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Merge pull request #8388 from freqtrade/patch-pair-colon-bug

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Bug fix: FreqAI backtest target setting
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Matthias 2023-04-08 14:16:41 +02:00 committed by GitHub
commit 9c2cdd4fb9
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6 changed files with 29 additions and 8 deletions
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6
freqtrade/freqai/data_kitchen.py
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@ -1291,7 +1291,7 @@ class FreqaiDataKitchen:
return dataframe return dataframe
def use_strategy_to_populate_indicators( def use_strategy_to_populate_indicators( # noqa: C901
self, self,
strategy: IStrategy, strategy: IStrategy,
corr_dataframes: dict = {}, corr_dataframes: dict = {},
@ -1362,12 +1362,12 @@ class FreqaiDataKitchen:
dataframe = self.populate_features(dataframe.copy(), corr_pair, strategy, dataframe = self.populate_features(dataframe.copy(), corr_pair, strategy,
corr_dataframes, base_dataframes, True) corr_dataframes, base_dataframes, True)
if self.live:
dataframe = strategy.set_freqai_targets(dataframe.copy(), metadata=metadata) dataframe = strategy.set_freqai_targets(dataframe.copy(), metadata=metadata)
dataframe = self.remove_special_chars_from_feature_names(dataframe)
self.get_unique_classes_from_labels(dataframe) self.get_unique_classes_from_labels(dataframe)
dataframe = self.remove_special_chars_from_feature_names(dataframe)
if self.config.get('reduce_df_footprint', False): if self.config.get('reduce_df_footprint', False):
dataframe = reduce_dataframe_footprint(dataframe) dataframe = reduce_dataframe_footprint(dataframe)

8
freqtrade/freqai/freqai_interface.py
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@ -306,7 +306,7 @@ class IFreqaiModel(ABC):
if check_features: if check_features:
self.dd.load_metadata(dk) self.dd.load_metadata(dk)
dataframe_dummy_features = self.dk.use_strategy_to_populate_indicators( dataframe_dummy_features = self.dk.use_strategy_to_populate_indicators(
strategy, prediction_dataframe=dataframe.tail(1), pair=metadata["pair"] strategy, prediction_dataframe=dataframe.tail(1), pair=pair
) )
dk.find_features(dataframe_dummy_features) dk.find_features(dataframe_dummy_features)
self.check_if_feature_list_matches_strategy(dk) self.check_if_feature_list_matches_strategy(dk)
@ -316,7 +316,7 @@ class IFreqaiModel(ABC):
else: else:
if populate_indicators: if populate_indicators:
dataframe = self.dk.use_strategy_to_populate_indicators( dataframe = self.dk.use_strategy_to_populate_indicators(
strategy, prediction_dataframe=dataframe, pair=metadata["pair"] strategy, prediction_dataframe=dataframe, pair=pair
) )
populate_indicators = False populate_indicators = False
@ -332,6 +332,10 @@ class IFreqaiModel(ABC):
dataframe_train = dk.slice_dataframe(tr_train, dataframe_base_train) dataframe_train = dk.slice_dataframe(tr_train, dataframe_base_train)
dataframe_backtest = dk.slice_dataframe(tr_backtest, dataframe_base_backtest) dataframe_backtest = dk.slice_dataframe(tr_backtest, dataframe_base_backtest)
dataframe_train = dk.remove_special_chars_from_feature_names(dataframe_train)
dataframe_backtest = dk.remove_special_chars_from_feature_names(dataframe_backtest)
dk.get_unique_classes_from_labels(dataframe_train)
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)

2
tests/freqai/conftest.py
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@ -119,6 +119,7 @@ def make_unfiltered_dataframe(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
freqai.dk.pair = "ADA/BTC" freqai.dk.pair = "ADA/BTC"
data_load_timerange = TimeRange.parse_timerange("20180110-20180130") data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(data_load_timerange, freqai.dk) freqai.dd.load_all_pair_histories(data_load_timerange, freqai.dk)
@ -152,6 +153,7 @@ def make_data_dictionary(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
freqai.dk.pair = "ADA/BTC" freqai.dk.pair = "ADA/BTC"
data_load_timerange = TimeRange.parse_timerange("20180110-20180130") data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(data_load_timerange, freqai.dk) freqai.dd.load_all_pair_histories(data_load_timerange, freqai.dk)

7
tests/freqai/test_freqai_datadrawer.py
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@ -19,6 +19,7 @@ def test_update_historic_data(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180114") timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
@ -41,6 +42,7 @@ def test_load_all_pairs_histories(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180114") timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
@ -60,6 +62,7 @@ def test_get_base_and_corr_dataframes(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180114") timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180111-20180114") sub_timerange = TimeRange.parse_timerange("20180111-20180114")
@ -87,6 +90,7 @@ def test_use_strategy_to_populate_indicators(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180114") timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180111-20180114") sub_timerange = TimeRange.parse_timerange("20180111-20180114")
@ -103,8 +107,9 @@ def test_get_timerange_from_live_historic_predictions(mocker, freqai_conf):
exchange = get_patched_exchange(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange) strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = False
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = False
timerange = TimeRange.parse_timerange("20180126-20180130") timerange = TimeRange.parse_timerange("20180126-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180128-20180130") sub_timerange = TimeRange.parse_timerange("20180128-20180130")

1
tests/freqai/test_freqai_datakitchen.py
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@ -180,6 +180,7 @@ def test_get_full_model_path(mocker, freqai_conf, model):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)

11
tests/freqai/test_freqai_interface.py
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@ -87,6 +87,7 @@ def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model, pca,
freqai.live = True freqai.live = True
freqai.can_short = can_short freqai.can_short = can_short
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
freqai.dk.set_paths('ADA/BTC', 10000) freqai.dk.set_paths('ADA/BTC', 10000)
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
@ -135,6 +136,7 @@ def test_extract_data_and_train_model_MultiTargets(mocker, freqai_conf, model, s
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
@ -178,6 +180,7 @@ def test_extract_data_and_train_model_Classifiers(mocker, freqai_conf, model):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
@ -371,6 +374,9 @@ def test_backtesting_fit_live_predictions(mocker, freqai_conf, caplog):
sub_timerange = TimeRange.parse_timerange("20180129-20180130") sub_timerange = TimeRange.parse_timerange("20180129-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC") df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
df = strategy.set_freqai_targets(df.copy(), metadata={"pair": "LTC/BTC"})
df = freqai.dk.remove_special_chars_from_feature_names(df)
freqai.dk.get_unique_classes_from_labels(df)
freqai.dk.pair = "ADA/BTC" freqai.dk.pair = "ADA/BTC"
freqai.dk.full_df = df.fillna(0) freqai.dk.full_df = df.fillna(0)
freqai.dk.full_df freqai.dk.full_df
@ -394,6 +400,7 @@ def test_principal_component_analysis(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
@ -425,10 +432,12 @@ def test_plot_feature_importance(mocker, freqai_conf):
freqai = strategy.freqai freqai = strategy.freqai
freqai.live = True freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.live = True
timerange = TimeRange.parse_timerange("20180110-20180130") timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock() freqai.dd.pair_dict = {"ADA/BTC": {"model_filename": "fake_name",
"trained_timestamp": 1, "data_path": "", "extras": {}}}
data_load_timerange = TimeRange.parse_timerange("20180110-20180130") data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130") new_timerange = TimeRange.parse_timerange("20180120-20180130")