Merge pull request #1864 from freqtrade/doc/backtest_future

Improve documentation to point out usage of future data during backtesting

docs/bot-usage.md

@@ -103,7 +103,7 @@ If the bot does not find your strategy file, it will display in an error
 message the reason (File not found, or errors in your code).
 
 Learn more about strategy file in
-[optimize your bot](bot-optimization.md).
+[Strategy Customization](strategy-customization.md).
 
 ### How to use **--strategy-path**?
 
@@ -296,4 +296,4 @@ in [misc.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/misc.
 ## Next step
 
 The optimal strategy of the bot will change with time depending of the market trends. The next step is to
-[optimize your bot](bot-optimization.md).
+[Strategy Customization](strategy-customization.md).

docs/strategy-customization.md

@@ -53,6 +53,12 @@ file as reference.**
     It is therefore best to use vectorized operations (across the whole dataframe, not loops) and
     avoid index referencing (`df.iloc[-1]`), but instead use `df.shift()` to get to the previous candle.
 
+!!! Warning Using future data
+    Since backtesting passes the full time interval to the `populate_*()` methods, the strategy author
+    needs to take care to avoid having the strategy utilize data from the future.
+    Samples for usage of future data are `dataframe.shift(-1)`, `dataframe.resample("1h")` (this uses the left border of the interval, so moves data from an hour to the start of the hour).
+    They all use data which is not available during regular operations, so these strategies will perform well during backtesting, but will fail / perform badly in dry-runs.
+
 ### Customize Indicators
 
 Buy and sell strategies need indicators. You can add more indicators by extending the list contained in the method `populate_indicators()` from your strategy file.

mkdocs.yml

@@ -3,7 +3,7 @@ nav:
     - About: index.md
     - Installation: installation.md
     - Configuration: configuration.md
-    - Custom Strategy: bot-optimization.md
+    - Strategy Customization: strategy-customization.md
     - Stoploss: stoploss.md
     - Start the bot: bot-usage.md
     - Control the bot: