diff --git a/freqtrade/optimize/optimize_reports/__init__.py b/freqtrade/optimize/optimize_reports/__init__.py index 767fbcba3..c8865d84d 100644 --- a/freqtrade/optimize/optimize_reports/__init__.py +++ b/freqtrade/optimize/optimize_reports/__init__.py @@ -7,10 +7,11 @@ from freqtrade.optimize.optimize_reports.bt_output import (show_backtest_result, text_table_exit_reason, text_table_periodic_breakdown, text_table_strategy, text_table_tags) +from freqtrade.optimize.optimize_reports.bt_storage import (store_backtest_analysis_results, + store_backtest_stats) from freqtrade.optimize.optimize_reports.optimize_reports import ( generate_all_periodic_breakdown_stats, generate_backtest_stats, generate_daily_stats, generate_edge_table, generate_exit_reason_stats, generate_pair_metrics, generate_periodic_breakdown_stats, generate_rejected_signals, generate_strategy_comparison, generate_strategy_stats, generate_tag_metrics, generate_trade_signal_candles, - generate_trading_stats, generate_wins_draws_losses, store_backtest_analysis_results, - store_backtest_stats) + generate_trading_stats, generate_wins_draws_losses) diff --git a/freqtrade/optimize/optimize_reports/bt_storage.py b/freqtrade/optimize/optimize_reports/bt_storage.py new file mode 100644 index 000000000..af97753e3 --- /dev/null +++ b/freqtrade/optimize/optimize_reports/bt_storage.py @@ -0,0 +1,71 @@ +import logging +from pathlib import Path +from typing import Dict + +from pandas import DataFrame + +from freqtrade.constants import LAST_BT_RESULT_FN +from freqtrade.misc import file_dump_joblib, file_dump_json +from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename + + +logger = logging.getLogger(__name__) + + +def store_backtest_stats( + recordfilename: Path, stats: Dict[str, DataFrame], dtappendix: str) -> None: + """ + Stores backtest results + :param recordfilename: Path object, which can either be a filename or a directory. + Filenames will be appended with a timestamp right before the suffix + while for directories, /backtest-result-.json will be used as filename + :param stats: Dataframe containing the backtesting statistics + :param dtappendix: Datetime to use for the filename + """ + if recordfilename.is_dir(): + filename = (recordfilename / f'backtest-result-{dtappendix}.json') + else: + filename = Path.joinpath( + recordfilename.parent, f'{recordfilename.stem}-{dtappendix}' + ).with_suffix(recordfilename.suffix) + + # Store metadata separately. + file_dump_json(get_backtest_metadata_filename(filename), stats['metadata']) + del stats['metadata'] + + file_dump_json(filename, stats) + + latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN) + file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) + + +def _store_backtest_analysis_data( + recordfilename: Path, data: Dict[str, Dict], + dtappendix: str, name: str) -> Path: + """ + Stores backtest trade candles for analysis + :param recordfilename: Path object, which can either be a filename or a directory. + Filenames will be appended with a timestamp right before the suffix + while for directories, /backtest-result-_.pkl will be used + as filename + :param candles: Dict containing the backtesting data for analysis + :param dtappendix: Datetime to use for the filename + :param name: Name to use for the file, e.g. signals, rejected + """ + if recordfilename.is_dir(): + filename = (recordfilename / f'backtest-result-{dtappendix}_{name}.pkl') + else: + filename = Path.joinpath( + recordfilename.parent, f'{recordfilename.stem}-{dtappendix}_{name}.pkl' + ) + + file_dump_joblib(filename, data) + + return filename + + +def store_backtest_analysis_results( + recordfilename: Path, candles: Dict[str, Dict], trades: Dict[str, Dict], + dtappendix: str) -> None: + _store_backtest_analysis_data(recordfilename, candles, dtappendix, "signals") + _store_backtest_analysis_data(recordfilename, trades, dtappendix, "rejected") diff --git a/freqtrade/optimize/optimize_reports/optimize_reports.py b/freqtrade/optimize/optimize_reports/optimize_reports.py index 6bf7da329..c217fe5f9 100644 --- a/freqtrade/optimize/optimize_reports/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports/optimize_reports.py @@ -1,83 +1,21 @@ import logging from copy import deepcopy from datetime import datetime, timedelta, timezone -from pathlib import Path from typing import Any, Dict, List, Union from pandas import DataFrame, concat, to_datetime from tabulate import tabulate -from freqtrade.constants import (BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, - IntOrInf) +from freqtrade.constants import BACKTEST_BREAKDOWNS, DATETIME_PRINT_FORMAT, IntOrInf from freqtrade.data.metrics import (calculate_cagr, calculate_calmar, calculate_csum, calculate_expectancy, calculate_market_change, calculate_max_drawdown, calculate_sharpe, calculate_sortino) -from freqtrade.misc import decimals_per_coin, file_dump_joblib, file_dump_json, round_coin_value -from freqtrade.optimize.backtest_caching import get_backtest_metadata_filename +from freqtrade.misc import decimals_per_coin, round_coin_value logger = logging.getLogger(__name__) -def store_backtest_stats( - recordfilename: Path, stats: Dict[str, DataFrame], dtappendix: str) -> None: - """ - Stores backtest results - :param recordfilename: Path object, which can either be a filename or a directory. - Filenames will be appended with a timestamp right before the suffix - while for directories, /backtest-result-.json will be used as filename - :param stats: Dataframe containing the backtesting statistics - :param dtappendix: Datetime to use for the filename - """ - if recordfilename.is_dir(): - filename = (recordfilename / f'backtest-result-{dtappendix}.json') - else: - filename = Path.joinpath( - recordfilename.parent, f'{recordfilename.stem}-{dtappendix}' - ).with_suffix(recordfilename.suffix) - - # Store metadata separately. - file_dump_json(get_backtest_metadata_filename(filename), stats['metadata']) - del stats['metadata'] - - file_dump_json(filename, stats) - - latest_filename = Path.joinpath(filename.parent, LAST_BT_RESULT_FN) - file_dump_json(latest_filename, {'latest_backtest': str(filename.name)}) - - -def _store_backtest_analysis_data( - recordfilename: Path, data: Dict[str, Dict], - dtappendix: str, name: str) -> Path: - """ - Stores backtest trade candles for analysis - :param recordfilename: Path object, which can either be a filename or a directory. - Filenames will be appended with a timestamp right before the suffix - while for directories, /backtest-result-_.pkl will be used - as filename - :param candles: Dict containing the backtesting data for analysis - :param dtappendix: Datetime to use for the filename - :param name: Name to use for the file, e.g. signals, rejected - """ - if recordfilename.is_dir(): - filename = (recordfilename / f'backtest-result-{dtappendix}_{name}.pkl') - else: - filename = Path.joinpath( - recordfilename.parent, f'{recordfilename.stem}-{dtappendix}_{name}.pkl' - ) - - file_dump_joblib(filename, data) - - return filename - - -def store_backtest_analysis_results( - recordfilename: Path, candles: Dict[str, Dict], trades: Dict[str, Dict], - dtappendix: str) -> None: - _store_backtest_analysis_data(recordfilename, candles, dtappendix, "signals") - _store_backtest_analysis_data(recordfilename, trades, dtappendix, "rejected") - - def generate_trade_signal_candles(preprocessed_df: Dict[str, DataFrame], bt_results: Dict[str, Any]) -> DataFrame: signal_candles_only = {} diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 1ea2a7380..7b85e7978 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -210,7 +210,7 @@ def test_generate_backtest_stats(default_conf, testdatadir, tmpdir): def test_store_backtest_stats(testdatadir, mocker): - dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.optimize_reports.file_dump_json') + dump_mock = mocker.patch('freqtrade.optimize.optimize_reports.bt_storage.file_dump_json') store_backtest_stats(testdatadir, {'metadata': {}}, '2022_01_01_15_05_13') @@ -230,7 +230,7 @@ def test_store_backtest_stats(testdatadir, mocker): def test_store_backtest_candles(testdatadir, mocker): dump_mock = mocker.patch( - 'freqtrade.optimize.optimize_reports.optimize_reports.file_dump_joblib') + 'freqtrade.optimize.optimize_reports.bt_storage.file_dump_joblib') candle_dict = {'DefStrat': {'UNITTEST/BTC': pd.DataFrame()}}