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deprecate indicator_max_period_candles, automatically compute startup candles for FreqAI backtesting.

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robcaulk
2022-08-22 18:19:07 +02:00
parent 88dd9920ea
commit ac42c0153d
10 changed files with 61 additions and 38 deletions
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33
freqtrade/optimize/backtesting.py
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@@ -211,21 +211,21 @@ class Backtesting:
"""
self.progress.init_step(BacktestState.DATALOAD, 1)
if self.config.get('freqai', {}).get('enabled', False):
startup_candles = int(self.config.get('freqai', {}).get('startup_candles', 0))
if not startup_candles:
raise OperationalException('FreqAI backtesting module requires user set '
'startup_candles in config.')
self.required_startup += int(self.config.get('freqai', {}).get('startup_candles', 0))
logger.info(f'Increasing startup_candle_count for freqai to {self.required_startup}')
self.config['startup_candle_count'] = self.required_startup
# if self.config.get('freqai', {}).get('enabled', False):
# startup_candles = int(self.config.get('freqai', {}).get('startup_candles', 0))
# if not startup_candles:
# raise OperationalException('FreqAI backtesting module requires user set '
# 'startup_candles in config.')
# self.required_startup += int(self.config.get('freqai', {}).get('startup_candles', 0))
# logger.info(f'Increasing startup_candle_count for freqai to {self.required_startup}')
# self.config['startup_candle_count'] = self.required_startup
data = history.load_data(
datadir=self.config['datadir'],
pairs=self.pairlists.whitelist,
timeframe=self.timeframe,
timerange=self.timerange,
startup_candles=self.required_startup,
startup_candles=self.get_required_startup(self.timeframe),
fail_without_data=True,
data_format=self.config.get('dataformat_ohlcv', 'json'),
candle_type=self.config.get('candle_type_def', CandleType.SPOT)
@@ -244,6 +244,21 @@ class Backtesting:
self.progress.set_new_value(1)
return data, self.timerange
def get_required_startup(self, timeframe: str) -> int:
if not self.config['freqai']['enabled']:
return self.required_startup
else:
if not self.config['startup_candle_count']:
raise OperationalException('FreqAI backtesting module requires strategy '
'set startup_candle_count.')
tf_seconds = timeframe_to_seconds(timeframe)
train_candles = self.config['freqai']['train_period_days'] * 86400 / tf_seconds
# multiplied by safety factor of 2 because FreqAI users
# typically do not know the correct window.
total_candles = self.required_startup * 2 + train_candles
logger.info(f'Increasing startup_candle_count for freqai to {total_candles}')
return total_candles
def load_bt_data_detail(self) -> None:
"""
Loads backtest detail data (smaller timeframe) if necessary.