#000 | Anuj | Merge Dfs for entry and exit in one table

freqtrade/data/entryexitanalysis.py

@@ -257,16 +257,14 @@ def prepare_results(
 
 def print_results(
     res_df: pd.DataFrame,
+    exit_df: pd.DataFrame,
     analysis_groups: List[str],
     indicator_list: List[str],
     csv_path: Path,
     rejected_signals=None,
     to_csv=False,
-    exited_signals=False,
 ):
     if res_df.shape[0] > 0:
-        if exited_signals is True:
-            print("Analysing on exit signals.")
         if analysis_groups:
             _do_group_table_output(res_df, analysis_groups, to_csv=to_csv, csv_path=csv_path)
 
@@ -286,9 +284,11 @@ def print_results(
             for ind in indicator_list:
                 if ind in res_df:
                     available_inds.append(ind)
-            ilist = ["pair", "enter_reason", "exit_reason"] + available_inds
+
+            merged_df = _merge_dfs(res_df, exit_df, available_inds)
+
             _print_table(
-                res_df[ilist],
+                merged_df,
                 sortcols=["exit_reason"],
                 show_index=False,
                 name="Indicators:",
@@ -299,6 +299,21 @@ def print_results(
         print("\\No trades to show")
 
 
+def _merge_dfs(entry_df, exit_df, available_inds):
+    merge_on = ["pair", "open_date"]
+    columns_to_keep = merge_on + ["enter_reason", "exit_reason"] + available_inds
+    if exit_df is not None and not exit_df.empty:
+        merged_df = pd.merge(
+            entry_df[columns_to_keep],
+            exit_df[merge_on + available_inds],
+            on=merge_on,
+            suffixes=(" (entry)", " (exit)"),
+        )
+    else:
+        merged_df = entry_df[columns_to_keep]
+    return merged_df
+
+
 def _print_table(
     df: pd.DataFrame, sortcols=None, *, show_index=False, name=None, to_csv=False, csv_path: Path
 ):
@@ -324,7 +339,6 @@ def process_entry_exit_reasons(config: Config):
         enter_reason_list = config.get("enter_reason_list", ["all"])
         exit_reason_list = config.get("exit_reason_list", ["all"])
         indicator_list = config.get("indicator_list", [])
-        do_exited = config.get("analysis_exited", False)
         do_rejected = config.get("analysis_rejected", False)
         to_csv = config.get("analysis_to_csv", False)
         csv_path = Path(config.get("analysis_csv_path", config["exportfilename"]))
@@ -341,12 +355,8 @@ def process_entry_exit_reasons(config: Config):
             trades = load_backtest_data(config["exportfilename"], strategy_name)
 
             if trades is not None and not trades.empty:
-                date_col = "open_date"
+                signal_candles = _load_signal_candles(config["exportfilename"])
-                if do_exited is True:
+                exit_signals = _load_exit_signal_candles(config["exportfilename"])
-                    signal_candles = _load_exit_signal_candles(config["exportfilename"])
-                    date_col = "close_date"
-                else:
-                    signal_candles = _load_signal_candles(config["exportfilename"])
 
                 rej_df = None
                 if do_rejected:
@@ -359,31 +369,64 @@ def process_entry_exit_reasons(config: Config):
                         timerange=timerange,
                     )
 
-                analysed_trades_dict = _process_candles_and_indicators(
+                entry_df = _generate_dfs(
                     config["exchange"]["pair_whitelist"],
-                    strategy_name,
-                    trades,
-                    signal_candles,
-                    date_col,
-                )
-
-                res_df = prepare_results(
-                    analysed_trades_dict,
-                    strategy_name,
                     enter_reason_list,
                     exit_reason_list,
-                    timerange=timerange,
+                    signal_candles,
+                    strategy_name,
+                    timerange,
+                    trades,
+                    "open_date",
+                )
+
+                exit_df = _generate_dfs(
+                    config["exchange"]["pair_whitelist"],
+                    enter_reason_list,
+                    exit_reason_list,
+                    exit_signals,
+                    strategy_name,
+                    timerange,
+                    trades,
+                    "close_date",
                 )
 
                 print_results(
-                    res_df,
+                    entry_df,
+                    exit_df,
                     analysis_groups,
                     indicator_list,
                     rejected_signals=rej_df,
                     to_csv=to_csv,
                     csv_path=csv_path,
-                    exited_signals=do_exited,
                 )
 
