Refactor and add documentation

docs/advanced-backtesting.md

@@ -18,15 +18,15 @@ freqtrade backtesting -c <config.json> --timeframe <tf> --strategy <strategy_nam
 ```
 
 This will tell freqtrade to output a pickled dictionary of strategy, pairs and corresponding
-DataFrame of the candles that resulted in buy signals. Depending on how many buys your strategy
+DataFrame of the candles that resulted in buy and sell signals.
-makes, this file may get quite large, so periodically check your `user_data/backtest_results`
+Depending on how many buys your strategy makes, this file may get quite large, 
-folder to delete old exports.
+so periodically check your `user_data/backtest_results` folder to delete old exports.
 
 Before running your next backtest, make sure you either delete your old backtest results or run
 backtesting with the `--cache none` option to make sure no cached results are used.
 
-If all goes well, you should now see a `backtest-result-{timestamp}_signals.pkl` file in the
+If all goes well, you should now see a `backtest-result-{timestamp}_signals.pkl` and
-`user_data/backtest_results` folder.
+`backtest-result-{timestamp}_exited.pkl` files in the `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:
@@ -141,6 +141,14 @@ Use the `--rejected-signals` option to print out rejected signals.
 freqtrade backtesting-analysis -c <config.json> --rejected-signals
 ```
 
+### Printing analysis on exit signals
+
+Use the `--exit-signals` option to print out analysis on exited signals.
+
+```bash
+freqtrade backtesting-analysis -c <config.json> --exit-signals
+```
+
 ### Writing tables to CSV
 
 Some of the tabular outputs can become large, so printing them out to the terminal is not preferable.

freqtrade/data/entryexitanalysis.py

@@ -51,7 +51,9 @@ def _load_exit_signal_candles(backtest_dir: Path):
     return _load_backtest_analysis_data(backtest_dir, "exited")
 
 
-def _process_candles_and_indicators(pairlist, strategy_name, trades, signal_candles):
+def _process_candles_and_indicators(
+    pairlist, strategy_name, trades, signal_candles, analyse_on="open_date"
+):
     analysed_trades_dict = {strategy_name: {}}
 
     try:
@@ -60,7 +62,7 @@ def _process_candles_and_indicators(pairlist, strategy_name, trades, signal_cand
         for pair in pairlist:
             if pair in signal_candles[strategy_name]:
                 analysed_trades_dict[strategy_name][pair] = _analyze_candles_and_indicators(
-                    pair, trades, signal_candles[strategy_name][pair]
+                    pair, trades, signal_candles[strategy_name][pair], analyse_on
                 )
     except Exception as e:
         print(f"Cannot process entry/exit reasons for {strategy_name}: ", e)
@@ -68,7 +70,9 @@ def _process_candles_and_indicators(pairlist, strategy_name, trades, signal_cand
     return analysed_trades_dict
 
 
-def _analyze_candles_and_indicators(pair, trades: pd.DataFrame, signal_candles: pd.DataFrame):
+def _analyze_candles_and_indicators(
+    pair, trades: pd.DataFrame, signal_candles: pd.DataFrame, analyse_on="open_date"
+):
     buyf = signal_candles
 
     if len(buyf) > 0:
@@ -78,8 +82,8 @@ def _analyze_candles_and_indicators(pair, trades: pd.DataFrame, signal_candles:
         trades_inds = pd.DataFrame()
 
         if trades_red.shape[0] > 0 and buyf.shape[0] > 0:
-            for t, v in trades_red.open_date.items():
+            for t, v in trades_red.iterrows():
-                allinds = buyf.loc[(buyf["date"] < v)]
+                allinds = buyf.loc[(buyf["date"] < v[analyse_on])]
                 if allinds.shape[0] > 0:
                     tmp_inds = allinds.iloc[[-1]]
 
@@ -339,8 +343,10 @@ def process_entry_exit_reasons(config: Config):
             trades = load_backtest_data(config["exportfilename"], strategy_name)
 
             if trades is not None and not trades.empty:
+                analyse_on = "open_date"
                 if do_exited is True:
                     signal_candles = _load_exit_signal_candles(config["exportfilename"])
+                    analyse_on = "close_date"
                 else:
                     signal_candles = _load_signal_candles(config["exportfilename"])
 
