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update backtesting to handle new output framework

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This commit is contained in:
robcaulk
2022-07-03 17:34:44 +02:00
parent 8ac8d53c32
commit bd3a6ba2fe
2 changed files with 56 additions and 28 deletions
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75
freqtrade/freqai/data_kitchen.py
View File

@@ -48,15 +48,17 @@ class FreqaiDataKitchen:
self.data_dictionary: Dict[Any, Any] = {}
self.config = config
self.freqai_config = config["freqai"]
self.predictions: npt.ArrayLike = np.array([])
self.do_predict: npt.ArrayLike = np.array([])
self.target_mean: npt.ArrayLike = np.array([])
self.target_std: npt.ArrayLike = np.array([])
self.full_predictions: npt.ArrayLike = np.array([])
self.full_do_predict: npt.ArrayLike = np.array([])
self.full_DI_values: npt.ArrayLike = np.array([])
self.full_target_mean: npt.ArrayLike = np.array([])
self.full_target_std: npt.ArrayLike = np.array([])
# self.predictions: npt.ArrayLike = np.array([])
# self.do_predict: npt.ArrayLike = np.array([])
# self.target_mean: npt.ArrayLike = np.array([])
# self.target_std: npt.ArrayLike = np.array([])
# self.full_predictions: npt.ArrayLike = np.array([])
# self.full_do_predict: npt.ArrayLike = np.array([])
# self.full_DI_values: npt.ArrayLike = np.array([])
# self.full_target_mean: npt.ArrayLike = np.array([])
# self.full_target_std: npt.ArrayLike = np.array([])
self.full_df: DataFrame = DataFrame()
self.append_df: DataFrame = DataFrame()
self.data_path = Path()
self.label_list: List = []
self.model_filename: str = ""
@@ -716,31 +718,56 @@ class FreqaiDataKitchen:
Append backtest prediction from current backtest period to all previous periods
"""
ones = np.ones(len(predictions))
target_mean, target_std = ones * self.data["target_mean"], ones * self.data["target_std"]
# ones = np.ones(len(predictions))
# target_mean, target_std = ones * self.data["target_mean"], ones * self.data["target_std"]
self.append_df = DataFrame()
for label in self.label_list:
self.append_df[label] = predictions[label]
self.append_df[f"{label}_mean"] = self.data["labels_mean"][label]
self.append_df[f"{label}_std"] = self.data["labels_std"][label]
self.full_predictions = np.append(self.full_predictions, predictions)
self.full_do_predict = np.append(self.full_do_predict, do_predict)
self.append_df["do_predict"] = do_predict
if self.freqai_config.get("feature_parameters", {}).get("DI_threshold", 0) > 0:
self.full_DI_values = np.append(self.full_DI_values, self.DI_values)
self.full_target_mean = np.append(self.full_target_mean, target_mean)
self.full_target_std = np.append(self.full_target_std, target_std)
self.append_df["DI_values"] = self.DI_values
if self.full_df.empty:
self.full_df = self.append_df
else:
self.full_df = pd.concat([self.full_df, self.append_df], axis=0)
# self.full_predictions = np.append(self.full_predictions, predictions)
# self.full_do_predict = np.append(self.full_do_predict, do_predict)
# if self.freqai_config.get("feature_parameters", {}).get("DI_threshold", 0) > 0:
# self.full_DI_values = np.append(self.full_DI_values, self.DI_values)
# self.full_target_mean = np.append(self.full_target_mean, target_mean)
# self.full_target_std = np.append(self.full_target_std, target_std)
return
def fill_predictions(self, len_dataframe):
def fill_predictions(self, dataframe):
"""
Back fill values to before the backtesting range so that the dataframe matches size
when it goes back to the strategy. These rows are not included in the backtest.
"""
filler = np.zeros(len_dataframe - len(self.full_predictions)) # startup_candle_count
self.full_predictions = np.append(filler, self.full_predictions)
self.full_do_predict = np.append(filler, self.full_do_predict)
if self.freqai_config.get("feature_parameters", {}).get("DI_threshold", 0) > 0:
self.full_DI_values = np.append(filler, self.full_DI_values)
self.full_target_mean = np.append(filler, self.full_target_mean)
self.full_target_std = np.append(filler, self.full_target_std)
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)
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.append_df = DataFrame()
self.full_df = DataFrame()
# self.full_predictions = np.append(filler, self.full_predictions)
# self.full_do_predict = np.append(filler, self.full_do_predict)
# if self.freqai_config.get("feature_parameters", {}).get("DI_threshold", 0) > 0:
# self.full_DI_values = np.append(filler, self.full_DI_values)
# self.full_target_mean = np.append(filler, self.full_target_mean)
# self.full_target_std = np.append(filler, self.full_target_std)
return

9
freqtrade/freqai/freqai_interface.py
View File

@@ -201,6 +201,7 @@ class IFreqaiModel(ABC):
if not self.model_exists(
metadata["pair"], dk, trained_timestamp=trained_timestamp.stopts
):
dk.find_features(dataframe_train)
self.model = self.train(dataframe_train, metadata["pair"], dk)
self.dd.pair_dict[metadata["pair"]]["trained_timestamp"] = trained_timestamp.stopts
dk.set_new_model_names(metadata["pair"], trained_timestamp)
@@ -210,12 +211,12 @@ class IFreqaiModel(ABC):
self.check_if_feature_list_matches_strategy(dataframe_train, dk)
preds, do_preds = self.predict(dataframe_backtest, dk)
pred_df, do_preds = self.predict(dataframe_backtest, dk)
dk.append_predictions(preds, do_preds, len(dataframe_backtest))
print("predictions", len(dk.full_predictions), "do_predict", len(dk.full_do_predict))
dk.append_predictions(pred_df, do_preds, len(dataframe_backtest))
# print("predictions", len(dk.full_predictions), "do_predict", len(dk.full_do_predict))
dk.fill_predictions(len(dataframe))
dk.fill_predictions(dataframe)
return dk