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e4b488cb84
In a combination with a wallet size of 1 billion it should never be able to run out of money avoiding false-positives of some users who just wanted to test a strategy without actually checking how the stake_amount-variable should be used in combination with the strategy-function custom_stake_amount. reason: some strategies demand a custom_stake_amount of 1$ demanding a very large wallet-size (which already was set previously) Others start with 100% of a slot size and subdivide the base-orders and safety-orders down to finish at 100% of a slot-size and use unlimited stake_amount. Edited docs to reflect that change.
104 lines
5.5 KiB
Markdown
104 lines
5.5 KiB
Markdown
# Lookahead analysis
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This page explains how to validate your strategy in terms of look ahead bias.
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Checking look ahead bias is the bane of any strategy since it is sometimes very easy to introduce backtest bias -
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but very hard to detect.
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Backtesting initializes all timestamps at once and calculates all indicators in the beginning.
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This means that if your indicators or entry/exit signals could look into future candles and falsify your backtest.
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Lookahead-analysis requires historic data to be available.
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To learn how to get data for the pairs and exchange you're interested in,
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head over to the [Data Downloading](data-download.md) section of the documentation.
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This command is built upon backtesting since it internally chains backtests and pokes at the strategy to provoke it to show look ahead bias.
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This is done by not looking at the strategy itself - but at the results it returned.
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The results are things like changed indicator-values and moved entries/exits compared to the full backtest.
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You can use commands of [Backtesting](backtesting.md).
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It also supports the lookahead-analysis of freqai strategies.
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- `--cache` is forced to "none".
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- `--max-open-trades` is forced to be at least equal to the number of pairs.
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- `--dry-run-wallet` is forced to be basically infinite (1 billion).
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- `--stake-amount` is forced to be a static 10000 (10k).
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Those are set to avoid users accidentally generating false positives.
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## Lookahead-analysis command reference
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```
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usage: freqtrade lookahead-analysis [-h] [-v] [--logfile FILE] [-V] [-c PATH]
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[-d PATH] [--userdir PATH] [-s NAME]
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[--strategy-path PATH]
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[--recursive-strategy-search]
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[--freqaimodel NAME]
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[--freqaimodel-path PATH] [-i TIMEFRAME]
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[--timerange TIMERANGE]
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[--data-format-ohlcv {json,jsongz,hdf5,feather,parquet}]
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[--max-open-trades INT]
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[--stake-amount STAKE_AMOUNT]
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[--fee FLOAT] [-p PAIRS [PAIRS ...]]
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[--enable-protections]
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[--dry-run-wallet DRY_RUN_WALLET]
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[--timeframe-detail TIMEFRAME_DETAIL]
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[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
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[--export {none,trades,signals}]
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[--export-filename PATH]
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[--breakdown {day,week,month} [{day,week,month} ...]]
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[--cache {none,day,week,month}]
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[--freqai-backtest-live-models]
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[--minimum-trade-amount INT]
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[--targeted-trade-amount INT]
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[--lookahead-analysis-exportfilename LOOKAHEAD_ANALYSIS_EXPORTFILENAME]
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options:
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--minimum-trade-amount INT
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Minimum trade amount for lookahead-analysis
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--targeted-trade-amount INT
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Targeted trade amount for lookahead analysis
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--lookahead-analysis-exportfilename LOOKAHEAD_ANALYSIS_EXPORTFILENAME
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Use this csv-filename to store lookahead-analysis-
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results
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```
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!!! Note ""
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The above Output was reduced to options `lookahead-analysis` adds on top of regular backtesting commands.
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### Summary
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Checks a given strategy for look ahead bias via lookahead-analysis
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Look ahead bias means that the backtest uses data from future candles thereby not making it viable beyond backtesting
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and producing false hopes for the one backtesting.
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### Introduction
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Many strategies - without the programmer knowing - have fallen prey to look ahead bias.
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Any backtest will populate the full dataframe including all time stamps at the beginning.
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If the programmer is not careful or oblivious how things work internally
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(which sometimes can be really hard to find out) then it will just look into the future making the strategy amazing
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but not realistic.
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This command is made to try to verify the validity in the form of the aforementioned look ahead bias.
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### How does the command work?
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It will start with a backtest of all pairs to generate a baseline for indicators and entries/exits.
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After the backtest ran, it will look if the `minimum-trade-amount` is met
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and if not cancel the lookahead-analysis for this strategy.
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After setting the baseline it will then do additional runs for every entry and exit separately.
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When a verification-backtest is done, it will compare the indicators as the signal (either entry or exit) and report the bias.
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After all signals have been verified or falsified a result-table will be generated for the user to see.
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### Caveats
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- `lookahead-analysis` can only verify / falsify the trades it calculated and verified.
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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.
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This could lead to a false-negative (the strategy will then be reported as non-biased).
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- `lookahead-analysis` has access to everything that backtesting has too.
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Please don't provoke any configs like enabling position stacking.
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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.
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