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

Fix backtesting - refactor remove training from dataframe

Browse Source
This commit is contained in:
Wagner Costa Santos 2022-09-19 14:31:05 -03:00
parent 8b1e5daf22
commit 1facde2f8b
2 changed files with 16 additions and 6 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

12
freqtrade/data/dataprovider.py
View File

@ -90,8 +90,12 @@ class DataProvider:
if saved_pair not in self.__cached_pairs_backtesting: if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get( timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange'))) 'timerange') is None else str(self._config.get('timerange')))
# In backtesting, the training data was already add
add_train_candles = self.runmode in (RunMode.DRY_RUN, RunMode.LIVE)
startup_candles = self.get_required_startup(str(timeframe), add_train_candles)
# Move informative start time respecting startup_candle_count # Move informative start time respecting startup_candle_count
startup_candles = self.get_required_startup(str(timeframe))
tf_seconds = timeframe_to_seconds(str(timeframe)) tf_seconds = timeframe_to_seconds(str(timeframe))
timerange.subtract_start(tf_seconds * startup_candles) timerange.subtract_start(tf_seconds * startup_candles)
self.__cached_pairs_backtesting[saved_pair] = load_pair_history( self.__cached_pairs_backtesting[saved_pair] = load_pair_history(
@ -105,7 +109,7 @@ class DataProvider:
) )
return self.__cached_pairs_backtesting[saved_pair].copy() return self.__cached_pairs_backtesting[saved_pair].copy()
def get_required_startup(self, timeframe: str) -> int: def get_required_startup(self, timeframe: str, add_train_candles: bool = True) -> int:
freqai_config = self._config.get('freqai', {}) freqai_config = self._config.get('freqai', {})
if not freqai_config.get('enabled', False): if not freqai_config.get('enabled', False):
return self._config.get('startup_candle_count', 0) return self._config.get('startup_candle_count', 0)
@ -115,7 +119,9 @@ class DataProvider:
# make sure the startupcandles is at least the set maximum indicator periods # make sure the startupcandles is at least the set maximum indicator periods
self._config['startup_candle_count'] = max(startup_candles, max(indicator_periods)) self._config['startup_candle_count'] = max(startup_candles, max(indicator_periods))
tf_seconds = timeframe_to_seconds(timeframe) tf_seconds = timeframe_to_seconds(timeframe)
train_candles = freqai_config['train_period_days'] * 86400 / tf_seconds train_candles = 0
if add_train_candles:
train_candles = freqai_config['train_period_days'] * 86400 / tf_seconds
total_candles = int(self._config['startup_candle_count'] + train_candles) total_candles = int(self._config['startup_candle_count'] + train_candles)
logger.info(f'Increasing startup_candle_count for freqai to {total_candles}') logger.info(f'Increasing startup_candle_count for freqai to {total_candles}')
return total_candles return total_candles

10
freqtrade/optimize/backtesting.py
View File

@ -143,10 +143,14 @@ class Backtesting:
# Get maximum required startup period # Get maximum required startup period
self.required_startup = max([strat.startup_candle_count for strat in self.strategylist]) self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
# Add maximum startup candle count to configuration for informative pairs support
self.config['startup_candle_count'] = self.required_startup
self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe) self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
if self.config.get('freqai', {}).get('enabled', False):
# For FreqAI, increase the required_startup to includes the training data
self.required_startup = self.dataprovider.get_required_startup(self.timeframe)
# Add maximum startup candle count to configuration for informative pairs support
self.config['startup_candle_count'] = self.required_startup
self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT) self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
# strategies which define "can_short=True" will fail to load in Spot mode. # strategies which define "can_short=True" will fail to load in Spot mode.
self._can_short = self.trading_mode != TradingMode.SPOT self._can_short = self.trading_mode != TradingMode.SPOT
@ -221,7 +225,7 @@ class Backtesting:
pairs=self.pairlists.whitelist, pairs=self.pairlists.whitelist,
timeframe=self.timeframe, timeframe=self.timeframe,
timerange=self.timerange, timerange=self.timerange,
startup_candles=self.dataprovider.get_required_startup(self.timeframe), startup_candles=self.config['startup_candle_count'],
fail_without_data=True, fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'), data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=self.config.get('candle_type_def', CandleType.SPOT) candle_type=self.config.get('candle_type_def', CandleType.SPOT)