stable/tests/freqai/conftest.py
2022-10-06 19:26:33 +02:00

205 lines
7.6 KiB
Python

from copy import deepcopy
from pathlib import Path
from unittest.mock import MagicMock
import pytest
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.freqai.data_drawer import FreqaiDataDrawer
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.resolvers import StrategyResolver
from freqtrade.resolvers.freqaimodel_resolver import FreqaiModelResolver
from tests.conftest import get_patched_exchange
@pytest.fixture(scope="function")
def freqai_conf(default_conf, tmpdir):
freqaiconf = deepcopy(default_conf)
freqaiconf.update(
{
"datadir": Path(default_conf["datadir"]),
"strategy": "freqai_test_strat",
"user_data_dir": Path(tmpdir),
"strategy-path": "freqtrade/tests/strategy/strats",
"freqaimodel": "LightGBMRegressor",
"freqaimodel_path": "freqai/prediction_models",
"timerange": "20180110-20180115",
"freqai": {
"enabled": True,
"startup_candles": 10000,
"purge_old_models": True,
"train_period_days": 2,
"backtest_period_days": 2,
"live_retrain_hours": 0,
"expiration_hours": 1,
"identifier": "uniqe-id100",
"live_trained_timestamp": 0,
"data_kitchen_thread_count": 2,
"feature_parameters": {
"include_timeframes": ["5m"],
"include_corr_pairlist": ["ADA/BTC"],
"label_period_candles": 20,
"include_shifted_candles": 1,
"DI_threshold": 0.9,
"weight_factor": 0.9,
"principal_component_analysis": False,
"use_SVM_to_remove_outliers": True,
"stratify_training_data": 0,
"indicator_periods_candles": [10],
},
"data_split_parameters": {"test_size": 0.33, "shuffle": False},
"model_training_parameters": {"n_estimators": 100},
},
"config_files": [Path('config_examples', 'config_freqai.example.json')]
}
)
freqaiconf['exchange'].update({'pair_whitelist': ['ADA/BTC', 'DASH/BTC', 'ETH/BTC', 'LTC/BTC']})
return freqaiconf
def get_patched_data_kitchen(mocker, freqaiconf):
dk = FreqaiDataKitchen(freqaiconf)
return dk
def get_patched_data_drawer(mocker, freqaiconf):
# dd = mocker.patch('freqtrade.freqai.data_drawer', MagicMock())
dd = FreqaiDataDrawer(freqaiconf)
return dd
def get_patched_freqai_strategy(mocker, freqaiconf):
strategy = StrategyResolver.load_strategy(freqaiconf)
strategy.ft_bot_start()
return strategy
def get_patched_freqaimodel(mocker, freqaiconf):
freqaimodel = FreqaiModelResolver.load_freqaimodel(freqaiconf)
return freqaimodel
def make_unfiltered_dataframe(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.pair = "ADA/BTC"
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(data_load_timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
new_timerange = TimeRange.parse_timerange("20180120-20180130")
corr_dataframes, base_dataframes = freqai.dd.get_base_and_corr_dataframes(
data_load_timerange, freqai.dk.pair, freqai.dk
)
unfiltered_dataframe = freqai.dk.use_strategy_to_populate_indicators(
strategy, corr_dataframes, base_dataframes, freqai.dk.pair
)
for i in range(5):
unfiltered_dataframe[f'constant_{i}'] = i
unfiltered_dataframe = freqai.dk.slice_dataframe(new_timerange, unfiltered_dataframe)
return freqai, unfiltered_dataframe
def make_data_dictionary(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.pair = "ADA/BTC"
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(data_load_timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
new_timerange = TimeRange.parse_timerange("20180120-20180130")
corr_dataframes, base_dataframes = freqai.dd.get_base_and_corr_dataframes(
data_load_timerange, freqai.dk.pair, freqai.dk
)
unfiltered_dataframe = freqai.dk.use_strategy_to_populate_indicators(
strategy, corr_dataframes, base_dataframes, freqai.dk.pair
)
unfiltered_dataframe = freqai.dk.slice_dataframe(new_timerange, unfiltered_dataframe)
freqai.dk.find_features(unfiltered_dataframe)
features_filtered, labels_filtered = freqai.dk.filter_features(
unfiltered_dataframe,
freqai.dk.training_features_list,
freqai.dk.label_list,
training_filter=True,
)
data_dictionary = freqai.dk.make_train_test_datasets(features_filtered, labels_filtered)
data_dictionary = freqai.dk.normalize_data(data_dictionary)
return freqai
def get_freqai_live_analyzed_dataframe(mocker, freqaiconf):
strategy = get_patched_freqai_strategy(mocker, freqaiconf)
exchange = get_patched_exchange(mocker, freqaiconf)
strategy.dp = DataProvider(freqaiconf, exchange)
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqaiconf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
strategy.analyze_pair('ADA/BTC', '5m')
return strategy.dp.get_analyzed_dataframe('ADA/BTC', '5m')
def get_freqai_analyzed_dataframe(mocker, freqaiconf):
strategy = get_patched_freqai_strategy(mocker, freqaiconf)
exchange = get_patched_exchange(mocker, freqaiconf)
strategy.dp = DataProvider(freqaiconf, exchange)
strategy.freqai_info = freqaiconf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqaiconf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
return freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, 'LTC/BTC')
def get_ready_to_train(mocker, freqaiconf):
strategy = get_patched_freqai_strategy(mocker, freqaiconf)
exchange = get_patched_exchange(mocker, freqaiconf)
strategy.dp = DataProvider(freqaiconf, exchange)
strategy.freqai_info = freqaiconf.get("freqai", {})
freqai = strategy.freqai
freqai.live = True
freqai.dk = FreqaiDataKitchen(freqaiconf, freqai.dd)
timerange = TimeRange.parse_timerange("20180110-20180114")
freqai.dk.load_all_pair_histories(timerange)
sub_timerange = TimeRange.parse_timerange("20180111-20180114")
corr_df, base_df = freqai.dk.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC")
return corr_df, base_df, freqai, strategy