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pr review - refactoring backtesting freqai

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This commit is contained in:
Wagner Costa Santos 2022-08-31 15:36:29 -03:00
parent df51da22ee
commit 7bed0450d2
3 changed files with 24 additions and 15 deletions
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19
freqtrade/freqai/data_kitchen.py
View File

@ -1,7 +1,6 @@
import copy
import datetime
import logging
import os
import shutil
from pathlib import Path
from typing import Any, Dict, List, Tuple
@ -1108,15 +1107,25 @@ class FreqaiDataKitchen:
:param file_name: h5 file name
:param root_folder: folder to save h5 file
"""
os.makedirs(root_folder, exist_ok=True)
append_df.to_hdf(file_name, key='append_df', mode='w')
backtesting_root = Path(
self.full_path
/ root_folder
)
if not backtesting_root.is_dir():
backtesting_root.mkdir(parents=True, exist_ok=True)
def get_backtesting_prediction(self, prediction_file_name: str) -> DataFrame:
full_file_path = Path(self.full_path / root_folder / file_name)
append_df.to_hdf(full_file_path, key='append_df', mode='w')
def get_backtesting_prediction(
self, root_prediction: str, prediction_file_name: str
) -> DataFrame:
"""
Retrive from disk the prediction dataframe
:param prediction_file_name: prediction file full path
:return:
:Dataframe: Backtesting prediction from current backtesting period
"""
append_df = pd.read_hdf(prediction_file_name)
prediction_path = Path(self.full_path / root_prediction / prediction_file_name)
append_df = pd.read_hdf(prediction_path)
return append_df

12
freqtrade/freqai/freqai_interface.py
View File

@ -234,12 +234,12 @@ class IFreqaiModel(ABC):
if self.backtest_prediction_exists(
metadata["pair"], dk, trained_timestamp=trained_timestamp_int
):
prediction_filename, _ = self.get_backtesting_prediction_file_name(
prediction_filename, root_prediction = self.get_backtesting_prediction_file_name(
metadata["pair"],
dk,
trained_timestamp=int(trained_timestamp.stopts))
append_df = dk.get_backtesting_prediction(prediction_filename)
append_df = dk.get_backtesting_prediction(root_prediction, prediction_filename)
dk.append_predictions(append_df)
else:
if not self.model_exists(
@ -680,10 +680,10 @@ class IFreqaiModel(ABC):
:boolean: whether the prediction file exists or not.
"""
if not self.live:
prediction_file_name, _ = self.get_backtesting_prediction_file_name(
prediction_file_name, root_prediction = self.get_backtesting_prediction_file_name(
pair, dk, trained_timestamp
)
path_to_predictionfile = Path(prediction_file_name)
path_to_predictionfile = Path(dk.full_path / root_prediction / prediction_file_name)
file_exists = path_to_predictionfile.is_file()
if file_exists and not scanning:
@ -711,8 +711,8 @@ class IFreqaiModel(ABC):
"""
coin, _ = pair.split("/")
prediction_base_filename = f"{coin.lower()}_{trained_timestamp}"
root_prediction = f'{dk.full_path}/backtesting_predictions'
prediction_file_name = f"{root_prediction}/{prediction_base_filename}_predictions.h5"
root_prediction = 'backtesting_predictions'
prediction_file_name = f"{prediction_base_filename}_predictions.h5"
return prediction_file_name, root_prediction
# Following methods which are overridden by user made prediction models.

8
tests/freqai/test_freqai_interface.py
View File

@ -192,7 +192,7 @@ def test_start_backtesting(mocker, freqai_conf):
freqai.start_backtesting(df, metadata, freqai.dk)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 5
assert len(model_folders) == 6
shutil.rmtree(Path(freqai.dk.full_path))
@ -217,7 +217,7 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 8
assert len(model_folders) == 9
shutil.rmtree(Path(freqai.dk.full_path))
@ -242,7 +242,7 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
freqai.start_backtesting(df, metadata, freqai.dk)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 5
assert len(model_folders) == 6
# without deleting the exiting folder structure, re-run
@ -263,7 +263,7 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
freqai.start_backtesting(df, metadata, freqai.dk)
assert log_has_re(
"Found model at ",
"Found backtesting prediction ",
caplog,
)