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save predictions with date and merge by date

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This commit is contained in:
Wagner Costa Santos 2022-11-08 10:32:18 -03:00
parent d59b3e2359
commit 9c5ba0732a
2 changed files with 16 additions and 9 deletions
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23
freqtrade/freqai/data_kitchen.py
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@ -979,7 +979,8 @@ class FreqaiDataKitchen:
return weights
def get_predictions_to_append(self, predictions: DataFrame,
do_predict: npt.ArrayLike) -> DataFrame:
do_predict: npt.ArrayLike,
dataframe_backtest: DataFrame) -> DataFrame:
"""
Get backtest prediction from current backtest period
"""
@ -1001,7 +1002,9 @@ class FreqaiDataKitchen:
if self.freqai_config["feature_parameters"].get("DI_threshold", 0) > 0:
append_df["DI_values"] = self.DI_values
return append_df
dataframe_backtest.reset_index(drop=True, inplace=True)
merged_df = pd.concat([dataframe_backtest["date"], append_df], axis=1)
return merged_df
def append_predictions(self, append_df: DataFrame) -> None:
"""
@ -1019,15 +1022,19 @@ class FreqaiDataKitchen:
when it goes back to the strategy. These rows are not included in the backtest.
"""
len_filler = len(dataframe) - len(self.full_df.index) # startup_candle_count
filler_df = pd.DataFrame(
np.zeros((len_filler, len(self.full_df.columns))), columns=self.full_df.columns
)
# len_filler = len(dataframe) - len(self.full_df.index) # startup_candle_count
# filler_df = pd.DataFrame(
# np.zeros((len_filler, len(self.full_df.columns))), columns=self.full_df.columns
# )
self.full_df = pd.concat([filler_df, self.full_df], axis=0, ignore_index=True)
# self.full_df = pd.concat([filler_df, self.full_df], axis=0, ignore_index=True)
to_keep = [col for col in dataframe.columns if not col.startswith("&")]
self.return_dataframe = pd.concat([dataframe[to_keep], self.full_df], axis=1)
# self.return_dataframe = pd.concat([dataframe[to_keep], self.full_df], axis=1)
# self.full_df = DataFrame()
self.return_dataframe = pd.merge(dataframe[to_keep],
self.full_df, how='left', on='date')
self.full_df = DataFrame()
return

2
freqtrade/freqai/freqai_interface.py
View File

@ -301,7 +301,7 @@ class IFreqaiModel(ABC):
self.model = self.dd.load_data(pair, dk)
pred_df, do_preds = self.predict(dataframe_backtest, dk)
append_df = dk.get_predictions_to_append(pred_df, do_preds)
append_df = dk.get_predictions_to_append(pred_df, do_preds, dataframe_backtest)
dk.append_predictions(append_df)
dk.save_backtesting_prediction(append_df)