2228 lines
54 KiB
HTML
2228 lines
54 KiB
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<meta name="description" content="Freqtrade is a free and open source crypto trading bot written in Python, designed to support all major exchanges and be controlled via Telegram or builtin Web UI">
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<link rel="canonical" href="https://www.freqtrade.io/en/stable/strategy_analysis_example/">
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<li class="md-nav__item">
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<a href="../installation/" class="md-nav__link">
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<span class="md-ellipsis">
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Installation
|
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../bot-basics/" class="md-nav__link">
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<span class="md-ellipsis">
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Freqtrade Basics
|
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../configuration/" class="md-nav__link">
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<span class="md-ellipsis">
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Configuration
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../strategy-101/" class="md-nav__link">
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<span class="md-ellipsis">
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Strategy Quickstart
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../strategy-customization/" class="md-nav__link">
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<span class="md-ellipsis">
|
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Strategy Customization
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../strategy-callbacks/" class="md-nav__link">
|
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<span class="md-ellipsis">
|
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Strategy Callbacks
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</span>
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</a>
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</li>
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<li class="md-nav__item">
|
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<a href="../stoploss/" class="md-nav__link">
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<span class="md-ellipsis">
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Stoploss
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</span>
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</a>
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</li>
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<li class="md-nav__item">
|
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<a href="../plugins/" class="md-nav__link">
|
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|
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<span class="md-ellipsis">
|
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|
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|
|
Plugins
|
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</span>
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</a>
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</li>
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<li class="md-nav__item">
|
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<a href="../bot-usage/" class="md-nav__link">
|
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|
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<span class="md-ellipsis">
|
|
|
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|
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Start the bot
|
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--nested">
|
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|
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_12" >
|
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|
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<label class="md-nav__link" for="__nav_12" id="__nav_12_label" tabindex="0">
|
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|
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<span class="md-ellipsis">
|
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|
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Control the bot
|
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</span>
|
|
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|
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<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_12_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_12">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
|
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|
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Control the bot
|
|
|
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|
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</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
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<li class="md-nav__item">
|
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<a href="../telegram-usage/" class="md-nav__link">
|
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|
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<span class="md-ellipsis">
|
|
|
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|
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Telegram
|
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</span>
|
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</a>
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</li>
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<li class="md-nav__item">
|
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<a href="../freq-ui/" class="md-nav__link">
|
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|
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<span class="md-ellipsis">
|
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|
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|
|
freqUI
|
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</span>
|
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</a>
|
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</li>
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<li class="md-nav__item">
|
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<a href="../rest-api/" class="md-nav__link">
|
|
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|
|
<span class="md-ellipsis">
|
|
|
|
|
|
REST API
|
|
|
|
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|
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</span>
|
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</a>
|
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</li>
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<li class="md-nav__item">
|
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<a href="../webhook-config/" class="md-nav__link">
|
|
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|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Web Hook
|
|
|
|
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|
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</span>
|
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|
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</a>
|
|
</li>
|
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</ul>
|
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</nav>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../data-download/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Data Downloading
|
|
|
|
|
|
|
|
</span>
|
|
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|
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</a>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../backtesting/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Backtesting
|
|
|
|
|
|
|
|
</span>
|
|
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|
|
|
|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../hyperopt/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Hyperopt
|
|
|
|
|
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|
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</span>
|
|
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|
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</a>
|
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</li>
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<li class="md-nav__item md-nav__item--nested">
|
|
|
|
|
|
|
|
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_16" >
|
|
|
|
|
|
<label class="md-nav__link" for="__nav_16" id="__nav_16_label" tabindex="0">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
FreqAI
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_16_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_16">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
|
|
|
|
FreqAI
|
|
|
|
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
|
|
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../freqai/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Introduction
|
|
|
|
|
|
|
|
</span>
|
|
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|
|
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|
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</a>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../freqai-configuration/" class="md-nav__link">
|
|
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|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Configuration
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
|
</li>
|
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<li class="md-nav__item">
|
|
<a href="../freqai-parameter-table/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Parameter table
|
|
|
|
|
|
|
|
</span>
|
|
|
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|
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|
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</a>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../freqai-feature-engineering/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Feature engineering
|
|
|
|
|
|
|
|
</span>
|
|
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|
|
</a>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../freqai-running/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Running FreqAI
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../freqai-reinforcement-learning/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Reinforcement Learning
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../freqai-developers/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Developer guide
|
|
|
|
|
|
|
|
</span>
|
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|
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|
|
</a>
|
|
</li>
|
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</ul>
|
|
</nav>
|
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</li>
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|
|
<li class="md-nav__item">
|
|
<a href="../leverage/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Short / Leverage
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
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</li>
|
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|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../utils/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Utility Sub-commands
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
|
</li>
|
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|
|
<li class="md-nav__item">
|
|
<a href="../plotting/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Plotting
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
|
</li>
|
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|
|
<li class="md-nav__item">
|
|
<a href="../exchanges/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Exchange-specific Notes
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
|
</li>
|
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|
|
<li class="md-nav__item md-nav__item--active md-nav__item--nested">
|
|
|
|
|
|
|
|
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_21" checked>
|
|
|
|
|
|
<label class="md-nav__link" for="__nav_21" id="__nav_21_label" tabindex="0">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Data Analysis
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_21_label" aria-expanded="true">
|
|
<label class="md-nav__title" for="__nav_21">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
|
|
|
|
Data Analysis
|
|
|
|
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../data-analysis/" class="md-nav__link">
|
|
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
|
|
|
|
Jupyter Notebooks
|
|
|
|
|
|
|
|
</span>
|
|
|
|
|
|
|
|
</a>
|
|
</li>
|
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<li class="md-nav__item md-nav__item--active">
|
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|
|
<input class="md-nav__toggle md-toggle" type="checkbox" id="__toc">
|
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M10 20H6V4h7v5h5v3.1l2-2V8l-6-6H6c-1.1 0-2 .9-2 2v16c0 1.1.9 2 2 2h4zm10.2-7c.1 0 .3.1.4.2l1.3 1.3c.2.2.2.6 0 .8l-1 1-2.1-2.1 1-1c.1-.1.2-.2.4-.2m0 3.9L14.1 23H12v-2.1l6.1-6.1z"/></svg>
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<h1 id="strategy-analysis-example">Strategy analysis example<a class="headerlink" href="#strategy-analysis-example" title="Permanent link">¶</a></h1>
|
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<p>Debugging a strategy can be time-consuming. Freqtrade offers helper functions to visualize raw data.
|
