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fix tests - update code to backtest with historic_predictions

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This commit is contained in:
Wagner Costa Santos 2022-11-19 22:27:58 -03:00
parent 80d070e9ee
commit fdc82af883
6 changed files with 73 additions and 50 deletions
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31
freqtrade/freqai/data_drawer.py
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@ -3,7 +3,7 @@ import logging
import re
import shutil
import threading
from datetime import datetime, timezone
from datetime import datetime, timedelta, timezone
from pathlib import Path
from typing import Any, Dict, Tuple, TypedDict
@ -714,3 +714,32 @@ class FreqaiDataDrawer:
).reset_index(drop=True)
return corr_dataframes, base_dataframes
def get_timerange_from_backtesting_live_dataframe(self) -> TimeRange:
"""
Returns timerange information based on historic predictions file
:return: timerange calculated from saved live data
"""
if not self.historic_predictions_path.is_file():
raise OperationalException(
'Historic predictions not found. Historic predictions data is required '
'to run backtest with the freqai-backtest-live-models option '
'and backtest_using_historic_predictions config option as true'
)
self.load_historic_predictions_from_disk()
all_pairs_end_dates = []
for pair in self.historic_predictions:
pair_historic_data = self.historic_predictions[pair]
all_pairs_end_dates.append(pair_historic_data.date_pred.max())
global_metadata = self.load_global_metadata_from_disk()
start_date = datetime.fromtimestamp(int(global_metadata["start_dry_live_date"]))
end_date = max(all_pairs_end_dates)
# add 1 day to string timerange to ensure BT module will load all dataframe data
end_date = end_date + timedelta(days=1)
backtesting_timerange = TimeRange(
'date', 'date', int(start_date.timestamp()), int(end_date.timestamp())
)
return backtesting_timerange

31
freqtrade/freqai/data_kitchen.py
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@ -1486,34 +1486,3 @@ class FreqaiDataKitchen:
dataframe.columns = dataframe.columns.str.replace(c, "")
return dataframe
def get_timerange_from_backtesting_live_dataframe(self) -> TimeRange:
"""
Returns timerange information based on historic predictions file
:return: timerange calculated from saved live data
"""
from freqtrade.freqai.data_drawer import FreqaiDataDrawer
dd = FreqaiDataDrawer(Path(self.full_path), self.config)
if not dd.historic_predictions_path.is_file():
raise OperationalException(
'Historic predictions not found. Historic predictions data is required '
'to run backtest with the freqai-backtest-live-models option '
'and backtest_using_historic_predictions config option as true'
)
dd.load_historic_predictions_from_disk()
all_pairs_end_dates = []
for pair in dd.historic_predictions:
pair_historic_data = dd.historic_predictions[pair]
all_pairs_end_dates.append(pair_historic_data.date_pred.max())
global_metadata = dd.load_global_metadata_from_disk()
start_date = datetime.fromtimestamp(int(global_metadata["start_dry_live_date"]))
end_date = max(all_pairs_end_dates)
# add 1 day to string timerange to ensure BT module will load all dataframe data
end_date = end_date + timedelta(days=1)
backtesting_timerange = TimeRange(
'date', 'date', int(start_date.timestamp()), int(end_date.timestamp())
)
return backtesting_timerange

4
freqtrade/freqai/utils.py
View File

@ -14,6 +14,7 @@ from freqtrade.data.history.history_utils import refresh_backtest_ohlcv_data
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_seconds
from freqtrade.exchange.exchange import market_is_active
from freqtrade.freqai.data_drawer import FreqaiDataDrawer
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.plugins.pairlist.pairlist_helpers import dynamic_expand_pairlist
@ -233,6 +234,7 @@ def get_timerange_backtest_live_models(config: Config) -> str:
if not config.get("freqai", {}).get("backtest_using_historic_predictions", True):
timerange, _ = dk.get_timerange_and_assets_end_dates_from_ready_models(models_path)
else:
timerange = dk.get_timerange_from_backtesting_live_dataframe()
dd = FreqaiDataDrawer(models_path, config)
timerange = dd.get_timerange_from_backtesting_live_dataframe()
return timerange.timerange_str

2
tests/freqai/test_freqai_backtesting.py
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@ -65,6 +65,8 @@ def test_freqai_backtest_live_models_model_not_found(freqai_conf, mocker, testda
mocker.patch('freqtrade.optimize.backtesting.history.load_data')
mocker.patch('freqtrade.optimize.backtesting.history.get_timerange', return_value=(now, now))
freqai_conf["timerange"] = ""
freqai_conf.get("freqai", {}).update({"backtest_using_historic_predictions": False})
patched_configuration_load_config_file(mocker, freqai_conf)
args = [

37
tests/freqai/test_freqai_datadrawer.py
View File

@ -2,8 +2,11 @@
import shutil
from pathlib import Path
import pytest
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.exceptions import OperationalException
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from tests.conftest import get_patched_exchange
from tests.freqai.conftest import get_patched_freqai_strategy
@ -93,3 +96,37 @@ def test_use_strategy_to_populate_indicators(mocker, freqai_conf):
assert len(df.columns) == 33
shutil.rmtree(Path(freqai.dk.full_path))
def test_get_timerange_from_backtesting_live_dataframe(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180126-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180128-20180130")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "ADA/BTC", freqai.dk)
base_df["5m"]["date_pred"] = base_df["5m"]["date"]
freqai.dd.historic_predictions = {}
freqai.dd.historic_predictions["ADA/USDT"] = base_df["5m"]
freqai.dd.save_historic_predictions_to_disk()
freqai.dd.save_global_metadata_to_disk({"start_dry_live_date": 1516406400})
timerange = freqai.dd.get_timerange_from_backtesting_live_dataframe()
assert timerange.startts == 1516406400
assert timerange.stopts == 1517356500
def test_get_timerange_from_backtesting_live_df_pred_not_found(mocker, freqai_conf):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
freqai = strategy.freqai
with pytest.raises(
OperationalException,
match=r'Historic predictions not found.*'
):
freqai.dd.get_timerange_from_backtesting_live_dataframe()

18
tests/freqai/test_freqai_datakitchen.py
View File

@ -190,6 +190,7 @@ def test_get_timerange_from_ready_models(mocker, freqai_conf, model):
freqai_conf.update({"freqaimodel": model})
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": "freqai_test_strat"})
freqai_conf.get("freqai", {}).update({"backtest_using_historic_predictions": False})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
@ -259,20 +260,3 @@ def test_get_full_model_path(mocker, freqai_conf, model):
model_path = freqai.dk.get_full_models_path(freqai_conf)
assert model_path.is_dir() is True
def test_get_timerange_from_backtesting_live_dataframe(mocker, freqai_conf):
freqai, dataframe = make_unfiltered_dataframe(mocker, freqai_conf)
freqai_conf.update({"backtest_using_historic_predictions": True})
timerange = freqai.dk.get_timerange_from_backtesting_live_dataframe()
assert timerange.startts == 1516406400
assert timerange.stopts == 1517356500
def test_get_timerange_from_backtesting_live_df_pred_not_found(mocker, freqai_conf):
freqai, _ = make_unfiltered_dataframe(mocker, freqai_conf)
with pytest.raises(
OperationalException,
match=r'Historic predictions not found.*'
):
freqai.dk.get_timerange_from_backtesting_live_dataframe()