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- modified help-string for the cli-option lookahead_analysis_exportfilename
- moved doc from utils.md to lookahead-analysis.md and modified it (unfinished) - added a check to automatically edit the config['backtest_cache'] to be 'none' - adjusted test_lookahead_helper_export_to_csv to catch the new catching of errors - adjusted test_lookahead_helper_text_table_lookahead_analysis_instances to catch the new catching of errors - changed lookahead_analysis.start result-reporting to show that not enough trades were caught including x of y
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hippocritical
parent
9bb25be880
commit
eec7837167
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@ -250,12 +250,19 @@ class LookaheadAnalysis:
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self.analyze_row(idx, result_row)
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# check and report signals
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if (self.current_analysis.false_entry_signals > 0 or
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self.current_analysis.false_exit_signals > 0 or
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len(self.current_analysis.false_indicators) > 0):
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logger.info(f" => {self.local_config['strategy']} + : bias detected!")
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if self.current_analysis.total_signals < self.local_config['minimum_trade_amount']:
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logger.info(f" -> {self.local_config['strategy']} : too few trades. "
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f"We only found {self.current_analysis.total_signals} trades. "
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f"Hint: Extend the timerange "
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f"to get at least {self.local_config['minimum_trade_amount']} "
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f"or lower the value of minimum_trade_amount.")
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self.failed_bias_check = True
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elif (self.current_analysis.false_entry_signals > 0 or
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self.current_analysis.false_exit_signals > 0 or
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len(self.current_analysis.false_indicators) > 0):
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logger.info(f" => {self.local_config['strategy']} : bias detected!")
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self.current_analysis.has_bias = True
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self.failed_bias_check = False
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else:
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logger.info(self.local_config['strategy'] + ": no bias detected")
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self.failed_bias_check = False
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self.failed_bias_check = False
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@ -16,12 +16,24 @@ logger = logging.getLogger(__name__)
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class LookaheadAnalysisSubFunctions:
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@staticmethod
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def text_table_lookahead_analysis_instances(lookahead_instances: List[LookaheadAnalysis]):
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def text_table_lookahead_analysis_instances(
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config: Dict[str, Any],
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lookahead_instances: List[LookaheadAnalysis]):
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headers = ['filename', 'strategy', 'has_bias', 'total_signals',
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'biased_entry_signals', 'biased_exit_signals', 'biased_indicators']
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data = []
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for inst in lookahead_instances:
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if inst.failed_bias_check:
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if config['minimum_trade_amount'] > inst.current_analysis.total_signals:
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data.append(
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[
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inst.strategy_obj['location'].parts[-1],
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inst.strategy_obj['name'],
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"too few trades caught "
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f"({inst.current_analysis.total_signals}/{config['minimum_trade_amount']})."
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f"Test failed."
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]
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)
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elif inst.failed_bias_check:
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data.append(
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[
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inst.strategy_obj['location'].parts[-1],
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@ -77,14 +89,21 @@ class LookaheadAnalysisSubFunctions:
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index=None)
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for inst in lookahead_analysis:
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new_row_data = {'filename': inst.strategy_obj['location'].parts[-1],
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'strategy': inst.strategy_obj['name'],
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'has_bias': inst.current_analysis.has_bias,
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'total_signals': inst.current_analysis.total_signals,
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'biased_entry_signals': inst.current_analysis.false_entry_signals,
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'biased_exit_signals': inst.current_analysis.false_exit_signals,
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'biased_indicators': ",".join(inst.current_analysis.false_indicators)}
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csv_df = add_or_update_row(csv_df, new_row_data)
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# only update if
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if (inst.current_analysis.total_signals > config['minimum_trade_amount']
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and inst.failed_bias_check is not True):
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new_row_data = {'filename': inst.strategy_obj['location'].parts[-1],
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'strategy': inst.strategy_obj['name'],
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'has_bias': inst.current_analysis.has_bias,
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'total_signals':
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int(inst.current_analysis.total_signals),
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'biased_entry_signals':
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int(inst.current_analysis.false_entry_signals),
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'biased_exit_signals':
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int(inst.current_analysis.false_exit_signals),
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'biased_indicators':
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",".join(inst.current_analysis.false_indicators)}
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csv_df = add_or_update_row(csv_df, new_row_data)
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logger.info(f"saving {config['lookahead_analysis_exportfilename']}")
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csv_df.to_csv(config['lookahead_analysis_exportfilename'], index=False)
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@ -122,7 +141,7 @@ class LookaheadAnalysisSubFunctions:
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config['backtest_cache'] = 'none'
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strategy_objs = StrategyResolver.search_all_objects(
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config, enum_failed=False, recursive=config.get('recursive_strategy_search', False))
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config, enum_failed=False, recursive=config.get('recursive_strategy_search', False))
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lookaheadAnalysis_instances = []
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@ -147,7 +166,7 @@ class LookaheadAnalysisSubFunctions:
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# report the results
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if lookaheadAnalysis_instances:
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LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
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lookaheadAnalysis_instances)
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config, lookaheadAnalysis_instances)
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if config.get('lookahead_analysis_exportfilename') is not None:
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LookaheadAnalysisSubFunctions.export_to_csv(config, lookaheadAnalysis_instances)
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else:
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@ -115,30 +115,40 @@ def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf
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instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
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instance.current_analysis = analysis
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances([instance]))
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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# check row contents for a try that errored out
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# check row contents for a try that has too few signals
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assert data[0][0] == 'strategy_test_v3_with_lookahead_bias.py'
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assert data[0][1] == 'strategy_test_v3_with_lookahead_bias'
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assert data[0][2].__contains__('error')
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assert data[0][2].__contains__('too few trades')
