adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge branch 'freqtrade:develop' into fixHyperoptFreqai

Browse Source
This commit is contained in:
wagnercosta 2022-09-06 10:02:17 -03:00 committed by GitHub
commit 1820bc6832
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
3 changed files with 9 additions and 8 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

8
docs/freqai.md
View File

@ -280,7 +280,7 @@ The FreqAI strategy requires the user to include the following lines of code in
Notice how the `populate_any_indicators()` is where the user adds their own features ([more information](#feature-engineering)) and labels ([more information](#setting-classifier-targets)). See a full example at `templates/FreqaiExampleStrategy.py`. Notice how the `populate_any_indicators()` is where the user adds their own features ([more information](#feature-engineering)) and labels ([more information](#setting-classifier-targets)). See a full example at `templates/FreqaiExampleStrategy.py`.
### Setting the `startup_candle_count` ### Setting the `startup_candle_count`
Users need to take care to set the `startup_candle_count` in their strategy the same way they would for any normal Freqtrade strategy (see details [here](strategy-customization.md/#strategy-startup-period)). This value is used by Freqtrade to ensure that a sufficient amount of data is provided when calling on the `dataprovider` to avoid any NaNs at the beginning of the first training. Users can easily set this value by identifying the longest period (in candle units) that they pass to their indicator creation functions (e.g. talib functions). In the present example, the user would pass 20 to as this value (since it is the maximum value in their `indicators_periods_candles`). Users need to take care to set the `startup_candle_count` in their strategy the same way they would for any normal Freqtrade strategy (see details [here](strategy-customization.md#strategy-startup-period)). This value is used by Freqtrade to ensure that a sufficient amount of data is provided when calling on the `dataprovider` to avoid any NaNs at the beginning of the first training. Users can easily set this value by identifying the longest period (in candle units) that they pass to their indicator creation functions (e.g. talib functions). In the present example, the user would pass 20 to as this value (since it is the maximum value in their `indicators_periods_candles`).
!!! Note !!! Note
Typically it is best for users to be safe and multiply their expected `startup_candle_count` by 2. There are instances where the talib functions actually require more data than just the passed `period`. Anecdotally, multiplying the `startup_candle_count` by 2 always leads to a fully NaN free training dataset. Look out for this log message to confirm that your data is clean: Typically it is best for users to be safe and multiply their expected `startup_candle_count` by 2. There are instances where the talib functions actually require more data than just the passed `period`. Anecdotally, multiplying the `startup_candle_count` by 2 always leads to a fully NaN free training dataset. Look out for this log message to confirm that your data is clean:
@ -515,10 +515,10 @@ and if a full `live_retrain_hours` has elapsed since the end of the loaded model
The FreqAI backtesting module can be executed with the following command: The FreqAI backtesting module can be executed with the following command:
```bash ```bash
freqtrade backtesting --strategy FreqaiExampleStrategy --config config_examples/config_freqai.example.json --freqaimodel LightGBMRegressor --timerange 20210501-20210701 freqtrade backtesting --strategy FreqaiExampleStrategy --strategy-path freqtrade/templates --config config_examples/config_freqai.example.json --freqaimodel LightGBMRegressor --timerange 20210501-20210701
``` ```
Backtesting mode requires the user to have the data pre-downloaded (unlike in dry/live mode where FreqAI automatically downloads the necessary data). The user should be careful to consider that the time range of the downloaded data is more than the backtesting time range. This is because FreqAI needs data prior to the desired backtesting time range in order to train a model to be ready to make predictions on the first candle of the user-set backtesting time range. More details on how to calculate the data to download can be found [here](#deciding-the-sliding-training-window-and-backtesting-duration). Backtesting mode requires the user to have the data [pre-downloaded](#downloading-data-for-backtesting) (unlike in dry/live mode where FreqAI automatically downloads the necessary data). The user should be careful to consider that the time range of the downloaded data is more than the backtesting time range. This is because FreqAI needs data prior to the desired backtesting time range in order to train a model to be ready to make predictions on the first candle of the user-set backtesting time range. More details on how to calculate the data to download can be found [here](#deciding-the-sliding-training-window-and-backtesting-duration).
If this command has never been executed with the existing config file, it will train a new model If this command has never been executed with the existing config file, it will train a new model
for each pair, for each backtesting window within the expanded `--timerange`. for each pair, for each backtesting window within the expanded `--timerange`.
@ -546,7 +546,7 @@ FreqAI will train have trained 8 separate models at the end of `--timerange` (be
Although fractional `backtest_period_days` is allowed, the user should be aware that the `--timerange` is divided by this value to determine the number of models that FreqAI will need to train in order to backtest the full range. For example, if the user wants to set a `--timerange` of 10 days, and asks for a `backtest_period_days` of 0.1, FreqAI will need to train 100 models per pair to complete the full backtest. Because of this, a true backtest of FreqAI adaptive training would take a *very* long time. The best way to fully test a model is to run it dry and let it constantly train. In this case, backtesting would take the exact same amount of time as a dry run. Although fractional `backtest_period_days` is allowed, the user should be aware that the `--timerange` is divided by this value to determine the number of models that FreqAI will need to train in order to backtest the full range. For example, if the user wants to set a `--timerange` of 10 days, and asks for a `backtest_period_days` of 0.1, FreqAI will need to train 100 models per pair to complete the full backtest. Because of this, a true backtest of FreqAI adaptive training would take a *very* long time. The best way to fully test a model is to run it dry and let it constantly train. In this case, backtesting would take the exact same amount of time as a dry run.
### Downloading data for backtesting ### Downloading data for backtesting
Live/dry instances will download the data automatically for the user, but users who wish to use backtesting functionality still need to download the necessary data using `download-data` (details [here](data-download/#data-downloading)). FreqAI users need to pay careful attention to understanding how much *additional* data needs to be downloaded to ensure that they have a sufficient amount of training data *before* the start of their backtesting timerange. The amount of additional data can be roughly estimated by taking subtracting `train_period_days` and the `startup_candle_count` ([details](#setting-the-startupcandlecount)) from the beginning of the desired backtesting timerange. Live/dry instances will download the data automatically for the user, but users who wish to use backtesting functionality still need to download the necessary data using `download-data` (details [here](data-download.md#data-downloading)). FreqAI users need to pay careful attention to understanding how much *additional* data needs to be downloaded to ensure that they have a sufficient amount of training data *before* the start of their backtesting timerange. The amount of additional data can be roughly estimated by moving the start date of the timerange backwards by `train_period_days` and the `startup_candle_count` ([details](#setting-the-startupcandlecount)) from the beginning of the desired backtesting timerange.
As an example, if we wish to backtest the `--timerange` above of `20210501-20210701`, and we use the example config which sets `train_period_days` to 15. The startup candle count is 40 on a maximum `include_timeframes` of 1h. We would need 20210501 - 15 days - 40 * 1h / 24 hours = 20210414 (16.7 days earlier than the start of the desired training timerange). As an example, if we wish to backtest the `--timerange` above of `20210501-20210701`, and we use the example config which sets `train_period_days` to 15. The startup candle count is 40 on a maximum `include_timeframes` of 1h. We would need 20210501 - 15 days - 40 * 1h / 24 hours = 20210414 (16.7 days earlier than the start of the desired training timerange).

7
freqtrade/optimize/hyperopt.py
View File

@ -421,9 +421,10 @@ class Hyperopt:
preprocessed = self.backtesting.strategy.advise_all_indicators(data) preprocessed = self.backtesting.strategy.advise_all_indicators(data)
# Trim startup period from analyzed dataframe to get correct dates for output. # Trim startup period from analyzed dataframe to get correct dates for output.
processed = trim_dataframes(preprocessed, self.timerange, self.backtesting.required_startup) trimmed = trim_dataframes(preprocessed, self.timerange, self.backtesting.required_startup)
self.min_date, self.max_date = get_timerange(processed) self.min_date, self.max_date = get_timerange(trimmed)
return processed # Real trimming will happen as part of backtesting.
return preprocessed
def prepare_hyperopt_data(self) -> None: def prepare_hyperopt_data(self) -> None:
HyperoptStateContainer.set_state(HyperoptState.DATALOAD) HyperoptStateContainer.set_state(HyperoptState.DATALOAD)

2
requirements.txt
View File

@ -12,7 +12,7 @@ arrow==1.2.3
cachetools==4.2.2 cachetools==4.2.2
requests==2.28.1 requests==2.28.1
urllib3==1.26.12 urllib3==1.26.12
jsonschema==4.14.0 jsonschema==4.15.0
TA-Lib==0.4.24 TA-Lib==0.4.24
technical==1.3.0 technical==1.3.0
tabulate==0.8.10 tabulate==0.8.10