freqtrade_origin/docs/lookahead-analysis.md
2024-09-08 12:04:58 -04:00

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Lookahead analysis

This page explains how to validate your strategy in terms of look ahead bias.

Checking look ahead bias is the bane of any strategy since it is sometimes very easy to introduce backtest bias - but very hard to detect.

Backtesting initializes all timestamps at once and calculates all indicators in the beginning. This means that if your indicators or entry/exit signals could look into future candles and falsify your backtest.

Lookahead-analysis requires historic data to be available. To learn how to get data for the pairs and exchange you're interested in, head over to the Data Downloading section of the documentation.

This command is built upon backtesting since it internally chains backtests and pokes at the strategy to provoke it to show look ahead bias. This is done by not looking at the strategy itself - but at the results it returned. The results are things like changed indicator-values and moved entries/exits compared to the full backtest.

You can use commands of Backtesting. It also supports the lookahead-analysis of freqai strategies.

  • --cache is forced to "none".
  • --max-open-trades is forced to be at least equal to the number of pairs.
  • --dry-run-wallet is forced to be basically infinite (1 billion).
  • --stake-amount is forced to be a static 10000 (10k).
  • --enable-protections is forced to be off.

Those are set to avoid users accidentally generating false positives.

Lookahead-analysis command reference

usage: freqtrade lookahead-analysis [-h] [-v] [--logfile FILE] [-V] [-c PATH]
                                    [-d PATH] [--userdir PATH] [-s NAME]
                                    [--strategy-path PATH]
                                    [--recursive-strategy-search]
                                    [--freqaimodel NAME]
                                    [--freqaimodel-path PATH] [-i TIMEFRAME]
                                    [--timerange TIMERANGE]
                                    [--data-format-ohlcv {json,jsongz,hdf5,feather,parquet}]
                                    [--max-open-trades INT]
                                    [--stake-amount STAKE_AMOUNT]
                                    [--fee FLOAT] [-p PAIRS [PAIRS ...]]
                                    [--dry-run-wallet DRY_RUN_WALLET]
                                    [--timeframe-detail TIMEFRAME_DETAIL]
                                    [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
                                    [--export {none,trades,signals}]
                                    [--export-filename PATH]
                                    [--breakdown {day,week,month} [{day,week,month} ...]]
                                    [--cache {none,day,week,month}]
                                    [--freqai-backtest-live-models]
                                    [--minimum-trade-amount INT]
                                    [--targeted-trade-amount INT]
                                    [--lookahead-analysis-exportfilename LOOKAHEAD_ANALYSIS_EXPORTFILENAME]

options:
  --minimum-trade-amount INT
                        Minimum trade amount for lookahead-analysis
  --targeted-trade-amount INT
                        Targeted trade amount for lookahead analysis
  --lookahead-analysis-exportfilename LOOKAHEAD_ANALYSIS_EXPORTFILENAME
                        Use this csv-filename to store lookahead-analysis-
                        results

!!! Note "" The above Output was reduced to options lookahead-analysis adds on top of regular backtesting commands.

Summary

Checks a given strategy for look ahead bias via lookahead-analysis Look ahead bias means that the backtest uses data from future candles thereby not making it viable beyond backtesting and producing false hopes for the one backtesting.

Introduction

Many strategies - without the programmer knowing - have fallen prey to look ahead bias.

Any backtest will populate the full dataframe including all time stamps at the beginning. If the programmer is not careful or oblivious how things work internally (which sometimes can be really hard to find out) then it will just look into the future making the strategy amazing but not realistic.

This command is made to try to verify the validity in the form of the aforementioned look ahead bias.

How does the command work?

It will start with a backtest of all pairs to generate a baseline for indicators and entries/exits. After the backtest ran, it will look if the minimum-trade-amount is met and if not cancel the lookahead-analysis for this strategy.

After setting the baseline it will then do additional runs for every entry and exit separately. When a verification-backtest is done, it will compare the indicators as the signal (either entry or exit) and report the bias. After all signals have been verified or falsified a result-table will be generated for the user to see.

Caveats

  • lookahead-analysis can only verify / falsify the trades it calculated and verified. If the strategy has many different signals / signal types, it's up to you to select appropriate parameters to ensure that all signals have triggered at least once. Not triggered signals will not have been verified. This could lead to a false-negative (the strategy will then be reported as non-biased).
  • lookahead-analysis has access to everything that backtesting has too. Please don't provoke any configs like enabling position stacking. If you decide to do so, then make doubly sure that you won't ever run out of max_open_trades amount and neither leftover money in your wallet.
  • In the results table, the biased_indicators column will falsely flag FreqAI target indicators defined in set_freqai_targets() as biased. These are not biased and can safely be ignored.