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fix issue with freqai backtesting at slice dataframe

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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
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15
freqtrade/freqai/data_kitchen.py
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@ -458,6 +458,21 @@ class FreqaiDataKitchen:
return df 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: def principal_component_analysis(self) -> None:
""" """
Performs Principal Component Analysis on the data for dimensionality reduction Performs Principal Component Analysis on the data for dimensionality reduction

4
freqtrade/freqai/freqai_interface.py
View File

@ -225,8 +225,8 @@ class IFreqaiModel(ABC):
train_it += 1 train_it += 1
total_trains = len(dk.backtesting_timeranges) total_trains = len(dk.backtesting_timeranges)
self.training_timerange = tr_train self.training_timerange = tr_train
dataframe_train = dk.slice_dataframe(tr_train, dataframe) dataframe_train = dk.slice_dataframe_backtesting(tr_train, dataframe)
dataframe_backtest = dk.slice_dataframe(tr_backtest, dataframe) dataframe_backtest = dk.slice_dataframe_backtesting(tr_backtest, dataframe)
trained_timestamp = tr_train trained_timestamp = tr_train
tr_train_startts_str = datetime.datetime.utcfromtimestamp(tr_train.startts).strftime( tr_train_startts_str = datetime.datetime.utcfromtimestamp(tr_train.startts).strftime(