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The following assumes you work with SampleStrategy, data for 5m timeframe from Binance and have downloaded them into the data directory in the default location.
|
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Please follow the <a href="https://www.freqtrade.io/en/stable/data-download/">documentation</a> for more details.</p>
|
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<h2 id="setup">Setup<a class="headerlink" href="#setup" title="Permanent link">¶</a></h2>
|
|
<h3 id="change-working-directory-to-repository-root">Change Working directory to repository root<a class="headerlink" href="#change-working-directory-to-repository-root" title="Permanent link">¶</a></h3>
|
|
<p>```python
|
|
import os
|
|
from pathlib import Path</p>
|
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<h1 id="change-directory">Change directory<a class="headerlink" href="#change-directory" title="Permanent link">¶</a></h1>
|
|
<h1 id="modify-this-cell-to-insure-that-the-output-shows-the-correct-path">Modify this cell to insure that the output shows the correct path.<a class="headerlink" href="#modify-this-cell-to-insure-that-the-output-shows-the-correct-path" title="Permanent link">¶</a></h1>
|
|
<h1 id="define-all-paths-relative-to-the-project-root-shown-in-the-cell-output">Define all paths relative to the project root shown in the cell output<a class="headerlink" href="#define-all-paths-relative-to-the-project-root-shown-in-the-cell-output" title="Permanent link">¶</a></h1>
|
|
<p>project_root = "somedir/freqtrade"
|
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i = 0
|
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try:
|
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os.chdir(project_root)
|
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if not Path("LICENSE").is_file():
|
|
i = 0
|
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while i < 4 and (not Path("LICENSE").is_file()):
|
|
os.chdir(Path(Path.cwd(), "../"))
|
|
i += 1
|
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project_root = Path.cwd()
|
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except FileNotFoundError:
|
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print("Please define the project root relative to the current directory")
|
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print(Path.cwd())
|
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```</p>
|
|
<h3 id="configure-freqtrade-environment">Configure Freqtrade environment<a class="headerlink" href="#configure-freqtrade-environment" title="Permanent link">¶</a></h3>
|
|
<p>```python
|
|
from freqtrade.configuration import Configuration</p>
|
|
<h1 id="customize-these-according-to-your-needs">Customize these according to your needs.<a class="headerlink" href="#customize-these-according-to-your-needs" title="Permanent link">¶</a></h1>
|
|
<h1 id="initialize-empty-configuration-object">Initialize empty configuration object<a class="headerlink" href="#initialize-empty-configuration-object" title="Permanent link">¶</a></h1>
|
|
<p>config = Configuration.from_files([])</p>
|
|
<h1 id="optionally-recommended-use-existing-configuration-file">Optionally (recommended), use existing configuration file<a class="headerlink" href="#optionally-recommended-use-existing-configuration-file" title="Permanent link">¶</a></h1>
|
|
<h1 id="config-configurationfrom_filesuser_dataconfigjson">config = Configuration.from_files(["user_data/config.json"])<a class="headerlink" href="#config-configurationfrom_filesuser_dataconfigjson" title="Permanent link">¶</a></h1>
|
|
<h1 id="define-some-constants">Define some constants<a class="headerlink" href="#define-some-constants" title="Permanent link">¶</a></h1>
|
|
<p>config["timeframe"] = "5m"</p>
|
|
<h1 id="name-of-the-strategy-class">Name of the strategy class<a class="headerlink" href="#name-of-the-strategy-class" title="Permanent link">¶</a></h1>
|
|
<p>config["strategy"] = "SampleStrategy"</p>
|
|
<h1 id="location-of-the-data">Location of the data<a class="headerlink" href="#location-of-the-data" title="Permanent link">¶</a></h1>
|
|
<p>data_location = config["datadir"]</p>
|
|
<h1 id="pair-to-analyze-only-use-one-pair-here">Pair to analyze - Only use one pair here<a class="headerlink" href="#pair-to-analyze-only-use-one-pair-here" title="Permanent link">¶</a></h1>
|
|
<p>pair = "BTC/USDT"
|
|
```</p>
|
|
<p>```python</p>
|
|
<h1 id="load-data-using-values-set-above">Load data using values set above<a class="headerlink" href="#load-data-using-values-set-above" title="Permanent link">¶</a></h1>
|
|
<p>from freqtrade.data.history import load_pair_history
|
|
from freqtrade.enums import CandleType</p>
|
|
<p>candles = load_pair_history(
|
|
datadir=data_location,
|
|
timeframe=config["timeframe"],
|
|
pair=pair,
|
|
data_format="json", # Make sure to update this to your data
|
|
candle_type=CandleType.SPOT,
|
|
)</p>
|
|
<h1 id="confirm-success">Confirm success<a class="headerlink" href="#confirm-success" title="Permanent link">¶</a></h1>
|
|
<p>print(f"Loaded {len(candles)} rows of data for {pair} from {data_location}")
|
|
candles.head()
|
|
```</p>
|
|
<h2 id="load-and-run-strategy">Load and run strategy<a class="headerlink" href="#load-and-run-strategy" title="Permanent link">¶</a></h2>
|
|
<ul>
|
|
<li>Rerun each time the strategy file is changed</li>
|
|
</ul>
|
|
<p>```python</p>
|
|
<h1 id="load-strategy-using-values-set-above">Load strategy using values set above<a class="headerlink" href="#load-strategy-using-values-set-above" title="Permanent link">¶</a></h1>
|
|
<p>from freqtrade.data.dataprovider import DataProvider
|
|
from freqtrade.resolvers import StrategyResolver</p>
|
|
<p>strategy = StrategyResolver.load_strategy(config)
|
|
strategy.dp = DataProvider(config, None, None)
|
|
strategy.ft_bot_start()</p>
|
|
<h1 id="generate-buysell-signals-using-strategy">Generate buy/sell signals using strategy<a class="headerlink" href="#generate-buysell-signals-using-strategy" title="Permanent link">¶</a></h1>
|
|
<p>df = strategy.analyze_ticker(candles, {"pair": pair})
|
|
df.tail()
|
|
```</p>
|
|
<h3 id="display-the-trade-details">Display the trade details<a class="headerlink" href="#display-the-trade-details" title="Permanent link">¶</a></h3>
|
|
<ul>
|
|
<li>Note that using <code>data.head()</code> would also work, however most indicators have some "startup" data at the top of the dataframe.</li>
|
|
<li>Some possible problems
|
|
* Columns with NaN values at the end of the dataframe
|
|
* Columns used in <code>crossed*()</code> functions with completely different units</li>
|
|
<li>Comparison with full backtest
|
|
* having 200 buy signals as output for one pair from <code>analyze_ticker()</code> does not necessarily mean that 200 trades will be made during backtesting.
