import logging import shutil from copy import deepcopy from datetime import timedelta from pathlib import Path from typing import Any, Dict, List from pandas import DataFrame 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 RecursiveAnalysis(BaseAnalysis): def __init__(self, config: Dict[str, Any], strategy_obj: Dict): 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.dict_recursive: Dict[str, Any] = dict() # For recursive bias check # analyzes two data frames with processed indicators and shows differences between them. def analyze_indicators(self): pair_to_check = self.local_config['pairs'][0] logger.info("Start checking for recursive bias") # check and report signals base_last_row = self.full_varHolder.indicators[pair_to_check].iloc[-1] for part in self.partial_varHolder_array: part_last_row = part.indicators[pair_to_check].iloc[-1] compare_df = base_last_row.compare(part_last_row) if compare_df.shape[0] > 0: # print(compare_df) for col_name, values in compare_df.items(): # print(col_name) if 'other' == col_name: continue indicators = values.index for indicator in indicators: if (indicator not in self.dict_recursive): self.dict_recursive[indicator] = {} values_diff = compare_df.loc[indicator] values_diff_self = values_diff.loc['self'] 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}%" else: logger.info("No variance on indicator(s) found due to recursive formula.") break # For lookahead bias check # analyzes two data frames with processed indicators and shows differences between them. def analyze_indicators_lookahead(self): pair_to_check = self.local_config['pairs'][0] logger.info("Start checking for lookahead bias on indicators only") part = self.partial_varHolder_lookahead_array[0] part_last_row = part.indicators[pair_to_check].iloc[-1] date_to_check = part_last_row['date'] index_to_get = (self.full_varHolder.indicators[pair_to_check]['date'] == date_to_check) base_row_check = self.full_varHolder.indicators[pair_to_check].loc[index_to_get].iloc[-1] check_time = part.to_dt.strftime('%Y-%m-%dT%H:%M:%S') logger.info(f"Check indicators at {check_time}") # logger.info(f"vs {part_timerange} with {part.startup_candle} startup candle") compare_df = base_row_check.compare(part_last_row) if compare_df.shape[0] > 0: # print(compare_df) for col_name, values in compare_df.items(): # print(col_name) if 'other' == col_name: continue indicators = values.index for indicator in indicators: logger.info(f"=> found lookahead in indicator {indicator}") # logger.info("base value {:.5f}".format(values_diff_self)) # logger.info("part value {:.5f}".format(values_diff_other)) else: logger.info("No lookahead bias on indicators found.") def prepare_data(self, varholder: VarHolder, pairs_to_load: List[DataFrame]): 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) 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) self.exchange = backtesting.exchange backtesting._set_strategy(backtesting.strategylist[0]) 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) def fill_partial_varholder(self, start_date, startup_candle): logger.info(f"Calculating indicators using startup candle of {startup_candle}.") partial_varHolder = VarHolder() partial_varHolder.from_dt = start_date partial_varHolder.to_dt = self.full_varHolder.to_dt partial_varHolder.startup_candle = startup_candle self.local_config['startup_candle_count'] = startup_candle self.prepare_data(partial_varHolder, self.local_config['pairs']) self.partial_varHolder_array.append(partial_varHolder) def fill_partial_varholder_lookahead(self, end_date): logger.info("Calculating indicators to test lookahead on indicators.") partial_varHolder = VarHolder() partial_varHolder.from_dt = self.full_varHolder.from_dt partial_varHolder.to_dt = end_date self.prepare_data(partial_varHolder, self.local_config['pairs']) self.partial_varHolder_lookahead_array.append(partial_varHolder) def start(self) -> None: super().start() reduce_verbosity_for_bias_tester() start_date_full = self.full_varHolder.from_dt end_date_full = self.full_varHolder.to_dt timeframe_minutes = timeframe_to_minutes(self.full_varHolder.timeframe) end_date_partial = start_date_full + timedelta(minutes=int(timeframe_minutes * 10)) self.fill_partial_varholder_lookahead(end_date_partial) # restore_verbosity_for_bias_tester() start_date_partial = end_date_full - timedelta(minutes=int(timeframe_minutes)) for startup_candle in self._startup_candle: self.fill_partial_varholder(start_date_partial, int(startup_candle)) # Restore verbosity, so it's not too quiet for the next strategy restore_verbosity_for_bias_tester() self.analyze_indicators() self.analyze_indicators_lookahead()