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add more tests for datakitchen functionalities, add regression tests for freqai_interface train/backtest

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This commit is contained in:
robcaulk
2022-07-20 12:56:46 +02:00
parent 9c051958a6
commit d43c146676
7 changed files with 415 additions and 119 deletions
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61
tests/freqai/conftest.py
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@@ -2,9 +2,12 @@ from copy import deepcopy
from pathlib import Path
from unittest.mock import MagicMock
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.resolvers import StrategyResolver
from freqtrade.resolvers.freqaimodel_resolver import FreqaiModelResolver
from tests.conftest import get_patched_exchange
# @pytest.fixture(scope="function")
@@ -21,16 +24,17 @@ def freqai_conf(default_conf):
"freqai": {
"startup_candles": 10000,
"purge_old_models": True,
"train_period_days": 15,
"backtest_period_days": 7,
"train_period_days": 5,
"backtest_period_days": 2,
"live_retrain_hours": 0,
"identifier": "uniqe-id7",
"expiration_hours": 1,
"identifier": "uniqe-id100",
"live_trained_timestamp": 0,
"feature_parameters": {
"include_timeframes": ["5m"],
"include_corr_pairlist": ["ADA/BTC", "DASH/BTC"],
"label_period_candles": 20,
"include_shifted_candles": 2,
"include_shifted_candles": 1,
"DI_threshold": 0.9,
"weight_factor": 0.9,
"principal_component_analysis": False,
@@ -40,7 +44,7 @@ def freqai_conf(default_conf):
"indicator_periods_candles": [10],
},
"data_split_parameters": {"test_size": 0.33, "random_state": 1},
"model_training_parameters": {"n_estimators": 1000, "task_type": "CPU"},
"model_training_parameters": {"n_estimators": 100},
},
"config_files": [Path('config_examples', 'config_freqai_futures.example.json')]
}
@@ -55,7 +59,7 @@ def get_patched_data_kitchen(mocker, freqaiconf):
return dk
def get_patched_strategy(mocker, freqaiconf):
def get_patched_freqai_strategy(mocker, freqaiconf):
strategy = StrategyResolver.load_strategy(freqaiconf)
strategy.bot_start()
@@ -66,3 +70,48 @@ def get_patched_freqaimodel(mocker, freqaiconf):
freqaimodel = FreqaiModelResolver.load_freqaimodel(freqaiconf)
return freqaimodel
def get_freqai_live_analyzed_dataframe(mocker, freqaiconf):
strategy = get_patched_freqai_strategy(mocker, freqaiconf)
exchange = get_patched_exchange(mocker, freqaiconf)
strategy.dp = DataProvider(freqaiconf, exchange)
freqai = strategy.model.bridge
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqaiconf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
strategy.analyze_pair('ADA/BTC', '5m')
return strategy.dp.get_analyzed_dataframe('ADA/BTC', '5m')
def get_freqai_analyzed_dataframe(mocker, freqaiconf):
strategy = get_patched_freqai_strategy(mocker, freqaiconf)
exchange = get_patched_exchange(mocker, freqaiconf)
strategy.dp = DataProvider(freqaiconf, exchange)
strategy.freqai_info = freqaiconf.get("freqai", {})
freqai = strategy.model.bridge
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqaiconf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
return freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, 'LTC/BTC')
def get_ready_to_train(mocker, freqaiconf):
strategy = get_patched_freqai_strategy(mocker, freqaiconf)
exchange = get_patched_exchange(mocker, freqaiconf)
strategy.dp = DataProvider(freqaiconf, exchange)
strategy.freqai_info = freqaiconf.get("freqai", {})
freqai = strategy.model.bridge
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqaiconf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
return corr_df, base_df, freqai, strategy