|
|
* Assuming you use only one condition such as, <code>df['rsi'] < 30</code> as buy condition, this will generate multiple "buy" signals for each pair in sequence (until rsi returns > 29). The bot will only buy on the first of these signals (and also only if a trade-slot ("max_open_trades") is still available), or on one of the middle signals, as soon as a "slot" becomes available. </li>
|
|
</ul>
|
|
<p>```python</p>
|
|
<h1 id="report-results">Report results<a class="headerlink" href="#report-results" title="Permanent link">¶</a></h1>
|
|
<p>print(f"Generated {df['enter_long'].sum()} entry signals")
|
|
data = df.set_index("date", drop=False)
|
|
data.tail()
|
|
```</p>
|
|
<h2 id="load-existing-objects-into-a-jupyter-notebook">Load existing objects into a Jupyter notebook<a class="headerlink" href="#load-existing-objects-into-a-jupyter-notebook" title="Permanent link">¶</a></h2>
|
|
<p>The following cells assume that you have already generated data using the cli.<br />
|
|
They will allow you to drill deeper into your results, and perform analysis which otherwise would make the output very difficult to digest due to information overload.</p>
|
|
<h3 id="load-backtest-results-to-pandas-dataframe">Load backtest results to pandas dataframe<a class="headerlink" href="#load-backtest-results-to-pandas-dataframe" title="Permanent link">¶</a></h3>
|
|
<p>Analyze a trades dataframe (also used below for plotting)</p>
|
|
<p>```python
|
|
from freqtrade.data.btanalysis import load_backtest_data, load_backtest_stats</p>
|
|
<h1 id="if-backtest_dir-points-to-a-directory-itll-automatically-load-the-last-backtest-file">if backtest_dir points to a directory, it'll automatically load the last backtest file.<a class="headerlink" href="#if-backtest_dir-points-to-a-directory-itll-automatically-load-the-last-backtest-file" title="Permanent link">¶</a></h1>
|
|
<p>backtest_dir = config["user_data_dir"] / "backtest_results"</p>
|
|
<h1 id="backtest_dir-can-also-point-to-a-specific-file">backtest_dir can also point to a specific file<a class="headerlink" href="#backtest_dir-can-also-point-to-a-specific-file" title="Permanent link">¶</a></h1>
|
|
<h1 id="backtest_dir">backtest_dir = (<a class="headerlink" href="#backtest_dir" title="Permanent link">¶</a></h1>
|
|
<h1 id="configuser_data_dir-backtest_resultsbacktest-result-2020-07-01_20-04-22json">config["user_data_dir"] / "backtest_results/backtest-result-2020-07-01_20-04-22.json"<a class="headerlink" href="#configuser_data_dir-backtest_resultsbacktest-result-2020-07-01_20-04-22json" title="Permanent link">¶</a></h1>
|
|
<h1 id="_1">)<a class="headerlink" href="#_1" title="Permanent link">¶</a></h1>
|
|
<p>```</p>
|
|
<p>```python</p>
|
|
<h1 id="you-can-get-the-full-backtest-statistics-by-using-the-following-command">You can get the full backtest statistics by using the following command.<a class="headerlink" href="#you-can-get-the-full-backtest-statistics-by-using-the-following-command" title="Permanent link">¶</a></h1>
|
|
<h1 id="this-contains-all-information-used-to-generate-the-backtest-result">This contains all information used to generate the backtest result.<a class="headerlink" href="#this-contains-all-information-used-to-generate-the-backtest-result" title="Permanent link">¶</a></h1>
|
|
<p>stats = load_backtest_stats(backtest_dir)</p>
|
|
<p>strategy = "SampleStrategy"</p>
|
|
<h1 id="all-statistics-are-available-per-strategy-so-if-strategy-list-was-used-during-backtest">All statistics are available per strategy, so if <code>--strategy-list</code> was used during backtest,<a class="headerlink" href="#all-statistics-are-available-per-strategy-so-if-strategy-list-was-used-during-backtest" title="Permanent link">¶</a></h1>
|
|
<h1 id="this-will-be-reflected-here-as-well">this will be reflected here as well.<a class="headerlink" href="#this-will-be-reflected-here-as-well" title="Permanent link">¶</a></h1>
|
|