@@ -356,7 +362,11 @@ def process_entry_exit_reasons(config: Config):
                     )
 
                 analysed_trades_dict = _process_candles_and_indicators(
-                    config["exchange"]["pair_whitelist"], strategy_name, trades, signal_candles
+                    config["exchange"]["pair_whitelist"],
+                    strategy_name,
+                    trades,
+                    signal_candles,
+                    analyse_on,
                 )
 
                 res_df = prepare_results(

freqtrade/optimize/backtesting.py

@@ -42,8 +42,7 @@ from freqtrade.optimize.bt_progress import BTProgress
 from freqtrade.optimize.optimize_reports import (
     generate_backtest_stats,
     generate_rejected_signals,
-    generate_trade_entry_signal_candles,
+    generate_trade_signal_candles,
-    generate_trade_exit_signal_candles,
     show_backtest_results,
     store_backtest_analysis_results,
     store_backtest_stats,
@@ -1560,14 +1559,14 @@ class Backtesting:
             self.config.get("export", "none") == "signals"
             and self.dataprovider.runmode == RunMode.BACKTEST
         ):
-            self.processed_dfs[strategy_name] = generate_trade_entry_signal_candles(
+            self.processed_dfs[strategy_name] = generate_trade_signal_candles(
-                preprocessed_tmp, results
+                preprocessed_tmp, results, "open_date"
             )
             self.rejected_df[strategy_name] = generate_rejected_signals(
                 preprocessed_tmp, self.rejected_dict
             )
-            self.exited_dfs[strategy_name] = generate_trade_exit_signal_candles(
+            self.exited_dfs[strategy_name] = generate_trade_signal_candles(
-                preprocessed_tmp, results
+                preprocessed_tmp, results, "close_date"
             )
 
         return min_date, max_date

freqtrade/optimize/optimize_reports/__init__.py

@@ -25,7 +25,6 @@ from freqtrade.optimize.optimize_reports.optimize_reports import (
     generate_strategy_comparison,
     generate_strategy_stats,
     generate_tag_metrics,
-    generate_trade_entry_signal_candles,
+    generate_trade_signal_candles,
-    generate_trade_exit_signal_candles,
     generate_trading_stats,
 )

freqtrade/optimize/optimize_reports/optimize_reports.py

@@ -24,8 +24,8 @@ from freqtrade.util import decimals_per_coin, fmt_coin
 logger = logging.getLogger(__name__)
 
 
-def generate_trade_entry_signal_candles(
+def generate_trade_signal_candles(
-    preprocessed_df: Dict[str, DataFrame], bt_results: Dict[str, Any]
+    preprocessed_df: Dict[str, DataFrame], bt_results: Dict[str, Any], analysis_on="open_date"
 ) -> Dict[str, DataFrame]:
     signal_candles_only = {}
     for pair in preprocessed_df.keys():
@@ -36,31 +36,8 @@ def generate_trade_entry_signal_candles(
         pairresults = resdf.loc[(resdf["pair"] == pair)]
 
         if pairdf.shape[0] > 0:
-            for t, v in pairresults.open_date.items():
+            for t, v in pairresults.iterrows():
-                allinds = pairdf.loc[(pairdf["date"] < v)]
+                allinds = pairdf.loc[(pairdf["date"] < v[analysis_on])]
-                signal_inds = allinds.iloc[[-1]]
-                signal_candles_only_df = concat(
-                    [signal_candles_only_df.infer_objects(), signal_inds.infer_objects()]
-                )
-
-            signal_candles_only[pair] = signal_candles_only_df
-    return signal_candles_only
-
-
-def generate_trade_exit_signal_candles(
-    preprocessed_df: Dict[str, DataFrame], bt_results: Dict[str, Any]
-) -> Dict[str, DataFrame]:
-    signal_candles_only = {}
-    for pair in preprocessed_df.keys():
-        signal_candles_only_df = DataFrame()
-
-        pairdf = preprocessed_df[pair]
-        resdf = bt_results["results"]
-        pairresults = resdf.loc[(resdf["pair"] == pair)]
-
-        if pairdf.shape[0] > 0:
-            for t, v in pairresults.close_date.items():
-                allinds = pairdf.loc[(pairdf["date"] < v)]
                 signal_inds = allinds.iloc[[-1]]
                 signal_candles_only_df = concat(
                     [signal_candles_only_df.infer_objects(), signal_inds.infer_objects()]

tests/data/test_entryexitanalysis.py

@@ -393,8 +393,8 @@ def test_backtest_analysis_on_exit_signals_nomock(
     assert "0.5" in captured.out
     assert "-4" in captured.out
     assert "-2" in captured.out
-    assert "nan" in captured.out
     assert "57.654" in captured.out
+    assert "44.428" in captured.out
     assert "0" in captured.out
     assert "0.104" in captured.out
     assert "0.016" in captured.out