add tests. add guardrails.

tests/freqai/conftest.py

@@ -29,15 +29,16 @@ def freqai_conf(default_conf, tmpdir):
                 "enabled": True,
                 "startup_candles": 10000,
                 "purge_old_models": True,
-                "train_period_days": 5,
+                "train_period_days": 2,
                 "backtest_period_days": 2,
                 "live_retrain_hours": 0,
                 "expiration_hours": 1,
                 "identifier": "uniqe-id100",
                 "live_trained_timestamp": 0,
+                "data_kitchen_thread_count": 2,
                 "feature_parameters": {
                     "include_timeframes": ["5m"],
-                    "include_corr_pairlist": ["ADA/BTC", "DASH/BTC"],
+                    "include_corr_pairlist": ["ADA/BTC"],
                     "label_period_candles": 20,
                     "include_shifted_candles": 1,
                     "DI_threshold": 0.9,
@@ -47,7 +48,7 @@ def freqai_conf(default_conf, tmpdir):
                     "stratify_training_data": 0,
                     "indicator_periods_candles": [10],
                 },
-                "data_split_parameters": {"test_size": 0.33, "random_state": 1},
+                "data_split_parameters": {"test_size": 0.33, "shuffle": False},
                 "model_training_parameters": {"n_estimators": 100},
             },
             "config_files": [Path('config_examples', 'config_freqai.example.json')]

tests/freqai/test_freqai_datadrawer.py

@@ -90,5 +90,5 @@ def test_use_strategy_to_populate_indicators(mocker, freqai_conf):
 
     df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, 'LTC/BTC')
 
-    assert len(df.columns) == 45
+    assert len(df.columns) == 33
     shutil.rmtree(Path(freqai.dk.full_path))

tests/freqai/test_freqai_datakitchen.py

@@ -72,7 +72,7 @@ def test_use_DBSCAN_to_remove_outliers(mocker, freqai_conf, caplog):
     # freqai_conf['freqai']['feature_parameters'].update({"outlier_protection_percentage": 1})
     freqai.dk.use_DBSCAN_to_remove_outliers(predict=False)
     assert log_has_re(
-        "DBSCAN found eps of 2.36.",
+        "DBSCAN found eps of 1.75.",
         caplog,
     )
 
@@ -81,7 +81,7 @@ def test_compute_distances(mocker, freqai_conf):
     freqai = make_data_dictionary(mocker, freqai_conf)
     freqai_conf['freqai']['feature_parameters'].update({"DI_threshold": 1})
     avg_mean_dist = freqai.dk.compute_distances()
-    assert round(avg_mean_dist, 2) == 2.54
+    assert round(avg_mean_dist, 2) == 1.99
 
 
 def test_use_SVM_to_remove_outliers_and_outlier_protection(mocker, freqai_conf, caplog):
@@ -89,7 +89,7 @@ def test_use_SVM_to_remove_outliers_and_outlier_protection(mocker, freqai_conf,
     freqai_conf['freqai']['feature_parameters'].update({"outlier_protection_percentage": 0.1})
     freqai.dk.use_SVM_to_remove_outliers(predict=False)
     assert log_has_re(
-        "SVM detected 8.09%",
+        "SVM detected 7.36%",
         caplog,
     )
 
@@ -128,7 +128,7 @@ def test_normalize_data(mocker, freqai_conf):
     freqai = make_data_dictionary(mocker, freqai_conf)
     data_dict = freqai.dk.data_dictionary
     freqai.dk.normalize_data(data_dict)
-    assert len(freqai.dk.data) == 56
+    assert len(freqai.dk.data) == 32
 
 
 def test_filter_features(mocker, freqai_conf):
@@ -142,7 +142,7 @@ def test_filter_features(mocker, freqai_conf):
             training_filter=True,
     )
 
-    assert len(filtered_df.columns) == 26
+    assert len(filtered_df.columns) == 14
 
 
 def test_make_train_test_datasets(mocker, freqai_conf):

tests/freqai/test_freqai_interface.py

@@ -21,15 +21,40 @@ def is_arm() -> bool:
     'LightGBMRegressor',
     'XGBoostRegressor',
     'CatboostRegressor',
+    'ReinforcementLearner',
+    'ReinforcementLearner_multiproc'
     ])
-def test_extract_data_and_train_model_Regressors(mocker, freqai_conf, model):
+def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model):
     if is_arm() and model == 'CatboostRegressor':
         pytest.skip("CatBoost is not supported on ARM")
 
+    model_save_ext = 'joblib'
     freqai_conf.update({"freqaimodel": model})
     freqai_conf.update({"timerange": "20180110-20180130"})
     freqai_conf.update({"strategy": "freqai_test_strat"})
 
+    if 'ReinforcementLearner' in model:
+        model_save_ext = 'zip'
+        freqai_conf.update({"strategy": "freqai_rl_test_strat"})
+        freqai_conf["freqai"].update({"model_training_parameters": {
+            "learning_rate": 0.00025,
+            "gamma": 0.9,
+            "verbose": 1
+        }})
+        freqai_conf["freqai"].update({"model_save_type": 'stable_baselines'})
+        freqai_conf["freqai"]["rl_config"] = {
+            "train_cycles": 1,
+            "thread_count": 2,
+            "max_trade_duration_candles": 300,
+            "model_type": "PPO",
+            "policy_type": "MlpPolicy",
+            "max_training_drawdown_pct": 0.5,
+            "model_reward_parameters": {
+                "rr": 1,
+                "profit_aim": 0.02,
+                "win_reward_factor": 2
+            }}
+
     strategy = get_patched_freqai_strategy(mocker, freqai_conf)
     exchange = get_patched_exchange(mocker, freqai_conf)
     strategy.dp = DataProvider(freqai_conf, exchange)
@@ -42,16 +67,19 @@ def test_extract_data_and_train_model_Regressors(mocker, freqai_conf, model):
 
     freqai.dd.pair_dict = MagicMock()
 
-    data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
-    new_timerange = TimeRange.parse_timerange("20180120-20180130")
+    data_load_timerange = TimeRange.parse_timerange("20180125-20180130")
+    new_timerange = TimeRange.parse_timerange("20180127-20180130")
 
     freqai.extract_data_and_train_model(
         new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
 
-    assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file()
+    assert Path(freqai.dk.data_path /
+                f"{freqai.dk.model_filename}_model.{model_save_ext}").is_file()
     assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
     assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
-    assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
+    # if 'ReinforcementLearner' not in model:
+    #     assert Path(freqai.dk.data_path /
+    #                 f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
 
     shutil.rmtree(Path(freqai.dk.full_path))
 
@@ -91,7 +119,7 @@ def test_extract_data_and_train_model_MultiTargets(mocker, freqai_conf, model):
     assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
     assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
     assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
-    assert len(freqai.dk.data['training_features_list']) == 26
+    assert len(freqai.dk.data['training_features_list']) == 14
 
     shutil.rmtree(Path(freqai.dk.full_path))