import logging import time from pathlib import Path from typing import Any, Dict, List import pandas as pd from freqtrade.constants import Config from freqtrade.exceptions import OperationalException from freqtrade.optimize.lookahead_analysis import LookaheadAnalysis from freqtrade.resolvers import StrategyResolver logger = logging.getLogger(__name__) class LookaheadAnalysisSubFunctions: @staticmethod def text_table_lookahead_analysis_instances(lookahead_instances: List[LookaheadAnalysis]): headers = ['filename', 'strategy', 'has_bias', 'total_signals', 'biased_entry_signals', 'biased_exit_signals', 'biased_indicators'] data = [] for inst in lookahead_instances: if inst.failed_bias_check: data.append( [ inst.strategy_obj['location'].parts[-1], inst.strategy_obj['name'], 'error while checking' ] ) else: data.append( [ inst.strategy_obj['location'].parts[-1], inst.strategy_obj['name'], inst.current_analysis.has_bias, inst.current_analysis.total_signals, inst.current_analysis.false_entry_signals, inst.current_analysis.false_exit_signals, ", ".join(inst.current_analysis.false_indicators) ] ) from tabulate import tabulate table = tabulate(data, headers=headers, tablefmt="orgtbl") print(table) return table, headers, data @staticmethod def export_to_csv(config: Dict[str, Any], lookahead_analysis: List[LookaheadAnalysis]): def add_or_update_row(df, row_data): if ( (df['filename'] == row_data['filename']) & (df['strategy'] == row_data['strategy']) ).any(): # Update existing row pd_series = pd.DataFrame([row_data]) df.loc[ (df['filename'] == row_data['filename']) & (df['strategy'] == row_data['strategy']) ] = pd_series else: # Add new row df = pd.concat([df, pd.DataFrame([row_data], columns=df.columns)]) return df if Path(config['lookahead_analysis_exportfilename']).exists(): # Read CSV file into a pandas dataframe csv_df = pd.read_csv(config['lookahead_analysis_exportfilename']) else: # Create a new empty DataFrame with the desired column names and set the index csv_df = pd.DataFrame(columns=[ 'filename', 'strategy', 'has_bias', 'total_signals', 'biased_entry_signals', 'biased_exit_signals', 'biased_indicators' ], index=None) for inst in lookahead_analysis: new_row_data = {'filename': inst.strategy_obj['location'].parts[-1], 'strategy': inst.strategy_obj['name'], 'has_bias': inst.current_analysis.has_bias, 'total_signals': inst.current_analysis.total_signals, 'biased_entry_signals': inst.current_analysis.false_entry_signals, 'biased_exit_signals': inst.current_analysis.false_exit_signals, 'biased_indicators': ",".join(inst.current_analysis.false_indicators)} csv_df = add_or_update_row(csv_df, new_row_data) logger.info(f"saving {config['lookahead_analysis_exportfilename']}") csv_df.to_csv(config['lookahead_analysis_exportfilename'], index=False) @staticmethod def initialize_single_lookahead_analysis(strategy_obj: Dict[str, Any], config: Dict[str, Any]): logger.info(f"Bias test of {Path(strategy_obj['location']).name} started.") start = time.perf_counter() current_instance = LookaheadAnalysis(config, strategy_obj) current_instance.start() elapsed = time.perf_counter() - start logger.info(f"checking look ahead bias via backtests " f"of {Path(strategy_obj['location']).name} " f"took {elapsed:.0f} seconds.") return current_instance @staticmethod def start(config: Config): if config['targeted_trade_amount'] < config['minimum_trade_amount']: # this combo doesn't make any sense. raise OperationalException( "targeted trade amount can't be smaller than minimum trade amount." ) strategy_objs = StrategyResolver.search_all_objects( config, enum_failed=False, recursive=config.get('recursive_strategy_search', False)) lookaheadAnalysis_instances = [] # unify --strategy and --strategy_list to one list if not (strategy_list := config.get('strategy_list', [])): if config.get('strategy') is None: raise OperationalException( "No Strategy specified. Please specify a strategy via --strategy or " "--strategy_list" ) strategy_list = [config['strategy']] # check if strategies can be properly loaded, only check them if they can be. for strat in strategy_list: for strategy_obj in strategy_objs: if strategy_obj['name'] == strat and strategy_obj not in strategy_list: lookaheadAnalysis_instances.append( LookaheadAnalysisSubFunctions.initialize_single_lookahead_analysis( strategy_obj, config)) break # report the results if lookaheadAnalysis_instances: LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances( lookaheadAnalysis_instances) if config.get('lookahead_analysis_exportfilename') is not None: LookaheadAnalysisSubFunctions.export_to_csv(config, lookaheadAnalysis_instances) else: logger.error("There were no strategies specified neither through " "--strategy nor through " "--strategy_list " "or timeframe was not specified.")