Use joblib instead of pickle, add signal candle read/write test, move docs to new Advanced Backtesting doc

freqtrade/misc.py

@@ -4,7 +4,6 @@ Various tool function for Freqtrade and scripts
 import gzip
 import hashlib
 import logging
-import pickle
 import re
 from copy import deepcopy
 from datetime import datetime
@@ -13,6 +12,7 @@ from typing import Any, Iterator, List, Union
 from typing.io import IO
 from urllib.parse import urlparse
 
+import joblib
 import rapidjson
 
 from freqtrade.constants import DECIMAL_PER_COIN_FALLBACK, DECIMALS_PER_COIN
@@ -87,7 +87,7 @@ def file_dump_json(filename: Path, data: Any, is_zip: bool = False, log: bool =
     logger.debug(f'done json to "{filename}"')
 
 
-def file_dump_pickle(filename: Path, data: Any, log: bool = True) -> None:
+def file_dump_joblib(filename: Path, data: Any, log: bool = True) -> None:
     """
     Dump object data into a file
     :param filename: file to create
@@ -96,10 +96,10 @@ def file_dump_pickle(filename: Path, data: Any, log: bool = True) -> None:
     """
 
     if log:
-        logger.info(f'dumping pickle to "{filename}"')
+        logger.info(f'dumping joblib to "{filename}"')
     with open(filename, 'wb') as fp:
-        pickle.dump(data, fp)
-    logger.debug(f'done pickling to "{filename}"')
+        joblib.dump(data, fp)
+    logger.debug(f'done joblib dump to "{filename}"')
 
 
 def json_load(datafile: IO) -> Any:

freqtrade/optimize/optimize_reports.py

@@ -11,7 +11,7 @@ from tabulate import tabulate
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN, UNLIMITED_STAKE_AMOUNT
 from freqtrade.data.btanalysis import (calculate_csum, calculate_market_change,
                                        calculate_max_drawdown)
-from freqtrade.misc import (decimals_per_coin, file_dump_json, file_dump_pickle,
+from freqtrade.misc import (decimals_per_coin, file_dump_joblib, file_dump_json,
                             get_backtest_metadata_filename, round_coin_value)
 
 
@@ -45,7 +45,7 @@ def store_backtest_stats(recordfilename: Path, stats: Dict[str, DataFrame]) -> N
     file_dump_json(latest_filename, {'latest_backtest': str(filename.name)})
 
 
-def store_backtest_signal_candles(recordfilename: Path, candles: Dict[str, Dict]) -> None:
+def store_backtest_signal_candles(recordfilename: Path, candles: Dict[str, Dict]) -> Path:
     """
     Stores backtest trade signal candles
     :param recordfilename: Path object, which can either be a filename or a directory.
@@ -63,7 +63,9 @@ def store_backtest_signal_candles(recordfilename: Path, candles: Dict[str, Dict]
             f'{recordfilename.stem}-{datetime.now().strftime("%Y-%m-%d_%H-%M-%S")}_signals.pkl'
         )
 
-    file_dump_pickle(filename, candles)
+    file_dump_joblib(filename, candles)
+
+    return filename
 
 
 def _get_line_floatfmt(stake_currency: str) -> List[str]: