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Merge pull request #10546 from stash86/fix-recursive

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add startup count from strategy to the analysis
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Matthias 2024-08-18 17:16:56 +02:00 committed by GitHub
commit 624dfdf6ac
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2 changed files with 23 additions and 5 deletions
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22
freqtrade/optimize/analysis/recursive.py
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@ -14,6 +14,7 @@ from freqtrade.loggers.set_log_levels import (
) )
from freqtrade.optimize.backtesting import Backtesting from freqtrade.optimize.backtesting import Backtesting
from freqtrade.optimize.base_analysis import BaseAnalysis, VarHolder from freqtrade.optimize.base_analysis import BaseAnalysis, VarHolder
from freqtrade.resolvers import StrategyResolver
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -21,10 +22,19 @@ logger = logging.getLogger(__name__)
class RecursiveAnalysis(BaseAnalysis): class RecursiveAnalysis(BaseAnalysis):
def __init__(self, config: Dict[str, Any], strategy_obj: Dict): def __init__(self, config: Dict[str, Any], strategy_obj: Dict):
self._startup_candle = config.get("startup_candle", [199, 399, 499, 999, 1999]) self._startup_candle = list(
map(int, config.get("startup_candle", [199, 399, 499, 999, 1999]))
)
super().__init__(config, strategy_obj) super().__init__(config, strategy_obj)
strat = StrategyResolver.load_strategy(config)
self._strat_scc = strat.startup_candle_count
if self._strat_scc not in self._startup_candle:
self._startup_candle.append(self._strat_scc)
self._startup_candle.sort()
self.partial_varHolder_array: List[VarHolder] = [] self.partial_varHolder_array: List[VarHolder] = []
self.partial_varHolder_lookahead_array: List[VarHolder] = [] self.partial_varHolder_lookahead_array: List[VarHolder] = []
@ -58,9 +68,13 @@ class RecursiveAnalysis(BaseAnalysis):
values_diff = compare_df.loc[indicator] values_diff = compare_df.loc[indicator]
values_diff_self = values_diff.loc["self"] values_diff_self = values_diff.loc["self"]
values_diff_other = values_diff.loc["other"] values_diff_other = values_diff.loc["other"]
diff = (values_diff_other - values_diff_self) / values_diff_self * 100
self.dict_recursive[indicator][part.startup_candle] = f"{diff:.3f}%" if values_diff_self and values_diff_other:
diff = (values_diff_other - values_diff_self) / values_diff_self * 100
str_diff = f"{diff:.3f}%"
else:
str_diff = "NaN"
self.dict_recursive[indicator][part.startup_candle] = str_diff
else: else:
logger.info("No variance on indicator(s) found due to recursive formula.") logger.info("No variance on indicator(s) found due to recursive formula.")
@ -174,7 +188,7 @@ class RecursiveAnalysis(BaseAnalysis):
start_date_partial = end_date_full - timedelta(minutes=int(timeframe_minutes)) start_date_partial = end_date_full - timedelta(minutes=int(timeframe_minutes))
for startup_candle in self._startup_candle: for startup_candle in self._startup_candle:
self.fill_partial_varholder(start_date_partial, int(startup_candle)) self.fill_partial_varholder(start_date_partial, startup_candle)
# Restore verbosity, so it's not too quiet for the next strategy # Restore verbosity, so it's not too quiet for the next strategy
restore_verbosity_for_bias_tester() restore_verbosity_for_bias_tester()

6
freqtrade/optimize/analysis/recursive_helpers.py
View File

@ -17,9 +17,13 @@ class RecursiveAnalysisSubFunctions:
@staticmethod @staticmethod
def text_table_recursive_analysis_instances(recursive_instances: List[RecursiveAnalysis]): def text_table_recursive_analysis_instances(recursive_instances: List[RecursiveAnalysis]):
startups = recursive_instances[0]._startup_candle startups = recursive_instances[0]._startup_candle
strat_scc = recursive_instances[0]._strat_scc
headers = ["Indicators"] headers = ["Indicators"]
for candle in startups: for candle in startups:
headers.append(str(candle)) if candle == strat_scc:
headers.append(f"{candle} (from strategy)")
else:
headers.append(str(candle))
data = [] data = []
for inst in recursive_instances: for inst in recursive_instances: