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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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109
freqtrade/freqai/data_kitchen.py
View File

@ -9,7 +9,7 @@ from typing import Any, Dict, List, Tuple
import numpy as np
import numpy.typing as npt
import pandas as pd
from pandas import DataFrame
from pandas import DataFrame, read_feather
from scipy import stats
from sklearn import linear_model
from sklearn.cluster import DBSCAN
@ -73,6 +73,9 @@ class FreqaiDataKitchen:
self.training_features_list: List = []
self.model_filename: str = ""
self.backtesting_results_path = Path()
self.backtesting_live_model_folder_path = Path()
self.backtesting_live_model_path = Path()
self.backtesting_live_model_bkp_path = Path()
self.backtest_predictions_folder: str = "backtesting_predictions"
self.live = live
self.pair = pair
@ -1488,3 +1491,107 @@ class FreqaiDataKitchen:
dataframe.columns = dataframe.columns.str.replace(c, "")
return dataframe
def set_backtesting_live_dataframe_folder_path(
self
) -> None:
"""
Set live backtesting dataframe path
:param pair: current pair
"""
self.backtesting_live_model_folder_path = Path(
self.full_path / self.backtest_predictions_folder / "live_data")
def set_backtesting_live_dataframe_path(
self, pair: str
) -> None:
"""
Set live backtesting dataframe path
:param pair: current pair
"""
self.set_backtesting_live_dataframe_folder_path()
if not self.backtesting_live_model_folder_path.is_dir():
self.backtesting_live_model_folder_path.mkdir(parents=True, exist_ok=True)
pair_path = pair.split(":")[0].replace("/", "_").lower()
file_name = f"live_backtesting_{pair_path}.feather"
path_to_live_backtesting_file = Path(self.full_path /
self.backtesting_live_model_folder_path /
file_name)
path_to_live_backtesting_bkp_file = Path(self.full_path /
self.backtesting_live_model_folder_path /
file_name.replace(".feather", ".backup.feather"))
self.backtesting_live_model_path = path_to_live_backtesting_file
self.backtesting_live_model_bkp_path = path_to_live_backtesting_bkp_file
def save_backtesting_live_dataframe(
self, dataframe: DataFrame, pair: str
) -> None:
"""
Save live backtesting dataframe to feather file format
:param dataframe: current live dataframe
:param pair: current pair
"""
self.set_backtesting_live_dataframe_path(pair)
last_row_df = dataframe.tail(1)
if self.backtesting_live_model_path.is_file():
saved_dataframe = self.get_backtesting_live_dataframe()
concat_dataframe = pd.concat([saved_dataframe, last_row_df])
concat_dataframe.reset_index(drop=True).to_feather(
self.backtesting_live_model_path, compression_level=9, compression='lz4')
else:
last_row_df.reset_index(drop=True).to_feather(
self.backtesting_live_model_path, compression_level=9, compression='lz4')
shutil.copy(self.backtesting_live_model_path, self.backtesting_live_model_bkp_path)
def get_backtesting_live_dataframe(
self
) -> DataFrame:
"""
Get live backtesting dataframe from feather file format
return: saved dataframe from previous dry/run or live
"""
if self.backtesting_live_model_path.is_file():
saved_dataframe = DataFrame()
try:
saved_dataframe = read_feather(self.backtesting_live_model_path)
except Exception:
saved_dataframe = read_feather(self.backtesting_live_model_bkp_path)
return saved_dataframe
else:
raise OperationalException(
"Saved pair file not found"
)
def get_timerange_from_backtesting_live_dataframe(
self) -> TimeRange:
"""
Returns timerange information based on a FreqAI model directory
:param models_path: FreqAI model path
:return: timerange calculated from saved live data
"""
all_assets_start_dates = []
all_assets_end_dates = []
self.set_backtesting_live_dataframe_folder_path()
if not self.backtesting_live_model_folder_path.is_dir():
raise OperationalException(
'Saved live data not found. Saved lived data is required '
'to run backtest with the freqai-backtest-live-models option '
'and save_live_data_backtest config option as true'
)
for file_in_dir in self.backtesting_live_model_folder_path.iterdir():
if file_in_dir.is_file() and "backup" not in file_in_dir.name:
saved_dataframe = read_feather(file_in_dir)
all_assets_start_dates.append(saved_dataframe.date.min())
all_assets_end_dates.append(saved_dataframe.date.max())
start_date = min(all_assets_start_dates)
end_date = min(all_assets_end_dates)
# add 1 day to string timerange to ensure BT module will load all dataframe data
end_date = end_date + timedelta(days=1)
backtesting_timerange = TimeRange(
'date', 'date', int(start_date.timestamp()), int(end_date.timestamp())
)
return backtesting_timerange

40
freqtrade/freqai/freqai_interface.py
View File

@ -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"]
)
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
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:

5
freqtrade/freqai/utils.py
View File

@ -229,7 +229,12 @@ def get_timerange_backtest_live_models(config: Config) -> str:
"""
dk = FreqaiDataKitchen(config)
models_path = dk.get_full_models_path(config)
timerange: TimeRange = TimeRange()
if not config.get("save_live_data_backtest", True):
timerange, _ = dk.get_timerange_and_assets_end_dates_from_ready_models(models_path)
else:
timerange = dk.get_timerange_from_backtesting_live_dataframe()
start_date = datetime.fromtimestamp(timerange.startts, tz=timezone.utc)
end_date = datetime.fromtimestamp(timerange.stopts, tz=timezone.utc)
tr = f"{start_date.strftime('%Y%m%d')}-{end_date.strftime('%Y%m%d')}"