<h1 id="example-usages">Example usages:<a class="headerlink" href="#example-usages" title="Permanent link">¶</a></h1>
|
|
<p>print(stats["strategy"][strategy]["results_per_pair"])</p>
|
|
<h1 id="get-pairlist-used-for-this-backtest">Get pairlist used for this backtest<a class="headerlink" href="#get-pairlist-used-for-this-backtest" title="Permanent link">¶</a></h1>
|
|
<p>print(stats["strategy"][strategy]["pairlist"])</p>
|
|
<h1 id="get-market-change-average-change-of-all-pairs-from-start-to-end-of-the-backtest-period">Get market change (average change of all pairs from start to end of the backtest period)<a class="headerlink" href="#get-market-change-average-change-of-all-pairs-from-start-to-end-of-the-backtest-period" title="Permanent link">¶</a></h1>
|
|
<p>print(stats["strategy"][strategy]["market_change"])</p>
|
|
<h1 id="maximum-drawdown">Maximum drawdown ()<a class="headerlink" href="#maximum-drawdown" title="Permanent link">¶</a></h1>
|
|
<p>print(stats["strategy"][strategy]["max_drawdown_abs"])</p>
|
|
<h1 id="maximum-drawdown-start-and-end">Maximum drawdown start and end<a class="headerlink" href="#maximum-drawdown-start-and-end" title="Permanent link">¶</a></h1>
|
|
<p>print(stats["strategy"][strategy]["drawdown_start"])
|
|
print(stats["strategy"][strategy]["drawdown_end"])</p>
|
|
<h1 id="get-strategy-comparison-only-relevant-if-multiple-strategies-were-compared">Get strategy comparison (only relevant if multiple strategies were compared)<a class="headerlink" href="#get-strategy-comparison-only-relevant-if-multiple-strategies-were-compared" title="Permanent link">¶</a></h1>
|
|
<p>print(stats["strategy_comparison"])
|
|
```</p>
|
|
<p>```python</p>
|
|
<h1 id="load-backtested-trades-as-dataframe">Load backtested trades as dataframe<a class="headerlink" href="#load-backtested-trades-as-dataframe" title="Permanent link">¶</a></h1>
|
|
<p>trades = load_backtest_data(backtest_dir)</p>
|
|
<h1 id="show-value-counts-per-pair">Show value-counts per pair<a class="headerlink" href="#show-value-counts-per-pair" title="Permanent link">¶</a></h1>
|
|
<p>trades.groupby("pair")["exit_reason"].value_counts()
|
|
```</p>
|
|
<h2 id="plotting-daily-profit-equity-line">Plotting daily profit / equity line<a class="headerlink" href="#plotting-daily-profit-equity-line" title="Permanent link">¶</a></h2>
|
|
<p>```python</p>
|
|
<h1 id="plotting-equity-line-starting-with-0-on-day-1-and-adding-daily-profit-for-each-backtested-day">Plotting equity line (starting with 0 on day 1 and adding daily profit for each backtested day)<a class="headerlink" href="#plotting-equity-line-starting-with-0-on-day-1-and-adding-daily-profit-for-each-backtested-day" title="Permanent link">¶</a></h1>
|
|
<p>import pandas as pd
|
|
import plotly.express as px</p>
|
|
<p>from freqtrade.configuration import Configuration
|
|
from freqtrade.data.btanalysis import load_backtest_stats</p>
|
|
<h1 id="strategy-samplestrategy">strategy = 'SampleStrategy'<a class="headerlink" href="#strategy-samplestrategy" title="Permanent link">¶</a></h1>
|
|
<h1 id="config-configurationfrom_filesuser_dataconfigjson_1">config = Configuration.from_files(["user_data/config.json"])<a class="headerlink" href="#config-configurationfrom_filesuser_dataconfigjson_1" title="Permanent link">¶</a></h1>
|
|
<h1 id="backtest_dir-configuser_data_dir-backtest_results">backtest_dir = config["user_data_dir"] / "backtest_results"<a class="headerlink" href="#backtest_dir-configuser_data_dir-backtest_results" title="Permanent link">¶</a></h1>
|
|
<p>stats = load_backtest_stats(backtest_dir)
|
|
strategy_stats = stats["strategy"][strategy]</p>
|
|
<p>df = pd.DataFrame(columns=["dates", "equity"], data=strategy_stats["daily_profit"])
|
|
df["equity_daily"] = df["equity"].cumsum()</p>
|
|
<p>fig = px.line(df, x="dates", y="equity_daily")
|
|
fig.show()
|
|
```</p>
|
|
<h3 id="load-live-trading-results-into-a-pandas-dataframe">Load live trading results into a pandas dataframe<a class="headerlink" href="#load-live-trading-results-into-a-pandas-dataframe" title="Permanent link">¶</a></h3>
