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refactor ohlcvdata_to_dataframe to advise_all_indicators

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This commit is contained in:
Matthias 2021-08-09 14:53:18 +02:00
parent f17942b68f
commit a5f796bc97
8 changed files with 34 additions and 33 deletions
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2
freqtrade/edge/edge_positioning.py
View File

@ -151,7 +151,7 @@ class Edge:
# Fake run-mode to Edge
prior_rm = self.config['runmode']
self.config['runmode'] = RunMode.EDGE
preprocessed = self.strategy.ohlcvdata_to_dataframe(data)
preprocessed = self.strategy.advise_all_indicators(data)
self.config['runmode'] = prior_rm
# Print timeframe

5
freqtrade/optimize/backtesting.py
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@ -533,7 +533,8 @@ class Backtesting:
'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
}
def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange):
def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, DataFrame],
timerange: TimeRange):
self.progress.init_step(BacktestState.ANALYZE, 0)
logger.info("Running backtesting for Strategy %s", strat.get_strategy_name())
@ -552,7 +553,7 @@ class Backtesting:
max_open_trades = 0
# need to reprocess data every time to populate signals
preprocessed = self.strategy.ohlcvdata_to_dataframe(data)
preprocessed = self.strategy.advise_all_indicators(data)
# Trim startup period from analyzed dataframe
preprocessed_tmp = trim_dataframes(preprocessed, timerange, self.required_startup)

2
freqtrade/optimize/hyperopt.py
View File

@ -394,7 +394,7 @@ class Hyperopt:
data, timerange = self.backtesting.load_bt_data()
logger.info("Dataload complete. Calculating indicators")
preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data)
preprocessed = self.backtesting.strategy.advise_all_indicators(data)
# Trim startup period from analyzed dataframe to get correct dates for output.
processed = trim_dataframes(preprocessed, timerange, self.backtesting.required_startup)

2
freqtrade/strategy/interface.py
View File

@ -732,7 +732,7 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
return current_profit > roi
def ohlcvdata_to_dataframe(self, data: Dict[str, DataFrame]) -> Dict[str, DataFrame]:
def advise_all_indicators(self, data: Dict[str, DataFrame]) -> Dict[str, DataFrame]:
"""
Populates indicators for given candle (OHLCV) data (for multiple pairs)
Does not run advise_buy or advise_sell!

6
tests/data/test_history.py
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@ -381,7 +381,7 @@ def test_get_timerange(default_conf, mocker, testdatadir) -> None:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
data = strategy.ohlcvdata_to_dataframe(
data = strategy.advise_all_indicators(
load_data(
datadir=testdatadir,
timeframe='1m',
@ -399,7 +399,7 @@ def test_validate_backtest_data_warn(default_conf, mocker, caplog, testdatadir)
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
data = strategy.ohlcvdata_to_dataframe(
data = strategy.advise_all_indicators(
load_data(
datadir=testdatadir,
timeframe='1m',
@ -424,7 +424,7 @@ def test_validate_backtest_data(default_conf, mocker, caplog, testdatadir) -> No
strategy = StrategyResolver.load_strategy(default_conf)
timerange = TimeRange('index', 'index', 200, 250)
data = strategy.ohlcvdata_to_dataframe(
data = strategy.advise_all_indicators(
load_data(
datadir=testdatadir,
timeframe='5m',

18
tests/optimize/test_backtesting.py
View File

@ -85,7 +85,7 @@ def simple_backtest(config, contour, mocker, testdatadir) -> None:
backtesting._set_strategy(backtesting.strategylist[0])
data = load_data_test(contour, testdatadir)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
assert isinstance(processed, dict)
results = backtesting.backtest(
@ -107,7 +107,7 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
patch_exchange(mocker)
backtesting = Backtesting(conf)
backtesting._set_strategy(backtesting.strategylist[0])
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
return {
'processed': processed,
@ -289,7 +289,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
backtesting._set_strategy(backtesting.strategylist[0])
assert backtesting.config == default_conf
assert backtesting.timeframe == '5m'
assert callable(backtesting.strategy.ohlcvdata_to_dataframe)
assert callable(backtesting.strategy.advise_all_indicators)
assert callable(backtesting.strategy.advise_buy)
assert callable(backtesting.strategy.advise_sell)
assert isinstance(backtesting.strategy.dp, DataProvider)
@ -335,14 +335,14 @@ def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
fill_up_missing=True)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
processed = backtesting.strategy.advise_all_indicators(data)
assert len(processed['UNITTEST/BTC']) == 102
# Load strategy to compare the result between Backtesting function and strategy are the same
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
processed2 = strategy.ohlcvdata_to_dataframe(data)
processed2 = strategy.advise_all_indicators(data)
assert processed['UNITTEST/BTC'].equals(processed2['UNITTEST/BTC'])
@ -549,7 +549,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
timerange = TimeRange('date', None, 1517227800, 0)
data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
timerange=timerange)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
result = backtesting.backtest(
processed=processed,
@ -614,7 +614,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
timerange = TimeRange.parse_timerange('1510688220-1510700340')
data = history.load_data(datadir=testdatadir, timeframe='1m', pairs=['UNITTEST/BTC'],
timerange=timerange)
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
results = backtesting.backtest(
processed=processed,
@ -633,7 +633,7 @@ def test_processed(default_conf, mocker, testdatadir) -> None:
backtesting._set_strategy(backtesting.strategylist[0])
dict_of_tickerrows = load_data_test('raise', testdatadir)
dataframes = backtesting.strategy.ohlcvdata_to_dataframe(dict_of_tickerrows)
dataframes = backtesting.strategy.advise_all_indicators(dict_of_tickerrows)
dataframe = dataframes['UNITTEST/BTC']
cols = dataframe.columns
# assert the dataframe got some of the indicator columns
@ -782,7 +782,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
backtesting.strategy.advise_buy = _trend_alternate_hold # Override
backtesting.strategy.advise_sell = _trend_alternate_hold # Override
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
processed = backtesting.strategy.advise_all_indicators(data)
min_date, max_date = get_timerange(processed)
backtest_conf = {
'processed': processed,

