Store and load backtest-market-change data

freqtrade/data/btanalysis.py

@@ -238,6 +238,16 @@ def update_backtest_metadata(filename: Path, strategy: str, content: Dict[str, A
     file_dump_json(get_backtest_metadata_filename(filename), metadata)
 
 
+def get_backtest_market_change(filename: Path, include_ts: bool = True) -> pd.DataFrame:
+    """
+    Read backtest market change file.
+    """
+    df = pd.read_feather(filename)
+    if include_ts:
+        df.loc[:, '__date_ts'] = df.loc[:, 'date'].astype(np.int64) // 1000 // 1000
+    return df
+
+
 def find_existing_backtest_stats(dirname: Union[Path, str], run_ids: Dict[str, str],
                                  min_backtest_date: Optional[datetime] = None) -> Dict[str, Any]:
     """

freqtrade/optimize/backtesting.py

@@ -19,6 +19,7 @@ from freqtrade.data import history
 from freqtrade.data.btanalysis import find_existing_backtest_stats, trade_list_to_dataframe
 from freqtrade.data.converter import trim_dataframe, trim_dataframes
 from freqtrade.data.dataprovider import DataProvider
+from freqtrade.data.metrics import combined_dataframes_with_rel_mean
 from freqtrade.enums import (BacktestState, CandleType, ExitCheckTuple, ExitType, RunMode,
                              TradingMode)
 from freqtrade.exceptions import DependencyException, OperationalException
@@ -33,6 +34,7 @@ from freqtrade.optimize.optimize_reports import (generate_backtest_stats, genera
                                                  show_backtest_results,
                                                  store_backtest_analysis_results,
                                                  store_backtest_stats)
+from freqtrade.optimize.optimize_reports.bt_storage import store_backtest_market_change
 from freqtrade.persistence import (CustomDataWrapper, LocalTrade, Order, PairLocks, Trade,
                                    disable_database_use, enable_database_use)
 from freqtrade.plugins.pairlistmanager import PairListManager
@@ -1422,6 +1424,8 @@ class Backtesting:
             dt_appendix = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
             if self.config.get('export', 'none') in ('trades', 'signals'):
                 store_backtest_stats(self.config['exportfilename'], self.results, dt_appendix)
+                combined_res = combined_dataframes_with_rel_mean(data, min_date, max_date)
+                store_backtest_market_change(self.config['exportfilename'], combined_res, dt_appendix)
 
             if (self.config.get('export', 'none') == 'signals' and
                     self.dataprovider.runmode == RunMode.BACKTEST):

freqtrade/optimize/optimize_reports/bt_storage.py

@@ -2,6 +2,8 @@ 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
@@ -81,3 +83,20 @@ def store_backtest_analysis_results(
         dtappendix: str) -> None:
     _store_backtest_analysis_data(recordfilename, candles, dtappendix, "signals")
     _store_backtest_analysis_data(recordfilename, trades, dtappendix, "rejected")
+
+
+def store_backtest_market_change(
+        recordfilename: Path, data: DataFrame, dtappendix: str) -> Path:
+    """
+    Stores backtest market change average
+    :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, <directory>/backtest-result-<datetime>_<name>.pkl will be used
+        as filename
+    :param candles: Dict containing the backtesting data for analysis
+    :param dtappendix: Datetime to use for the filename
+    """
+    filename = _generate_filename(recordfilename, f"{dtappendix}_market_change", '.feather')
+    data.reset_index().to_feather(filename, compression_level=9, compression='lz4')
+
+    return filename