def generate_backtest_stats(btdata: Dict[str, DataFrame],
all_results: Dict[str, Dict[str, Union[DataFrame,
Dict]]],
min_date: Arrow,
max_date: Arrow) -> Dict[str, Any]:
"""
:param btdata: Backtest data
:param all_results: backtest result - dictionary in the form:
{ Strategy: {'results: results, 'config: config}}.
:param min_date: Backtest start date
:param max_date: Backtest end date
:return:
Dictionary containing results per strategy and a stratgy summary.
"""
result: Dict[str, Any] = {'strategy': {}}
market_change = calculate_market_change(btdata, 'close')
for strategy, content in all_results.items():
results: Dict[str, DataFrame] = content['results']
if not isinstance(results, DataFrame):
continue
config = content['config']
max_open_trades = min(config['max_open_trades'], len(btdata.keys()))
starting_balance = config['dry_run_wallet']
stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(btdata,
stake_currency=stake_currency,
starting_balance=starting_balance,
results=results,
skip_nan=False)
sell_reason_stats = generate_sell_reason_stats(
max_open_trades=max_open_trades, results=results)
left_open_results = generate_pair_metrics(
btdata,
stake_currency=stake_currency,
starting_balance=starting_balance,
results=results.loc[results['is_open']],
skip_nan=True)
daily_stats = generate_daily_stats(results)
best_pair = max(
[pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min(
[pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
results['open_timestamp'] = results['open_date'].astype(int64) // 1e6
results['close_timestamp'] = results['close_date'].astype(int64) // 1e6
backtest_days = (max_date - min_date).days
strat_stats = {
'trades':
results.to_dict(orient='records'),
'locks': [lock.to_json() for lock in content['locks']],
'best_pair':
best_pair,
'worst_pair':
worst_pair,
'results_per_pair':
pair_results,
'sell_reason_summary':
sell_reason_stats,
'left_open_trades':
left_open_results,
'total_trades':
len(results),
'total_volume':
float(results['stake_amount'].sum()),
'avg_stake_amount':
results['stake_amount'].mean() if len(results) > 0 else 0,
'profit_mean':
results['profit_ratio'].mean() if len(results) > 0 else 0,
'profit_total':
results['profit_abs'].sum() / starting_balance,
'profit_total_abs':
results['profit_abs'].sum(),
'backtest_start':
min_date.datetime,
'backtest_start_ts':
min_date.int_timestamp * 1000,
'backtest_end':
max_date.datetime,
'backtest_end_ts':
max_date.int_timestamp * 1000,
'backtest_days':
backtest_days,
'backtest_run_start_ts':
content['backtest_start_time'],
'backtest_run_end_ts':
content['backtest_end_time'],
'trades_per_day':
round(len(results) / backtest_days, 2) if backtest_days > 0 else 0,
'market_change':
market_change,
'pairlist':
list(btdata.keys()),
'stake_amount':
config['stake_amount'],
'stake_currency':
config['stake_currency'],
'stake_currency_decimals':
decimals_per_coin(config['stake_currency']),
'starting_balance':
starting_balance,
'dry_run_wallet':
starting_balance,
'final_balance':
content['final_balance'],
'max_open_trades':
max_open_trades,
'max_open_trades_setting':
(config['max_open_trades']
if config['max_open_trades'] != float('inf') else -1),
'timeframe':
config['timeframe'],
'timerange':
config.get('timerange', ''),
'enable_protections':
config.get('enable_protections', False),
'strategy_name':
strategy,
# Parameters relevant for backtesting
'stoploss':
config['stoploss'],
'trailing_stop':
config.get('trailing_stop', False),
'trailing_stop_positive':
config.get('trailing_stop_positive'),
'trailing_stop_positive_offset':
config.get('trailing_stop_positive_offset', 0.0),
'trailing_only_offset_is_reached':
config.get('trailing_only_offset_is_reached', False),