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assert len(data[0]) == 3
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# now check for an error which occured after enough trades
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analysis.total_signals = 12
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analysis.false_entry_signals = 11
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analysis.false_exit_signals = 10
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instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
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instance.current_analysis = analysis
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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assert data[0][2].__contains__("error")
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# edit it into not showing an error
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instance.failed_bias_check = False
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances([instance]))
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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assert data[0][0] == 'strategy_test_v3_with_lookahead_bias.py'
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assert data[0][1] == 'strategy_test_v3_with_lookahead_bias'
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assert data[0][2] # True
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assert data[0][3] == 5
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assert data[0][4] == 4
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assert data[0][5] == 3
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assert data[0][3] == 12
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assert data[0][4] == 11
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assert data[0][5] == 10
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assert data[0][6] == ''
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analysis.false_indicators.append('falseIndicator1')
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analysis.false_indicators.append('falseIndicator2')
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances([instance]))
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text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
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assert data[0][6] == 'falseIndicator1, falseIndicator2'
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@ -146,8 +156,8 @@ def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf
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assert len(data) == 1
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# check amount of multiple rows
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table, headers, data = (LookaheadAnalysisSubFunctions.
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text_table_lookahead_analysis_instances([instance, instance, instance]))
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table, headers, data = (LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
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lookahead_conf, [instance, instance, instance]))
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assert len(data) == 3
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@ -165,9 +175,9 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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# 1st check: create a new file and verify its contents
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analysis1 = Analysis()
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analysis1.has_bias = True
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analysis1.total_signals = 5
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analysis1.false_entry_signals = 4
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analysis1.false_exit_signals = 3
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analysis1.total_signals = 12
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analysis1.false_entry_signals = 11
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analysis1.false_exit_signals = 10
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analysis1.false_indicators.append('falseIndicator1')
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analysis1.false_indicators.append('falseIndicator2')
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lookahead_conf['lookahead_analysis_exportfilename'] = "temp_csv_lookahead_analysis.csv"
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@ -178,6 +188,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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}
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instance1 = LookaheadAnalysis(lookahead_conf, strategy_obj1)
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instance1.failed_bias_check = False
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instance1.current_analysis = analysis1
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LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance1])
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@ -186,7 +197,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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expected_values1 = [
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[
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'file1.py', 'strat1', True,
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5, 4, 3,
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12, 11, 10,
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"falseIndicator1,falseIndicator2"
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],
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]
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@ -202,7 +213,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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expected_values2 = [
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[
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'file1.py', 'strat1', False,
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10, 11, 12,
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22, 21, 20,
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"falseIndicator3,falseIndicator4"
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],
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]
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@ -210,9 +221,9 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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analysis2 = Analysis()
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analysis2.has_bias = False
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analysis2.total_signals = 10
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analysis2.false_entry_signals = 11
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analysis2.false_exit_signals = 12
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analysis2.total_signals = 22
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analysis2.false_entry_signals = 21
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analysis2.false_exit_signals = 20
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analysis2.false_indicators.append('falseIndicator3')
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analysis2.false_indicators.append('falseIndicator4')
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@ -222,6 +233,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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}
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instance2 = LookaheadAnalysis(lookahead_conf, strategy_obj2)
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instance2.failed_bias_check = False
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instance2.current_analysis = analysis2
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LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance2])
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@ -233,12 +245,12 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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expected_values3 = [
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[
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'file1.py', 'strat1', False,
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10, 11, 12,
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22, 21, 20,
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"falseIndicator3,falseIndicator4"
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],
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[
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'file3.py', 'strat3', True,
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20, 21, 22, "falseIndicator5,falseIndicator6"
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32, 31, 30, "falseIndicator5,falseIndicator6"
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],
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]
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@ -246,9 +258,9 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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analysis3 = Analysis()
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analysis3.has_bias = True
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analysis3.total_signals = 20
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analysis3.false_entry_signals = 21
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analysis3.false_exit_signals = 22
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analysis3.total_signals = 32
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analysis3.false_entry_signals = 31
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analysis3.false_exit_signals = 30
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analysis3.false_indicators.append('falseIndicator5')
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analysis3.false_indicators.append('falseIndicator6')
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lookahead_conf['lookahead_analysis_exportfilename'] = "temp_csv_lookahead_analysis.csv"
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@ -259,6 +271,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
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}
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instance3 = LookaheadAnalysis(lookahead_conf, strategy_obj3)
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instance3.failed_bias_check = False
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instance3.current_analysis = analysis3
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LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance3])
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