stable/tests/freqai/test_freqai_interface.py
2023-02-16 18:46:01 +01:00

543 lines
22 KiB
Python

import platform
import shutil
from pathlib import Path
from unittest.mock import MagicMock
import pytest
from freqtrade.configuration import TimeRange
from freqtrade.data.dataprovider import DataProvider
from freqtrade.enums import RunMode
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.utils import download_all_data_for_training, get_required_data_timerange
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.persistence import Trade
from freqtrade.plugins.pairlistmanager import PairListManager
from tests.conftest import create_mock_trades, get_patched_exchange, log_has_re
from tests.freqai.conftest import get_patched_freqai_strategy, make_rl_config
def is_arm() -> bool:
machine = platform.machine()
return "arm" in machine or "aarch64" in machine
def is_mac() -> bool:
machine = platform.system()
return "Darwin" in machine
@pytest.mark.parametrize('model, pca, dbscan, float32, can_short, shuffle', [
('LightGBMRegressor', True, False, True, True, False),
('XGBoostRegressor', False, True, False, True, False),
('XGBoostRFRegressor', False, False, False, True, False),
('CatboostRegressor', False, False, False, True, True),
('ReinforcementLearner', False, True, False, True, False),
('ReinforcementLearner_multiproc', False, False, False, True, False),
('ReinforcementLearner_test_3ac', False, False, False, False, False),
('ReinforcementLearner_test_3ac', False, False, False, True, False),
('ReinforcementLearner_test_4ac', False, False, False, True, False)
])
def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model, pca,
dbscan, float32, can_short, shuffle):
if is_arm() and model == 'CatboostRegressor':
pytest.skip("CatBoost is not supported on ARM")
if is_mac() and not is_arm() and 'Reinforcement' in model:
pytest.skip("Reinforcement learning module not available on intel based Mac OS")
model_save_ext = 'joblib'
freqai_conf.update({"freqaimodel": model})
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": "freqai_test_strat"})
freqai_conf['freqai']['feature_parameters'].update({"principal_component_analysis": pca})
freqai_conf['freqai']['feature_parameters'].update({"use_DBSCAN_to_remove_outliers": dbscan})
freqai_conf.update({"reduce_df_footprint": float32})
freqai_conf['freqai']['feature_parameters'].update({"shuffle_after_split": shuffle})
if 'ReinforcementLearner' in model:
model_save_ext = 'zip'
freqai_conf = make_rl_config(freqai_conf)
# test the RL guardrails
freqai_conf['freqai']['feature_parameters'].update({"use_SVM_to_remove_outliers": True})
freqai_conf['freqai']['data_split_parameters'].update({'shuffle': True})
if 'ReinforcementLearner' in model:
model_save_ext = 'zip'
freqai_conf = make_rl_config(freqai_conf)
# test the RL guardrails
freqai_conf['freqai']['feature_parameters'].update({"use_SVM_to_remove_outliers": True})
freqai_conf['freqai']['data_split_parameters'].update({'shuffle': True})
if 'test_3ac' in model or 'test_4ac' in model:
freqai_conf["freqaimodel_path"] = str(Path(__file__).parents[1] / "freqai" / "test_models")
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.can_short = can_short
freqai.dk = FreqaiDataKitchen(freqai_conf)
freqai.dk.set_paths('ADA/BTC', 10000)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180125-20180130")
new_timerange = TimeRange.parse_timerange("20180127-20180130")
freqai.dk.set_paths('ADA/BTC', None)
freqai.train_timer("start", "ADA/BTC")
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
freqai.train_timer("stop", "ADA/BTC")
freqai.dd.save_metric_tracker_to_disk()
freqai.dd.save_drawer_to_disk()
assert Path(freqai.dk.full_path / "metric_tracker.json").is_file()
assert Path(freqai.dk.full_path / "pair_dictionary.json").is_file()
assert Path(freqai.dk.data_path /
f"{freqai.dk.model_filename}_model.{model_save_ext}").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
shutil.rmtree(Path(freqai.dk.full_path))
@pytest.mark.parametrize('model, strat', [
('LightGBMRegressorMultiTarget', "freqai_test_multimodel_strat"),
('XGBoostRegressorMultiTarget', "freqai_test_multimodel_strat"),
('CatboostRegressorMultiTarget', "freqai_test_multimodel_strat"),
('LightGBMClassifierMultiTarget', "freqai_test_multimodel_classifier_strat"),
('CatboostClassifierMultiTarget', "freqai_test_multimodel_classifier_strat")
])
def test_extract_data_and_train_model_MultiTargets(mocker, freqai_conf, model, strat):
if is_arm() and 'Catboost' in model:
pytest.skip("CatBoost is not supported on ARM")
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": strat})
freqai_conf.update({"freqaimodel": model})
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)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
