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add explicit metadata argument to example strat, include it with backtesting

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This commit is contained in:
robcaulk
2023-02-04 16:53:17 +01:00
parent 5da60b718d
commit e569f6f6df
4 changed files with 15 additions and 15 deletions
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10
docs/freqai-feature-engineering.md
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@@ -16,7 +16,7 @@ Meanwhile, high level feature engineering is handled within `"feature_parameters
It is advisable to start from the template `feature_engineering_*` functions in the source provided example strategy (found in `templates/FreqaiExampleStrategy.py`) to ensure that the feature definitions are following the correct conventions. Here is an example of how to set the indicators and labels in the strategy:
```python
def feature_engineering_expand_all(self, dataframe, period, **kwargs):
def feature_engineering_expand_all(self, dataframe, period, metadata, **kwargs):
"""
*Only functional with FreqAI enabled strategies*
This function will automatically expand the defined features on the config defined
@@ -66,7 +66,7 @@ It is advisable to start from the template `feature_engineering_*` functions in
return dataframe
def feature_engineering_expand_basic(self, dataframe, **kwargs):
def feature_engineering_expand_basic(self, dataframe, metadata, **kwargs):
"""
*Only functional with FreqAI enabled strategies*
This function will automatically expand the defined features on the config defined
@@ -94,7 +94,7 @@ It is advisable to start from the template `feature_engineering_*` functions in
dataframe["%-raw_price"] = dataframe["close"]
return dataframe
def feature_engineering_standard(self, dataframe, **kwargs):
def feature_engineering_standard(self, dataframe, metadata, **kwargs):
"""
*Only functional with FreqAI enabled strategies*
This optional function will be called once with the dataframe of the base timeframe.
@@ -119,7 +119,7 @@ It is advisable to start from the template `feature_engineering_*` functions in
dataframe["%-hour_of_day"] = (dataframe["date"].dt.hour + 1) / 25
return dataframe
def set_freqai_targets(self, dataframe, **kwargs):
def set_freqai_targets(self, dataframe, metadata, **kwargs):
"""
*Only functional with FreqAI enabled strategies*
Required function to set the targets for the model.
@@ -183,7 +183,7 @@ In total, the number of features the user of the presented example strat has cre
All `feature_engineering_*` and `set_freqai_targets()` functions are passed a `metadata` dictionary which contains information about the `pair`, `tf` (timeframe), and `period` that FreqAI is automating for feature building. As such, a user can use `metadata` inside `feature_engineering_*` functions as criteria for blocking/reserving features for certain timeframes, periods, pairs etc.
```py
def feature_engineering_expand_all(self, dataframe, period, **kwargs):
def feature_engineering_expand_all(self, dataframe, period, metadata, **kwargs):
if metadata["tf"] == "1h":
dataframe["%-roc-period"] = ta.ROC(dataframe, timeperiod=period)
```