Merge pull request #10639 from jainanuj94/backtesting

Add entry-only and exit-only filters to --indicator-list in backtesting analysis

docs/advanced-backtesting.md

@@ -149,6 +149,25 @@ to distinguish the values at the entry and exit points of the trade.
     `profit_ratio`, `profit_abs`, `exit_reason`,`initial_stop_loss_abs`, `initial_stop_loss_ratio`, `stop_loss_abs`, `stop_loss_ratio`, 
     `min_rate`, `max_rate`, `is_open`, `enter_tag`, `leverage`, `is_short`, `open_timestamp`, `close_timestamp` and `orders`
 
+#### Filtering Indicators Based on Entry or Exit Signals
+
+The `--indicator-list` option, by default, displays indicator values for both entry and exit signals. To filter the indicator values exclusively for entry signals, you can use the `--entry-only` argument. Similarly, to display indicator values only at exit signals, use the `--exit-only` argument.
+
+Example: Display indicator values at entry signals:
+
+```bash
+freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --entry-only
+```
+
+Example: Display indicator values at exit signals:
+
+```bash
+freqtrade backtesting-analysis -c user_data/config.json --analysis-groups 0 --indicator-list chikou_span tenkan_sen --exit-only
+```
+
+!!! note 
+    When using these filters, the indicator names will not be suffixed with `(entry)` or `(exit)`.
+
 ### Filtering the trade output by date
 
 To show only trades between dates within your backtested timerange, supply the usual `timerange` option in `YYYYMMDD-[YYYYMMDD]` format:

freqtrade/commands/arguments.py

@@ -228,6 +228,8 @@ ARGS_ANALYZE_ENTRIES_EXITS = [
     "enter_reason_list",
     "exit_reason_list",
     "indicator_list",
+    "entry_only",
+    "exit_only",
     "timerange",
     "analysis_rejected",
     "analysis_to_csv",

freqtrade/commands/cli_options.py

@@ -719,6 +719,12 @@ AVAILABLE_CLI_OPTIONS = {
         nargs="+",
         default=[],
     ),
+    "entry_only": Arg(
+        "--entry-only", help=("Only analyze entry signals."), action="store_true", default=False
+    ),
+    "exit_only": Arg(
+        "--exit-only", help=("Only analyze exit signals."), action="store_true", default=False
+    ),
     "analysis_rejected": Arg(
         "--rejected-signals",
         help="Analyse rejected signals",

freqtrade/configuration/configuration.py

@@ -407,6 +407,8 @@ class Configuration:
             ("enter_reason_list", "Analysis enter tag list: {}"),
             ("exit_reason_list", "Analysis exit tag list: {}"),
             ("indicator_list", "Analysis indicator list: {}"),
+            ("entry_only", "Only analyze entry signals: {}"),
+            ("exit_only", "Only analyze exit signals: {}"),
             ("timerange", "Filter trades by timerange: {}"),
             ("analysis_rejected", "Analyse rejected signals: {}"),
             ("analysis_to_csv", "Store analysis tables to CSV: {}"),

freqtrade/data/entryexitanalysis.py

@@ -263,6 +263,8 @@ def print_results(
     exit_df: pd.DataFrame,
     analysis_groups: List[str],
     indicator_list: List[str],
+    entry_only: bool,
+    exit_only: bool,
     csv_path: Path,
     rejected_signals=None,
     to_csv=False,
@@ -288,7 +290,7 @@ def print_results(
                 if ind in res_df:
                     available_inds.append(ind)
 
-            merged_df = _merge_dfs(res_df, exit_df, available_inds)
+            merged_df = _merge_dfs(res_df, exit_df, available_inds, entry_only, exit_only)
 
             _print_table(
                 merged_df,
@@ -302,14 +304,21 @@ def print_results(
         print("\\No trades to show")
 
 
-def _merge_dfs(entry_df, exit_df, available_inds):
+def _merge_dfs(
+    entry_df: pd.DataFrame,
+    exit_df: pd.DataFrame,
+    available_inds: List[str],
+    entry_only: bool,
+    exit_only: bool,
+):
     merge_on = ["pair", "open_date"]
     signal_wide_indicators = list(set(available_inds) - set(BT_DATA_COLUMNS))
-    columns_to_keep = merge_on + ["enter_reason", "exit_reason"] + available_inds
+    columns_to_keep = merge_on + ["enter_reason", "exit_reason"]
 
