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update lookahead analysis

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This commit is contained in:
Stefano Ariestasia 2023-09-12 19:11:19 +09:00
parent 05f0dccb8e
commit 4d1810c2b6
2 changed files with 33 additions and 59 deletions
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5
freqtrade/optimize/base_analysis.py
View File

@ -49,7 +49,7 @@ class BaseAnalysis:
timestamp = int(dt.replace(tzinfo=timezone.utc).timestamp())
return timestamp
def prepare_data(self, varholder: VarHolder, pairs_to_load: List[DataFrame]):
def prepare_data(self, varholder: VarHolder, pairs_to_load: List[DataFrame], backtesting=None):
if 'freqai' in self.local_config and 'identifier' in self.local_config['freqai']:
# purge previous data if the freqai model is defined
@ -70,7 +70,8 @@ class BaseAnalysis:
# Don't re-calculate fee per pair, as fee might differ per pair.
prepare_data_config['fee'] = self._fee
backtesting = Backtesting(prepare_data_config, self.exchange)
if backtesting is None:
backtesting = Backtesting(prepare_data_config, self.exchange)
backtesting._set_strategy(backtesting.strategylist[0])
varholder.data, varholder.timerange = backtesting.load_bt_data()

87
freqtrade/optimize/lookahead_analysis.py
View File

@ -13,6 +13,7 @@ from freqtrade.exchange import timeframe_to_minutes
from freqtrade.loggers.set_log_levels import (reduce_verbosity_for_bias_tester,
restore_verbosity_for_bias_tester)
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.optimize.base_analysis import BaseAnalysis, VarHolder
logger = logging.getLogger(__name__)
@ -39,29 +40,18 @@ class Analysis:
self.has_bias = False
class LookaheadAnalysis:
class LookaheadAnalysis(BaseAnalysis):
def __init__(self, config: Dict[str, Any], strategy_obj: Dict):
self.failed_bias_check = True
self.full_varHolder = VarHolder()
super().__init__(config, strategy_obj)
self.entry_varHolders: List[VarHolder] = []
self.exit_varHolders: List[VarHolder] = []
self.exchange: Optional[Any] = None
self._fee = None
# pull variables the scope of the lookahead_analysis-instance
self.local_config = deepcopy(config)
self.local_config['strategy'] = strategy_obj['name']
self.current_analysis = Analysis()
self.minimum_trade_amount = config['minimum_trade_amount']
self.targeted_trade_amount = config['targeted_trade_amount']
self.strategy_obj = strategy_obj
@staticmethod
def dt_to_timestamp(dt: datetime):
timestamp = int(dt.replace(tzinfo=timezone.utc).timestamp())
return timestamp
@staticmethod
def get_result(backtesting: Backtesting, processed: DataFrame):
@ -129,57 +119,41 @@ class LookaheadAnalysis:
f"{col_name[0]}. "
f"{str(self_value)} != {str(other_value)}")
def prepare_data(self, varholder: VarHolder, pairs_to_load: List[DataFrame]):
def prepare_data(self, varholder: VarHolder, pairs_to_load: List[DataFrame], backtesting=None):
if 'freqai' in self.local_config and 'identifier' in self.local_config['freqai']:
# purge previous data if the freqai model is defined
# (to be sure nothing is carried over from older backtests)
path_to_current_identifier = (
Path(f"{self.local_config['user_data_dir']}/models/"
f"{self.local_config['freqai']['identifier']}").resolve())
# remove folder and its contents
if Path.exists(path_to_current_identifier):
shutil.rmtree(path_to_current_identifier)
super().prepare_data(varholder, pairs_to_load, backtesting)
prepare_data_config = deepcopy(self.local_config)
prepare_data_config['timerange'] = (str(self.dt_to_timestamp(varholder.from_dt)) + "-" +
str(self.dt_to_timestamp(varholder.to_dt)))
prepare_data_config['exchange']['pair_whitelist'] = pairs_to_load
# if 'freqai' in self.local_config and 'identifier' in self.local_config['freqai']:
# # purge previous data if the freqai model is defined
# # (to be sure nothing is carried over from older backtests)
# path_to_current_identifier = (
# Path(f"{self.local_config['user_data_dir']}/models/"
# f"{self.local_config['freqai']['identifier']}").resolve())
# # remove folder and its contents
# if Path.exists(path_to_current_identifier):
# shutil.rmtree(path_to_current_identifier)
if self._fee is not None:
# Don't re-calculate fee per pair, as fee might differ per pair.
prepare_data_config['fee'] = self._fee
# prepare_data_config = deepcopy(self.local_config)
# prepare_data_config['timerange'] = (str(self.dt_to_timestamp(varholder.from_dt)) + "-" +
# str(self.dt_to_timestamp(varholder.to_dt)))
# prepare_data_config['exchange']['pair_whitelist'] = pairs_to_load
backtesting = Backtesting(prepare_data_config, self.exchange)
# if self._fee is not None:
# # Don't re-calculate fee per pair, as fee might differ per pair.
# prepare_data_config['fee'] = self._fee
# backtesting = Backtesting(prepare_data_config, self.exchange)
self.exchange = backtesting.exchange
self._fee = backtesting.fee
backtesting._set_strategy(backtesting.strategylist[0])
# backtesting._set_strategy(backtesting.strategylist[0])
varholder.data, varholder.timerange = backtesting.load_bt_data()
backtesting.load_bt_data_detail()
varholder.timeframe = backtesting.timeframe
# varholder.data, varholder.timerange = backtesting.load_bt_data()
# backtesting.load_bt_data_detail()
# varholder.timeframe = backtesting.timeframe
varholder.indicators = backtesting.strategy.advise_all_indicators(varholder.data)
# varholder.indicators = backtesting.strategy.advise_all_indicators(varholder.data)
varholder.result = self.get_result(backtesting, varholder.indicators)
def fill_full_varholder(self):
self.full_varHolder = VarHolder()
# define datetime in human-readable format
parsed_timerange = TimeRange.parse_timerange(self.local_config['timerange'])
if parsed_timerange.startdt is None:
self.full_varHolder.from_dt = datetime.fromtimestamp(0, tz=timezone.utc)
else:
self.full_varHolder.from_dt = parsed_timerange.startdt
if parsed_timerange.stopdt is None:
self.full_varHolder.to_dt = datetime.utcnow()
else:
self.full_varHolder.to_dt = parsed_timerange.stopdt
self.prepare_data(self.full_varHolder, self.local_config['pairs'])
def fill_entry_and_exit_varHolders(self, result_row):
# entry_varHolder
entry_varHolder = VarHolder()
@ -246,8 +220,7 @@ class LookaheadAnalysis:
def start(self) -> None:
# first make a single backtest
self.fill_full_varholder()
super().start()
reduce_verbosity_for_bias_tester()