24
tests/optimize/test_hyperopt.py
View File

@ -351,7 +351,7 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
del hyperopt_conf['timeframe']
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@ -426,7 +426,7 @@ def test_hyperopt_format_results(hyperopt):
def test_populate_indicators(hyperopt, testdatadir) -> None:
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data)
dataframes = hyperopt.backtesting.strategy.advise_all_indicators(data)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
@ -438,7 +438,7 @@ def test_populate_indicators(hyperopt, testdatadir) -> None:
def test_buy_strategy_generator(hyperopt, testdatadir) -> None:
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data)
dataframes = hyperopt.backtesting.strategy.advise_all_indicators(data)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
@ -463,7 +463,7 @@ def test_buy_strategy_generator(hyperopt, testdatadir) -> None:
def test_sell_strategy_generator(hyperopt, testdatadir) -> None:
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.ohlcvdata_to_dataframe(data)
dataframes = hyperopt.backtesting.strategy.advise_all_indicators(data)
dataframe = hyperopt.custom_hyperopt.populate_indicators(dataframes['UNITTEST/BTC'],
{'pair': 'UNITTEST/BTC'})
@ -660,7 +660,7 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@ -713,7 +713,7 @@ def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None:
hyperopt_conf.update({'print_json': True})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@ -761,7 +761,7 @@ def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
@ -805,7 +805,7 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non
hyperopt_conf.update({'spaces': 'roi stoploss'})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
@ -844,7 +844,7 @@ def test_simplified_interface_all_failed(mocker, hyperopt_conf) -> None:
hyperopt_conf.update({'spaces': 'all', })
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
@ -886,7 +886,7 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
hyperopt_conf.update({'spaces': 'buy'})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
# TODO: sell_strategy_generator() is actually not called because
@ -940,7 +940,7 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
hyperopt_conf.update({'spaces': 'sell', })
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
# TODO: buy_strategy_generator() is actually not called because
@ -985,7 +985,7 @@ def test_simplified_interface_failed(mocker, hyperopt_conf, method, space) -> No
hyperopt_conf.update({'spaces': space})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.ohlcvdata_to_dataframe = MagicMock()
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
delattr(hyperopt.custom_hyperopt.__class__, method)

8
tests/strategy/test_interface.py
View File

@ -228,25 +228,25 @@ def test_assert_df(ohlcv_history, caplog):
_STRATEGY.disable_dataframe_checks = False
def test_ohlcvdata_to_dataframe(default_conf, testdatadir) -> None:
def test_advise_all_indicators(default_conf, testdatadir) -> None:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
timerange = TimeRange.parse_timerange('1510694220-1510700340')
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
processed = strategy.ohlcvdata_to_dataframe(data)
processed = strategy.advise_all_indicators(data)
assert len(processed['UNITTEST/BTC']) == 102 # partial candle was removed
def test_ohlcvdata_to_dataframe_copy(mocker, default_conf, testdatadir) -> None:
def test_advise_all_indicators_copy(mocker, default_conf, testdatadir) -> None:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
aimock = mocker.patch('freqtrade.strategy.interface.IStrategy.advise_indicators')
timerange = TimeRange.parse_timerange('1510694220-1510700340')
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
fill_up_missing=True)
strategy.ohlcvdata_to_dataframe(data)
strategy.advise_all_indicators(data)
assert aimock.call_count == 1
# Ensure that a copy of the dataframe is passed to advice_indicators
assert aimock.call_args_list[0][0][0] is not data