import logging import platform import shutil import sys from pathlib import Path from unittest.mock import MagicMock import pytest from freqtrade.configuration import TimeRange from freqtrade.data.dataprovider import DataProvider from freqtrade.enums import RunMode from freqtrade.freqai.data_kitchen import FreqaiDataKitchen from freqtrade.freqai.utils import download_all_data_for_training, get_required_data_timerange from freqtrade.optimize.backtesting import Backtesting from freqtrade.persistence import Trade from freqtrade.plugins.pairlistmanager import PairListManager from tests.conftest import EXMS, create_mock_trades, get_patched_exchange, log_has_re from tests.freqai.conftest import (get_patched_freqai_strategy, is_mac, make_rl_config, mock_pytorch_mlp_model_training_parameters) def is_py11() -> bool: return sys.version_info >= (3, 11) def is_arm() -> bool: machine = platform.machine() return "arm" in machine or "aarch64" in machine def can_run_model(model: str) -> None: if is_arm() and "Catboost" in model: pytest.skip("CatBoost is not supported on ARM.") is_pytorch_model = 'Reinforcement' in model or 'PyTorch' in model if is_pytorch_model and is_mac() and not is_arm(): pytest.skip("Reinforcement learning / PyTorch module not available on intel based Mac OS.") @pytest.mark.parametrize('model, pca, dbscan, float32, can_short, shuffle, buffer, noise', [ ('LightGBMRegressor', True, False, True, True, False, 0, 0), ('XGBoostRegressor', False, True, False, True, False, 10, 0.05), ('XGBoostRFRegressor', False, False, False, True, False, 0, 0), ('CatboostRegressor', False, False, False, True, True, 0, 0), ('PyTorchMLPRegressor', False, False, False, False, False, 0, 0), ('PyTorchTransformerRegressor', False, False, False, False, False, 0, 0), ('ReinforcementLearner', False, True, False, True, False, 0, 0), ('ReinforcementLearner_multiproc', False, False, False, True, False, 0, 0), ('ReinforcementLearner_test_3ac', False, False, False, False, False, 0, 0), ('ReinforcementLearner_test_3ac', False, False, False, True, False, 0, 0), ('ReinforcementLearner_test_4ac', False, False, False, True, False, 0, 0), ]) def test_extract_data_and_train_model_Standard(mocker, freqai_conf, model, pca, dbscan, float32, can_short, shuffle, buffer, noise): can_run_model(model) test_tb = True if is_mac(): test_tb = False model_save_ext = 'joblib' freqai_conf.update({"freqaimodel": model}) freqai_conf.update({"timerange": "20180110-20180130"}) freqai_conf.update({"strategy": "freqai_test_strat"}) freqai_conf['freqai']['feature_parameters'].update({"principal_component_analysis": pca}) freqai_conf['freqai']['feature_parameters'].update({"use_DBSCAN_to_remove_outliers": dbscan}) freqai_conf.update({"reduce_df_footprint": float32}) freqai_conf['freqai']['feature_parameters'].update({"shuffle_after_split": shuffle}) freqai_conf['freqai']['feature_parameters'].update({"buffer_train_data_candles": buffer}) freqai_conf['freqai']['feature_parameters'].update({"noise_standard_deviation": noise}) if 'ReinforcementLearner' in model: model_save_ext = 'zip' freqai_conf = make_rl_config(freqai_conf) # test the RL guardrails freqai_conf['freqai']['feature_parameters'].update({"use_SVM_to_remove_outliers": True}) freqai_conf['freqai']['feature_parameters'].update({"DI_threshold": 2}) freqai_conf['freqai']['data_split_parameters'].update({'shuffle': True}) if 'test_3ac' in model or 'test_4ac' in model: freqai_conf["freqaimodel_path"] = str(Path(__file__).parents[1] / "freqai" / "test_models") freqai_conf["freqai"]["rl_config"]["drop_ohlc_from_features"] = True if 'PyTorch' in model: model_save_ext = 'zip' pytorch_mlp_mtp = mock_pytorch_mlp_model_training_parameters() freqai_conf['freqai']['model_training_parameters'].update(pytorch_mlp_mtp) if 'Transformer' in model: # transformer model takes a window, unlike the MLP regressor freqai_conf.update({"conv_width": 10}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = True freqai.activate_tensorboard = test_tb freqai.can_short = can_short freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk.live = True freqai.dk.set_paths('ADA/BTC', 10000) timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.pair_dict = MagicMock() data_load_timerange = TimeRange.parse_timerange("20180125-20180130") new_timerange = TimeRange.parse_timerange("20180127-20180130") freqai.dk.set_paths('ADA/BTC', None) freqai.train_timer("start", "ADA/BTC") freqai.extract_data_and_train_model( new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange) freqai.train_timer("stop", "ADA/BTC") freqai.dd.save_metric_tracker_to_disk() freqai.dd.save_drawer_to_disk() assert Path(freqai.dk.full_path / "metric_tracker.json").is_file() assert Path(freqai.dk.full_path / "pair_dictionary.json").is_file() assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.