aherman
/
freqtrade
mirror of https://github.com/freqtrade/freqtrade.git
1
0
Fork 0
Code Issues Packages Projects Releases Wiki Activity

- modified help-string for the cli-option lookahead_analysis_exportfilename

Browse Source 
- moved doc from utils.md to lookahead-analysis.md and modified it (unfinished)
- added a check to automatically edit the config['backtest_cache'] to be 'none'
- adjusted test_lookahead_helper_export_to_csv to catch the new catching of errors
- adjusted test_lookahead_helper_text_table_lookahead_analysis_instances to catch the new catching of errors
- changed lookahead_analysis.start result-reporting to show that not enough trades were caught including x of y
pull/8369/head
hippocritical 3 years ago
parent 9bb25be880
commit eec7837167
3 changed files with 80 additions and 41 deletions
Show Stats Download Patch File Download Diff File

19
freqtrade/optimize/lookahead_analysis.py
Unescape View File

@ -250,12 +250,19 @@ class LookaheadAnalysis:
self.analyze_row(idx, result_row)
# check and report signals
if (self.current_analysis.false_entry_signals > 0 or
self.current_analysis.false_exit_signals > 0 or
len(self.current_analysis.false_indicators) > 0):
logger.info(f" => {self.local_config['strategy']} + : bias detected!")
if self.current_analysis.total_signals < self.local_config['minimum_trade_amount']:
logger.info(f" -> {self.local_config['strategy']} : too few trades. "
f"We only found {self.current_analysis.total_signals} trades. "
f"Hint: Extend the timerange "
f"to get at least {self.local_config['minimum_trade_amount']} "
f"or lower the value of minimum_trade_amount.")
self.failed_bias_check = True
elif (self.current_analysis.false_entry_signals > 0 or
self.current_analysis.false_exit_signals > 0 or
len(self.current_analysis.false_indicators) > 0):
logger.info(f" => {self.local_config['strategy']} : bias detected!")
self.current_analysis.has_bias = True
self.failed_bias_check = False
else:
logger.info(self.local_config['strategy'] + ": no bias detected")
self.failed_bias_check = False
self.failed_bias_check = False

43
freqtrade/optimize/lookahead_analysis_helpers.py
Unescape View File

@ -16,12 +16,24 @@ logger = logging.getLogger(__name__)
class LookaheadAnalysisSubFunctions:
@staticmethod
def text_table_lookahead_analysis_instances(lookahead_instances: List[LookaheadAnalysis]):
def text_table_lookahead_analysis_instances(
config: Dict[str, Any],
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:
if config['minimum_trade_amount'] > inst.current_analysis.total_signals:
data.append(
[
inst.strategy_obj['location'].parts[-1],
inst.strategy_obj['name'],
"too few trades caught "
f"({inst.current_analysis.total_signals}/{config['minimum_trade_amount']})."
f"Test failed."
]
)
elif inst.failed_bias_check:
data.append(
[
inst.strategy_obj['location'].parts[-1],
@ -77,14 +89,21 @@ class LookaheadAnalysisSubFunctions:
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)
# only update if
if (inst.current_analysis.total_signals > config['minimum_trade_amount']
and inst.failed_bias_check is not True):
new_row_data = {'filename': inst.strategy_obj['location'].parts[-1],
'strategy': inst.strategy_obj['name'],
'has_bias': inst.current_analysis.has_bias,
'total_signals':
int(inst.current_analysis.total_signals),
'biased_entry_signals':
int(inst.current_analysis.false_entry_signals),
'biased_exit_signals':
int(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)
@ -122,7 +141,7 @@ class LookaheadAnalysisSubFunctions:
config['backtest_cache'] = 'none'
strategy_objs = StrategyResolver.search_all_objects(
config, enum_failed=False, recursive=config.get('recursive_strategy_search', False))
config, enum_failed=False, recursive=config.get('recursive_strategy_search', False))
lookaheadAnalysis_instances = []
@ -147,7 +166,7 @@ class LookaheadAnalysisSubFunctions:
# report the results
if lookaheadAnalysis_instances:
LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
lookaheadAnalysis_instances)
config, lookaheadAnalysis_instances)
if config.get('lookahead_analysis_exportfilename') is not None:
LookaheadAnalysisSubFunctions.export_to_csv(config, lookaheadAnalysis_instances)
else:

