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backtest saved dataframe from live

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This commit is contained in:
Wagner Costa Santos
2022-11-12 14:37:23 -03:00
parent f9c6c538be
commit 27fa9f1f4e
3 changed files with 154 additions and 4 deletions
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42
freqtrade/freqai/freqai_interface.py
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@@ -67,6 +67,11 @@ class IFreqaiModel(ABC):
self.save_backtest_models: bool = self.freqai_info.get("save_backtest_models", True)
if self.save_backtest_models:
logger.info('Backtesting module configured to save all models.')
self.save_live_data_backtest: bool = self.freqai_info.get(
"save_live_data_backtest", True)
if self.save_live_data_backtest:
logger.info('Live configured to save data for backtest.')
self.dd = FreqaiDataDrawer(Path(self.full_path), self.config, self.follow_mode)
# set current candle to arbitrary historical date
self.current_candle: datetime = datetime.fromtimestamp(637887600, tz=timezone.utc)
@@ -147,12 +152,20 @@ class IFreqaiModel(ABC):
dataframe = self.dk.use_strategy_to_populate_indicators(
strategy, prediction_dataframe=dataframe, pair=metadata["pair"]
)
dk = self.start_backtesting(dataframe, metadata, self.dk)
if not self.save_live_data_backtest:
dk = self.start_backtesting(dataframe, metadata, self.dk)
dataframe = dk.remove_features_from_df(dk.return_dataframe)
else:
dk = self.start_backtesting_from_live_saved_files(
dataframe, metadata, self.dk)
dataframe = dk.return_dataframe
dataframe = dk.remove_features_from_df(dk.return_dataframe)
self.clean_up()
if self.live:
self.inference_timer('stop', metadata["pair"])
if self.save_live_data_backtest:
dk.save_backtesting_live_dataframe(dataframe, metadata["pair"])
return dataframe
def clean_up(self):
@@ -310,6 +323,31 @@ class IFreqaiModel(ABC):
return dk
def start_backtesting_from_live_saved_files(
self, dataframe: DataFrame, metadata: dict, dk: FreqaiDataKitchen
) -> FreqaiDataKitchen:
"""
:param dataframe: DataFrame = strategy passed dataframe
:param metadata: Dict = pair metadata
:param dk: FreqaiDataKitchen = Data management/analysis tool associated to present pair only
:return:
FreqaiDataKitchen = Data management/analysis tool associated to present pair only
"""
pair = metadata["pair"]
dk.return_dataframe = dataframe
dk.return_dataframe = dataframe
self.dk.set_backtesting_live_dataframe_path(pair)
saved_dataframe = self.dk.get_backtesting_live_dataframe()
columns_to_drop = list(set(dk.return_dataframe.columns).difference(
["date", "open", "high", "low", "close", "volume"]))
saved_dataframe = saved_dataframe.drop(
columns=["open", "high", "low", "close", "volume"])
dk.return_dataframe = dk.return_dataframe.drop(columns=list(columns_to_drop))
dk.return_dataframe = pd.merge(dk.return_dataframe, saved_dataframe, how='left', on='date')
# dk.return_dataframe = dk.return_dataframe[saved_dataframe.columns].fillna(0)
return dk
def start_live(
self, dataframe: DataFrame, metadata: dict, strategy: IStrategy, dk: FreqaiDataKitchen
) -> FreqaiDataKitchen: