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Allow use of --strategy-list with freqai, with warning (#7455)

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* Allow use of --strategy-list with freqai, with warning

* ensure populate_any_indicators is identical for resused identifiers

* use pair instead of metadata["pair"]

Co-authored-by: robcaulk <rob.caulk@gmail.com>
This commit is contained in:
paranoidandy 2022-09-24 12:21:01 +01:00 committed by GitHub
parent e429aa16f3
commit 2cc00a1a2c
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4 changed files with 32 additions and 16 deletions
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10
freqtrade/freqai/data_drawer.py
View File

@ -430,6 +430,16 @@ class FreqaiDataDrawer:
return
def load_metadata(self, dk: FreqaiDataKitchen) -> None:
"""
Load only metadata into datakitchen to increase performance during
presaved backtesting (prediction file loading).
"""
with open(dk.data_path / f"{dk.model_filename}_metadata.json", "r") as fp:
dk.data = json.load(fp)
dk.training_features_list = dk.data["training_features_list"]
dk.label_list = dk.data["label_list"]
def load_data(self, coin: str, dk: FreqaiDataKitchen) -> Any:
"""
loads all data required to make a prediction on a sub-train time range

14
freqtrade/freqai/freqai_interface.py
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@ -65,7 +65,7 @@ class IFreqaiModel(ABC):
self.first = True
self.set_full_path()
self.follow_mode: bool = self.freqai_info.get("follow_mode", False)
self.save_backtest_models: bool = self.freqai_info.get("save_backtest_models", False)
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.dd = FreqaiDataDrawer(Path(self.full_path), self.config, self.follow_mode)
@ -260,7 +260,7 @@ class IFreqaiModel(ABC):
tr_train.stopts,
tz=timezone.utc).strftime(DATETIME_PRINT_FORMAT)
logger.info(
f"Training {metadata['pair']}, {self.pair_it}/{self.total_pairs} pairs"
f"Training {pair}, {self.pair_it}/{self.total_pairs} pairs"
f" from {tr_train_startts_str} to {tr_train_stopts_str}, {train_it}/{total_trains} "
"trains"
)
@ -273,11 +273,13 @@ class IFreqaiModel(ABC):
dk.set_new_model_names(pair, trained_timestamp)
if dk.check_if_backtest_prediction_exists():
self.dd.load_metadata(dk)
self.check_if_feature_list_matches_strategy(dataframe_train, dk)
append_df = dk.get_backtesting_prediction()
dk.append_predictions(append_df)
else:
if not self.model_exists(
metadata["pair"], dk, trained_timestamp=trained_timestamp_int
pair, dk, trained_timestamp=trained_timestamp_int
):
dk.find_features(dataframe_train)
self.model = self.train(dataframe_train, pair, dk)
@ -429,14 +431,16 @@ class IFreqaiModel(ABC):
if "training_features_list_raw" in dk.data:
feature_list = dk.data["training_features_list_raw"]
else:
feature_list = dk.training_features_list
feature_list = dk.data['training_features_list']
if dk.training_features_list != feature_list:
raise OperationalException(
"Trying to access pretrained model with `identifier` "
"but found different features furnished by current strategy."
"Change `identifier` to train from scratch, or ensure the"
"strategy is furnishing the same features as the pretrained"
"model"
"model. In case of --strategy-list, please be aware that FreqAI "
"requires all strategies to maintain identical "
"populate_any_indicator() functions"
)
def data_cleaning_train(self, dk: FreqaiDataKitchen) -> None:

4
freqtrade/optimize/backtesting.py
View File

@ -91,8 +91,8 @@ class Backtesting:
if self.config.get('strategy_list'):
if self.config.get('freqai', {}).get('enabled', False):
raise OperationalException(
"You can't use strategy_list and freqai at the same time.")
logger.warning("Using --strategy-list with FreqAI REQUIRES all strategies "
"to have identical populate_any_indicators.")
for strat in list(self.config['strategy_list']):
stratconf = deepcopy(self.config)
stratconf['strategy'] = strat

20
tests/freqai/test_freqai_backtesting.py
View File

@ -3,21 +3,21 @@ from datetime import datetime, timezone
from pathlib import Path
from unittest.mock import PropertyMock
import pytest
from freqtrade.commands.optimize_commands import start_backtesting
from freqtrade.exceptions import OperationalException
from freqtrade.commands.optimize_commands import setup_optimize_configuration
from freqtrade.enums import RunMode
from freqtrade.optimize.backtesting import Backtesting
from tests.conftest import (CURRENT_TEST_STRATEGY, get_args, log_has_re, patch_exchange,
patched_configuration_load_config_file)
def test_freqai_backtest_start_backtest_list(freqai_conf, mocker, testdatadir):
def test_freqai_backtest_start_backtest_list(freqai_conf, mocker, testdatadir, caplog):
patch_exchange(mocker)
now = datetime.now(timezone.utc)
mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
PropertyMock(return_value=['HULUMULU/USDT', 'XRP/USDT']))
# mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock)
mocker.patch('freqtrade.optimize.backtesting.history.load_data')
mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now))
patched_configuration_load_config_file(mocker, freqai_conf)
@ -30,9 +30,11 @@ def test_freqai_backtest_start_backtest_list(freqai_conf, mocker, testdatadir):
'--strategy-list', CURRENT_TEST_STRATEGY
]
args = get_args(args)
with pytest.raises(OperationalException,
match=r"You can't use strategy_list and freqai at the same time\."):
start_backtesting(args)
bt_config = setup_optimize_configuration(args, RunMode.BACKTEST)
Backtesting(bt_config)
assert log_has_re('Using --strategy-list with FreqAI REQUIRES all strategies to have identical '
'populate_any_indicators.', caplog)
Backtesting.cleanup()
def test_freqai_backtest_load_data(freqai_conf, mocker, caplog):