59
tests/optimize/test_lookahead_analysis.py
Unescape View File

@ -115,30 +115,40 @@ def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf
instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
instance.current_analysis = analysis
table, headers, data = (LookaheadAnalysisSubFunctions.
text_table_lookahead_analysis_instances([instance]))
text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
# check row contents for a try that errored out
# check row contents for a try that has too few signals
assert data[0][0] == 'strategy_test_v3_with_lookahead_bias.py'
assert data[0][1] == 'strategy_test_v3_with_lookahead_bias'
assert data[0][2].__contains__('error')
assert data[0][2].__contains__('too few trades')
assert len(data[0]) == 3
# now check for an error which occured after enough trades
analysis.total_signals = 12
analysis.false_entry_signals = 11
analysis.false_exit_signals = 10
instance = LookaheadAnalysis(lookahead_conf, strategy_obj)
instance.current_analysis = analysis
table, headers, data = (LookaheadAnalysisSubFunctions.
text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
assert data[0][2].__contains__("error")
# edit it into not showing an error
instance.failed_bias_check = False
table, headers, data = (LookaheadAnalysisSubFunctions.
text_table_lookahead_analysis_instances([instance]))
text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
assert data[0][0] == 'strategy_test_v3_with_lookahead_bias.py'
assert data[0][1] == 'strategy_test_v3_with_lookahead_bias'
assert data[0][2] # True
assert data[0][3] == 5
assert data[0][4] == 4
assert data[0][5] == 3
assert data[0][3] == 12
assert data[0][4] == 11
assert data[0][5] == 10
assert data[0][6] == ''
analysis.false_indicators.append('falseIndicator1')
analysis.false_indicators.append('falseIndicator2')
table, headers, data = (LookaheadAnalysisSubFunctions.
text_table_lookahead_analysis_instances([instance]))
text_table_lookahead_analysis_instances(lookahead_conf, [instance]))
assert data[0][6] == 'falseIndicator1, falseIndicator2'
@ -146,8 +156,8 @@ def test_lookahead_helper_text_table_lookahead_analysis_instances(lookahead_conf
assert len(data) == 1
# check amount of multiple rows
table, headers, data = (LookaheadAnalysisSubFunctions.
text_table_lookahead_analysis_instances([instance, instance, instance]))
table, headers, data = (LookaheadAnalysisSubFunctions.text_table_lookahead_analysis_instances(
lookahead_conf, [instance, instance, instance]))
assert len(data) == 3
@ -165,9 +175,9 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
# 1st check: create a new file and verify its contents
analysis1 = Analysis()
analysis1.has_bias = True
analysis1.total_signals = 5
analysis1.false_entry_signals = 4
analysis1.false_exit_signals = 3
analysis1.total_signals = 12
analysis1.false_entry_signals = 11
analysis1.false_exit_signals = 10
analysis1.false_indicators.append('falseIndicator1')
analysis1.false_indicators.append('falseIndicator2')
lookahead_conf['lookahead_analysis_exportfilename'] = "temp_csv_lookahead_analysis.csv"
@ -178,6 +188,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
}
instance1 = LookaheadAnalysis(lookahead_conf, strategy_obj1)
instance1.failed_bias_check = False
instance1.current_analysis = analysis1
LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance1])
@ -186,7 +197,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
expected_values1 = [
[
'file1.py', 'strat1', True,
5, 4, 3,
12, 11, 10,
"falseIndicator1,falseIndicator2"
],
]
@ -202,7 +213,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
expected_values2 = [
[
'file1.py', 'strat1', False,
10, 11, 12,
22, 21, 20,
"falseIndicator3,falseIndicator4"
],
]
@ -210,9 +221,9 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
analysis2 = Analysis()
analysis2.has_bias = False
analysis2.total_signals = 10
analysis2.false_entry_signals = 11
analysis2.false_exit_signals = 12
analysis2.total_signals = 22
analysis2.false_entry_signals = 21
analysis2.false_exit_signals = 20
analysis2.false_indicators.append('falseIndicator3')
analysis2.false_indicators.append('falseIndicator4')
@ -222,6 +233,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
}
instance2 = LookaheadAnalysis(lookahead_conf, strategy_obj2)
instance2.failed_bias_check = False
instance2.current_analysis = analysis2
LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance2])
@ -233,12 +245,12 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
expected_values3 = [
[
'file1.py', 'strat1', False,
10, 11, 12,
22, 21, 20,
"falseIndicator3,falseIndicator4"
],
[
'file3.py', 'strat3', True,
20, 21, 22, "falseIndicator5,falseIndicator6"
32, 31, 30, "falseIndicator5,falseIndicator6"
],
]
@ -246,9 +258,9 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
analysis3 = Analysis()
analysis3.has_bias = True
analysis3.total_signals = 20
analysis3.false_entry_signals = 21
analysis3.false_exit_signals = 22
analysis3.total_signals = 32
analysis3.false_entry_signals = 31
analysis3.false_exit_signals = 30
analysis3.false_indicators.append('falseIndicator5')
analysis3.false_indicators.append('falseIndicator6')
lookahead_conf['lookahead_analysis_exportfilename'] = "temp_csv_lookahead_analysis.csv"
@ -259,6 +271,7 @@ def test_lookahead_helper_export_to_csv(lookahead_conf):
}
instance3 = LookaheadAnalysis(lookahead_conf, strategy_obj3)
instance3.failed_bias_check = False
instance3.current_analysis = analysis3
LookaheadAnalysisSubFunctions.export_to_csv(lookahead_conf, [instance3])

Write Preview
Loading…
Cancel
Save