docs: update backtesting docs with new output
This commit is contained in:
Matthias
+109
-101
@@ -211,58 +211,59 @@ A backtesting result will look like that:
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│ TOTAL │ │ 77 │ 0.22 │ 54.774 │ 5.48 │ 22:12:00 │ 67 0 10 87.0 │
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└───────────┴─────────────┴────────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┘
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SUMMARY METRICS
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┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Metric ┃ Value ┃
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┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ Backtesting from │ 2025-07-01 00:00:00 │
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│ Backtesting to │ 2025-08-01 00:00:00 │
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│ Trading Mode │ Isolated Futures │
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│ Max open trades │ 3 │
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│ │ │
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│ Total/Daily Avg Trades │ 77 / 2.48 │
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│ Starting balance │ 1000 USDT │
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│ Final balance │ 1054.774 USDT │
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│ Absolute profit │ 54.774 USDT │
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│ Total profit % │ 5.48% │
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│ CAGR % │ 87.36% │
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│ Sortino │ 2.48 │
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│ Sharpe │ 3.75 │
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│ Calmar │ 40.99 │
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│ SQN │ 0.69 │
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│ Profit factor │ 1.29 │
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│ Expectancy (Ratio) │ 0.71 (0.04) │
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│ Avg. daily profit │ 1.767 USDT │
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│ Avg. stake amount │ 345.016 USDT │
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│ Total trade volume │ 53316.954 USDT │
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│ │ │
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│ Long / Short trades │ 67 / 10 │
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│ Long / Short profit % │ 8.94% / -3.47% │
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│ Long / Short profit USDT │ 89.425 / -34.651 │
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│ │ │
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│ Best Pair │ LTC/USDT:USDT 5.62% │
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│ Worst Pair │ ADA/USDT:USDT -5.21% │
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│ Best trade │ ETC/USDT:USDT 2.00% │
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│ Worst trade │ ADA/USDT:USDT -10.17% │
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│ Best day │ 26.91 USDT │
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│ Worst day │ -47.741 USDT │
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│ Days win/draw/lose │ 20 / 6 / 5 │
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│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │
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│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │
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│ Max Consecutive Wins / Loss │ 36 / 3 │
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│ Rejected Entry signals │ 258 │
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│ Entry/Exit Timeouts │ 0 / 0 │
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│ │ │
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│ Min balance │ 1003.168 USDT │
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│ Max balance │ 1149.421 USDT │
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│ Max % of account underwater │ 8.23% │
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│ Absolute drawdown │ 94.647 USDT (8.23%) │
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│ Drawdown duration │ 9 days 08:50:00 │
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│ Profit at drawdown start │ 149.421 USDT │
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│ Profit at drawdown end │ 54.774 USDT │
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│ Drawdown start │ 2025-07-22 15:10:00 │
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│ Drawdown end │ 2025-08-01 00:00:00 │
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│ Market change │ 30.51% │
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└───────────────────────────────┴─────────────────────────────────┘
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┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Metric ┃ Value ┃
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┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ Backtesting from │ 2025-07-01 00:00:00 │
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│ Backtesting to │ 2025-08-01 00:00:00 │
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│ Trading Mode │ Isolated Futures │
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│ Max open trades │ 3 │
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│ │ │
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│ Total/Daily Avg Trades │ 77 / 2.48 │
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│ Starting balance │ 1000 USDT │
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│ Final balance │ 1054.669 USDT │
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│ Absolute profit │ 54.669 USDT │
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│ Total profit % │ 5.47% │
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│ CAGR % │ 87.14% │
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│ Sortino │ 2.46 │
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│ Sharpe │ 3.73 │
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│ Calmar │ 40.81 │
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│ SQN │ 0.69 │
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│ Profit factor │ 1.29 │
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│ Expectancy (Ratio) │ 0.71 (0.04) │
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│ Avg. daily profit │ 1.764 USDT │
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│ Avg. stake amount │ 345.251 USDT │
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│ Total trade volume │ 53352.96 USDT │
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│ │ │
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│ Long / Short trades │ 67 / 10 │
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│ Long / Short profit % │ 8.93% / -3.46% │