-    if exit_df is None or exit_df.empty:
+    if exit_df is None or exit_df.empty or entry_only is True:
-        return entry_df[columns_to_keep]
+        return entry_df[columns_to_keep + available_inds]
 
+    if exit_only is True:
         return pd.merge(
             entry_df[columns_to_keep],
             exit_df[merge_on + signal_wide_indicators],
@@ -317,6 +326,13 @@ def _merge_dfs(entry_df, exit_df, available_inds):
             suffixes=(" (entry)", " (exit)"),
         )
 
+    return pd.merge(
+        entry_df[columns_to_keep + available_inds],
+        exit_df[merge_on + signal_wide_indicators],
+        on=merge_on,
+        suffixes=(" (entry)", " (exit)"),
+    )
+
 
 def _print_table(
     df: pd.DataFrame, sortcols=None, *, show_index=False, name=None, to_csv=False, csv_path: Path
@@ -343,9 +359,16 @@ def process_entry_exit_reasons(config: Config):
         enter_reason_list = config.get("enter_reason_list", ["all"])
         exit_reason_list = config.get("exit_reason_list", ["all"])
         indicator_list = config.get("indicator_list", [])
+        entry_only = config.get("entry_only", False)
+        exit_only = config.get("exit_only", False)
         do_rejected = config.get("analysis_rejected", False)
         to_csv = config.get("analysis_to_csv", False)
         csv_path = Path(config.get("analysis_csv_path", config["exportfilename"]))
+
+        if entry_only is True and exit_only is True:
+            raise OperationalException(
+                "Cannot use --entry-only and --exit-only at the same time. Please choose one."
+            )
         if to_csv and not csv_path.is_dir():
             raise OperationalException(f"Specified directory {csv_path} does not exist.")
 
@@ -400,6 +423,8 @@ def process_entry_exit_reasons(config: Config):
                     exit_df,
                     analysis_groups,
                     indicator_list,
+                    entry_only,
+                    exit_only,
                     rejected_signals=rej_df,
                     to_csv=to_csv,
                     csv_path=csv_path,

tests/data/test_entryexitanalysis.py

@@ -7,6 +7,7 @@ import pytest
 from freqtrade.commands.analyze_commands import start_analysis_entries_exits
 from freqtrade.commands.optimize_commands import start_backtesting
 from freqtrade.enums import ExitType
+from freqtrade.exceptions import OperationalException
 from freqtrade.optimize.backtesting import Backtesting
 from tests.conftest import get_args, patch_exchange, patched_configuration_load_config_file
 
