mirror of
https://github.com/freqtrade/freqtrade.git
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224 lines
8.6 KiB
Python
224 lines
8.6 KiB
Python
import logging
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import shutil
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from copy import deepcopy
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from datetime import datetime, timedelta, timezone
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from pathlib import Path
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from typing import Any, Dict, List, Optional
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from pandas import DataFrame
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from freqtrade.configuration import TimeRange
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.loggers.set_log_levels import (reduce_verbosity_for_bias_tester,
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restore_verbosity_for_bias_tester)
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from freqtrade.optimize.backtesting import Backtesting
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logger = logging.getLogger(__name__)
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class VarHolder:
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timerange: TimeRange
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data: DataFrame
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indicators: Dict[str, DataFrame]
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from_dt: datetime
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to_dt: datetime
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timeframe: str
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startup_candle: int
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class RecursiveAnalysis:
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def __init__(self, config: Dict[str, Any], strategy_obj: Dict):
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self.failed_bias_check = True
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self.full_varHolder = VarHolder()
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self.partial_varHolder_array = []
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self.partial_varHolder_lookahead_array = []
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self.entry_varHolders: List[VarHolder] = []
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self.exit_varHolders: List[VarHolder] = []
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self.exchange: Optional[Any] = None
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# pull variables the scope of the recursive_analysis-instance
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self.local_config = deepcopy(config)
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self.local_config['strategy'] = strategy_obj['name']
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self._startup_candle = config.get('startup_candle', [199, 399, 499, 999, 1999])
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self.strategy_obj = strategy_obj
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self.dict_recursive = dict()
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@staticmethod
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def dt_to_timestamp(dt: datetime):
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timestamp = int(dt.replace(tzinfo=timezone.utc).timestamp())
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return timestamp
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# For recursive bias check
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# analyzes two data frames with processed indicators and shows differences between them.
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def analyze_indicators(self):
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pair_to_check = self.local_config['pairs'][0]
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logger.info("Start checking for recursive bias")
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# check and report signals
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base_last_row = self.full_varHolder.indicators[pair_to_check].iloc[-1]
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for part in self.partial_varHolder_array:
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part_last_row = part.indicators[pair_to_check].iloc[-1]
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compare_df = base_last_row.compare(part_last_row)
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if compare_df.shape[0] > 0:
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# print(compare_df)
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for col_name, values in compare_df.items():
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# print(col_name)
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if 'other' == col_name:
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continue
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indicators = values.index
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for indicator in indicators:
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if(indicator not in self.dict_recursive):
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self.dict_recursive[indicator] = {}
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values_diff = compare_df.loc[indicator]
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values_diff_self = values_diff.loc['self']
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values_diff_other = values_diff.loc['other']
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diff = (values_diff_other - values_diff_self) / values_diff_self * 100
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self.dict_recursive[indicator][part.startup_candle] = "{:.3f}%".format(diff)
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else:
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logger.info("No difference found. Stop the process.")
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break
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# For lookahead bias check
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# analyzes two data frames with processed indicators and shows differences between them.
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def analyze_indicators_lookahead(self):
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pair_to_check = self.local_config['pairs'][0]
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logger.info("Start checking for lookahead bias on indicators only")
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part = self.partial_varHolder_lookahead_array[0]
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part_last_row = part.indicators[pair_to_check].iloc[-1]
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date_to_check = part_last_row['date']
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index_to_get = (self.full_varHolder.indicators[pair_to_check]['date'] == date_to_check)
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base_row_check = self.full_varHolder.indicators[pair_to_check].loc[index_to_get].iloc[-1]
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check_time = part.to_dt.strftime('%Y-%m-%dT%H:%M:%S')
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logger.info(f"Check indicators at {check_time}")
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# logger.info(f"vs {part_timerange} with {part.startup_candle} startup candle")
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compare_df = base_row_check.compare(part_last_row)
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if compare_df.shape[0] > 0:
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# print(compare_df)
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for col_name, values in compare_df.items():
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# print(col_name)
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if 'other' == col_name:
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continue
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indicators = values.index
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for indicator in indicators:
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logger.info(f"=> found lookahead in indicator {indicator}")
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# logger.info("base value {:.5f}".format(values_diff_self))
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# logger.info("part value {:.5f}".format(values_diff_other))
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else:
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logger.info("No lookahead bias on indicators found. Stop the process.")