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│ Long / Short profit USDT │ 89.262 / -34.593 │
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│ │ │
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│ Best Pair │ LTC/USDT:USDT 5.62% │
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│ Worst Pair │ ADA/USDT:USDT -5.21% │
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│ Best trade │ ETC/USDT:USDT 2.00% │
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│ Worst trade │ ADA/USDT:USDT -10.17% │
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│ Best day │ 26.931 USDT │
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│ Worst day │ -47.741 USDT │
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│ Days win/draw/lose │ 20 / 6 / 5 │
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│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │
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│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │
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│ Max Consecutive Wins / Loss │ 36 / 3 │
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│ Rejected Entry signals │ 258 │
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│ Entry/Exit Timeouts │ 0 / 0 │
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│ │ │
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│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │
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│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │
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│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │
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│ Max % of account underwater │ 8.26% │
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│ Absolute drawdown │ 94.908 USDT (8.26%) │
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│ Drawdown duration │ 9 days 08:50:00 │
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│ Profit at drawdown start │ 149.577 USDT │
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│ Profit at drawdown end │ 54.669 USDT │
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│ Drawdown start │ 2025-07-22 15:10:00 │
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│ Drawdown end │ 2025-08-01 00:00:00 │
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│ Market change │ 30.51% │
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└───────────────────────────────┴───────────────────────────────────────────┘
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Backtested 2025-07-01 00:00:00 -> 2025-08-01 00:00:00 | Max open trades : 3
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STRATEGY SUMMARY
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@@ -329,54 +330,59 @@ The last element of the backtest report is the summary metrics table.
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It contains key metrics about the performance of your strategy on backtesting data.
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```
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┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Metric ┃ Value ┃
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┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ Backtesting from │ 2025-07-01 00:00:00 │
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│ Backtesting to │ 2025-08-01 00:00:00 │
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│ Trading Mode │ Isolated Futures │
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│ Max open trades │ 3 │
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│ │ │
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│ Total/Daily Avg Trades │ 72 / 2.32 │
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│ Starting balance │ 1000 USDT │
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│ Final balance │ 1106.734 USDT │
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│ Absolute profit │ 106.734 USDT │
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│ Total profit % │ 10.67% │
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│ CAGR % │ 230.04% │
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│ Sortino │ 4.99 │
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│ Sharpe │ 8.00 │
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│ Calmar │ 77.76 │
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│ SQN │ 1.52 │
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│ Profit factor │ 1.79 │
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│ Expectancy (Ratio) │ 1.48 (0.07) │
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│ Avg. daily profit │ 3.443 USDT │
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│ Avg. stake amount │ 363.133 USDT │
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│ Total trade volume │ 52466.174 USDT │
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│ │ │
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│ Best Pair │ LTC/USDT:USDT 4.48% │
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│ Worst Pair │ ADA/USDT:USDT -1.78% │
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│ Best trade │ ETC/USDT:USDT 2.00% │
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│ Worst trade │ ADA/USDT:USDT -10.17% │
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│ Best day │ 23.535 USDT │
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│ Worst day │ -49.813 USDT │
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│ Days win/draw/lose │ 21 / 6 / 4 │
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│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:30 │
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│ Min/Max/Avg. Duration Losers │ 0d 12:00 / 17d 08:00 / 3d 23:28 │
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│ Max Consecutive Wins / Loss │ 58 / 4 │
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│ Rejected Entry signals │ 254 │
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│ Entry/Exit Timeouts │ 0 / 0 │
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│ │ │
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│ Min balance │ 1003.168 USDT │
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│ Max balance │ 1209 USDT │
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│ Max % of account underwater │ 8.46% │
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│ Absolute drawdown │ 102.266 USDT (8.46%) │
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│ Drawdown duration │ 9 days 08:50:00 │
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│ Profit at drawdown start │ 209 USDT │
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│ Profit at drawdown end │ 106.734 USDT │
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│ Drawdown start │ 2025-07-22 15:10:00 │
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│ Drawdown end │ 2025-08-01 00:00:00 │
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│ Market change │ 30.51% │