@@ -256,3 +257,306 @@ def test_backtest_analysis_on_entry_and_rejected_signals_nomock(
     start_analysis_entries_exits(args)
     captured = capsys.readouterr()
     assert "no rejected signals" in captured.out
+
+
+def test_backtest_analysis_with_invalid_config(
+    default_conf, mocker, caplog, testdatadir, user_dir, capsys
+):
+    caplog.set_level(logging.INFO)
+    (user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
+
+    default_conf.update(
+        {
+            "use_exit_signal": True,
+            "exit_profit_only": False,
+            "exit_profit_offset": 0.0,
+            "ignore_roi_if_entry_signal": False,
+        }
+    )
+    patch_exchange(mocker)
+    result1 = pd.DataFrame(
+        {
+            "pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
+            "profit_ratio": [0.025, 0.05, -0.1, -0.05],
+            "profit_abs": [0.5, 2.0, -4.0, -2.0],
+            "open_date": pd.to_datetime(
+                [
+                    "2018-01-29 18:40:00",
+                    "2018-01-30 03:30:00",
+                    "2018-01-30 08:10:00",
+                    "2018-01-31 13:30:00",
+                ],
+                utc=True,
+            ),
+            "close_date": pd.to_datetime(
+                [
+                    "2018-01-29 20:45:00",
+                    "2018-01-30 05:35:00",
+                    "2018-01-30 09:10:00",
+                    "2018-01-31 15:00:00",
+                ],
+                utc=True,
+            ),
+            "trade_duration": [235, 40, 60, 90],
+            "is_open": [False, False, False, False],
+            "stake_amount": [0.01, 0.01, 0.01, 0.01],
+            "open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
+            "close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
+            "is_short": [False, False, False, False],
+            "enter_tag": [
+                "enter_tag_long_a",
+                "enter_tag_long_b",
+                "enter_tag_long_a",
+                "enter_tag_long_b",
+            ],
+            "exit_reason": [
+                ExitType.ROI.value,
+                ExitType.EXIT_SIGNAL.value,
+                ExitType.STOP_LOSS.value,
+                ExitType.TRAILING_STOP_LOSS.value,
+            ],
+        }
+    )
+
+    backtestmock = MagicMock(
+        side_effect=[
+            {
+                "results": result1,
+                "config": default_conf,
+                "locks": [],
+                "rejected_signals": 20,
+                "timedout_entry_orders": 0,
+                "timedout_exit_orders": 0,
+                "canceled_trade_entries": 0,
+                "canceled_entry_orders": 0,
+                "replaced_entry_orders": 0,
+                "final_balance": 1000,
+            }
+        ]
+    )
+    mocker.patch(
+        "freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
+        PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
+    )
+    mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
+
+    patched_configuration_load_config_file(mocker, default_conf)
+
+    args = [
+        "backtesting",
+        "--config",
+        "config.json",
+        "--datadir",
+        str(testdatadir),
+        "--user-data-dir",
+        str(user_dir),
+        "--timeframe",
+        "5m",
+        "--timerange",
+        "1515560100-1517287800",
+        "--export",
+        "signals",
+        "--cache",
+        "none",
+    ]
+    args = get_args(args)
+    start_backtesting(args)
+
+    captured = capsys.readouterr()
+    assert "BACKTESTING REPORT" in captured.out
+    assert "EXIT REASON STATS" in captured.out
+    assert "LEFT OPEN TRADES REPORT" in captured.out
+
+    base_args = [
+        "backtesting-analysis",
+        "--config",
+        "config.json",
+        "--datadir",
+        str(testdatadir),
+        "--user-data-dir",
+        str(user_dir),
+    ]
+
+    # test with both entry and exit only arguments
+    args = get_args(
+        base_args
+        + [
+            "--analysis-groups",
+            "0",
+            "--indicator-list",
+            "close",
+            "rsi",
+            "profit_abs",
+            "--entry-only",
+            "--exit-only",
+        ]
+    )
+    with pytest.raises(
+        OperationalException,
+        match=r"Cannot use --entry-only and --exit-only at the same time. Please choose one.",
+    ):
+        start_analysis_entries_exits(args)
+
+
+def test_backtest_analysis_on_entry_and_rejected_signals_only_entry_signals(
+    default_conf, mocker, caplog, testdatadir, user_dir, capsys
+):
+    caplog.set_level(logging.INFO)
+    (user_dir / "backtest_results").mkdir(parents=True, exist_ok=True)
+
+    default_conf.update(
+        {
+            "use_exit_signal": True,
+            "exit_profit_only": False,
+            "exit_profit_offset": 0.0,
