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When I optimize a strategy I can get only a chosen statistic to see for every combinations, for example:
stats, heatmap = bt.optimize(dc_period = range(3,30,3),close_after = range(3,30,3),maximize = 'Return [%]',return_heatmap=True)
If I print(heatmap) I get:
dc_period close_after
3 3 0.91800
6 1.65825
9 1.37100
12 1.11650
15 2.13875
...
27 15 0.46700
18 1.14275
21 0.91300
24 1.07525
27 1.50150
Name: Return [%], Length: 81, dtype: float64
So I see the two parameters and corresponding return of that combination, but say I also want to see winrate and average trade % of every combination? How can I do that?
Thank's.
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Replies: 4 comments
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To the best of my knowledge, there isn't a way it can be done directly in the library, but you could always rerun the parameters you are interested in to obtain your statistic of choice.
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You can run this yourself a different route and get the same results as well as the stats for every run.
from itertools import product
def run_backtest(params):
ema_period, keltner_atr_multiplier = params
bt = Backtest(df_training, Test, cash=CASH, commission=0.0005, margin=0.02, trade_on_close=True, hedging=True)
stats = bt.run(
ema_period=ema_period,
keltner_atr_multiplier=keltner_atr_multiplier
)
return stats
# Define ranges for each parameter
ema_period_range = range(30, 50, 10)
keltner_atr_multiplier_range = range(3, 6, 1)
# Generate all possible combinations of parameters
params_list = list(product(ema_period_range, keltner_atr_multiplier_range))
# Use ThreadPoolExecutor to run backtests
with concurrent.futures.ThreadPoolExecutor() as executor:
results = list(executor.map(run_backtest, params_list))
max_result = None
for result in results:
if (max_result == None):
max_result = result['Equity Final [$]']
else:
max_result = max(result['Equity Final [$]'], max_result)```
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This repo - https://github.com/s-kust/python-backtesting-template - may be helpful.
See Optimization of Strategy Parameters in readme.md and optimize_params.py script.
This solution is more flexible than the original bt.optimize and also provides you with an Excel file containing the results.
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