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freqai bt - fix tests

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This commit is contained in:
Wagner Costa 2022-12-29 16:35:11 -03:00
parent 2b89f643b7
commit 2e30bdb9b2
3 changed files with 35 additions and 23 deletions
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9
freqtrade/freqai/data_kitchen.py
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@ -1308,14 +1308,17 @@ class FreqaiDataKitchen:
pairs: List[str] = self.freqai_config["feature_parameters"].get( pairs: List[str] = self.freqai_config["feature_parameters"].get(
"include_corr_pairlist", []) "include_corr_pairlist", [])
if not prediction_dataframe.empty: for tf in tfs:
dataframe = prediction_dataframe.copy() if tf not in base_dataframes:
for tf in tfs:
base_dataframes[tf] = pd.DataFrame() base_dataframes[tf] = pd.DataFrame()
if not corr_dataframes.keys():
for p in pairs: for p in pairs:
if p not in corr_dataframes: if p not in corr_dataframes:
corr_dataframes[p] = {} corr_dataframes[p] = {}
corr_dataframes[p][tf] = pd.DataFrame() corr_dataframes[p][tf] = pd.DataFrame()
if not prediction_dataframe.empty:
dataframe = prediction_dataframe.copy()
else: else:
dataframe = base_dataframes[self.config["timeframe"]].copy() dataframe = base_dataframes[self.config["timeframe"]].copy()

19
freqtrade/freqai/freqai_interface.py
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@ -271,14 +271,19 @@ class IFreqaiModel(ABC):
self.pair_it += 1 self.pair_it += 1
train_it = 0 train_it = 0
pair = metadata["pair"]
populate_indicators = True populate_indicators = True
timerange = TimeRange.parse_timerange(self.dk.full_timerange)
self.dd.load_all_pair_histories(timerange, self.dk)
corr_df, base_df = self.dd.get_base_and_corr_dataframes(timerange, pair, dk)
# Loop enforcing the sliding window training/backtesting paradigm # Loop enforcing the sliding window training/backtesting paradigm
# tr_train is the training time range e.g. 1 historical month # tr_train is the training time range e.g. 1 historical month
# tr_backtest is the backtesting time range e.g. the week directly # tr_backtest is the backtesting time range e.g. the week directly
# following tr_train. Both of these windows slide through the # following tr_train. Both of these windows slide through the
# entire backtest # entire backtest
for tr_train, tr_backtest in zip(dk.training_timeranges, dk.backtesting_timeranges): for tr_train, tr_backtest in zip(dk.training_timeranges, dk.backtesting_timeranges):
pair = metadata["pair"]
(_, _, _) = self.dd.get_pair_dict_info(pair) (_, _, _) = self.dd.get_pair_dict_info(pair)
train_it += 1 train_it += 1
total_trains = len(dk.backtesting_timeranges) total_trains = len(dk.backtesting_timeranges)
@ -308,7 +313,8 @@ class IFreqaiModel(ABC):
else: else:
if populate_indicators: if populate_indicators:
dataframe = self.dk.use_strategy_to_populate_indicators( dataframe = self.dk.use_strategy_to_populate_indicators(
strategy, prediction_dataframe=dataframe, pair=metadata["pair"] strategy, prediction_dataframe=dataframe, pair=metadata["pair"],
corr_dataframes=corr_df, base_dataframes=base_df
) )
populate_indicators = False populate_indicators = False
@ -323,7 +329,14 @@ class IFreqaiModel(ABC):
if not self.model_exists(dk): if not self.model_exists(dk):
dk.find_features(dataframe_train) dk.find_features(dataframe_train)
dk.find_labels(dataframe_train) dk.find_labels(dataframe_train)
self.model = self.train(dataframe_train, pair, dk)
try:
self.model = self.train(dataframe_train, pair, dk)
except Exception as msg:
logger.warning(
f"Training {pair} raised exception {msg.__class__.__name__}. "
f"Message: {msg}, skipping.")
self.dd.pair_dict[pair]["trained_timestamp"] = int( self.dd.pair_dict[pair]["trained_timestamp"] = int(
tr_train.stopts) tr_train.stopts)
if self.plot_features: if self.plot_features:

30
tests/freqai/test_freqai_interface.py
View File

@ -232,15 +232,14 @@ def test_start_backtesting(mocker, freqai_conf, model, num_files, strat, caplog)
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130") sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
df = freqai.cache_corr_pairlist_dfs(df, freqai.dk)
for i in range(5): for i in range(5):
df[f'%-constant_{i}'] = i df[f'%-constant_{i}'] = i
metadata = {"pair": "LTC/BTC"} metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk) freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()] model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == num_files assert len(model_folders) == num_files
@ -271,12 +270,11 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130") sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
metadata = {"pair": "LTC/BTC"} metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk) freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()] model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 9 assert len(model_folders) == 9
@ -297,14 +295,13 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130") sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
pair = "ADA/BTC" pair = "ADA/BTC"
metadata = {"pair": pair} metadata = {"pair": pair}
freqai.dk.pair = pair freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk) freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()] model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 2 assert len(model_folders) == 2
@ -322,14 +319,13 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130") sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
pair = "ADA/BTC" pair = "ADA/BTC"
metadata = {"pair": pair} metadata = {"pair": pair}
freqai.dk.pair = pair freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk) freqai.start_backtesting(df, metadata, freqai.dk, strategy)
assert log_has_re( assert log_has_re(
"Found backtesting prediction file ", "Found backtesting prediction file ",
@ -339,7 +335,7 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
pair = "ETH/BTC" pair = "ETH/BTC"
metadata = {"pair": pair} metadata = {"pair": pair}
freqai.dk.pair = pair freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk) freqai.start_backtesting(df, metadata, freqai.dk, strategy)
path = (freqai.dd.full_path / freqai.dk.backtest_predictions_folder) path = (freqai.dd.full_path / freqai.dk.backtest_predictions_folder)
prediction_files = [x for x in path.iterdir() if x.is_file()] prediction_files = [x for x in path.iterdir() if x.is_file()]