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backtest_live_models - params validation and get timerange from live models in BT

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Wagner Costa Santos
2022-09-25 23:14:00 -03:00
parent f3f3917da3
commit 5880f7a638
8 changed files with 165 additions and 833 deletions
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105
freqtrade/freqai/data_kitchen.py
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@@ -21,6 +21,7 @@ from freqtrade.configuration import TimeRange
from freqtrade.constants import Config
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_seconds
from freqtrade.freqai import freqai_util
from freqtrade.strategy.interface import IStrategy
@@ -62,7 +63,6 @@ class FreqaiDataKitchen:
live: bool = False,
pair: str = "",
):
self.backtest_live_models = False # temp
self.data: Dict[str, Any] = {}
self.data_dictionary: Dict[str, DataFrame] = {}
self.config = config
@@ -81,16 +81,21 @@ class FreqaiDataKitchen:
self.svm_model: linear_model.SGDOneClassSVM = None
self.keras: bool = self.freqai_config.get("keras", False)
self.set_all_pairs()
self.backtest_live_models = config.get("freqai_backtest_live_models", False)
if not self.live:
if not self.config["timerange"]:
if (not self.config.get("timerange") and
not self.backtest_live_models):
raise OperationalException(
'Please pass --timerange if you intend to use FreqAI for backtesting.')
self.full_path = freqai_util.get_full_model_path(self.config)
self.full_timerange = self.create_fulltimerange(
self.config["timerange"], self.freqai_config.get("train_period_days", 0)
)
if self.backtest_live_models:
self.get_timerange_from_ready_models()
self.set_timerange_from_ready_models()
(self.training_timeranges,
self.backtesting_timeranges) = self.split_timerange_live_models()
else:
@@ -118,10 +123,7 @@ class FreqaiDataKitchen:
metadata: dict = strategy furnished pair metadata
trained_timestamp: int = timestamp of most recent training
"""
self.full_path = Path(
self.config["user_data_dir"] / "models" / str(self.freqai_config.get("identifier"))
)
self.full_path = freqai_util.get_full_model_path(self.config)
self.data_path = Path(
self.full_path
/ f"sub-train-{pair.split('/')[0]}_{trained_timestamp}"
@@ -1035,11 +1037,6 @@ class FreqaiDataKitchen:
start = datetime.fromtimestamp(backtest_timerange.startts, tz=timezone.utc)
stop = datetime.fromtimestamp(backtest_timerange.stopts, tz=timezone.utc)
full_timerange = start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d")
self.full_path = Path(
self.config["user_data_dir"] / "models" / f"{self.freqai_config['identifier']}"
)
config_path = Path(self.config["config_files"][0])
if not self.full_path.is_dir():
@@ -1292,10 +1289,10 @@ class FreqaiDataKitchen:
)
return file_exists
def get_timerange_from_ready_models(self):
def set_timerange_from_ready_models(self):
backtesting_timerange, \
backtesting_string_timerange, \
pairs_end_dates = self.gen_get_timerange_from_ready_models(self.full_path)
pairs_end_dates = freqai_util.get_timerange_from_ready_models(self.full_path)
self.backtest_live_models_data = {
"backtesting_timerange": backtesting_timerange,
"backtesting_string_timerange": backtesting_string_timerange,
@@ -1303,43 +1300,53 @@ class FreqaiDataKitchen:
}
return
def gen_get_timerange_from_ready_models(self, models_path: Path):
all_models_end_dates = []
pairs_end_dates: Dict[str, Any] = {}
for model_dir in models_path.iterdir():
if str(model_dir.name).startswith("sub-train"):
model_end_date = int(model_dir.name.split("_")[1])
pair = model_dir.name.split("_")[0].replace("sub-train-", "")
model_file_name = (f"cb_{str(model_dir.name).replace('sub-train-', '').lower()}")
model_file_name = f"{model_file_name}_model.joblib"
# def get_timerange_from_ready_models(self, models_path: Path):
# all_models_end_dates = []
# pairs_end_dates: Dict[str, Any] = {}
# for model_dir in models_path.iterdir():
# if str(model_dir.name).startswith("sub-train"):
# model_end_date = int(model_dir.name.split("_")[1])
# pair = model_dir.name.split("_")[0].replace("sub-train-", "")
# model_file_name = (f"cb_{str(model_dir.name).replace('sub-train-', '').lower()}"
# "_model.joblib")
model_path_file = Path(model_dir / model_file_name)
if model_path_file.is_file():
if pair not in pairs_end_dates:
pairs_end_dates[pair] = []
# model_path_file = Path(model_dir / model_file_name)
# if model_path_file.is_file():
# if pair not in pairs_end_dates:
# pairs_end_dates[pair] = []
pairs_end_dates[pair].append({
"model_end_date": model_end_date,
"model_path_file": model_path_file,
"model_dir": model_dir
})
# pairs_end_dates[pair].append({
# "model_end_date": model_end_date,
# "model_path_file": model_path_file,
# "model_dir": model_dir
# })
if model_end_date not in all_models_end_dates:
all_models_end_dates.append(model_end_date)
# if model_end_date not in all_models_end_dates:
# all_models_end_dates.append(model_end_date)
finish_timestamp = int(datetime.now(tz=timezone.utc).timestamp())
if len(all_models_end_dates) > 1:
# After last model end date, use the same period from previous model
# to finish the backtest
all_models_end_dates.sort(reverse=True)
finish_timestamp = all_models_end_dates[0] + \
(all_models_end_dates[0] - all_models_end_dates[1])
# if len(all_models_end_dates) == 0:
# raise OperationalException(
# 'At least 1 saved model is required to '
# 'run backtesting with the backtest_live_models option'
# )
all_models_end_dates.append(finish_timestamp)
all_models_end_dates.sort()
start = datetime.fromtimestamp(min(all_models_end_dates), tz=timezone.utc)
stop = datetime.fromtimestamp(max(all_models_end_dates), tz=timezone.utc)
backtesting_string_timerange = f"{start.strftime('%Y%m%d')}-{stop.strftime('%Y%m%d')}"
backtesting_timerange = TimeRange('date', 'date', min(all_models_end_dates),
max(all_models_end_dates))
return backtesting_timerange, backtesting_string_timerange, pairs_end_dates
# if len(all_models_end_dates) == 1:
# logger.warning(f"Only 1 model was found. Backtesting will run with the "
# "timerange from the end of the training date to the current date")
# finish_timestamp = int(datetime.now(tz=timezone.utc).timestamp())
# if len(all_models_end_dates) > 1:
# # After last model end date, use the same period from previous model
# # to finish the backtest
# all_models_end_dates.sort(reverse=True)
# finish_timestamp = all_models_end_dates[0] + \
# (all_models_end_dates[0] - all_models_end_dates[1])
# all_models_end_dates.append(finish_timestamp)
# all_models_end_dates.sort()
# start = datetime.fromtimestamp(min(all_models_end_dates), tz=timezone.utc)
# stop = datetime.fromtimestamp(max(all_models_end_dates), tz=timezone.utc)
# backtesting_string_timerange = f"{start.strftime('%Y%m%d')}-{stop.strftime('%Y%m%d')}"
# backtesting_timerange = TimeRange('date', 'date', min(all_models_end_dates),
# max(all_models_end_dates))
# return backtesting_timerange, backtesting_string_timerange, pairs_end_dates