'use_custom_stoploss':
config.get('use_custom_stoploss', False),
'minimal_roi':
config['minimal_roi'],
'use_sell_signal':
config['ask_strategy']['use_sell_signal'],
'sell_profit_only':
config['ask_strategy']['sell_profit_only'],
'sell_profit_offset':
config['ask_strategy']['sell_profit_offset'],
'ignore_roi_if_buy_signal':
config['ask_strategy']['ignore_roi_if_buy_signal'],
**daily_stats,
}
result['strategy'][strategy] = strat_stats
try:
max_drawdown, _, _, _, _ = calculate_max_drawdown(
results, value_col='profit_ratio')
drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown(
results, value_col='profit_abs')
strat_stats.update({
'max_drawdown':
max_drawdown,
'max_drawdown_abs':
drawdown_abs,
'drawdown_start':
drawdown_start,
'drawdown_start_ts':
drawdown_start.timestamp() * 1000,
'drawdown_end':
drawdown_end,
'drawdown_end_ts':
drawdown_end.timestamp() * 1000,
'max_drawdown_low':
low_val,
'max_drawdown_high':
high_val,
})
csum_min, csum_max = calculate_csum(results, starting_balance)
strat_stats.update({'csum_min': csum_min, 'csum_max': csum_max})
except ValueError:
strat_stats.update({
'max_drawdown':
0.0,
'max_drawdown_abs':
0.0,
'max_drawdown_low':
0.0,
'max_drawdown_high':
0.0,
'drawdown_start':
datetime(1970, 1, 1, tzinfo=timezone.utc),
'drawdown_start_ts':
0,
'drawdown_end':
datetime(1970, 1, 1, tzinfo=timezone.utc),
'drawdown_end_ts':
0,
'csum_min':
0,
'csum_max':
0
})
strategy_results = generate_strategy_metrics(all_results=all_results)
result['strategy_comparison'] = strategy_results
return result
def generate_strategy_stats(pairlist: List[str], strategy: str,
content: Dict[str, Any], min_date: datetime,
max_date: datetime,
market_change: float) -> Dict[str, Any]:
"""
:param pairlist: List of pairs to backtest
:param strategy: Strategy name
:param content: Backtest result data in the format:
{'results: results, 'config: config}}.
:param min_date: Backtest start date
:param max_date: Backtest end date
:param market_change: float indicating the market change
:return: Dictionary containing results per strategy and a strategy summary.
"""
results: Dict[str, DataFrame] = content['results']
if not isinstance(results, DataFrame):
return {}
config = content['config']
max_open_trades = min(config['max_open_trades'], len(pairlist))
starting_balance = config['dry_run_wallet']
stake_currency = config['stake_currency']
pair_results = generate_pair_metrics(pairlist,
stake_currency=stake_currency,
starting_balance=starting_balance,
results=results,
skip_nan=False)
buy_tag_results = generate_tag_metrics("buy_tag",
starting_balance=starting_balance,
results=results,
skip_nan=False)
sell_reason_stats = generate_sell_reason_stats(
max_open_trades=max_open_trades, results=results)
left_open_results = generate_pair_metrics(
pairlist,
stake_currency=stake_currency,
starting_balance=starting_balance,
results=results.loc[results['is_open']],
skip_nan=True)
daily_stats = generate_daily_stats(results)
trade_stats = generate_trading_stats(results)
best_pair = max(
[pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
worst_pair = min(
[pair for pair in pair_results if pair['key'] != 'TOTAL'],
key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None
if not results.empty:
results['open_timestamp'] = results['open_date'].view(int64) // 1e6
results['close_timestamp'] = results['close_date'].view(int64) // 1e6
backtest_days = (max_date - min_date).days or 1
strat_stats = {
'trades':
results.to_dict(orient='records'),
'locks': [lock.to_json() for lock in content['locks']],
'best_pair':
best_pair,
'worst_pair':
worst_pair,
'results_per_pair':
pair_results,
'results_per_buy_tag':
buy_tag_results,
