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performance improvevemnts - backtest freqai from saved predictions

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This commit is contained in:
Wagner Costa 2022-12-01 12:53:19 -03:00
parent 95651fcd5a
commit 77dc2c92a7
2 changed files with 13 additions and 11 deletions
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6
freqtrade/freqai/data_kitchen.py
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@ -462,10 +462,10 @@ class FreqaiDataKitchen:
:param df: Dataframe containing all candles to run the entire backtest. Here :param df: Dataframe containing all candles to run the entire backtest. Here
it is sliced down to just the present training period. it is sliced down to just the present training period.
""" """
df = df.loc[df["date"] >= timerange.startdt, :]
if not self.live: if not self.live:
df = df.loc[df["date"] < timerange.stopdt, :] df = df.loc[(df["date"] >= timerange.startdt) & (df["date"] < timerange.stopdt), :]
else:
df = df.loc[df["date"] >= timerange.startdt, :]
return df return df

18
freqtrade/freqai/freqai_interface.py
View File

@ -282,10 +282,10 @@ class IFreqaiModel(ABC):
train_it += 1 train_it += 1
total_trains = len(dk.backtesting_timeranges) total_trains = len(dk.backtesting_timeranges)
self.training_timerange = tr_train self.training_timerange = tr_train
dataframe_train = dk.slice_dataframe(tr_train, dataframe) len_backtest_df = len(dataframe.loc[(dataframe["date"] >= tr_backtest.startdt) & (
dataframe_backtest = dk.slice_dataframe(tr_backtest, dataframe) dataframe["date"] < tr_backtest.stopdt), :])
if not self.ensure_data_exists(dataframe_backtest, tr_backtest, pair): if not self.ensure_data_exists(len_backtest_df, tr_backtest, pair):
continue continue
self.log_backtesting_progress(tr_train, pair, train_it, total_trains) self.log_backtesting_progress(tr_train, pair, train_it, total_trains)
@ -298,13 +298,15 @@ class IFreqaiModel(ABC):
dk.set_new_model_names(pair, timestamp_model_id) dk.set_new_model_names(pair, timestamp_model_id)
if dk.check_if_backtest_prediction_is_valid(len(dataframe_backtest)): if dk.check_if_backtest_prediction_is_valid(len_backtest_df):
self.dd.load_metadata(dk) self.dd.load_metadata(dk)
dk.find_features(dataframe_train) dk.find_features(dataframe)
self.check_if_feature_list_matches_strategy(dk) self.check_if_feature_list_matches_strategy(dk)
append_df = dk.get_backtesting_prediction() append_df = dk.get_backtesting_prediction()
dk.append_predictions(append_df) dk.append_predictions(append_df)
else: else:
dataframe_train = dk.slice_dataframe(tr_train, dataframe)
dataframe_backtest = dk.slice_dataframe(tr_backtest, dataframe)
if not self.model_exists(dk): if not self.model_exists(dk):
dk.find_features(dataframe_train) dk.find_features(dataframe_train)
dk.find_labels(dataframe_train) dk.find_labels(dataframe_train)
@ -804,16 +806,16 @@ class IFreqaiModel(ABC):
self.pair_it = 1 self.pair_it = 1
self.current_candle = self.dd.current_candle self.current_candle = self.dd.current_candle
def ensure_data_exists(self, dataframe_backtest: DataFrame, def ensure_data_exists(self, len_dataframe_backtest: int,
tr_backtest: TimeRange, pair: str) -> bool: tr_backtest: TimeRange, pair: str) -> bool:
""" """
Check if the dataframe is empty, if not, report useful information to user. Check if the dataframe is empty, if not, report useful information to user.
:param dataframe_backtest: the backtesting dataframe, maybe empty. :param len_dataframe_backtest: the len of backtesting dataframe
:param tr_backtest: current backtesting timerange. :param tr_backtest: current backtesting timerange.
:param pair: current pair :param pair: current pair
:return: if the data exists or not :return: if the data exists or not
""" """
if self.config.get("freqai_backtest_live_models", False) and len(dataframe_backtest) == 0: if self.config.get("freqai_backtest_live_models", False) and len_dataframe_backtest == 0:
logger.info(f"No data found for pair {pair} from " logger.info(f"No data found for pair {pair} from "
f"from { tr_backtest.start_fmt} to {tr_backtest.stop_fmt}. " f"from { tr_backtest.start_fmt} to {tr_backtest.stop_fmt}. "
"Probably more than one training within the same candle period.") "Probably more than one training within the same candle period.")