     except ValueError as e:
         raise OperationalException(e) from e
+
+
+def _generate_dfs(
+    pairlist: list,
+    enter_reason_list: list,
+    exit_reason_list: list,
+    signal_candles: Dict,
+    strategy_name: str,
+    timerange: TimeRange,
+    trades: pd.DataFrame,
+    date_col: str,
+) -> pd.DataFrame:
+    analysed_trades_dict = _process_candles_and_indicators(
+        pairlist,
+        strategy_name,
+        trades,
+        signal_candles,
+        date_col,
+    )
+    res_df = prepare_results(
+        analysed_trades_dict,
+        strategy_name,
+        enter_reason_list,
+        exit_reason_list,
+        timerange=timerange,
+    )
+    return res_df

tests/data/test_entryexitanalysis.py

@@ -160,6 +160,14 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
     assert "34.049" in captured.out
     assert "0.104" in captured.out
     assert "52.829" in captured.out
+    # assert indicator list
+    assert "close (entry)" in captured.out
+    assert "0.016" in captured.out
+    assert "rsi (entry)" in captured.out
+    assert "54.320" in captured.out
+    assert "close (exit)" in captured.out
+    assert "rsi (exit)" in captured.out
+    assert "52.829" in captured.out
 
     # test group 1
     args = get_args(base_args + ["--analysis-groups", "1"])
@@ -247,236 +255,3 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
     start_analysis_entries_exits(args)
     captured = capsys.readouterr()
     assert "no rejected signals" in captured.out
-
-
-def test_backtest_analysis_on_exit_signals_nomock(
-    default_conf, mocker, caplog, testdatadir, user_dir, capsys
-):
-    caplog.set_level(logging.INFO)
-    (user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
-
-    default_conf.update(
-        {
-            "use_exit_signal": True,
-            "exit_profit_only": False,
-            "exit_profit_offset": 0.0,
-            "ignore_roi_if_entry_signal": False,
-        }
-    )
-    patch_exchange(mocker)
-    result1 = pd.DataFrame(
-        {
-            "pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
-            "profit_ratio": [0.025, 0.05, -0.1, -0.05],
-            "profit_abs": [0.5, 2.0, -4.0, -2.0],
-            "open_date": pd.to_datetime(
-                [
-                    "2018-01-29 18:40:00",
-                    "2018-01-30 03:30:00",
-                    "2018-01-30 08:10:00",
-                    "2018-01-31 13:30:00",
-                ],
-                utc=True,
-            ),
-            "close_date": pd.to_datetime(
-                [
-                    "2018-01-30 20:45:00",
-                    "2018-01-30 05:35:00",
-                    "2018-01-30 09:10:00",
-                    "2018-01-31 15:00:00",
-                ],
-                utc=True,
-            ),
-            "trade_duration": [235, 40, 60, 90],
-            "is_open": [False, False, False, False],
-            "stake_amount": [0.01, 0.01, 0.01, 0.01],
-            "open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
-            "close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
-            "is_short": [False, False, False, False],
-            "enter_tag": [
-                "enter_tag_long_a",
-                "enter_tag_long_b",
-                "enter_tag_long_a",
-                "enter_tag_long_b",
-            ],
-            "exit_reason": [
-                ExitType.ROI.value,
-                ExitType.EXIT_SIGNAL.value,
-                ExitType.STOP_LOSS.value,
-                ExitType.TRAILING_STOP_LOSS.value,
-            ],
-        }
-    )
-
-    backtestmock = MagicMock(
-        side_effect=[
-            {
-                "results": result1,
-                "config": default_conf,
-                "locks": [],
-                "rejected_signals": 20,
-                "timedout_entry_orders": 0,
-                "timedout_exit_orders": 0,
-                "canceled_trade_entries": 0,
-                "canceled_entry_orders": 0,
-                "replaced_entry_orders": 0,
-                "final_balance": 1000,
-            }
-        ]
-    )
-    mocker.patch(
-        "freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
-        PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
-    )
-    mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
-
-    patched_configuration_load_config_file(mocker, default_conf)
-
-    args = [
-        "backtesting",
-        "--config",
-        "config.json",
-        "--datadir",
-        str(testdatadir),
-        "--user-data-dir",
-        str(user_dir),
-        "--timeframe",