{model_save_ext}").is_file() assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file() assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file() shutil.rmtree(Path(freqai.dk.full_path)) @pytest.mark.parametrize('model, strat', [ ('LightGBMRegressorMultiTarget', "freqai_test_multimodel_strat"), ('XGBoostRegressorMultiTarget', "freqai_test_multimodel_strat"), ('CatboostRegressorMultiTarget', "freqai_test_multimodel_strat"), ('LightGBMClassifierMultiTarget', "freqai_test_multimodel_classifier_strat"), ('CatboostClassifierMultiTarget', "freqai_test_multimodel_classifier_strat") ]) def test_extract_data_and_train_model_MultiTargets(mocker, freqai_conf, model, strat): can_run_model(model) freqai_conf.update({"timerange": "20180110-20180130"}) freqai_conf.update({"strategy": strat}) freqai_conf.update({"freqaimodel": model}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = True freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk.live = True timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.pair_dict = MagicMock() data_load_timerange = TimeRange.parse_timerange("20180110-20180130") new_timerange = TimeRange.parse_timerange("20180120-20180130") freqai.dk.set_paths('ADA/BTC', None) freqai.extract_data_and_train_model( new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange) assert len(freqai.dk.label_list) == 2 assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model.joblib").is_file() assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").is_file() assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").is_file() assert len(freqai.dk.data['training_features_list']) == 14 shutil.rmtree(Path(freqai.dk.full_path)) @pytest.mark.parametrize('model', [ 'LightGBMClassifier', 'CatboostClassifier', 'XGBoostClassifier', 'XGBoostRFClassifier', 'PyTorchMLPClassifier', ]) def test_extract_data_and_train_model_Classifiers(mocker, freqai_conf, model): can_run_model(model) freqai_conf.update({"freqaimodel": model}) freqai_conf.update({"strategy": "freqai_test_classifier"}) freqai_conf.update({"timerange": "20180110-20180130"}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = True freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk.live = True timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.pair_dict = MagicMock() data_load_timerange = TimeRange.parse_timerange("20180110-20180130") new_timerange = TimeRange.parse_timerange("20180120-20180130") freqai.dk.set_paths('ADA/BTC', None) freqai.extract_data_and_train_model(new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange) if 'PyTorchMLPClassifier': pytorch_mlp_mtp = mock_pytorch_mlp_model_training_parameters() freqai_conf['freqai']['model_training_parameters'].update(pytorch_mlp_mtp) if freqai.dd.model_type == 'joblib': model_file_extension = ".joblib" elif freqai.dd.model_type == "pytorch": model_file_extension = ".zip" else: raise Exception(f"Unsupported model type: {freqai.dd.model_type}," f" can't assign model_file_extension") assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_model{model_file_extension}").exists() assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_metadata.json").exists() assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_trained_df.pkl").exists() shutil.rmtree(Path(freqai.dk.full_path)) @pytest.mark.parametrize( "model, num_files, strat", [ ("LightGBMRegressor", 2, "freqai_test_strat"), ("XGBoostRegressor", 2, "freqai_test_strat"), ("CatboostRegressor", 2, "freqai_test_strat"), ("PyTorchMLPRegressor", 2, "freqai_test_strat"), ("PyTorchTransformerRegressor", 2, "freqai_test_strat"), ("ReinforcementLearner", 3, "freqai_rl_test_strat"), ("XGBoostClassifier", 2, "freqai_test_classifier"), ("LightGBMClassifier", 2, "freqai_test_classifier"), ("CatboostClassifier", 2, "freqai_test_classifier"), ("PyTorchMLPClassifier", 2, "freqai_test_classifier") ], ) def test_start_backtesting(mocker, freqai_conf, model, num_files, strat, caplog): can_run_model(model) test_tb = True if is_mac(): test_tb = False freqai_conf.get("freqai", {}).update({"save_backtest_models": True}) freqai_conf['runmode'] = RunMode.BACKTEST Trade.use_db = False freqai_conf.update({"freqaimodel": model}) freqai_conf.update({"timerange": "20180120-20180130"}) freqai_conf.update({"strategy": strat}) if 'ReinforcementLearner' in model: freqai_conf = make_rl_config(freqai_conf) if 'test_4ac' in model: freqai_conf["freqaimodel_path"] = str(Path(__file__).parents[1] / "freqai" / "test_models") if 