freqai.dk.set_paths('ADA/BTC', None)
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
assert len(freqai.dk.label_list) == 2
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").is_file()
assert len(freqai.dk.data['training_features_list']) == 14
shutil.rmtree(Path(freqai.dk.full_path))
@pytest.mark.parametrize('model', [
'LightGBMClassifier',
'CatboostClassifier',
'XGBoostClassifier',
'XGBoostRFClassifier',
])
def test_extract_data_and_train_model_Classifiers(mocker, freqai_conf, model):
if is_arm() and model == 'CatboostClassifier':
pytest.skip("CatBoost is not supported on ARM")
freqai_conf.update({"freqaimodel": model})
freqai_conf.update({"strategy": "freqai_test_classifier"})
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)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
freqai.dk.set_paths('ADA/BTC', None)
freqai.extract_data_and_train_model(new_timerange, "ADA/BTC",
strategy, freqai.dk, data_load_timerange)
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").exists()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").exists()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").exists()
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_svm_model.joblib").exists()
shutil.rmtree(Path(freqai.dk.full_path))
@pytest.mark.parametrize(
"model, num_files, strat",
[
("LightGBMRegressor", 2, "freqai_test_strat"),
("XGBoostRegressor", 2, "freqai_test_strat"),
("CatboostRegressor", 2, "freqai_test_strat"),
("ReinforcementLearner", 3, "freqai_rl_test_strat"),
("XGBoostClassifier", 2, "freqai_test_classifier"),
("LightGBMClassifier", 2, "freqai_test_classifier"),
("CatboostClassifier", 2, "freqai_test_classifier")
],
)
def test_start_backtesting(mocker, freqai_conf, model, num_files, strat, caplog):
freqai_conf.get("freqai", {}).update({"save_backtest_models": True})
freqai_conf['runmode'] = RunMode.BACKTEST
if is_arm() and "Catboost" in model:
pytest.skip("CatBoost is not supported on ARM")
if is_mac() and 'Reinforcement' in model:
pytest.skip("Reinforcement learning module not available on intel based Mac OS")
Trade.use_db = False
freqai_conf.update({"freqaimodel": model})
freqai_conf.update({"timerange": "20180120-20180130"})
freqai_conf.update({"strategy": strat})
if 'ReinforcementLearner' in model:
freqai_conf = make_rl_config(freqai_conf)
if 'test_4ac' in model:
freqai_conf["freqaimodel_path"] = str(Path(__file__).parents[1] / "freqai" / "test_models")
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"indicator_periods_candles": [2]})
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 = False
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
for i in range(5):
df[f'%-constant_{i}'] = i
metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == num_files
Trade.use_db = True
assert log_has_re(
"Removed features ",
caplog,
)
assert log_has_re(
"Removed 5 features from prediction features, ",
caplog,
)
Backtesting.cleanup()
shutil.rmtree(Path(freqai.dk.full_path))
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})
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"indicator_periods_candles": [2]})
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 = False
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
metadata = {"pair": "LTC/BTC"}
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
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})
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"indicator_periods_candles": [2]})
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 = False
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180101-20180130")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
pair = "ADA/BTC"
metadata = {"pair": pair}
freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()]
assert len(model_folders) == 2
# without deleting the existing folder structure, re-run
freqai_conf.update({"timerange": "20180120-20180130"})
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 = False
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
_, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = base_df[freqai_conf["timeframe"]]
pair = "ADA/BTC"
metadata = {"pair": pair}
freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
assert log_has_re(
"Found backtesting prediction file ",
caplog,
)
pair = "ETH/BTC"
metadata = {"pair": pair}
freqai.dk.pair = pair
freqai.start_backtesting(df, metadata, freqai.dk, strategy)
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) == 2
shutil.rmtree(Path(freqai.dk.full_path))
def test_backtesting_fit_live_predictions(mocker, freqai_conf, caplog):
freqai_conf.get("freqai", {}).update({"fit_live_predictions_candles": 10})
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 = False
