Merge pull request #20 from stash86/bt-metrics2

create BaseAnalysis class

freqtrade/configuration/configuration.py

@@ -490,6 +490,9 @@ class Configuration:
         self._args_to_config(config, argname='lookahead_analysis_exportfilename',
                              logstring='Path to store lookahead-analysis-results: {}')
 
+        self._args_to_config(config, argname='startup_candle',
+                             logstring='Startup candle to be used on recursive analysis: {}')
+
     def _process_runmode(self, config: Config) -> None:
 
         self._args_to_config(config, argname='dry_run',

freqtrade/optimize/base_analysis.py

@@ -0,0 +1,66 @@
+import logging
+from copy import deepcopy
+from datetime import datetime, timezone
+from typing import Any, Dict, Optional
+
+from pandas import DataFrame
+
+from freqtrade.configuration import TimeRange
+
+
+logger = logging.getLogger(__name__)
+
+
+class VarHolder:
+    timerange: TimeRange
+    data: DataFrame
+    indicators: Dict[str, DataFrame]
+    result: DataFrame
+    compared: DataFrame
+    from_dt: datetime
+    to_dt: datetime
+    compared_dt: datetime
+    timeframe: str
+    startup_candle: int
+
+
+class BaseAnalysis:
+
+    def __init__(self, config: Dict[str, Any], strategy_obj: Dict):
+        self.failed_bias_check = True
+        self.full_varHolder = 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.strategy_obj = strategy_obj
+
+    @staticmethod
+    def dt_to_timestamp(dt: datetime):
+        timestamp = int(dt.replace(tzinfo=timezone.utc).timestamp())
+        return timestamp
+
+    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 start(self) -> None:
+
+        # first make a single backtest
+        self.fill_full_varholder()

freqtrade/optimize/lookahead_analysis.py

@@ -1,35 +1,23 @@
 import logging
 import shutil
 from copy import deepcopy
-from datetime import datetime, timedelta, timezone
+from datetime import datetime, timedelta
 from pathlib import Path
-from typing import Any, Dict, List, Optional
+from typing import Any, Dict, List
 
 from pandas import DataFrame
 
-from freqtrade.configuration import TimeRange
 from freqtrade.data.history import get_timerange
 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__)
 
 
-class VarHolder:
-    timerange: TimeRange
-    data: DataFrame
-    indicators: Dict[str, DataFrame]
-    result: DataFrame
-    compared: DataFrame
-    from_dt: datetime
-    to_dt: datetime
-    compared_dt: datetime
-    timeframe: str
-
-
 class Analysis:
     def __init__(self) -> None:
         self.total_signals = 0
@@ -39,29 +27,18 @@ 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):
@@ -162,24 +139,6 @@ class LookaheadAnalysis:
         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 +205,7 @@ class LookaheadAnalysis:
 
     def start(self) -> None:
 
-        # first make a single backtest
-        self.fill_full_varholder()
+        super().start()
 
         reduce_verbosity_for_bias_tester()
 

freqtrade/optimize/recursive_analysis.py

@@ -1,56 +1,35 @@
 import logging
 import shutil
 from copy import deepcopy
-from datetime import datetime, timedelta, timezone
+from datetime import timedelta
 from pathlib import Path
-from typing import Any, Dict, List, Optional
+from typing import Any, Dict, List
 
 from pandas import DataFrame
 
-from freqtrade.configuration import TimeRange
 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__)
 
 
-class VarHolder:
-    timerange: TimeRange
-    data: DataFrame
-    indicators: Dict[str, DataFrame]
-    from_dt: datetime
-    to_dt: datetime
-    timeframe: str
-    startup_candle: int
-
-
-class RecursiveAnalysis:
+class RecursiveAnalysis(BaseAnalysis):
 
     def __init__(self, config: Dict[str, Any], strategy_obj: Dict):
-        self.failed_bias_check = True
-        self.full_varHolder = VarHolder()
+
+        self._startup_candle = config.get('startup_candle', [199, 399, 499, 999, 1999])
+
+        super().__init__(config, strategy_obj)
+
         self.partial_varHolder_array: List[VarHolder] = []
         self.partial_varHolder_lookahead_array: List[VarHolder] = []
 
-        self.entry_varHolders: List[VarHolder] = []
-        self.exit_varHolders: List[VarHolder] = []
-        self.exchange: Optional[Any] = None
-
-        # pull variables the scope of the recursive_analysis-instance
-        self.local_config = deepcopy(config)
-        self.local_config['strategy'] = strategy_obj['name']
-        self._startup_candle = config.get('startup_candle', [199, 399, 499, 999, 1999])
-        self.strategy_obj = strategy_obj
         self.dict_recursive: Dict[str, Any] = dict()
 
-    @staticmethod
-    def dt_to_timestamp(dt: datetime):
-        timestamp = int(dt.replace(tzinfo=timezone.utc).timestamp())
-        return timestamp
-
     # For recursive bias check
     # analyzes two data frames with processed indicators and shows differences between them.
     def analyze_indicators(self):
@@ -141,7 +120,6 @@ class RecursiveAnalysis:
         prepare_data_config['exchange']['pair_whitelist'] = pairs_to_load
 
         backtesting = Backtesting(prepare_data_config, self.exchange)
-        self.exchange = backtesting.exchange
         backtesting._set_strategy(backtesting.strategylist[0])
 
         varholder.data, varholder.timerange = backtesting.load_bt_data()
@@ -150,24 +128,6 @@ class RecursiveAnalysis:
 
         varholder.indicators = backtesting.strategy.advise_all_indicators(varholder.data)
 
-    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_partial_varholder(self, start_date, startup_candle):
         partial_varHolder = VarHolder()
 
@@ -186,9 +146,6 @@ class RecursiveAnalysis:
 
         partial_varHolder.from_dt = self.full_varHolder.from_dt
         partial_varHolder.to_dt = end_date
-        # partial_varHolder.startup_candle = startup_candle
-
-        # self.local_config['startup_candle_count'] = startup_candle
 
         self.prepare_data(partial_varHolder, self.local_config['pairs'])
 
@@ -196,11 +153,9 @@ class RecursiveAnalysis:
 
     def start(self) -> None:
 
-        # first make a single backtest
-        self.fill_full_varholder()
+        super().start()
 
         reduce_verbosity_for_bias_tester()
-
         start_date_full = self.full_varHolder.from_dt
         end_date_full = self.full_varHolder.to_dt