'sell_reason_summary':
sell_reason_stats,
'left_open_trades':
left_open_results,
# 'days_breakdown_stats': days_breakdown_stats,
'total_trades':
len(results),
'total_volume':
float(results['stake_amount'].sum()),
'avg_stake_amount':
results['stake_amount'].mean() if len(results) > 0 else 0,
'profit_mean':
results['profit_ratio'].mean() if len(results) > 0 else 0,
'profit_median':
results['profit_ratio'].median() if len(results) > 0 else 0,
'profit_total':
results['profit_abs'].sum() / starting_balance,
'profit_total_abs':
results['profit_abs'].sum(),
'backtest_start':
min_date.strftime(DATETIME_PRINT_FORMAT),
'backtest_start_ts':
int(min_date.timestamp() * 1000),
'backtest_end':
max_date.strftime(DATETIME_PRINT_FORMAT),
'backtest_end_ts':
int(max_date.timestamp() * 1000),
'backtest_days':
backtest_days,
'backtest_run_start_ts':
content['backtest_start_time'],
'backtest_run_end_ts':
content['backtest_end_time'],
'trades_per_day':
round(len(results) / backtest_days, 2),
'market_change':
market_change,
'pairlist':
pairlist,
'stake_amount':
config['stake_amount'],
'stake_currency':
config['stake_currency'],
'stake_currency_decimals':
decimals_per_coin(config['stake_currency']),
'starting_balance':
starting_balance,
'dry_run_wallet':
starting_balance,
'final_balance':
content['final_balance'],
'rejected_signals':
content['rejected_signals'],
'max_open_trades':
max_open_trades,
'max_open_trades_setting':
(config['max_open_trades']
if config['max_open_trades'] != float('inf') else -1),
'timeframe':
config['timeframe'],
'timeframe_detail':
config.get('timeframe_detail', ''),
'timerange':
config.get('timerange', ''),
'enable_protections':
config.get('enable_protections', False),
'strategy_name':
strategy,
# Parameters relevant for backtesting
'stoploss':
config['stoploss'],
'trailing_stop':
config.get('trailing_stop', False),
'trailing_stop_positive':
config.get('trailing_stop_positive'),
'trailing_stop_positive_offset':
config.get('trailing_stop_positive_offset', 0.0),
'trailing_only_offset_is_reached':
config.get('trailing_only_offset_is_reached', False),
'use_custom_stoploss':
config.get('use_custom_stoploss', False),
'minimal_roi':
config['minimal_roi'],
'use_sell_signal':
config['use_sell_signal'],
'sell_profit_only':
config['sell_profit_only'],
'sell_profit_offset':
config['sell_profit_offset'],
'ignore_roi_if_buy_signal':
config['ignore_roi_if_buy_signal'],
**daily_stats,
**trade_stats
}
try:
max_drawdown_legacy, _, _, _, _, _ = calculate_max_drawdown(
results, value_col='profit_ratio')
(drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
max_drawdown) = calculate_max_drawdown(
results,
value_col='profit_abs',
starting_balance=starting_balance)
strat_stats.update({
'max_drawdown':
max_drawdown_legacy, # Deprecated - do not use
'max_drawdown_account':
max_drawdown,
'max_drawdown_abs':
drawdown_abs,
'drawdown_start':
drawdown_start.strftime(DATETIME_PRINT_FORMAT),
'drawdown_start_ts':
drawdown_start.timestamp() * 1000,
'drawdown_end':
drawdown_end.strftime(DATETIME_PRINT_FORMAT),
'drawdown_end_ts':
drawdown_end.timestamp() * 1000,
'max_drawdown_low':
low_val,
'max_drawdown_high':
high_val,
})
csum_min, csum_max = calculate_csum(results, starting_balance)
strat_stats.update({'csum_min': csum_min, 'csum_max': csum_max})
except ValueError:
strat_stats.update({
'max_drawdown':
0.0,
'max_drawdown_account':
0.0,
'max_drawdown_abs':
0.0,
'max_drawdown_low':
0.0,
'max_drawdown_high':
0.0,
'drawdown_start':
datetime(1970, 1, 1, tzinfo=timezone.utc),
'drawdown_start_ts':
0,
'drawdown_end':
datetime(1970, 1, 1, tzinfo=timezone.utc),
'drawdown_end_ts':
0,
'csum_min':
0,
'csum_max':
0
})
return strat_stats