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backtest_live_models - added new tests and refactoring

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Wagner Costa Santos
2022-09-27 10:26:57 -03:00
parent 72aa47fc51
commit 0be115de9c
4 changed files with 216 additions and 30 deletions
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4
freqtrade/freqai/data_kitchen.py
View File

@@ -473,8 +473,8 @@ class FreqaiDataKitchen:
pair_data = self.backtest_live_models_data["pairs_end_dates"][pair]
model_end_dates = []
backtesting_timerange = self.backtest_live_models_data["backtesting_timerange"]
for data in pair_data:
model_end_dates.append(data["model_end_date"])
for end_date in pair_data:
model_end_dates.append(end_date)
model_end_dates.append(backtesting_timerange.stopts)
model_end_dates.sort()
for index, item in enumerate(model_end_dates):

65
freqtrade/freqai/freqai_util.py
View File

@@ -36,34 +36,11 @@ def get_timerange_from_ready_models(models_path: Path) -> Tuple[TimeRange, str,
pairs_end_dates: Dict with pair and model end training dates info)
"""
all_models_end_dates = []
pairs_end_dates: Dict[str, Any] = {}
if not models_path.is_dir():
raise OperationalException(
'Model folders not found. Saved models are required '
'to run backtest with the freqai-backtest-live-models option'
)
for model_dir in models_path.iterdir():
if str(model_dir.name).startswith("sub-train"):
model_end_date = int(model_dir.name.split("_")[1])
pair = model_dir.name.split("_")[0].replace("sub-train-", "")
model_file_name = (
f"cb_{str(model_dir.name).replace('sub-train-', '').lower()}"
"_model.joblib"
)
model_path_file = Path(model_dir / model_file_name)
if model_path_file.is_file():
if pair not in pairs_end_dates:
pairs_end_dates[pair] = []
pairs_end_dates[pair].append({
"model_end_date": model_end_date,
"model_path_file": model_path_file,
"model_dir": model_dir
})
if model_end_date not in all_models_end_dates:
all_models_end_dates.append(model_end_date)
pairs_end_dates: Dict[str, Any] = get_pairs_timestamps_training_from_ready_models(models_path)
for key in pairs_end_dates:
for model_end_date in pairs_end_dates[key]:
if model_end_date not in all_models_end_dates:
all_models_end_dates.append(model_end_date)
if len(all_models_end_dates) == 0:
raise OperationalException(
@@ -104,3 +81,35 @@ def get_timerange_from_ready_models(models_path: Path) -> Tuple[TimeRange, str,
'date', 'date', min(all_models_end_dates), max(all_models_end_dates)
)
return backtesting_timerange, backtesting_string_timerange, pairs_end_dates
def get_pairs_timestamps_training_from_ready_models(models_path: Path) -> Dict[str, Any]:
"""
Scan the models path and returns all pairs end training dates (timestamp)
:param models_path: FreqAI model path
:returns:
:pairs_end_dates: Dict with pair and model end training dates info
"""
pairs_end_dates: Dict[str, Any] = {}
if not models_path.is_dir():
raise OperationalException(
'Model folders not found. Saved models are required '
'to run backtest with the freqai-backtest-live-models option'
)
for model_dir in models_path.iterdir():
if str(model_dir.name).startswith("sub-train"):
model_end_date = int(model_dir.name.split("_")[1])
pair = model_dir.name.split("_")[0].replace("sub-train-", "")
model_file_name = (
f"cb_{str(model_dir.name).replace('sub-train-', '').lower()}"
"_model.joblib"
)
model_path_file = Path(model_dir / model_file_name)
if model_path_file.is_file():
if pair not in pairs_end_dates:
pairs_end_dates[pair] = []
pairs_end_dates[pair].append(model_end_date)
return pairs_end_dates