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Add support for collating and analysing rejected trades in backtest

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froggleston
2022-12-05 15:34:31 +00:00
parent f28b314266
commit 5a4e99b413
9 changed files with 254 additions and 57 deletions
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37
docs/advanced-backtesting.md
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@@ -29,7 +29,7 @@ If all goes well, you should now see a `backtest-result-{timestamp}_signals.pkl`
`user_data/backtest_results` folder.
To analyze the entry/exit tags, we now need to use the `freqtrade backtesting-analysis` command
with `--analysis-groups` option provided with space-separated arguments (default `0 1 2`):
with `--analysis-groups` option provided with space-separated arguments:
``` bash
freqtrade backtesting-analysis -c <config.json> --analysis-groups 0 1 2 3 4
@@ -39,6 +39,7 @@ This command will read from the last backtesting results. The `--analysis-groups
used to specify the various tabular outputs showing the profit fo each group or trade,
ranging from the simplest (0) to the most detailed per pair, per buy and per sell tag (4):
* 0: overall winrate and profit summary by enter_tag
* 1: profit summaries grouped by enter_tag
* 2: profit summaries grouped by enter_tag and exit_tag
* 3: profit summaries grouped by pair and enter_tag
@@ -114,3 +115,37 @@ For example, if your backtest timerange was `20220101-20221231` but you only wan
```bash
freqtrade backtesting-analysis -c <config.json> --timerange 20220101-20220201
```
### Printing out rejected trades
Use the `--rejected` option to print out rejected trades.
```bash
freqtrade backtesting-analysis -c <config.json> --rejected
```
### Writing tables to CSV
Some of the tabular outputs can become large, so printing them out to the terminal is not preferable.
Use the `--analysis-to-csv` option to disable printing out of tables to standard out and write them to CSV files.
```bash
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv
```
By default this will write one file per output table you specified in the `backtesting-analysis` command, e.g.
```bash
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv --rejected --analysis-groups 0 1
```
This will write to `user_data/backtest_results`:
* rejected.csv
* group_0.csv
* group_1.csv
To override where the files will be written, also specify the `--analysis-csv-path` option.
```bash
freqtrade backtesting-analysis -c <config.json> --analysis-to-csv --analysis-csv-path another/data/path/
```