From 4571aedb33bac90dcb7f669bfd4c707f1c760173 Mon Sep 17 00:00:00 2001 From: robcaulk Date: Wed, 30 Nov 2022 00:53:35 +0100 Subject: [PATCH] consolidate and clean code --- docs/freqai-running.md | 4 +- freqtrade/freqai/data_kitchen.py | 23 ----------- freqtrade/freqai/freqai_interface.py | 59 +++++++++++++--------------- 3 files changed, 29 insertions(+), 57 deletions(-) diff --git a/docs/freqai-running.md b/docs/freqai-running.md index 23873547f..b046e7bb8 100644 --- a/docs/freqai-running.md +++ b/docs/freqai-running.md @@ -79,11 +79,11 @@ To change your **features**, you **must** set a new `identifier` in the config t To save the models generated during a particular backtest so that you can start a live deployment from one of them instead of training a new model, you must set `save_backtest_models` to `True` in the config. -### Backtest live models +### Backtest live collected predictions FreqAI allow you to reuse live historic predictions through the backtest parameter `--freqai-backtest-live-models`. This can be useful when you want to reuse predictions generated in dry/run for comparison or other study. -The `--timerange` parameter must not be informed, as it will be automatically calculated through the data in historic predictions file. +The `--timerange` parameter must not be informed, as it will be automatically calculated through the data in the historic predictions file. ### Downloading data to cover the full backtest period diff --git a/freqtrade/freqai/data_kitchen.py b/freqtrade/freqai/data_kitchen.py index 1c4177381..3201fc451 100644 --- a/freqtrade/freqai/data_kitchen.py +++ b/freqtrade/freqai/data_kitchen.py @@ -75,7 +75,6 @@ class FreqaiDataKitchen: self.training_features_list: List = [] self.model_filename: str = "" self.backtesting_results_path = Path() - self.backtesting_h5_data: HDFStore = {} self.backtest_predictions_folder: str = "backtesting_predictions" self.live = live self.pair = pair @@ -456,28 +455,6 @@ class FreqaiDataKitchen: # print(tr_training_list, tr_backtesting_list) return tr_training_list_timerange, tr_backtesting_list_timerange - # def split_timerange_live_models( - # self - # ) -> Tuple[list, list]: - - # tr_backtesting_list_timerange = [] - # asset = self.pair.split("/")[0] - # if asset not in self.backtest_live_models_data["assets_end_dates"]: - # raise OperationalException( - # f"Model not available for pair {self.pair}. " - # "Please, try again after removing this pair from the configuration file." - # ) - # asset_data = self.backtest_live_models_data["assets_end_dates"][asset] - # backtesting_timerange = self.backtest_live_models_data["backtesting_timerange"] - # model_end_dates = [x for x in asset_data] - # model_end_dates.append(backtesting_timerange.stopts) - # model_end_dates.sort() - # for index, item in enumerate(model_end_dates): - # if len(model_end_dates) > (index + 1): - # tr_to_add = TimeRange("date", "date", item, model_end_dates[index + 1]) - # tr_backtesting_list_timerange.append(tr_to_add) - - # return tr_backtesting_list_timerange, tr_backtesting_list_timerange def slice_dataframe(self, timerange: TimeRange, df: DataFrame) -> DataFrame: """ diff --git a/freqtrade/freqai/freqai_interface.py b/freqtrade/freqai/freqai_interface.py index 129571d4a..cf7c4151b 100644 --- a/freqtrade/freqai/freqai_interface.py +++ b/freqtrade/freqai/freqai_interface.py @@ -55,7 +55,6 @@ class IFreqaiModel(ABC): def __init__(self, config: Config) -> None: self.config = config - self.metadata: Dict[str, Any] = {} self.assert_config(self.config) self.freqai_info: Dict[str, Any] = config["freqai"] self.data_split_parameters: Dict[str, Any] = config.get("freqai", {}).get( @@ -102,7 +101,7 @@ class IFreqaiModel(ABC): self.get_corr_dataframes: bool = True self._threads: List[threading.Thread] = [] self._stop_event = threading.Event() - self.metadata = self.dd.load_global_metadata_from_disk() + self.metadata: Dict[str, Any] = self.dd.load_global_metadata_from_disk() self.data_provider: Optional[DataProvider] = None self.max_system_threads = max(int(psutil.cpu_count() * 2 - 2), 1) @@ -148,18 +147,13 @@ class IFreqaiModel(ABC): # the concatenated results for the full backtesting period back to the strategy. elif not self.follow_mode: self.dk = FreqaiDataKitchen(self.config, self.live, metadata["pair"]) - if self.dk.backtest_live_models: - logger.info( - "Backtesting using historic predictions (live models)") - else: - logger.info(f"Training {len(self.dk.training_timeranges)} timeranges") - dataframe = self.dk.use_strategy_to_populate_indicators( - strategy, prediction_dataframe=dataframe, pair=metadata["pair"] - ) if not self.config.get("freqai_backtest_live_models", False): + logger.info(f"Training {len(self.dk.training_timeranges)} timeranges") dk = self.start_backtesting(dataframe, metadata, self.dk) dataframe = dk.remove_features_from_df(dk.return_dataframe) else: + logger.info( + "Backtesting using historic predictions (live models)") dk = self.start_backtesting_from_historic_predictions( dataframe, metadata, self.dk) dataframe = dk.return_dataframe @@ -167,7 +161,6 @@ class IFreqaiModel(ABC): self.clean_up() if self.live: self.inference_timer('stop', metadata["pair"]) - self.set_start_dry_live_date(dataframe) return dataframe @@ -336,27 +329,6 @@ class IFreqaiModel(ABC): return dk - def start_backtesting_from_historic_predictions( - 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 - saved_dataframe = self.dd.historic_predictions[pair] - columns_to_drop = list(set(saved_dataframe.columns).intersection( - dk.return_dataframe.columns)) - dk.return_dataframe = dk.return_dataframe.drop(columns=list(columns_to_drop)) - dk.return_dataframe = pd.merge( - dk.return_dataframe, saved_dataframe, how='left', left_on='date', right_on="date_pred") - # 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: @@ -665,6 +637,8 @@ class IFreqaiModel(ABC): self.dd.historic_predictions[pair] = pred_df hist_preds_df = self.dd.historic_predictions[pair] + self.set_start_dry_live_date(pred_df) + for label in hist_preds_df.columns: if hist_preds_df[label].dtype == object: continue @@ -913,6 +887,27 @@ class IFreqaiModel(ABC): pd.to_datetime(live_dataframe.tail(1)["date"].values[0]).timestamp()) self.update_metadata(metadata) + def start_backtesting_from_historic_predictions( + 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 + saved_dataframe = self.dd.historic_predictions[pair] + columns_to_drop = list(set(saved_dataframe.columns).intersection( + dk.return_dataframe.columns)) + dk.return_dataframe = dk.return_dataframe.drop(columns=list(columns_to_drop)) + dk.return_dataframe = pd.merge( + dk.return_dataframe, saved_dataframe, how='left', left_on='date', right_on="date_pred") + # dk.return_dataframe = dk.return_dataframe[saved_dataframe.columns].fillna(0) + return dk + # Following methods which are overridden by user made prediction models. # See freqai/prediction_models/CatboostPredictionModel.py for an example.