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Merge pull request #10022 from freqtrade/align-exitreasons

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Align exitreasons, remove duplicated code
This commit is contained in:
Matthias
2024-03-31 14:04:16 +02:00
committed by GitHub
parent d112a8c0ed 7b5e444333
commit d6aa7f1b8b
5 changed files with 44 additions and 104 deletions
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freqtrade/optimize/optimize_reports/__init__.py
+3 -4
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@@ -6,13 +6,12 @@ from freqtrade.optimize.optimize_reports.bt_output import (generate_edge_table,
show_sorted_pairlist, show_sorted_pairlist,
text_table_add_metrics, text_table_add_metrics,
text_table_bt_results, text_table_bt_results,
text_table_exit_reason,
text_table_periodic_breakdown, text_table_periodic_breakdown,
text_table_strategy, text_table_tags) text_table_strategy, text_table_tags)
from freqtrade.optimize.optimize_reports.bt_storage import (store_backtest_analysis_results, from freqtrade.optimize.optimize_reports.bt_storage import (store_backtest_analysis_results,
store_backtest_stats) store_backtest_stats)
from freqtrade.optimize.optimize_reports.optimize_reports import ( from freqtrade.optimize.optimize_reports.optimize_reports import (
generate_all_periodic_breakdown_stats, generate_backtest_stats, generate_daily_stats, generate_all_periodic_breakdown_stats, generate_backtest_stats, generate_daily_stats,
generate_exit_reason_stats, generate_pair_metrics, generate_periodic_breakdown_stats, generate_pair_metrics, generate_periodic_breakdown_stats, generate_rejected_signals,
generate_rejected_signals, generate_strategy_comparison, generate_strategy_stats, generate_strategy_comparison, generate_strategy_stats, generate_tag_metrics,
generate_tag_metrics, generate_trade_signal_candles, generate_trading_stats) generate_trade_signal_candles, generate_trading_stats)
freqtrade/optimize/optimize_reports/bt_output.py
+12 -36
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@@ -60,32 +60,6 @@ def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: st
floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")
def text_table_exit_reason(exit_reason_stats: List[Dict[str, Any]], stake_currency: str) -> str:
"""
Generate small table outlining Backtest results
:param exit_reason_stats: Exit reason metrics
:param stake_currency: Stakecurrency used
:return: pretty printed table with tabulate as string
"""
headers = [
'Exit Reason',
'Exits',
'Win Draws Loss Win%',
'Avg Profit %',
f'Tot Profit {stake_currency}',
'Tot Profit %',
]
output = [[
t.get('exit_reason', t.get('sell_reason')), t['trades'],
generate_wins_draws_losses(t['wins'], t['draws'], t['losses']),
t['profit_mean_pct'],
fmt_coin(t['profit_total_abs'], stake_currency, False),
t['profit_total_pct'],
] for t in exit_reason_stats]
return tabulate(output, headers=headers, tablefmt="orgtbl", stralign="right")
def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_currency: str) -> str: def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_currency: str) -> str:
""" """
Generates and returns a text table for the given backtest data and the results dataframe Generates and returns a text table for the given backtest data and the results dataframe
@@ -93,20 +67,23 @@ def text_table_tags(tag_type: str, tag_results: List[Dict[str, Any]], stake_curr
:param stake_currency: stake-currency - used to correctly name headers :param stake_currency: stake-currency - used to correctly name headers
:return: pretty printed table with tabulate as string :return: pretty printed table with tabulate as string
""" """
fallback: str = ''
if (tag_type == "enter_tag"): if (tag_type == "enter_tag"):
headers = _get_line_header("TAG", stake_currency) headers = _get_line_header("TAG", stake_currency)
else: else:
headers = _get_line_header("TAG", stake_currency, 'Exits') headers = _get_line_header("Exit Reason", stake_currency, 'Exits')