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180128-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180129-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
freqai.dk.pair = "ADA/BTC"
freqai.dk.full_df = df.fillna(0)
freqai.dk.full_df
assert "&-s_close_mean" not in freqai.dk.full_df.columns
assert "&-s_close_std" not in freqai.dk.full_df.columns
freqai.backtesting_fit_live_predictions(freqai.dk)
assert "&-s_close_mean" in freqai.dk.full_df.columns
assert "&-s_close_std" in freqai.dk.full_df.columns
shutil.rmtree(Path(freqai.dk.full_path))
def test_principal_component_analysis(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"princpial_component_analysis": "true"})
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)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_pca_object.pkl")
shutil.rmtree(Path(freqai.dk.full_path))
def test_plot_feature_importance(mocker, freqai_conf):
from freqtrade.freqai.utils import plot_feature_importance
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.get("freqai", {}).get("feature_parameters", {}).update(
{"princpial_component_analysis": "true"})
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)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
freqai.dd.pair_dict = MagicMock()
data_load_timerange = TimeRange.parse_timerange("20180110-20180130")
new_timerange = TimeRange.parse_timerange("20180120-20180130")
freqai.extract_data_and_train_model(
new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange)
model = freqai.dd.load_data("ADA/BTC", freqai.dk)
plot_feature_importance(model, "ADA/BTC", freqai.dk)
assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}.html")
shutil.rmtree(Path(freqai.dk.full_path))
@pytest.mark.parametrize('timeframes,corr_pairs', [
(['5m'], ['ADA/BTC', 'DASH/BTC']),
(['5m'], ['ADA/BTC', 'DASH/BTC', 'ETH/USDT']),
(['5m', '15m'], ['ADA/BTC', 'DASH/BTC', 'ETH/USDT']),
])
def test_freqai_informative_pairs(mocker, freqai_conf, timeframes, corr_pairs):
freqai_conf['freqai']['feature_parameters'].update({
'include_timeframes': timeframes,
'include_corr_pairlist': corr_pairs,
})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
pairlists = PairListManager(exchange, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange, pairlists)
pairlist = strategy.dp.current_whitelist()
pairs_a = strategy.informative_pairs()
assert len(pairs_a) == 0
pairs_b = strategy.gather_informative_pairs()
# we expect unique pairs * timeframes
assert len(pairs_b) == len(set(pairlist + corr_pairs)) * len(timeframes)
def test_start_set_train_queue(mocker, freqai_conf, caplog):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
pairlist = PairListManager(exchange, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange, pairlist)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = False
freqai.train_queue = freqai._set_train_queue()
assert log_has_re(
"Set fresh train queue from whitelist.",
caplog,
)
def test_get_required_data_timerange(mocker, freqai_conf):
time_range = get_required_data_timerange(freqai_conf)
assert (time_range.stopts - time_range.startts) == 177300
def test_download_all_data_for_training(mocker, freqai_conf, caplog, tmpdir):
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
pairlist = PairListManager(exchange, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange, pairlist)
freqai_conf['pairs'] = freqai_conf['exchange']['pair_whitelist']
freqai_conf['datadir'] = Path(tmpdir)
download_all_data_for_training(strategy.dp, freqai_conf)
assert log_has_re(
"Downloading",
caplog,
)
@pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize('dp_exists', [(False), (True)])
def test_get_state_info(mocker, freqai_conf, dp_exists, caplog, tickers):
if is_mac():
pytest.skip("Reinforcement learning module not available on intel based Mac OS")
freqai_conf.update({"freqaimodel": "ReinforcementLearner"})
freqai_conf.update({"timerange": "20180110-20180130"})
freqai_conf.update({"strategy": "freqai_rl_test_strat"})
freqai_conf = make_rl_config(freqai_conf)
freqai_conf['entry_pricing']['price_side'] = 'same'
freqai_conf['exit_pricing']['price_side'] = 'same'
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
ticker_mock = MagicMock(return_value=tickers()['ETH/BTC'])
mocker.patch("freqtrade.exchange.Exchange.fetch_ticker", ticker_mock)
strategy.dp = DataProvider(freqai_conf, exchange)
if not dp_exists:
strategy.dp._exchange = None
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.data_provider = strategy.dp
freqai.live = True
Trade.use_db = True
create_mock_trades(MagicMock(return_value=0.0025), False, True)
freqai.get_state_info("ADA/BTC")
freqai.get_state_info("ETH/BTC")
if not dp_exists:
assert log_has_re(
"No exchange available",
caplog,
)