-        "5m",
-        "--timerange",
-        "1515560100-1517287800",
-        "--export",
-        "signals",
-        "--cache",
-        "none",
-    ]
-    args = get_args(args)
-    start_backtesting(args)
-
-    captured = capsys.readouterr()
-    assert "BACKTESTING REPORT" in captured.out
-    assert "EXIT REASON STATS" in captured.out
-    assert "LEFT OPEN TRADES REPORT" in captured.out
-
-    base_args = [
-        "backtesting-analysis",
-        "--config",
-        "config.json",
-        "--datadir",
-        str(testdatadir),
-        "--user-data-dir",
-        str(user_dir),
-    ]
-
-    # test group 0 and indicator list
-    args = get_args(
-        base_args
-        + [
-            "--analysis-groups",
-            "0",
-            "--exit-signals",
-            "--indicator-list",
-            "close",
-            "rsi",
-            "profit_abs",
-        ]
-    )
-    start_analysis_entries_exits(args)
-    captured = capsys.readouterr()
-    assert "LTC/BTC" in captured.out
-    assert "ETH/BTC" in captured.out
-    assert "enter_tag_long_a" in captured.out
-    assert "enter_tag_long_b" in captured.out
-    assert "exit_signal" in captured.out
-    assert "roi" in captured.out
-    assert "stop_loss" in captured.out
-    assert "trailing_stop_loss" in captured.out
-    assert "0.5" in captured.out
-    assert "-4" in captured.out
-    assert "-2" in captured.out
-    assert "57.654" in captured.out
-    assert "-8" in captured.out
-    assert "0" in captured.out
-    assert "0.104" in captured.out
-    assert "0.016" in captured.out
-    assert "52.829" in captured.out
-
-    # test group 1
-    args = get_args(base_args + ["--analysis-groups", "1"])
-    start_analysis_entries_exits(args)
-    captured = capsys.readouterr()
-    assert "enter_tag_long_a" in captured.out
-    assert "enter_tag_long_b" in captured.out
-    assert "total_profit_pct" in captured.out
-    assert "-3.5" in captured.out
-    assert "-1.75" in captured.out
-    assert "-7.5" in captured.out
-    assert "-3.75" in captured.out
-    assert "0" in captured.out
-
-    # test group 2
-    args = get_args(base_args + ["--analysis-groups", "2"])
-    start_analysis_entries_exits(args)
-    captured = capsys.readouterr()
-    assert "enter_tag_long_a" in captured.out
-    assert "enter_tag_long_b" in captured.out
-    assert "exit_signal" in captured.out
-    assert "roi" in captured.out
-    assert "stop_loss" in captured.out
-    assert "trailing_stop_loss" in captured.out
-    assert "total_profit_pct" in captured.out
-    assert "-10" in captured.out
-    assert "-5" in captured.out
-    assert "2.5" in captured.out
-
-    # test group 3
-    args = get_args(base_args + ["--analysis-groups", "3"])
-    start_analysis_entries_exits(args)
-    captured = capsys.readouterr()
-    assert "LTC/BTC" in captured.out
-    assert "ETH/BTC" in captured.out
-    assert "enter_tag_long_a" in captured.out
-    assert "enter_tag_long_b" in captured.out
-    assert "total_profit_pct" in captured.out
-    assert "-7.5" in captured.out
-    assert "-3.75" in captured.out
-    assert "-1.75" in captured.out
-    assert "0" in captured.out
-    assert "2" in captured.out
-
-    # test group 4
-    args = get_args(base_args + ["--analysis-groups", "4"])
-    start_analysis_entries_exits(args)
-    captured = capsys.readouterr()
-    assert "LTC/BTC" in captured.out
-    assert "ETH/BTC" in captured.out
-    assert "enter_tag_long_a" in captured.out
-    assert "enter_tag_long_b" in captured.out
-    assert "exit_signal" in captured.out
-    assert "roi" in captured.out
-    assert "stop_loss" in captured.out
-    assert "trailing_stop_loss" in captured.out
-    assert "total_profit_pct" in captured.out
-    assert "-10" in captured.out
-    assert "-5" in captured.out
-    assert "-4" in captured.out
-    assert "0.5" in captured.out
-    assert "1" in captured.out
-    assert "2.5" in captured.out
-
-    # test group 5
-    args = get_args(base_args + ["--analysis-groups", "5"])
-    start_analysis_entries_exits(args)
-    captured = capsys.readouterr()
-    assert "exit_signal" in captured.out
-    assert "roi" in captured.out
-    assert "stop_loss" in captured.out
-    assert "trailing_stop_loss" in captured.out
-
-    # test date filtering
-    args = get_args(
-        base_args + ["--analysis-groups", "0", "1", "2", "--timerange", "20180129-20180130"]
-    )
-    start_analysis_entries_exits(args)
-    captured = capsys.readouterr()
-    assert "enter_tag_long_a" in captured.out
-    assert "enter_tag_long_b" not in captured.out