),
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},
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{
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'Max Consecutive Wins / Loss':
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props.backtestResult.max_consecutive_wins === undefined
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? 'N/A'
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: `${props.backtestResult.max_consecutive_wins} / ${props.backtestResult.max_consecutive_losses}`,
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},
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{ 'Rejected entry signals': props.backtestResult.rejected_signals },
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{
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'Entry/Exit timeouts': `${props.backtestResult.timedout_entry_orders} / ${props.backtestResult.timedout_exit_orders}`,
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},
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{
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'Canceled Trade Entries': props.backtestResult.canceled_trade_entries ?? 'N/A',
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},
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{
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'Canceled Entry Orders': props.backtestResult.canceled_entry_orders ?? 'N/A',
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},
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{
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'Replaced Entry Orders': props.backtestResult.replaced_entry_orders ?? 'N/A',
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},
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...shortMetrics,
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{ ___: '___' },
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{ 'Min balance': formatPriceStake(props.backtestResult.csum_min) },
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{ 'Max balance': formatPriceStake(props.backtestResult.csum_max) },
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{ 'Market change': formatPercent(props.backtestResult.market_change) },
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{ '___ ': '___' },
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{
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'Max Drawdown (Account)': formatPercent(props.backtestResult.max_drawdown_account),
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},
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{
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'Max Drawdown ABS': formatPriceStake(props.backtestResult.max_drawdown_abs),
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},
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{
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'Drawdown high | low': `${formatPriceStake(
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props.backtestResult.max_drawdown_high,
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)} | ${formatPriceStake(props.backtestResult.max_drawdown_low)}`,
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},
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{ 'Drawdown start': timestampms(props.backtestResult.drawdown_start_ts) },
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{ 'Drawdown end': timestampms(props.backtestResult.drawdown_end_ts) },
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{ '___ ': '___' },
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{
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'Best Pair': `${props.backtestResult.best_pair.key} ${formatPercent(
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props.backtestResult.best_pair.profit_sum,
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)}`,
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},
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{
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'Worst Pair': `${props.backtestResult.worst_pair.key} ${formatPercent(
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props.backtestResult.worst_pair.profit_sum,
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)}`,
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},
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{ 'Best single Trade': bestPair.value },
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{ 'Worst single Trade': worstPair.value },
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];
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const tmp = generateBacktestMetricRows(props.backtestResult);
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return formatObjectForTable({ value: tmp }, 'metric');
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});
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181
src/shared/backtestMetrics.ts
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181
src/shared/backtestMetrics.ts
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@ -0,0 +1,181 @@
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import { StrategyBacktestResult, Trade } from '@/types';
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import {
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formatPercent,
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formatPrice,
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humanizeDurationFromSeconds,
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isNotUndefined,
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timestampms,
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} from './formatters';
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function getSortedTrades(trades: Trade[]): Trade[] {
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const sortedTrades = trades.slice().sort((a, b) => a.profit_ratio - b.profit_ratio);
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return sortedTrades;
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}
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function getBestPair(trades: Trade[]) {
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if (trades.length === 0) {
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return 'N/A';
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}
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const value = trades[trades.length - 1];
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return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
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}
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function getWorstPair(trades: Trade[]) {
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if (trades.length === 0) {
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return 'N/A';
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}
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const value = trades[0];
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return `${value.pair} ${formatPercent(value.profit_ratio, 2)}`;
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}
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export function generateBacktestMetricRows(result: StrategyBacktestResult) {
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const sortedTrades = getSortedTrades(result.trades);
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const bestPair = getBestPair(sortedTrades);
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const worstPair = getWorstPair(sortedTrades);
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const pairSummary = result.results_per_pair[result.results_per_pair.length - 1];
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const formatPriceStake = (price) => {
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return `${formatPrice(price, result.stake_currency_decimals)} ${result.stake_currency}`;
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};
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// Transpose Result into readable format
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const shortMetrics =
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result.trade_count_short && result.trade_count_short > 0
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? [
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{ '___ ': '___' },
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{
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'Long / Short': `${result.trade_count_long} / ${result.trade_count_short}`,
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},
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{
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'Total profit Long': `${formatPercent(
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result.profit_total_long || 0,
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)} | ${formatPriceStake(result.profit_total_long_abs)}`,
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},
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{
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'Total profit Short': `${formatPercent(
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result.profit_total_short || 0,
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)} | ${formatPriceStake(result.profit_total_short_abs)}`,
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},
