346 lines
15 KiB
Python
346 lines
15 KiB
Python
import platform
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import shutil
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from pathlib import Path
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from unittest.mock import MagicMock
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import pytest
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from freqtrade.configuration import TimeRange
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from freqtrade.data.dataprovider import DataProvider
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from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
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from tests.conftest import get_patched_exchange, log_has_re
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from tests.freqai.conftest import get_patched_freqai_strategy
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def is_arm() -> bool:
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machine = platform.machine()
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return "arm" in machine or "aarch64" in machine
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def test_train_model_in_series_LightGBM(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180110-20180130"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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freqai.dd.pair_dict = MagicMock()
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data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
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new_timerange = TimeRange.parse_timerange("20180120-20180130")
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freqai.train_model_in_series(new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
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shutil.rmtree(Path(freqai.dk.full_path))
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def test_train_model_in_series_LightGBMMultiModel(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180110-20180130"})
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freqai_conf.update({"strategy": "freqai_test_multimodel_strat"})
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freqai_conf.update({"freqaimodel": "LightGBMRegressorMultiTarget"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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freqai.dd.pair_dict = MagicMock()
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data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
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new_timerange = TimeRange.parse_timerange("20180120-20180130")
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freqai.train_model_in_series(new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
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assert len(freqai.dk.label_list) == 2
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
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assert len(freqai.dk.data['training_features_list']) == 26
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shutil.rmtree(Path(freqai.dk.full_path))
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@pytest.mark.skipif(is_arm(), reason="no ARM for Catboost ...")
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def test_train_model_in_series_Catboost(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180110-20180130"})
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freqai_conf.update({"freqaimodel": "CatboostRegressor"})
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# freqai_conf.get('freqai', {}).update(
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# {'model_training_parameters': {"n_estimators": 100, "verbose": 0}})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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freqai.dd.pair_dict = MagicMock()
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data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
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new_timerange = TimeRange.parse_timerange("20180120-20180130")
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freqai.train_model_in_series(new_timerange, "ADA/BTC",
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strategy, freqai.dk, data_load_timerange)
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").exists()
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shutil.rmtree(Path(freqai.dk.full_path))
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@pytest.mark.skipif(is_arm(), reason="no ARM for Catboost ...")
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def test_train_model_in_series_CatboostClassifier(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180110-20180130"})
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freqai_conf.update({"freqaimodel": "CatboostClassifier"})
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freqai_conf.update({"strategy": "freqai_test_classifier"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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freqai.dd.pair_dict = MagicMock()
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data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
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new_timerange = TimeRange.parse_timerange("20180120-20180130")
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freqai.train_model_in_series(new_timerange, "ADA/BTC",
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strategy, freqai.dk, data_load_timerange)
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").exists()
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shutil.rmtree(Path(freqai.dk.full_path))
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def test_train_model_in_series_LightGBMClassifier(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180110-20180130"})
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freqai_conf.update({"freqaimodel": "LightGBMClassifier"})
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freqai_conf.update({"strategy": "freqai_test_classifier"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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freqai.dd.pair_dict = MagicMock()
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data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
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new_timerange = TimeRange.parse_timerange("20180120-20180130")
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freqai.train_model_in_series(new_timerange, "ADA/BTC",
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strategy, freqai.dk, data_load_timerange)
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").exists()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").exists()
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shutil.rmtree(Path(freqai.dk.full_path))
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def test_start_backtesting(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180120-20180130"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = False
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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sub_timerange = TimeRange.parse_timerange("20180110-20180130")
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corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
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df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
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metadata = {"pair": "LTC/BTC"}
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freqai.start_backtesting(df, metadata, freqai.dk)
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model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
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assert len(model_folders) == 5
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shutil.rmtree(Path(freqai.dk.full_path))
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def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180120-20180124"})
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freqai_conf.get("freqai", {}).update({"backtest_period_days": 0.5})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = False
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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sub_timerange = TimeRange.parse_timerange("20180110-20180130")
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corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
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df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
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metadata = {"pair": "LTC/BTC"}
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freqai.start_backtesting(df, metadata, freqai.dk)
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model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
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assert len(model_folders) == 8
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shutil.rmtree(Path(freqai.dk.full_path))
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def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
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freqai_conf.update({"timerange": "20180120-20180130"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = False
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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sub_timerange = TimeRange.parse_timerange("20180110-20180130")
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corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
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df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
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metadata = {"pair": "ADA/BTC"}
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freqai.start_backtesting(df, metadata, freqai.dk)
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model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
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assert len(model_folders) == 5
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# without deleting the exiting folder structure, re-run
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freqai_conf.update({"timerange": "20180120-20180130"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = False
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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sub_timerange = TimeRange.parse_timerange("20180110-20180130")
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corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
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df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
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freqai.start_backtesting(df, metadata, freqai.dk)
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assert log_has_re(
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"Found model at ",
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caplog,
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)
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shutil.rmtree(Path(freqai.dk.full_path))
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def test_follow_mode(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180110-20180130"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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metadata = {"pair": "ADA/BTC"}
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freqai.dd.set_pair_dict_info(metadata)
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data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
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new_timerange = TimeRange.parse_timerange("20180120-20180130")
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freqai.train_model_in_series(new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
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# start the follower and ask it to predict on existing files
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freqai_conf.get("freqai", {}).update({"follow_mode": "true"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf, freqai.live)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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df = strategy.dp.get_pair_dataframe('ADA/BTC', '5m')
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freqai.start_live(df, metadata, strategy, freqai.dk)
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assert len(freqai.dk.return_dataframe.index) == 5702
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shutil.rmtree(Path(freqai.dk.full_path))
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def test_principal_component_analysis(mocker, freqai_conf):
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freqai_conf.update({"timerange": "20180110-20180130"})
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freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
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{"princpial_component_analysis": "true"})
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strategy = get_patched_freqai_strategy(mocker, freqai_conf)
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exchange = get_patched_exchange(mocker, freqai_conf)
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strategy.dp = DataProvider(freqai_conf, exchange)
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strategy.freqai_info = freqai_conf.get("freqai", {})
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freqai = strategy.freqai
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freqai.live = True
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freqai.dk = FreqaiDataKitchen(freqai_conf)
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timerange = TimeRange.parse_timerange("20180110-20180130")
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freqai.dd.load_all_pair_histories(timerange, freqai.dk)
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freqai.dd.pair_dict = MagicMock()
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data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
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new_timerange = TimeRange.parse_timerange("20180120-20180130")
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freqai.train_model_in_series(new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
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assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_pca_object.pkl")
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shutil.rmtree(Path(freqai.dk.full_path))
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