fallback = 'exit_reason'
floatfmt = _get_line_floatfmt(stake_currency) floatfmt = _get_line_floatfmt(stake_currency)
output = [ output = [
[ [
t['key'] if t['key'] is not None and len( t['key'] if t.get('key') is not None and len(
t['key']) > 0 else "OTHER", str(t['key'])) > 0 else t.get(fallback, "OTHER"),
t['trades'], t['trades'],
t['profit_mean_pct'], t['profit_mean_pct'],
t['profit_total_abs'], t['profit_total_abs'],
t['profit_total_pct'], t['profit_total_pct'],
t['duration_avg'], t.get('duration_avg'),
generate_wins_draws_losses( generate_wins_draws_losses(
t['wins'], t['wins'],
t['draws'], t['draws'],
@@ -317,17 +294,16 @@ def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency:
print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '='))
print(table) print(table)
if (results.get('results_per_enter_tag') is not None): if (enter_tags := results.get('results_per_enter_tag')) is not None:
table = text_table_tags("enter_tag", results['results_per_enter_tag'], stake_currency) table = text_table_tags("enter_tag", enter_tags, stake_currency)
if isinstance(table, str) and len(table) > 0: if isinstance(table, str) and len(table) > 0:
print(' ENTER TAG STATS '.center(len(table.splitlines()[0]), '=')) print(' ENTER TAG STATS '.center(len(table.splitlines()[0]), '='))
print(table) print(table)
exit_reasons = results.get('exit_reason_summary') if (exit_reasons := results.get('exit_reason_summary')) is not None:
if exit_reasons: table = text_table_tags("exit_tag", exit_reasons, stake_currency)
table = text_table_exit_reason(exit_reason_stats=exit_reasons,
stake_currency=stake_currency)
if isinstance(table, str) and len(table) > 0: if isinstance(table, str) and len(table) > 0:
print(' EXIT REASON STATS '.center(len(table.splitlines()[0]), '=')) print(' EXIT REASON STATS '.center(len(table.splitlines()[0]), '='))
print(table) print(table)
freqtrade/optimize/optimize_reports/optimize_reports.py
+5 -41
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@@ -6,7 +6,7 @@ from typing import Any, Dict, List, Tuple, Union
import numpy as np import numpy as np
from pandas import DataFrame, Series, concat, to_datetime from pandas import DataFrame, Series, concat, to_datetime
from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, IntOrInf from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT
from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum, from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum,
calculate_expectancy, calculate_market_change, calculate_expectancy, calculate_market_change,
calculate_max_drawdown, calculate_sharpe, calculate_sortino) calculate_max_drawdown, calculate_sharpe, calculate_sortino)
@@ -71,7 +71,8 @@ def _generate_result_line(result: DataFrame, starting_balance: int, first_column
'key': first_column, 'key': first_column,
'trades': len(result), 'trades': len(result),
'profit_mean': result['profit_ratio'].mean() if len(result) > 0 else 0.0, 'profit_mean': result['profit_ratio'].mean() if len(result) > 0 else 0.0,
'profit_mean_pct': result['profit_ratio'].mean() * 100.0 if len(result) > 0 else 0.0, 'profit_mean_pct': round(result['profit_ratio'].mean() * 100.0, 2
) if len(result) > 0 else 0.0,
'profit_sum': profit_sum, 'profit_sum': profit_sum,
'profit_sum_pct': round(profit_sum * 100.0, 2), 'profit_sum_pct': round(profit_sum * 100.0, 2),
'profit_total_abs': result['profit_abs'].sum(), 'profit_total_abs': result['profit_abs'].sum(),
@@ -154,42 +155,6 @@ def generate_tag_metrics(tag_type: str,
return [] return []
def generate_exit_reason_stats(max_open_trades: IntOrInf, results: DataFrame) -> List[Dict]:
"""
Generate small table outlining Backtest results
:param max_open_trades: Max_open_trades parameter
:param results: Dataframe containing the backtest result for one strategy
:return: List of Dicts containing the metrics per Sell reason
"""
tabular_data = []
for reason, count in results['exit_reason'].value_counts().items():