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]
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: [];
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const tmp = [
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{
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'Total Profit': `${formatPercent(result.profit_total)} | ${formatPriceStake(
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result.profit_total_abs,
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)}`,
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},
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{
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CAGR: `${result.cagr ? formatPercent(result.cagr) : 'N/A'}`,
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},
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{
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Sortino: `${result.sortino ? result.sortino.toFixed(2) : 'N/A'}`,
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},
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{
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Sharpe: `${result.sharpe ? result.sharpe.toFixed(2) : 'N/A'}`,
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},
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{
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Calmar: `${result.calmar ? result.calmar.toFixed(2) : 'N/A'}`,
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},
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{
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[`Expectancy ${result.expectancy_ratio ? '(ratio)' : ''}`]: `${
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result.expectancy
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? result.expectancy_ratio
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? result.expectancy.toFixed(2) + ' (' + result.expectancy_ratio.toFixed(2) + ')'
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: result.expectancy.toFixed(2)
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: 'N/A'
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}`,
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},
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{
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'Profit factor': `${result.profit_factor ? formatPrice(result.profit_factor, 3) : 'N/A'}`,
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},
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{
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'Total trades / Daily Avg Trades': `${result.total_trades} / ${result.trades_per_day}`,
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},
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// { 'First trade': result.backtest_fi },
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// { 'First trade Pair': result.backtest_best_day },
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{
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'Best day': `${formatPercent(result.backtest_best_day, 2)} | ${formatPriceStake(
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result.backtest_best_day_abs,
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)}`,
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},
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{
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'Worst day': `${formatPercent(result.backtest_worst_day, 2)} | ${formatPriceStake(
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result.backtest_worst_day_abs,
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)}`,
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},
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{
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'Win/Draw/Loss': `${pairSummary.wins} / ${pairSummary.draws} / ${pairSummary.losses} ${
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isNotUndefined(pairSummary.winrate)
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? '(WR: ' +
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formatPercent(
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result.results_per_pair[result.results_per_pair.length - 1].winrate ?? 0,
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2,
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) +
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')'
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: ''
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}`,
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},
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{
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'Days win/draw/loss': `${result.winning_days} / ${result.draw_days} / ${result.losing_days}`,
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},
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{
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'Avg. Duration winners': humanizeDurationFromSeconds(result.winner_holding_avg_s),
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},
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{
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'Avg. Duration Losers': humanizeDurationFromSeconds(result.loser_holding_avg_s),
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},
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{
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'Max Consecutive Wins / Loss':
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result.max_consecutive_wins === undefined
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? 'N/A'
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: `${result.max_consecutive_wins} / ${result.max_consecutive_losses}`,
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},
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{ 'Rejected entry signals': result.rejected_signals },
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{
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'Entry/Exit timeouts': `${result.timedout_entry_orders} / ${result.timedout_exit_orders}`,
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},
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{
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'Canceled Trade Entries': result.canceled_trade_entries ?? 'N/A',
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},
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{
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'Canceled Entry Orders': result.canceled_entry_orders ?? 'N/A',
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},
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{
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'Replaced Entry Orders': result.replaced_entry_orders ?? 'N/A',
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},
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...shortMetrics,
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{ ___: '___' },
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{ 'Min balance': formatPriceStake(result.csum_min) },
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{ 'Max balance': formatPriceStake(result.csum_max) },
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{ 'Market change': formatPercent(result.market_change) },
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{ '___ ': '___' },
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{
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'Max Drawdown (Account)': formatPercent(result.max_drawdown_account),
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},
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{
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'Max Drawdown ABS': formatPriceStake(result.max_drawdown_abs),
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},
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{
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'Drawdown high | low': `${formatPriceStake(result.max_drawdown_high)} | ${formatPriceStake(
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result.max_drawdown_low,
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)}`,
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},
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{ 'Drawdown start': timestampms(result.drawdown_start_ts) },
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{ 'Drawdown end': timestampms(result.drawdown_end_ts) },
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{ '___ ': '___' },
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{
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'Best Pair': `${result.best_pair.key} ${formatPercent(result.best_pair.profit_sum)}`,
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},
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{
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'Worst Pair': `${result.worst_pair.key} ${formatPercent(result.worst_pair.profit_sum)}`,
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},
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{ 'Best single Trade': bestPair },
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{ 'Worst single Trade': worstPair },
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];
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return tmp;
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}
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