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Backtesting enhancements
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Matthias
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src/components/ftbot/BacktestResultView.vue
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62
src/components/ftbot/BacktestResultView.vue
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@ -0,0 +1,62 @@
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<template>
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<div class="container">
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<div class="row">
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<h2>BacktestResult for {{ strategy }}</h2>
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</div>
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<div class="container">
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<div class="row">Backtest days {{ backtestResult.backtest_days }}</div>
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<b-table class="table-sm" :items="backtestResultStats" :fields="backtestResultFields">
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</b-table>
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<TradeList class="trade-history" :trades="backtestResult.trades" />
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</div>
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</div>
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</template>
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<script lang="ts">
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import TradeList from '@/components/ftbot/TradeList.vue';
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import { Component, Vue, Prop } from 'vue-property-decorator';
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import { StrategyBacktestResult } from '@/types';
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import { timestampms } from '@/shared/formatters';
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@Component({
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components: { TradeList },
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})
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export default class BacktestResultView extends Vue {
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@Prop({ required: true }) readonly strategy!: string;
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@Prop({ required: true }) readonly backtestResult!: StrategyBacktestResult;
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get hasBacktestResult() {
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return !!this.backtestResult;
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}
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get backtestResultStats() {
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// Transpose Result into readable format
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return [
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{ metric: 'Backtesting from', value: timestampms(this.backtestResult.backtest_start_ts) },
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{ metric: 'Backtesting to', value: timestampms(this.backtestResult.backtest_end_ts) },
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{ metric: 'Total trades', value: this.backtestResult.total_trades },
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// { metric: 'First trade', value: this.backtestResult.backtest_fi },
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// { metric: 'First trade Pair', value: this.backtestResult.backtest_best_day },
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{ metric: 'Trades per day', value: this.backtestResult.trades_per_day },
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{ metric: 'Best day', value: this.backtestResult.backtest_best_day },
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{ metric: 'Wrost day', value: this.backtestResult.backtest_worst_day },
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{ metric: 'Avg. Duration winners', value: this.backtestResult.winner_holding_avg },
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{ metric: 'Avg. Duration Losers', value: this.backtestResult.loser_holding_avg },
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{ metric: 'Max Drawdown', value: this.backtestResult.max_drawdown },
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{ metric: 'Drawdown start', value: this.backtestResult.drawdown_start },
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{ metric: 'Drawdown end', value: this.backtestResult.drawdown_end },
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{ metric: 'Market chnage', value: this.backtestResult.market_change },
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];
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}
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backtestResultFields: Array<Record<string, string>> = [
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{ key: 'metric', label: 'Metric' },
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{ key: 'value', label: 'Value' },
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];
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}
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</script>
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<style></style>
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@ -5,6 +5,64 @@ export interface BacktestPayload {
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timerange: string;
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}
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export interface BacktestResult {
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trades: Trade[];
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export interface PairResults {
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draws: number;
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duration_avg: string;
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key: string;
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losses: number;
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profit_mean: number;
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profit_mean_pct: number;
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profit_sum: number;
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profit_sum_pct: number;
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profit_total_abs: number;
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profit_total_pct: number;
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trades: number;
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wins: number;
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}
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export interface SellReasonResults {
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draws: number;
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losses: number;
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profit_mean: number;
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profit_mean_pct: number;
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profit_sum: number;
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profit_sum_pct: number;
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profit_total_abs: number;
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profit_total_pct: number;
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trades: number;
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wins: number;
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}
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export interface StrategyBacktestResult {
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trades: Trade[];
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left_open_trades: Trade[];
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backtest_best_day: number;
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backtest_days: number;
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backtest_end: string;
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backtest_end_ts: number;
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backtest_start: string;
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backtest_start_ts: number;
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backtest_worst_day: number;
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draw_days: number;
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drawdown_end: string;
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drawdown_end_ts: number;
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drawdown_start: string;
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drawdown_start_ts: number;
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loser_holding_avg: number;
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losing_days: number;
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market_change: number;
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max_drawdown: number;
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pairlist: string[];
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results_per_pair: Array<PairResults>;
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sell_reason_summary: Array<SellReasonResults>;
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stake_amount: number;
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total_trades: number;
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trades_per_day: number;
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winner_holding_avg: number;
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winning_days: number;
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}
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export interface BacktestResult {
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strategy: Record<string, StrategyBacktestResult>;
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strategy_comparison: Array<Record<string, string | number>>;
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}
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@ -3,46 +3,65 @@
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<div class="row mb-2">
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<TimeRangeSelect v-model="timerange"></TimeRangeSelect>
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</div>
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<b-button variant="primary" :disabled="backtestRunning" @click="clickBacktest">
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Start backtest
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</b-button>
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<div class="row">
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<b-button variant="primary" :disabled="backtestRunning" @click="clickBacktest">
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Start backtest
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</b-button>
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<b-button variant="primary" :disabled="backtestRunning" @click="pollBacktest">
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Load backtest result
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</b-button>
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</div>
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<div v-if="hasBacktestResult" class="text-center w-100 mt-5">
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<BacktestResultView
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:strategy="strategy"
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:backtest-result="backtestResult.strategy ? backtestResult.strategy[strategy] : {}"
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/>
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</div>
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</div>
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</template>
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<script lang="ts">
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import { Component, Vue, Watch } from 'vue-property-decorator';
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import { namespace } from 'vuex-class';
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import CandleChart from '@/components/charts/CandleChart.vue';
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import PlotConfigurator from '@/components/charts/PlotConfigurator.vue';
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import TimeRangeSelect from '@/components/ftbot/TimeRangeSelect.vue';
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import { BacktestPayload } from '@/types';
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import BacktestResultView from '@/components/ftbot/BacktestResultView.vue';
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import { BacktestPayload, BacktestResult } from '@/types';
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const ftbot = namespace('ftbot');
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@Component({
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components: { CandleChart, PlotConfigurator, TimeRangeSelect },
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components: { BacktestResultView, TimeRangeSelect },
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})
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export default class Graphs extends Vue {
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export default class Backtesting extends Vue {
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pair = 'XRP/USDT';
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pollInterval: NodeJS.Timer | null = null;
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pollInterval: number | null = null;
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timeframe = '5m';
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strategy = 'BinHV45';
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timeframems = 300000;
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@ftbot.State backtestRunning!: boolean;
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@ftbot.State backtestResult!: BacktestResult;
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timerange = '';
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@ftbot.Action
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startBacktest!: (payload: BacktestPayload) => void;
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// eslint-disable-next-line @typescript-eslint/no-unused-vars
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@ftbot.Action startBacktest!: (payload: BacktestPayload) => void;
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@ftbot.Action pollBacktest!: () => void;
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get hasBacktestResult() {
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return Object.keys(this.backtestResult).length !== 0;
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}
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clickBacktest() {
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console.log('Backtesting');
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const btPayload: BacktestPayload = {
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strategy: 'BinHV45',
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strategy: this.strategy,
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timerange: this.timerange,
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};
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this.startBacktest(btPayload);
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@ -51,7 +70,7 @@ export default class Graphs extends Vue {
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@Watch('backtestRunning')
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backtestRunningChanged() {
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if (this.backtestRunning === true) {
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this.pollInterval = setInterval(this.pollBacktest, 5000);
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this.pollInterval = window.setInterval(this.pollBacktest, 1000);
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} else if (this.pollInterval) {
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clearInterval(this.pollInterval);
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this.pollInterval = null;
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