freqtrade_origin/freqtrade/optimize/lookahead_analysis_helpers.py

147 lines
6.4 KiB
Python
Raw Normal View History

import logging
import time
from pathlib import Path
from typing import Any, Dict, List
import pandas as pd
from freqtrade.constants import Config
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.lookahead_analysis import LookaheadAnalysis
from freqtrade.resolvers import StrategyResolver
logger = logging.getLogger(__name__)
class LookaheadAnalysisSubFunctions:
@staticmethod
def text_table_lookahead_analysis_instances(lookahead_instances: List[LookaheadAnalysis]):
headers = ['filename', 'strategy', 'has_bias', 'total_signals',
'biased_entry_signals', 'biased_exit_signals', 'biased_indicators']
data = []
for inst in lookahead_instances:
if inst.failed_bias_check:
data.append(
[
inst.strategy_obj['location'].parts[-1],
inst.strategy_obj['name'],
'error while checking'
]
)
else:
data.append(
[
inst.strategy_obj['location'].parts[-1],
inst.strategy_obj['name'],
inst.current_analysis.has_bias,
inst.current_analysis.total_signals,
inst.current_analysis.false_entry_signals,
inst.current_analysis.false_exit_signals,
", ".join(inst.current_analysis.false_indicators)
]
)
from tabulate import tabulate
table = tabulate(data, headers=headers, tablefmt="orgtbl")
print(table)
return table, headers, data
@staticmethod
def export_to_csv(config: Dict[str, Any], lookahead_analysis: List[LookaheadAnalysis]):
def add_or_update_row(df, row_data):
if (
(df['filename'] == row_data['filename']) &
(df['strategy'] == row_data['strategy'])
).any():
# Update existing row
pd_series = pd.DataFrame([row_data])
df.loc[
(df['filename'] == row_data['filename']) &
(df['strategy'] == row_data['strategy'])
] = pd_series
else:
# Add new row
df = pd.concat([df, pd.DataFrame([row_data], columns=df.columns)])
return df
if Path(config['lookahead_analysis_exportfilename']).exists():
# Read CSV file into a pandas dataframe
csv_df = pd.read_csv(config['lookahead_analysis_exportfilename'])
else:
# Create a new empty DataFrame with the desired column names and set the index
csv_df = pd.DataFrame(columns=[
'filename', 'strategy', 'has_bias', 'total_signals',
'biased_entry_signals', 'biased_exit_signals', 'biased_indicators'
],
index=None)
for inst in lookahead_analysis:
new_row_data = {'filename': inst.strategy_obj['location'].parts[-1],
'strategy': inst.strategy_obj['name'],
'has_bias': inst.current_analysis.has_bias,
'total_signals': inst.current_analysis.total_signals,
'biased_entry_signals': inst.current_analysis.false_entry_signals,
'biased_exit_signals': inst.current_analysis.false_exit_signals,
'biased_indicators': ",".join(inst.current_analysis.false_indicators)}
csv_df = add_or_update_row(csv_df, new_row_data)
logger.info(f"saving {config['lookahead_analysis_exportfilename']}")
csv_df.to_csv(config['lookahead_analysis_exportfilename'], index=False)
@staticmethod
def initialize_single_lookahead_analysis(strategy_obj: Dict[str, Any], config: Dict[str, Any]):
logger.info(f"Bias test of {Path(strategy_obj['location']).name} started.")
start = time.perf_counter()
current_instance = LookaheadAnalysis(config, strategy_obj)
current_instance.start()
elapsed = time.perf_counter() - start
logger.info(f"checking look ahead bias via backtests "
f"of {Path(strategy_obj['location']).name} "
f"took {elapsed:.0f} seconds.")
return current_instance
@staticmethod
def start(config: Config):
if config['targeted_trade_amount'] < config['minimum_trade_amount']:
# this combo doesn't make any sense.
raise OperationalException(
"targeted trade amount can't be smaller than minimum trade amount."
)
strategy_objs = StrategyResolver.search_all_objects(
config, enum_failed=False, recursive=config.get('recursive_strategy_search', False))
lookaheadAnalysis_instances = []
# unify --strategy and --strategy_list to one list
if not (strategy_list := config.get('strategy_list', [])):
2023-05-20 09:51:46 +00:00
if config.get('strategy') is None:
raise OperationalException(
"No Strategy specified. Please specify a strategy via --strategy or "
"--strategy_list"
)
strategy_list = [config['strategy']]
# check if strategies can be properly loaded, only check them if they can be.
for strat in strategy_list:
for strategy_obj in strategy_objs:
if strategy_obj['name'] == strat and strategy_obj not in strategy_list:
lookaheadAnalysis_instances.append(
LookaheadAnalysisSubFunctions.initialize_single_lookahead_analysis(
strategy_obj, config))
break
# report the results
if lookaheadAnalysis_instances:
LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
lookaheadAnalysis_instances)
if config.get('lookahead_analysis_exportfilename') is not None:
LookaheadAnalysisSubFunctions.export_to_csv(config, lookaheadAnalysis_instances)
else:
logger.error("There were no strategies specified neither through "
"--strategy nor through "
"--strategy_list "
"or timeframe was not specified.")