'PyTorch' in model: pytorch_mlp_mtp = mock_pytorch_mlp_model_training_parameters() freqai_conf['freqai']['model_training_parameters'].update(pytorch_mlp_mtp) if 'Transformer' in model: # transformer model takes a window, unlike the MLP regressor freqai_conf.update({"conv_width": 10}) freqai_conf.get("freqai", {}).get("feature_parameters", {}).update( {"indicator_periods_candles": [2]}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = False freqai.activate_tensorboard = test_tb freqai.dk = FreqaiDataKitchen(freqai_conf) timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) sub_timerange = TimeRange.parse_timerange("20180110-20180130") _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) df = base_df[freqai_conf["timeframe"]] metadata = {"pair": "LTC/BTC"} freqai.dk.set_paths('LTC/BTC', None) freqai.start_backtesting(df, metadata, freqai.dk, strategy) model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()] assert len(model_folders) == num_files Trade.use_db = True Backtesting.cleanup() shutil.rmtree(Path(freqai.dk.full_path)) def test_start_backtesting_subdaily_backtest_period(mocker, freqai_conf): freqai_conf.update({"timerange": "20180120-20180124"}) freqai_conf.get("freqai", {}).update({"backtest_period_days": 0.5}) freqai_conf.get("freqai", {}).update({"save_backtest_models": True}) freqai_conf.get("freqai", {}).get("feature_parameters", {}).update( {"indicator_periods_candles": [2]}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = False freqai.dk = FreqaiDataKitchen(freqai_conf) timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) sub_timerange = TimeRange.parse_timerange("20180110-20180130") _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) df = base_df[freqai_conf["timeframe"]] metadata = {"pair": "LTC/BTC"} freqai.start_backtesting(df, metadata, freqai.dk, strategy) model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()] assert len(model_folders) == 9 shutil.rmtree(Path(freqai.dk.full_path)) def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog): freqai_conf.update({"timerange": "20180120-20180130"}) freqai_conf.get("freqai", {}).update({"save_backtest_models": True}) freqai_conf.get("freqai", {}).get("feature_parameters", {}).update( {"indicator_periods_candles": [2]}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = False freqai.dk = FreqaiDataKitchen(freqai_conf) timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) sub_timerange = TimeRange.parse_timerange("20180101-20180130") _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) df = base_df[freqai_conf["timeframe"]] pair = "ADA/BTC" metadata = {"pair": pair} freqai.dk.pair = pair freqai.start_backtesting(df, metadata, freqai.dk, strategy) model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()] assert len(model_folders) == 2 # without deleting the existing folder structure, re-run freqai_conf.update({"timerange": "20180120-20180130"}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = False freqai.dk = FreqaiDataKitchen(freqai_conf) timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) sub_timerange = TimeRange.parse_timerange("20180110-20180130") _, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) df = base_df[freqai_conf["timeframe"]] pair = "ADA/BTC" metadata = {"pair": pair} freqai.dk.pair = pair freqai.start_backtesting(df, metadata, freqai.dk, strategy) assert log_has_re( "Found backtesting prediction file ", caplog, ) pair = "ETH/BTC" metadata = {"pair": pair} freqai.dk.pair = pair freqai.start_backtesting(df, metadata, freqai.dk, strategy) path = (freqai.dd.full_path / freqai.dk.backtest_predictions_folder) prediction_files = [x for x in path.iterdir() if x.is_file()] assert len(prediction_files) == 2 shutil.rmtree(Path(freqai.dk.full_path)) def test_backtesting_fit_live_predictions(mocker, freqai_conf, caplog): freqai_conf.get("freqai", {}).update({"fit_live_predictions_candles": 10}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = False freqai.dk = FreqaiDataKitchen(freqai_conf) timerange = TimeRange.parse_timerange("20180128-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) sub_timerange = TimeRange.parse_timerange("20180129-20180130") corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk) df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC") df = strategy.set_freqai_targets(df.copy(), metadata={"pair": "LTC/BTC"}) df = freqai.dk.remove_special_chars_from_feature_names(df) freqai.dk.get_unique_classes_from_labels(df) freqai.dk.pair = "ADA/BTC" freqai.dk.full_df = df.fillna(0) freqai.dk.full_df assert "&-s_close_mean" not in freqai.dk.full_df.columns