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merge 2 expectancy functions

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This commit is contained in:
Stefano Ariestasia
2023-07-22 17:29:43 +09:00
parent c6ee8fcf54
commit 40d7d05e4e
6 changed files with 37 additions and 62 deletions
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4
freqtrade/optimize/optimize_reports/bt_output.py
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@@ -233,8 +233,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Calmar', f"{strat_results['calmar']:.2f}" if 'calmar' in strat_results else 'N/A'),
('Profit factor', f'{strat_results["profit_factor"]:.2f}' if 'profit_factor'
in strat_results else 'N/A'),
('Expectancy Ratio', f"{strat_results['expectancy_ratio']:.2f}" if 'expectancy_ratio'
in strat_results else 'N/A'),
('Expectancy (Ratio)', f"{strat_results['expectancy']:.2f} "
f"({strat_results['expectancy_ratio']:.2f})"),
('Trades per day', strat_results['trades_per_day']),
('Avg. daily profit %',
f"{(strat_results['profit_total'] / strat_results['backtest_days']):.2%}"),

6
freqtrade/optimize/optimize_reports/optimize_reports.py
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@@ -7,7 +7,7 @@ from pandas import DataFrame, concat, to_datetime
from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, IntOrInf
from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum,
calculate_expectancy_ratio, calculate_market_change,
calculate_expectancy, calculate_market_change,
calculate_max_drawdown, calculate_sharpe, calculate_sortino)
from freqtrade.misc import decimals_per_coin, round_coin_value
@@ -389,6 +389,7 @@ def generate_strategy_stats(pairlist: List[str],
losing_profit = results.loc[results['profit_abs'] < 0, 'profit_abs'].sum()
profit_factor = winning_profit / abs(losing_profit) if losing_profit else 0.0
expectancy, expectancy_ratio = calculate_expectancy(results)
backtest_days = (max_date - min_date).days or 1
strat_stats = {
'trades': results.to_dict(orient='records'),
@@ -414,7 +415,8 @@ def generate_strategy_stats(pairlist: List[str],
'profit_total_long_abs': results.loc[~results['is_short'], 'profit_abs'].sum(),
'profit_total_short_abs': results.loc[results['is_short'], 'profit_abs'].sum(),
'cagr': calculate_cagr(backtest_days, start_balance, content['final_balance']),
'expectancy_ratio': calculate_expectancy_ratio(results),
'expectancy': expectancy,
'expectancy_ratio': expectancy_ratio,
'sortino': calculate_sortino(results, min_date, max_date, start_balance),
'sharpe': calculate_sharpe(results, min_date, max_date, start_balance),
'calmar': calculate_calmar(results, min_date, max_date, start_balance),