fix issue with freqai backtesting at slice dataframe

This commit is contained in:
Wagner Costa Santos
2022-09-04 16:55:47 -03:00
committed by Robert Caulk
parent 956ea43e55
commit d43ed186fc
2 changed files with 17 additions and 2 deletions

View File

@@ -458,6 +458,21 @@ class FreqaiDataKitchen:
return df
def slice_dataframe_backtesting(self, timerange: TimeRange, df: DataFrame) -> DataFrame:
"""
Given a full dataframe, extract the user desired window
:param tr: timerange string that we wish to extract from df
:param df: Dataframe containing all candles to run the entire backtest. Here
it is sliced down to just the present training period.
"""
start = datetime.datetime.fromtimestamp(timerange.startts, tz=datetime.timezone.utc)
stop = datetime.datetime.fromtimestamp(timerange.stopts, tz=datetime.timezone.utc)
df = df.loc[df["date"] >= start, :]
df = df.loc[df["date"] < stop, :]
return df
def principal_component_analysis(self) -> None:
"""
Performs Principal Component Analysis on the data for dimensionality reduction