assert "&-s_close_std" not in freqai.dk.full_df.columns freqai.backtesting_fit_live_predictions(freqai.dk) assert "&-s_close_mean" in freqai.dk.full_df.columns assert "&-s_close_std" in freqai.dk.full_df.columns shutil.rmtree(Path(freqai.dk.full_path)) def test_plot_feature_importance(mocker, freqai_conf): from freqtrade.freqai.utils import plot_feature_importance freqai_conf.update({"timerange": "20180110-20180130"}) freqai_conf.get("freqai", {}).get("feature_parameters", {}).update( {"princpial_component_analysis": "true"}) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = True freqai.dk = FreqaiDataKitchen(freqai_conf) freqai.dk.live = True timerange = TimeRange.parse_timerange("20180110-20180130") freqai.dd.load_all_pair_histories(timerange, freqai.dk) freqai.dd.pair_dict = {"ADA/BTC": {"model_filename": "fake_name", "trained_timestamp": 1, "data_path": "", "extras": {}}} data_load_timerange = TimeRange.parse_timerange("20180110-20180130") new_timerange = TimeRange.parse_timerange("20180120-20180130") freqai.dk.set_paths('ADA/BTC', None) freqai.extract_data_and_train_model( new_timerange, "ADA/BTC", strategy, freqai.dk, data_load_timerange) model = freqai.dd.load_data("ADA/BTC", freqai.dk) plot_feature_importance(model, "ADA/BTC", freqai.dk) assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}.html") shutil.rmtree(Path(freqai.dk.full_path)) @pytest.mark.parametrize('timeframes,corr_pairs', [ (['5m'], ['ADA/BTC', 'DASH/BTC']), (['5m'], ['ADA/BTC', 'DASH/BTC', 'ETH/USDT']), (['5m', '15m'], ['ADA/BTC', 'DASH/BTC', 'ETH/USDT']), ]) def test_freqai_informative_pairs(mocker, freqai_conf, timeframes, corr_pairs): freqai_conf['freqai']['feature_parameters'].update({ 'include_timeframes': timeframes, 'include_corr_pairlist': corr_pairs, }) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) pairlists = PairListManager(exchange, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange, pairlists) pairlist = strategy.dp.current_whitelist() pairs_a = strategy.informative_pairs() assert len(pairs_a) == 0 pairs_b = strategy.gather_informative_pairs() # we expect unique pairs * timeframes assert len(pairs_b) == len(set(pairlist + corr_pairs)) * len(timeframes) def test_start_set_train_queue(mocker, freqai_conf, caplog): strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) pairlist = PairListManager(exchange, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange, pairlist) strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.live = False freqai.train_queue = freqai._set_train_queue() assert log_has_re( "Set fresh train queue from whitelist.", caplog, ) def test_get_required_data_timerange(mocker, freqai_conf): time_range = get_required_data_timerange(freqai_conf) assert (time_range.stopts - time_range.startts) == 177300 def test_download_all_data_for_training(mocker, freqai_conf, caplog, tmpdir): caplog.set_level(logging.DEBUG) strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) pairlist = PairListManager(exchange, freqai_conf) strategy.dp = DataProvider(freqai_conf, exchange, pairlist) freqai_conf['pairs'] = freqai_conf['exchange']['pair_whitelist'] freqai_conf['datadir'] = Path(tmpdir) download_all_data_for_training(strategy.dp, freqai_conf) assert log_has_re( "Downloading", caplog, ) @pytest.mark.usefixtures("init_persistence") @pytest.mark.parametrize('dp_exists', [(False), (True)]) def test_get_state_info(mocker, freqai_conf, dp_exists, caplog, tickers): if is_mac(): pytest.skip("Reinforcement learning module not available on intel based Mac OS") if is_py11(): pytest.skip("Reinforcement learning currently not available on python 3.11.") freqai_conf.update({"freqaimodel": "ReinforcementLearner"}) freqai_conf.update({"timerange": "20180110-20180130"}) freqai_conf.update({"strategy": "freqai_rl_test_strat"}) freqai_conf = make_rl_config(freqai_conf) freqai_conf['entry_pricing']['price_side'] = 'same' freqai_conf['exit_pricing']['price_side'] = 'same' strategy = get_patched_freqai_strategy(mocker, freqai_conf) exchange = get_patched_exchange(mocker, freqai_conf) ticker_mock = MagicMock(return_value=tickers()['ETH/BTC']) mocker.patch(f"{EXMS}.fetch_ticker", ticker_mock) strategy.dp = DataProvider(freqai_conf, exchange) if not dp_exists: strategy.dp._exchange = None strategy.freqai_info = freqai_conf.get("freqai", {}) freqai = strategy.freqai freqai.data_provider = strategy.dp freqai.live = True Trade.use_db = True create_mock_trades(MagicMock(return_value=0.0025), False, True) freqai.get_state_info("ADA/BTC") freqai.get_state_info("ETH/BTC") if not dp_exists: assert log_has_re( "No exchange available", caplog, )