result = results.loc[results['exit_reason'] == reason]
profit_mean = result['profit_ratio'].mean()
profit_sum = result['profit_ratio'].sum()
profit_total = profit_sum / max_open_trades
tabular_data.append(
{
'exit_reason': reason,
'trades': count,
'wins': len(result[result['profit_abs'] > 0]),
'draws': len(result[result['profit_abs'] == 0]),
'losses': len(result[result['profit_abs'] < 0]),
'winrate': len(result[result['profit_abs'] > 0]) / count if count else 0.0,
'profit_mean': profit_mean,
'profit_mean_pct': round(profit_mean * 100, 2),
'profit_sum': profit_sum,
'profit_sum_pct': round(profit_sum * 100, 2),
'profit_total_abs': result['profit_abs'].sum(),
'profit_total': profit_total,
'profit_total_pct': round(profit_total * 100, 2),
}
)
return tabular_data
def generate_strategy_comparison(bt_stats: Dict) -> List[Dict]: def generate_strategy_comparison(bt_stats: Dict) -> List[Dict]:
""" """
Generate summary per strategy Generate summary per strategy
@@ -383,9 +348,8 @@ def generate_strategy_stats(pairlist: List[str],
enter_tag_results = generate_tag_metrics("enter_tag", starting_balance=start_balance, enter_tag_results = generate_tag_metrics("enter_tag", starting_balance=start_balance,
results=results, skip_nan=False) results=results, skip_nan=False)
exit_reason_stats = generate_tag_metrics('exit_reason', starting_balance=start_balance,
exit_reason_stats = generate_exit_reason_stats(max_open_trades=max_open_trades, results=results, skip_nan=False)
results=results)
left_open_results = generate_pair_metrics( left_open_results = generate_pair_metrics(
pairlist, stake_currency=stake_currency, starting_balance=start_balance, pairlist, stake_currency=stake_currency, starting_balance=start_balance,
results=results.loc[results['exit_reason'] == 'force_exit'], skip_nan=True) results=results.loc[results['exit_reason'] == 'force_exit'], skip_nan=True)
tests/optimize/test_backtesting.py
+3 -3
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@@ -1473,7 +1473,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
PropertyMock(return_value=['UNITTEST/BTC'])) PropertyMock(return_value=['UNITTEST/BTC']))
mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock) mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
text_table_mock = MagicMock() text_table_mock = MagicMock()
sell_reason_mock = MagicMock() tag_metrics_mock = MagicMock()
strattable_mock = MagicMock() strattable_mock = MagicMock()
strat_summary = MagicMock() strat_summary = MagicMock()
@@ -1483,7 +1483,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
) )
mocker.patch.multiple('freqtrade.optimize.optimize_reports.optimize_reports', mocker.patch.multiple('freqtrade.optimize.optimize_reports.optimize_reports',
generate_pair_metrics=MagicMock(), generate_pair_metrics=MagicMock(),
generate_exit_reason_stats=sell_reason_mock, generate_tag_metrics=tag_metrics_mock,
generate_strategy_comparison=strat_summary, generate_strategy_comparison=strat_summary,
generate_daily_stats=MagicMock(), generate_daily_stats=MagicMock(),
) )
@@ -1508,7 +1508,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
assert backtestmock.call_count == 2 assert backtestmock.call_count == 2
assert text_table_mock.call_count == 4 assert text_table_mock.call_count == 4
assert strattable_mock.call_count == 1 assert strattable_mock.call_count == 1
assert sell_reason_mock.call_count == 2 assert tag_metrics_mock.call_count == 4
assert strat_summary.call_count == 1 assert strat_summary.call_count == 1
# check the logs, that will contain the backtest result # check the logs, that will contain the backtest result
tests/optimize/test_optimize_reports.py
+21 -20
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@@ -15,16 +15,16 @@ from freqtrade.data.btanalysis import (get_latest_backtest_filename, load_backte
from freqtrade.edge import PairInfo from freqtrade.edge import PairInfo
from freqtrade.enums import ExitType from freqtrade.enums import ExitType
