Merge pull request #7454 from freqtrade/fix_backtesting_dfsize_freqai

Ensure the DF has the same size in backtesting FreqAI
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Matthias 2022-09-24 16:17:39 +02:00 committed by GitHub
commit 585342f193
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3 changed files with 15 additions and 29 deletions

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@ -208,8 +208,10 @@ class DataProvider:
if saved_pair not in self.__cached_pairs_backtesting: if saved_pair not in self.__cached_pairs_backtesting:
timerange = TimeRange.parse_timerange(None if self._config.get( timerange = TimeRange.parse_timerange(None if self._config.get(
'timerange') is None else str(self._config.get('timerange'))) '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)) tf_seconds = timeframe_to_seconds(str(timeframe))
timerange.subtract_start(tf_seconds * startup_candles) timerange.subtract_start(tf_seconds * startup_candles)
self.__cached_pairs_backtesting[saved_pair] = load_pair_history( self.__cached_pairs_backtesting[saved_pair] = load_pair_history(
@ -223,7 +225,7 @@ class DataProvider:
) )
return self.__cached_pairs_backtesting[saved_pair].copy() 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', {}) freqai_config = self._config.get('freqai', {})
if not freqai_config.get('enabled', False): if not freqai_config.get('enabled', False):
return self._config.get('startup_candle_count', 0) 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 # make sure the startupcandles is at least the set maximum indicator periods
self._config['startup_candle_count'] = max(startup_candles, max(indicator_periods)) self._config['startup_candle_count'] = max(startup_candles, max(indicator_periods))
tf_seconds = timeframe_to_seconds(timeframe) 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) total_candles = int(self._config['startup_candle_count'] + train_candles)
logger.info(f'Increasing startup_candle_count for freqai to {total_candles}') logger.info(f'Increasing startup_candle_count for freqai to {total_candles}')
return total_candles return total_candles

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@ -466,27 +466,6 @@ class FreqaiDataKitchen:
return df return df
def remove_training_from_backtesting(
self
) -> DataFrame:
"""
Function which takes the backtesting time range and
remove training data from dataframe, keeping only the
startup_candle_count candles
"""
startup_candle_count = self.config.get('startup_candle_count', 0)
tf = self.config['timeframe']
tr = self.config["timerange"]
backtesting_timerange = TimeRange.parse_timerange(tr)
if startup_candle_count > 0 and backtesting_timerange:
backtesting_timerange.subtract_start(timeframe_to_seconds(tf) * startup_candle_count)
start = datetime.fromtimestamp(backtesting_timerange.startts, tz=timezone.utc)
df = self.return_dataframe
df = df.loc[df["date"] >= start, :]
return df
def principal_component_analysis(self) -> None: def principal_component_analysis(self) -> None:
""" """
Performs Principal Component Analysis on the data for dimensionality reduction Performs Principal Component Analysis on the data for dimensionality reduction
@ -994,8 +973,6 @@ class FreqaiDataKitchen:
to_keep = [col for col in dataframe.columns if not col.startswith("&")] to_keep = [col for col in dataframe.columns if not col.startswith("&")]
self.return_dataframe = pd.concat([dataframe[to_keep], self.full_df], axis=1) self.return_dataframe = pd.concat([dataframe[to_keep], self.full_df], axis=1)
self.return_dataframe = self.remove_training_from_backtesting()
self.full_df = DataFrame() self.full_df = DataFrame()
return return

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@ -139,9 +139,14 @@ class Backtesting:
# Get maximum required startup period # Get maximum required startup period
self.required_startup = max([strat.startup_candle_count for strat in self.strategylist]) self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
if self.config.get('freqai', {}).get('enabled', False):
# For FreqAI, increase the required_startup to includes the training data
self.required_startup = self.dataprovider.get_required_startup(self.timeframe)
# Add maximum startup candle count to configuration for informative pairs support # Add maximum startup candle count to configuration for informative pairs support
self.config['startup_candle_count'] = self.required_startup self.config['startup_candle_count'] = self.required_startup
self.exchange.validate_required_startup_candles(self.required_startup, self.timeframe)
self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT) self.trading_mode: TradingMode = config.get('trading_mode', TradingMode.SPOT)
# strategies which define "can_short=True" will fail to load in Spot mode. # strategies which define "can_short=True" will fail to load in Spot mode.
@ -217,7 +222,7 @@ class Backtesting:
pairs=self.pairlists.whitelist, pairs=self.pairlists.whitelist,
timeframe=self.timeframe, timeframe=self.timeframe,
timerange=self.timerange, timerange=self.timerange,
startup_candles=self.dataprovider.get_required_startup(self.timeframe), startup_candles=self.config['startup_candle_count'],
fail_without_data=True, fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'), data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=self.config.get('candle_type_def', CandleType.SPOT) candle_type=self.config.get('candle_type_def', CandleType.SPOT)