Merge branch 'develop' into add-inlier-metric

tests/freqai/conftest.py

@@ -45,7 +45,6 @@ def freqai_conf(default_conf, tmpdir):
                     "principal_component_analysis": False,
                     "use_SVM_to_remove_outliers": True,
                     "stratify_training_data": 0,
-                    "indicator_max_period_candles": 10,
                     "indicator_periods_candles": [10],
                 },
                 "data_split_parameters": {"test_size": 0.33, "random_state": 1},

tests/freqai/test_freqai_backtesting.py

@@ -48,10 +48,4 @@ def test_freqai_backtest_load_data(freqai_conf, mocker, caplog):
 
     assert log_has_re('Increasing startup_candle_count for freqai to.*', caplog)
 
-    del freqai_conf['freqai']['startup_candles']
-    backtesting = Backtesting(freqai_conf)
-    with pytest.raises(OperationalException,
-                       match=r'FreqAI backtesting module.*startup_candles in config.'):
-        backtesting.load_bt_data()
-
     Backtesting.cleanup()

tests/freqai/test_freqai_datakitchen.py

@@ -1,5 +1,5 @@
-import datetime
 import shutil
+from datetime import datetime, timedelta, timezone
 from pathlib import Path
 
 import pytest
@@ -57,16 +57,13 @@ def test_split_timerange(
     shutil.rmtree(Path(dk.full_path))
 
 
-@pytest.mark.parametrize(
-    "timestamp, expected",
-    [
-        (datetime.datetime.now(tz=datetime.timezone.utc).timestamp() - 7200, True),
-        (datetime.datetime.now(tz=datetime.timezone.utc).timestamp(), False),
-    ],
-)
-def test_check_if_model_expired(mocker, freqai_conf, timestamp, expected):
+def test_check_if_model_expired(mocker, freqai_conf):
+
     dk = get_patched_data_kitchen(mocker, freqai_conf)
-    assert dk.check_if_model_expired(timestamp) == expected
+    now = datetime.now(tz=timezone.utc).timestamp()
+    assert dk.check_if_model_expired(now) is False
+    now = (datetime.now(tz=timezone.utc) - timedelta(hours=2)).timestamp()
+    assert dk.check_if_model_expired(now) is True
     shutil.rmtree(Path(dk.full_path))
 
 
@@ -75,7 +72,7 @@ def test_use_DBSCAN_to_remove_outliers(mocker, freqai_conf, caplog):
     # freqai_conf['freqai']['feature_parameters'].update({"outlier_protection_percentage": 1})
     freqai.dk.use_DBSCAN_to_remove_outliers(predict=False)
     assert log_has_re(
-        "DBSCAN found eps of 2.42.",
+        "DBSCAN found eps of 2.36.",
         caplog,
     )
 
@@ -84,7 +81,7 @@ def test_compute_distances(mocker, freqai_conf):
     freqai = make_data_dictionary(mocker, freqai_conf)
     freqai_conf['freqai']['feature_parameters'].update({"DI_threshold": 1})
     avg_mean_dist = freqai.dk.compute_distances()
-    assert round(avg_mean_dist, 2) == 2.56
+    assert round(avg_mean_dist, 2) == 2.54
 
 
 def test_use_SVM_to_remove_outliers_and_outlier_protection(mocker, freqai_conf, caplog):
@@ -92,7 +89,7 @@ def test_use_SVM_to_remove_outliers_and_outlier_protection(mocker, freqai_conf,
     freqai_conf['freqai']['feature_parameters'].update({"outlier_protection_percentage": 0.1})
     freqai.dk.use_SVM_to_remove_outliers(predict=False)
     assert log_has_re(
-        "SVM detected 8.46%",
+        "SVM detected 8.09%",
         caplog,
     )
 

tests/freqai/test_freqai_interface.py

@@ -176,6 +176,7 @@ def test_extract_data_and_train_model_LightGBMClassifier(mocker, freqai_conf):
 
 def test_start_backtesting(mocker, freqai_conf):
     freqai_conf.update({"timerange": "20180120-20180130"})
+    freqai_conf.get("freqai", {}).update({"save_backtest_models": True})
     strategy = get_patched_freqai_strategy(mocker, freqai_conf)
     exchange = get_patched_exchange(mocker, freqai_conf)
     strategy.dp = DataProvider(freqai_conf, exchange)
@@ -194,7 +195,7 @@ def test_start_backtesting(mocker, freqai_conf):
     freqai.start_backtesting(df, metadata, freqai.dk)
     model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
 
-    assert len(model_folders) == 5
+    assert len(model_folders) == 6
 
     shutil.rmtree(Path(freqai.dk.full_path))
 
@@ -202,6 +203,7 @@ def test_start_backtesting(mocker, freqai_conf):
 def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
     freqai_conf.update({"timerange": "20180120-20180124"})
     freqai_conf.get("freqai", {}).update({"backtest_period_days": 0.5})
+    freqai_conf.get("freqai", {}).update({"save_backtest_models": True})
     strategy = get_patched_freqai_strategy(mocker, freqai_conf)
     exchange = get_patched_exchange(mocker, freqai_conf)
     strategy.dp = DataProvider(freqai_conf, exchange)
@@ -219,13 +221,14 @@ def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
     metadata = {"pair": "LTC/BTC"}
     freqai.start_backtesting(df, metadata, freqai.dk)
     model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
-    assert len(model_folders) == 8
+    assert len(model_folders) == 9
 
     shutil.rmtree(Path(freqai.dk.full_path))
 
 
 def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
     freqai_conf.update({"timerange": "20180120-20180130"})
+    freqai_conf.get("freqai", {}).update({"save_backtest_models": True})
     strategy = get_patched_freqai_strategy(mocker, freqai_conf)
     exchange = get_patched_exchange(mocker, freqai_conf)
     strategy.dp = DataProvider(freqai_conf, exchange)
@@ -244,7 +247,7 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
     freqai.start_backtesting(df, metadata, freqai.dk)
     model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
 
-    assert len(model_folders) == 5
+    assert len(model_folders) == 6
 
     # without deleting the exiting folder structure, re-run
 
@@ -265,10 +268,14 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
     freqai.start_backtesting(df, metadata, freqai.dk)
 
     assert log_has_re(
-        "Found model at ",
+        "Found backtesting prediction file ",
         caplog,
     )
 
+    path = (freqai.dd.full_path / freqai.dk.backtest_predictions_folder)
+    prediction_files = [x for x in path.iterdir() if x.is_file()]
+    assert len(prediction_files) == 5
+
     shutil.rmtree(Path(freqai.dk.full_path))