+            "ignore_roi_if_entry_signal": False,
+        }
+    )
+    patch_exchange(mocker)
+    result1 = pd.DataFrame(
+        {
+            "pair": ["ETH/BTC", "LTC/BTC", "ETH/BTC", "LTC/BTC"],
+            "profit_ratio": [0.025, 0.05, -0.1, -0.05],
+            "profit_abs": [0.5, 2.0, -4.0, -2.0],
+            "open_date": pd.to_datetime(
+                [
+                    "2018-01-29 18:40:00",
+                    "2018-01-30 03:30:00",
+                    "2018-01-30 08:10:00",
+                    "2018-01-31 13:30:00",
+                ],
+                utc=True,
+            ),
+            "close_date": pd.to_datetime(
+                [
+                    "2018-01-29 20:45:00",
+                    "2018-01-30 05:35:00",
+                    "2018-01-30 09:10:00",
+                    "2018-01-31 15:00:00",
+                ],
+                utc=True,
+            ),
+            "trade_duration": [235, 40, 60, 90],
+            "is_open": [False, False, False, False],
+            "stake_amount": [0.01, 0.01, 0.01, 0.01],
+            "open_rate": [0.104445, 0.10302485, 0.10302485, 0.10302485],
+            "close_rate": [0.104969, 0.103541, 0.102041, 0.102541],
+            "is_short": [False, False, False, False],
+            "enter_tag": [
+                "enter_tag_long_a",
+                "enter_tag_long_b",
+                "enter_tag_long_a",
+                "enter_tag_long_b",
+            ],
+            "exit_reason": [
+                ExitType.ROI.value,
+                ExitType.EXIT_SIGNAL.value,
+                ExitType.STOP_LOSS.value,
+                ExitType.TRAILING_STOP_LOSS.value,
+            ],
+        }
+    )
+
+    backtestmock = MagicMock(
+        side_effect=[
+            {
+                "results": result1,
+                "config": default_conf,
+                "locks": [],
+                "rejected_signals": 20,
+                "timedout_entry_orders": 0,
+                "timedout_exit_orders": 0,
+                "canceled_trade_entries": 0,
+                "canceled_entry_orders": 0,
+                "replaced_entry_orders": 0,
+                "final_balance": 1000,
+            }
+        ]
+    )
+    mocker.patch(
+        "freqtrade.plugins.pairlistmanager.PairListManager.whitelist",
+        PropertyMock(return_value=["ETH/BTC", "LTC/BTC", "DASH/BTC"]),
+    )
+    mocker.patch("freqtrade.optimize.backtesting.Backtesting.backtest", backtestmock)
+
+    patched_configuration_load_config_file(mocker, default_conf)
+
+    args = [
+        "backtesting",
+        "--config",
+        "config.json",
+        "--datadir",
+        str(testdatadir),
+        "--user-data-dir",
+        str(user_dir),
+        "--timeframe",
+        "5m",
+        "--timerange",
+        "1515560100-1517287800",
+        "--export",
+        "signals",
+        "--cache",
+        "none",
+    ]
+    args = get_args(args)
+    start_backtesting(args)
+
+    captured = capsys.readouterr()
+    assert "BACKTESTING REPORT" in captured.out
+    assert "EXIT REASON STATS" in captured.out
+    assert "LEFT OPEN TRADES REPORT" in captured.out
+
+    base_args = [
+        "backtesting-analysis",
+        "--config",
+        "config.json",
+        "--datadir",
+        str(testdatadir),
+        "--user-data-dir",
+        str(user_dir),
+    ]
+
+    # test group 0 and indicator list
+    args = get_args(
+        base_args
+        + [
+            "--analysis-groups",
+            "0",
+            "--indicator-list",
+            "close",
+            "rsi",
+            "profit_abs",
+            "--entry-only",
+        ]
+    )
+    start_analysis_entries_exits(args)
+    captured = capsys.readouterr()
+    assert "LTC/BTC" in captured.out
+    assert "ETH/BTC" in captured.out
+    assert "enter_tag_long_a" in captured.out
+    assert "enter_tag_long_b" in captured.out
+    assert "exit_signal" in captured.out
+    assert "roi" in captured.out
+    assert "stop_loss" in captured.out
+    assert "trailing_stop_loss" in captured.out
+    assert "0.5" in captured.out
+    assert "-4" in captured.out
+    assert "-2" in captured.out
+    assert "-3.5" in captured.out
+    assert "50" in captured.out
+    assert "0" in captured.out
+    assert "0.016" in captured.out
+    assert "34.049" in captured.out
+    assert "0.104" in captured.out
+    assert "52.829" in captured.out
+    # assert indicator list
+    assert "close" in captured.out
+    assert "close (entry)" not in captured.out
+    assert "0.016" in captured.out
+    assert "rsi (entry)" not in captured.out
+    assert "rsi" in captured.out
+    assert "54.320" in captured.out
+    assert "close (exit)" not in captured.out
+    assert "rsi (exit)" not in captured.out
+    assert "52.829" in captured.out
+    assert "profit_abs" in captured.out