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└───────────────────────────────┴─────────────────────────────────┘
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┏━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┳━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┓
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┃ Metric ┃ Value ┃
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┡━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━━┩
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│ Backtesting from │ 2025-07-01 00:00:00 │
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│ Backtesting to │ 2025-08-01 00:00:00 │
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│ Trading Mode │ Isolated Futures │
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│ Max open trades │ 3 │
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│ │ │
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│ Total/Daily Avg Trades │ 77 / 2.48 │
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│ Starting balance │ 1000 USDT │
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│ Final balance │ 1054.669 USDT │
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│ Absolute profit │ 54.669 USDT │
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│ Total profit % │ 5.47% │
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│ CAGR % │ 87.14% │
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│ Sortino │ 2.46 │
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│ Sharpe │ 3.73 │
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│ Calmar │ 40.81 │
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│ SQN │ 0.69 │
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│ Profit factor │ 1.29 │
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│ Expectancy (Ratio) │ 0.71 (0.04) │
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│ Avg. daily profit │ 1.764 USDT │
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│ Avg. stake amount │ 345.251 USDT │
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│ Total trade volume │ 53352.96 USDT │
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│ │ │
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│ Long / Short trades │ 67 / 10 │
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│ Long / Short profit % │ 8.93% / -3.46% │
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│ Long / Short profit USDT │ 89.262 / -34.593 │
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│ │ │
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│ Best Pair │ LTC/USDT:USDT 5.62% │
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│ Worst Pair │ ADA/USDT:USDT -5.21% │
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│ Best trade │ ETC/USDT:USDT 2.00% │
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│ Worst trade │ ADA/USDT:USDT -10.17% │
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│ Best day │ 26.931 USDT │
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│ Worst day │ -47.741 USDT │
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│ Days win/draw/lose │ 20 / 6 / 5 │
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│ Min/Max/Avg. Duration Winners │ 0d 00:35 / 5d 18:15 / 0d 15:49 │
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│ Min/Max/Avg. Duration Losers │ 0d 10:40 / 17d 08:00 / 2d 17:00 │
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│ Max Consecutive Wins / Loss │ 36 / 3 │
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│ Rejected Entry signals │ 258 │
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│ Entry/Exit Timeouts │ 0 / 0 │
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│ │ │
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│ Min/Max balance realized │ 1003.168 USDT / 1149.577 USDT │
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│ Min/Max balance unrealized │ 1000 USDT / 1149.577 USDT │
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│ Min/Max balance dates │ 2025-07-01 00:05:00 / 2025-07-22 15:15:00 │
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│ Max % of account underwater │ 8.26% │
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│ Absolute drawdown │ 94.908 USDT (8.26%) │
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│ Drawdown duration │ 9 days 08:50:00 │
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│ Profit at drawdown start │ 149.577 USDT │
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│ Profit at drawdown end │ 54.669 USDT │
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│ Drawdown start │ 2025-07-22 15:10:00 │
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│ Drawdown end │ 2025-08-01 00:00:00 │
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│ Market change │ 30.51% │
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└───────────────────────────────┴───────────────────────────────────────────┘
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```
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- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).
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@@ -409,7 +415,9 @@ It contains key metrics about the performance of your strategy on backtesting da
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- `Max Consecutive Wins / Loss`: Maximum consecutive wins/losses in a row.
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- `Rejected Entry signals`: Trade entry signals that could not be acted upon due to `max_open_trades` being reached.
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- `Entry/Exit Timeouts`: Entry/exit orders which did not fill (only applicable if custom pricing is used).
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- `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
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- `Min/Max balance realized`: Lowest and Highest Wallet balance during the backtest period based on closed trades trades.
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- `Min/Max balance unrealized`: Lowest and Highest Wallet balance during the backtest period - including capital tied in open trades.
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- `Min/Max balance dates`: Dates when the minimum and maximum balance occurred.
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- `Max % of account underwater`: Maximum percentage your account has decreased from the top since the simulation started. Calculated as the maximum of `(Max Balance - Current Balance) / (Max Balance)`.
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- `Absolute drawdown`: Maximum absolute drawdown experienced, including percentage relative to the account calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`..
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- `Drawdown duration`: Duration of the largest drawdown period.
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