Merge pull request freqtrade#11758 from mrpabloyeah/add-max-trade-duration-to-backtest-results

Add min/max trade duration to backtest results

Author: xmatthias

freqtrade/optimize/optimize_reports/bt_output.py

@@ -370,8 +370,18 @@ def text_table_add_metrics(strat_results: dict) -> None:
                 f"{strat_results['winning_days']} / "
                 f"{strat_results['draw_days']} / {strat_results['losing_days']}",
             ),
-            ("Avg. Duration Winners", f"{strat_results['winner_holding_avg']}"),
-            ("Avg. Duration Loser", f"{strat_results['loser_holding_avg']}"),
+            (
+                "Min/Max/Avg. Duration Winners",
+                f"{strat_results.get('winner_holding_min', 'N/A')} / "
+                f"{strat_results.get('winner_holding_max', 'N/A')} / "
+                f"{strat_results.get('winner_holding_avg', 'N/A')}",
+            ),
+            (
+                "Min/Max/Avg. Duration Losers",
+                f"{strat_results.get('loser_holding_min', 'N/A')} / "
+                f"{strat_results.get('loser_holding_max', 'N/A')} / "
+                f"{strat_results.get('loser_holding_avg', 'N/A')}",
+            ),
             (
                 "Max Consecutive Wins / Loss",
                 (

freqtrade/optimize/optimize_reports/optimize_reports.py

@@ -23,7 +23,7 @@
     BacktestResultType,
     get_BacktestResultType_default,
 )
-from freqtrade.util import decimals_per_coin, fmt_coin, get_dry_run_wallet
+from freqtrade.util import decimals_per_coin, fmt_coin, format_duration, get_dry_run_wallet
 
 
 logger = logging.getLogger(__name__)
@@ -336,22 +336,44 @@ def generate_trading_stats(results: DataFrame) -> dict[str, Any]:
         }
 
     winning_trades = results.loc[results["profit_ratio"] > 0]
+    winning_duration = winning_trades["trade_duration"]
     draw_trades = results.loc[results["profit_ratio"] == 0]
     losing_trades = results.loc[results["profit_ratio"] < 0]
+    losing_duration = losing_trades["trade_duration"]
 
     holding_avg = (
         timedelta(minutes=round(results["trade_duration"].mean()))
         if not results.empty
         else timedelta()
     )
+    winner_holding_min = (
+        timedelta(minutes=round(winning_duration[winning_duration > 0].min()))
+        if not winning_duration.empty
+        else timedelta()
+    )
+    winner_holding_max = (
+        timedelta(minutes=round(winning_duration.max()))
+        if not winning_duration.empty
+        else timedelta()
+    )
     winner_holding_avg = (
-        timedelta(minutes=round(winning_trades["trade_duration"].mean()))
-        if not winning_trades.empty
+        timedelta(minutes=round(winning_duration.mean()))
+        if not winning_duration.empty
+        else timedelta()
+    )
+    loser_holding_min = (
+        timedelta(minutes=round(losing_duration[losing_duration > 0].min()))
+        if not losing_duration.empty
+        else timedelta()
+    )
+    loser_holding_max = (
+        timedelta(minutes=round(losing_duration.max()))
+        if not losing_duration.empty
         else timedelta()
     )
     loser_holding_avg = (
-        timedelta(minutes=round(losing_trades["trade_duration"].mean()))
-        if not losing_trades.empty
+        timedelta(minutes=round(losing_duration.mean()))
+        if not losing_duration.empty
         else timedelta()
     )
     winstreak, loss_streak = calc_streak(results)
@@ -363,9 +385,17 @@ def generate_trading_stats(results: DataFrame) -> dict[str, Any]:
         "winrate": len(winning_trades) / len(results) if len(results) else 0.0,
         "holding_avg": holding_avg,
         "holding_avg_s": holding_avg.total_seconds(),
-        "winner_holding_avg": winner_holding_avg,
+        "winner_holding_min": format_duration(winner_holding_min),
+        "winner_holding_min_s": winner_holding_min.total_seconds(),
+        "winner_holding_max": format_duration(winner_holding_max),
+        "winner_holding_max_s": winner_holding_max.total_seconds(),
+        "winner_holding_avg": format_duration(winner_holding_avg),
         "winner_holding_avg_s": winner_holding_avg.total_seconds(),
-        "loser_holding_avg": loser_holding_avg,
+        "loser_holding_min": format_duration(loser_holding_min),
+        "loser_holding_min_s": loser_holding_min.total_seconds(),
+        "loser_holding_max": format_duration(loser_holding_max),
+        "loser_holding_max_s": loser_holding_max.total_seconds(),
+        "loser_holding_avg": format_duration(loser_holding_avg),
         "loser_holding_avg_s": loser_holding_avg.total_seconds(),
         "max_consecutive_wins": winstreak,
         "max_consecutive_losses": loss_streak,