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def prepare_data(self, varholder: VarHolder, pairs_to_load: List[DataFrame]):
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if 'freqai' in self.local_config and 'identifier' in self.local_config['freqai']:
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# purge previous data if the freqai model is defined
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# (to be sure nothing is carried over from older backtests)
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path_to_current_identifier = (
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Path(f"{self.local_config['user_data_dir']}/models/"
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f"{self.local_config['freqai']['identifier']}").resolve())
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# remove folder and its contents
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if Path.exists(path_to_current_identifier):
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shutil.rmtree(path_to_current_identifier)
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prepare_data_config = deepcopy(self.local_config)
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prepare_data_config['timerange'] = (str(self.dt_to_timestamp(varholder.from_dt)) + "-" +
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str(self.dt_to_timestamp(varholder.to_dt)))
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prepare_data_config['exchange']['pair_whitelist'] = pairs_to_load
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backtesting = Backtesting(prepare_data_config, self.exchange)
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self.exchange = backtesting.exchange
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backtesting._set_strategy(backtesting.strategylist[0])
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varholder.data, varholder.timerange = backtesting.load_bt_data()
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backtesting.load_bt_data_detail()
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varholder.timeframe = backtesting.timeframe
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varholder.indicators = backtesting.strategy.advise_all_indicators(varholder.data)
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def fill_full_varholder(self):
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self.full_varHolder = VarHolder()
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# define datetime in human-readable format
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parsed_timerange = TimeRange.parse_timerange(self.local_config['timerange'])
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if parsed_timerange.startdt is None:
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self.full_varHolder.from_dt = datetime.fromtimestamp(0, tz=timezone.utc)
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else:
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self.full_varHolder.from_dt = parsed_timerange.startdt
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if parsed_timerange.stopdt is None:
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self.full_varHolder.to_dt = datetime.utcnow()
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else:
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self.full_varHolder.to_dt = parsed_timerange.stopdt
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self.prepare_data(self.full_varHolder, self.local_config['pairs'])
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def fill_partial_varholder(self, start_date, startup_candle):
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partial_varHolder = VarHolder()
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partial_varHolder.from_dt = start_date
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partial_varHolder.to_dt = self.full_varHolder.to_dt
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partial_varHolder.startup_candle = startup_candle
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self.local_config['startup_candle_count'] = startup_candle
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self.prepare_data(partial_varHolder, self.local_config['pairs'])
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self.partial_varHolder_array.append(partial_varHolder)
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def fill_partial_varholder_lookahead(self, end_date):
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partial_varHolder = VarHolder()
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partial_varHolder.from_dt = self.full_varHolder.from_dt
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partial_varHolder.to_dt = end_date
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# partial_varHolder.startup_candle = startup_candle
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# self.local_config['startup_candle_count'] = startup_candle
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self.prepare_data(partial_varHolder, self.local_config['pairs'])
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self.partial_varHolder_lookahead_array.append(partial_varHolder)
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def start(self) -> None:
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# first make a single backtest
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self.fill_full_varholder()
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reduce_verbosity_for_bias_tester()
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start_date_full = self.full_varHolder.from_dt
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end_date_full = self.full_varHolder.to_dt
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timeframe_minutes = timeframe_to_minutes(self.full_varHolder.timeframe)
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end_date_partial = start_date_full + timedelta(minutes=int(timeframe_minutes * 10))
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self.fill_partial_varholder_lookahead(end_date_partial)
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# restore_verbosity_for_bias_tester()
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start_date_partial = end_date_full - timedelta(minutes=int(timeframe_minutes))
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for startup_candle in self._startup_candle:
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self.fill_partial_varholder(start_date_partial, int(startup_candle))
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# Restore verbosity, so it's not too quiet for the next strategy
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restore_verbosity_for_bias_tester()
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self.analyze_indicators()
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self.analyze_indicators_lookahead()
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