adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #7454 from freqtrade/fix_backtesting_dfsize_freqai

Browse Source 
Ensure the DF has the same size in backtesting FreqAI
This commit is contained in:
Matthias
2022-09-24 16:17:39 +02:00
committed by GitHub
parent 8d77ba118c 166ae8e3a1
commit 585342f193
3 changed files with 15 additions and 29 deletions
Download Patch File Download Diff File Expand all files Collapse all files

12
freqtrade/data/dataprovider.py
View File

@@ -208,8 +208,10 @@ class DataProvider:
if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange')))
# Move informative start time respecting startup_candle_count
startup_candles = self.get_required_startup(str(timeframe))
# It is not necessary to add the training candles, as they
# were already added at the beginning of the backtest.
startup_candles = self.get_required_startup(str(timeframe), False)
tf_seconds = timeframe_to_seconds(str(timeframe))
timerange.subtract_start(tf_seconds * startup_candles)
self.__cached_pairs_backtesting[saved_pair] = load_pair_history(
@@ -223,7 +225,7 @@ class DataProvider:
)
return self.__cached_pairs_backtesting[saved_pair].copy()
def get_required_startup(self, timeframe: str) -> int:
def get_required_startup(self, timeframe: str, add_train_candles: bool = True) -> int:
freqai_config = self._config.get('freqai', {})
if not freqai_config.get('enabled', False):
return self._config.get('startup_candle_count', 0)
@@ -233,7 +235,9 @@ class DataProvider:
# make sure the startupcandles is at least the set maximum indicator periods
self._config['startup_candle_count'] = max(startup_candles, max(indicator_periods))
tf_seconds = timeframe_to_seconds(timeframe)
train_candles = freqai_config['train_period_days'] * 86400 / tf_seconds
train_candles = 0
if add_train_candles:
train_candles = freqai_config['train_period_days'] * 86400 / tf_seconds
total_candles = int(self._config['startup_candle_count'] + train_candles)
logger.info(f'Increasing startup_candle_count for freqai to {total_candles}')
return total_candles