freqtrade/util/__init__.py

@@ -13,7 +13,13 @@
     shorten_date,
 )
 from freqtrade.util.dry_run_wallet import get_dry_run_wallet
-from freqtrade.util.formatters import decimals_per_coin, fmt_coin, fmt_coin2, round_value
+from freqtrade.util.formatters import (
+    decimals_per_coin,
+    fmt_coin,
+    fmt_coin2,
+    format_duration,
+    round_value,
+)
 from freqtrade.util.ft_precise import FtPrecise
 from freqtrade.util.measure_time import MeasureTime
 from freqtrade.util.periodic_cache import PeriodicCache
@@ -44,6 +50,7 @@
     "shorten_date",
     "decimals_per_coin",
     "round_value",
+    "format_duration",
     "fmt_coin",
     "fmt_coin2",
     "MeasureTime",

freqtrade/util/formatters.py

@@ -1,3 +1,5 @@
+from datetime import timedelta
+
 from freqtrade.constants import DECIMAL_PER_COIN_FALLBACK, DECIMALS_PER_COIN
 
 
@@ -66,3 +68,15 @@ def fmt_coin2(
         val = f"{val} {coin}"
 
     return val
+
+
+def format_duration(td: timedelta) -> str:
+    """
+    Format a timedelta object to "XXd HH:MM" format
+    :param td: Timedelta object to format
+    :return: Formatted time string
+    """
+    d = td.days
+    h, r = divmod(td.seconds, 3600)
+    m, s = divmod(r, 60)
+    return f"{d}d {h:02d}:{m:02d}"

tests/optimize/test_optimize_reports.py

@@ -40,7 +40,7 @@
     generate_tag_metrics,
 )
 from freqtrade.resolvers.strategy_resolver import StrategyResolver
-from freqtrade.util import dt_ts
+from freqtrade.util import dt_ts, format_duration
 from freqtrade.util.datetime_helpers import dt_from_ts, dt_utc
 from tests.conftest import CURRENT_TEST_STRATEGY, log_has_re
 from tests.data.test_history import _clean_test_file
@@ -482,8 +482,8 @@ def test_generate_trading_stats(testdatadir):
     bt_data = load_backtest_data(filename)
     res = generate_trading_stats(bt_data)
     assert isinstance(res, dict)
-    assert res["winner_holding_avg"] == timedelta(seconds=1440)
-    assert res["loser_holding_avg"] == timedelta(days=1, seconds=21420)
+    assert res["winner_holding_avg"] == format_duration(timedelta(seconds=1440))
+    assert res["loser_holding_avg"] == format_duration(timedelta(days=1, seconds=21420))
     assert "wins" in res
     assert "losses" in res
     assert "draws" in res

tests/util/test_formatters.py

@@ -1,5 +1,6 @@
-from freqtrade.util import decimals_per_coin, fmt_coin, round_value
-from freqtrade.util.formatters import fmt_coin2
+from datetime import timedelta
+
+from freqtrade.util import decimals_per_coin, fmt_coin, fmt_coin2, format_duration, round_value
 
 
 def test_decimals_per_coin():
@@ -45,3 +46,12 @@ def test_round_value():
     assert round_value(0.1274512123, 5) == "0.12745"
     assert round_value(222.2, 3, True) == "222.200"
     assert round_value(222.2, 0, True) == "222"
+
+
+def test_format_duration():
+    assert format_duration(timedelta(minutes=5)) == "0d 00:05"
+    assert format_duration(timedelta(minutes=75)) == "0d 01:15"
+    assert format_duration(timedelta(minutes=1440)) == "1d 00:00"
+    assert format_duration(timedelta(minutes=1445)) == "1d 00:05"
+    assert format_duration(timedelta(minutes=11445)) == "7d 22:45"
+    assert format_duration(timedelta(minutes=101445)) == "70d 10:45"