feat: add wallet based metrics to backtest output

freqtrade/optimize/optimize_reports/bt_output.py

@@ -289,7 +289,7 @@ def text_table_add_metrics(strat_results: dict) -> None:
         )
         wallet_metrics: list[tuple[str, str]] = [
             (
-                "Min/Max balance realized",
+                "Min/Max balance (realized)",
                 f"{fmt_coin(strat_results['csum_min'], stake)} / "
                 f"{fmt_coin(strat_results['csum_max'], stake)}",
             ),
@@ -298,22 +298,38 @@ def text_table_add_metrics(strat_results: dict) -> None:
             wallet_metrics.extend(
                 [
                     (
-                        "Min/Max balance unrealized",
+                        "Min/Max balance (unrealized)",
                         f"{fmt_coin(wallet_stats['low_balance'], stake)} / "
                         f"{fmt_coin(wallet_stats['high_balance'], stake)}",
                     ),
                     (
-                        "Min/Max balance dates",
+                        "Min/Max balance dates (unrealized)",
                         f"{wallet_stats['low_date']} / {wallet_stats['high_date']}",
                     ),
                 ]
             )
             if "sharpe" in wallet_stats:
-                wallet_metrics.append(
-                    (
-                        "Sharpe ratio balance",
-                        f"{wallet_stats['sharpe']:.2f}",
-                    )
+                # Assume that if sharpe is there, all others are there as well.
+                wallet_metrics.extend(
+                    [
+                        (
+                            "Sharpe (unrealized)",
+                            f"{wallet_stats['sharpe']:.2f}",
+                        ),
+                        (
+                            "Sortino (unrealized)",
+                            f"{wallet_stats['sortino']:.2f}",
+                        ),
+                        (
+                            "Calmar (unrealized)",
+                            f"{wallet_stats['calmar']:.2f}",
+                        ),
+                        (
+                            "Max drawdown (unrealized)",
+                            f"{fmt_coin(wallet_stats['max_drawdown_abs'], stake)} "
+                            f"({wallet_stats['max_drawdown_account']:.2%})",
+                        ),
+                    ]
                 )
 
         # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show

freqtrade/optimize/optimize_reports/optimize_reports.py

@@ -10,13 +10,16 @@ from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT
 from freqtrade.data.metrics import (
     calculate_cagr,
     calculate_calmar,
+    calculate_calmar_from_balance,
     calculate_csum,
     calculate_expectancy,
     calculate_market_change,
     calculate_max_drawdown,
+    calculate_max_drawdown_from_balance,
     calculate_sharpe,
     calculate_sharpe_from_balance,
     calculate_sortino,
+    calculate_sortino_from_balance,
     calculate_sqn,
 )
 from freqtrade.ft_types import (
@@ -61,12 +64,43 @@ def generate_wallet_stats(wallet_df: DataFrame, stake_currency: str) -> dict[str
     low_date = wallet.loc[low_idx, "date"]
     high_date = wallet.loc[high_idx, "date"]
     sharpe = calculate_sharpe_from_balance(wallet)
+    sortino = calculate_sortino_from_balance(wallet)
+    calmar = calculate_calmar_from_balance(wallet)
+    try:
+        drawdown = calculate_max_drawdown_from_balance(wallet)
+    except ValueError:
+        drawdown = None
+
     return {
         "start_balance": start_balance,
         "end_balance": end_balance,
         "high_balance": high_balance,
         "low_balance": low_balance,
         "sharpe": sharpe,
+        "sortino": sortino,
+        "calmar": calmar,
+        "max_drawdown_account": drawdown.relative_account_drawdown if drawdown else 0.0,
+        "max_drawdown_abs": drawdown.drawdown_abs if drawdown else 0.0,
+        "drawdown_start": (
+            drawdown.high_date.strftime(DATETIME_PRINT_FORMAT)
+            if drawdown and drawdown.high_date is not None
+            else None
+        ),
+        "drawdown_start_ts": (
+            int(drawdown.high_date.timestamp() * 1000)
+            if drawdown and drawdown.high_date is not None
+            else None
+        ),
+        "drawdown_end": (
+            drawdown.low_date.strftime(DATETIME_PRINT_FORMAT)
+            if drawdown and drawdown.low_date is not None
+            else None
+        ),
+        "drawdown_end_ts": (
+            int(drawdown.low_date.timestamp() * 1000)
+            if drawdown and drawdown.low_date is not None
+            else None
+        ),
         "low_date": low_date.strftime(DATETIME_PRINT_FORMAT),
         "low_ts": int(low_date.timestamp() * 1000),
         "high_date": high_date.strftime(DATETIME_PRINT_FORMAT),