from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_daily_stats, from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_daily_stats,
generate_edge_table, generate_exit_reason_stats, generate_edge_table, generate_pair_metrics,
generate_pair_metrics,
generate_periodic_breakdown_stats, generate_periodic_breakdown_stats,
generate_strategy_comparison, generate_strategy_comparison,
generate_trading_stats, show_sorted_pairlist, generate_trading_stats, show_sorted_pairlist,
store_backtest_analysis_results, store_backtest_analysis_results,
store_backtest_stats, text_table_bt_results, store_backtest_stats, text_table_bt_results,
text_table_exit_reason, text_table_strategy) text_table_strategy)
from freqtrade.optimize.optimize_reports.bt_output import text_table_tags
from freqtrade.optimize.optimize_reports.optimize_reports import (_get_resample_from_period, from freqtrade.optimize.optimize_reports.optimize_reports import (_get_resample_from_period,
calc_streak) calc_streak, generate_tag_metrics)
from freqtrade.resolvers.strategy_resolver import StrategyResolver from freqtrade.resolvers.strategy_resolver import StrategyResolver
from freqtrade.util import dt_ts from freqtrade.util import dt_ts
from freqtrade.util.datetime_helpers import dt_from_ts, dt_utc from freqtrade.util.datetime_helpers import dt_from_ts, dt_utc
@@ -392,20 +392,21 @@ def test_text_table_exit_reason():
) )
result_str = ( result_str = (
'| Exit Reason | Exits | Win Draws Loss Win% | Avg Profit % |' '| Exit Reason | Exits | Avg Profit % | Tot Profit BTC | Tot Profit % |'
' Tot Profit BTC | Tot Profit % |\n' ' Avg Duration | Win Draw Loss Win% |\n'
'|---------------+---------+--------------------------+----------------+' '|---------------+---------+----------------+------------------+----------------+'
'------------------+----------------|\n' '----------------+-------------------------|\n'
'| roi | 2 | 2 0 0 100 | 15 |' '| roi | 2 | 15.00 | 0.60000000 | 2.73 |'
' 0.6 | 15 |\n' ' 0:20:00 | 2 0 0 100 |\n'
'| stop_loss | 1 | 0 0 1 0 | -10 |' '| stop_loss | 1 | -10.00 | -0.20000000 | -0.91 |'
' -0.2 | -5 |' ' 0:10:00 | 0 0 1 0 |\n'
'| TOTAL | 3 | 6.67 | 0.40000000 | 1.82 |'
' 0:17:00 | 2 0 1 66.7 |'
) )
exit_reason_stats = generate_exit_reason_stats(max_open_trades=2, exit_reason_stats = generate_tag_metrics('exit_reason', starting_balance=22,
results=results) results=results, skip_nan=False)
assert text_table_exit_reason(exit_reason_stats=exit_reason_stats, assert text_table_tags('exit_tag', exit_reason_stats, 'BTC') == result_str
stake_currency='BTC') == result_str
def test_generate_sell_reason_stats(): def test_generate_sell_reason_stats():
@@ -423,10 +424,10 @@ def test_generate_sell_reason_stats():
} }
) )
exit_reason_stats = generate_exit_reason_stats(max_open_trades=2, exit_reason_stats = generate_tag_metrics('exit_reason', starting_balance=22,
results=results) results=results, skip_nan=False)
roi_result = exit_reason_stats[0] roi_result = exit_reason_stats[0]
assert roi_result['exit_reason'] == 'roi' assert roi_result['key'] == 'roi'
assert roi_result['trades'] == 2 assert roi_result['trades'] == 2
assert pytest.approx(roi_result['profit_mean']) == 0.15 assert pytest.approx(roi_result['profit_mean']) == 0.15
assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2) assert roi_result['profit_mean_pct'] == round(roi_result['profit_mean'] * 100, 2)
@@ -435,7 +436,7 @@ def test_generate_sell_reason_stats():
stop_result = exit_reason_stats[1] stop_result = exit_reason_stats[1]
assert stop_result['exit_reason'] == 'stop_loss' assert stop_result['key'] == 'stop_loss'
assert stop_result['trades'] == 1 assert stop_result['trades'] == 1
assert pytest.approx(stop_result['profit_mean']) == -0.1 assert pytest.approx(stop_result['profit_mean']) == -0.1
assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2) assert stop_result['profit_mean_pct'] == round(stop_result['profit_mean'] * 100, 2)