Docs: Mention Performance Warning for strategies

Related to #5408
This commit is contained in:
LoveIsGrief 2021-08-28 19:39:50 +02:00
parent 19b3e8a8c5
commit c17595b314
No known key found for this signature in database
GPG Key ID: E96D1EDFA05345EB

View File

@ -781,6 +781,8 @@ Printing more than a few rows is also possible (simply use `print(dataframe)` i
## Common mistakes when developing strategies
### Peeking into the future while backtesting
Backtesting analyzes the whole time-range at once for performance reasons. Because of this, strategy authors need to make sure that strategies do not look-ahead into the future.
This is a common pain-point, which can cause huge differences between backtesting and dry/live run methods, since they all use data which is not available during dry/live runs, so these strategies will perform well during backtesting, but will fail / perform badly in real conditions.
@ -791,6 +793,33 @@ The following lists some common patterns which should be avoided to prevent frus
- don't use `dataframe['volume'].mean()`. This uses the full DataFrame for backtesting, including data from the future. Use `dataframe['volume'].rolling(<window>).mean()` instead
- don't use `.resample('1h')`. This uses the left border of the interval, so moves data from an hour to the start of the hour. Use `.resample('1h', label='right')` instead.
### Performance warning
When executing a strategy, one can sometimes be greeted by the following in the logs
> PerformanceWarning: DataFrame is highly fragmented.
This is a warning from [`pandas`](https://github.com/pandas-dev/pandas) and as the warning continues to say:
use `pd.concat(axis=1)`. For example
```python
for i in range(100):
dataframe[i] = ta.indicator(dataframe, param=i)
```
should be rewritten to
```python
frames = [dataframe]
for i in range(100):
frames.append({
str(i): ta.indicator(dataframe, param=i)
})
# Append columns to existing dataframe
merged_frame = pd.concat(frames, axis=1)
```
## Further strategy ideas
To get additional Ideas for strategies, head over to our [strategy repository](https://github.com/freqtrade/freqtrade-strategies). Feel free to use them as they are - but results will depend on the current market situation, pairs used etc. - therefore please backtest the strategy for your exchange/desired pairs first, evaluate carefully, use at your own risk.