|
|
<p>In case you did already some trading and want to analyze your performance</p>
|
|
<p>```python
|
|
from freqtrade.data.btanalysis import load_trades_from_db</p>
|
|
<h1 id="fetch-trades-from-database">Fetch trades from database<a class="headerlink" href="#fetch-trades-from-database" title="Permanent link">¶</a></h1>
|
|
<p>trades = load_trades_from_db("sqlite:///tradesv3.sqlite")</p>
|
|
<h1 id="display-results">Display results<a class="headerlink" href="#display-results" title="Permanent link">¶</a></h1>
|
|
<p>trades.groupby("pair")["exit_reason"].value_counts()
|
|
```</p>
|
|
<h2 id="analyze-the-loaded-trades-for-trade-parallelism">Analyze the loaded trades for trade parallelism<a class="headerlink" href="#analyze-the-loaded-trades-for-trade-parallelism" title="Permanent link">¶</a></h2>
|
|
<p>This can be useful to find the best <code>max_open_trades</code> parameter, when used with backtesting in conjunction with a very high <code>max_open_trades</code> setting.</p>
|
|
<p><code>analyze_trade_parallelism()</code> returns a timeseries dataframe with an "open_trades" column, specifying the number of open trades for each candle.</p>
|
|
<p>```python
|
|
from freqtrade.data.btanalysis import analyze_trade_parallelism</p>
|
|
<h1 id="analyze-the-above">Analyze the above<a class="headerlink" href="#analyze-the-above" title="Permanent link">¶</a></h1>
|
|
<p>parallel_trades = analyze_trade_parallelism(trades, "5m")</p>
|
|
<p>parallel_trades.plot()
|
|
```</p>
|
|
<h2 id="plot-results">Plot results<a class="headerlink" href="#plot-results" title="Permanent link">¶</a></h2>
|
|
<p>Freqtrade offers interactive plotting capabilities based on plotly.</p>
|
|
<p>```python
|
|
from freqtrade.plot.plotting import generate_candlestick_graph</p>
|
|
<h1 id="limit-graph-period-to-keep-plotly-quick-and-reactive">Limit graph period to keep plotly quick and reactive<a class="headerlink" href="#limit-graph-period-to-keep-plotly-quick-and-reactive" title="Permanent link">¶</a></h1>
|
|
<h1 id="filter-trades-to-one-pair">Filter trades to one pair<a class="headerlink" href="#filter-trades-to-one-pair" title="Permanent link">¶</a></h1>
|
|
<p>trades_red = trades.loc[trades["pair"] == pair]</p>
|
|
<p>data_red = data["2019-06-01":"2019-06-10"]</p>
|
|
<h1 id="generate-candlestick-graph">Generate candlestick graph<a class="headerlink" href="#generate-candlestick-graph" title="Permanent link">¶</a></h1>
|
|
<p>graph = generate_candlestick_graph(
|
|
pair=pair,
|
|
data=data_red,
|
|
trades=trades_red,
|
|
indicators1=["sma20", "ema50", "ema55"],
|
|
indicators2=["rsi", "macd", "macdsignal", "macdhist"],
|
|
)
|
|
```</p>
|
|
<p>```python</p>
|
|
<h1 id="show-graph-inline">Show graph inline<a class="headerlink" href="#show-graph-inline" title="Permanent link">¶</a></h1>
|
|
<h1 id="graphshow">graph.show()<a class="headerlink" href="#graphshow" title="Permanent link">¶</a></h1>
|
|
<h1 id="render-graph-in-a-separate-window">Render graph in a separate window<a class="headerlink" href="#render-graph-in-a-separate-window" title="Permanent link">¶</a></h1>
|
|
<p>graph.show(renderer="browser")
|
|
```</p>
|
|
<h2 id="plot-average-profit-per-trade-as-distribution-graph">Plot average profit per trade as distribution graph<a class="headerlink" href="#plot-average-profit-per-trade-as-distribution-graph" title="Permanent link">¶</a></h2>
|
|
<p>```python
|
|
import plotly.figure_factory as ff</p>
|
|
<p>hist_data = [trades.profit_ratio]
|
|
group_labels = ["profit_ratio"] # name of the dataset</p>
|
|
<p>fig = ff.create_distplot(hist_data, group_labels, bin_size=0.01)
|
|
fig.show()
|
|
```</p>
|
|
<p>Feel free to submit an issue or Pull Request enhancing this document if you would like to share ideas on how to best analyze the data.</p>
|
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