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save_live_data_backtest - added docs and tests

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Wagner Costa Santos
2022-11-17 15:20:07 -03:00
parent 99bff9cbfa
commit 3903b04d3f
6 changed files with 114 additions and 11 deletions
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tests/freqai/test_freqai_interface.py
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@@ -300,6 +300,61 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog):
shutil.rmtree(Path(freqai.dk.full_path))
def test_start_backtesting_from_saved_live_dataframe(mocker, freqai_conf, caplog):
freqai_conf.update({"save_live_data_backtest": True})
freqai_conf.update({"freqai_backtest_live_models": True})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = False
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180110-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180110-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
metadata = {"pair": "ADA/BTC"}
# create a dummy live dataframe file with 10 rows
dataframe_predictions = df.tail(10).copy()
dataframe_predictions["&s_close"] = dataframe_predictions["close"] * 1.1
freqai.dk.set_backtesting_live_dataframe_path("ADA/BTC")
freqai.dk.save_backtesting_live_dataframe_to_feather(dataframe_predictions)
freqai.start_backtesting_from_live_saved_files(df, metadata, freqai.dk)
assert len(freqai.dk.return_dataframe) == len(df)
assert len(freqai.dk.return_dataframe[freqai.dk.return_dataframe["&s_close"] > 0]) == (
len(dataframe_predictions))
shutil.rmtree(Path(freqai.dk.full_path))
def test_backtesting_fit_live_predictions(mocker, freqai_conf, caplog):
freqai_conf.get("freqai", {}).update({"fit_live_predictions_candles": 10})
strategy = get_patched_freqai_strategy(mocker, freqai_conf)
exchange = get_patched_exchange(mocker, freqai_conf)
strategy.dp = DataProvider(freqai_conf, exchange)
strategy.freqai_info = freqai_conf.get("freqai", {})
freqai = strategy.freqai
freqai.live = False
freqai.dk = FreqaiDataKitchen(freqai_conf)
timerange = TimeRange.parse_timerange("20180128-20180130")
freqai.dd.load_all_pair_histories(timerange, freqai.dk)
sub_timerange = TimeRange.parse_timerange("20180129-20180130")
corr_df, base_df = freqai.dd.get_base_and_corr_dataframes(sub_timerange, "LTC/BTC", freqai.dk)
df = freqai.dk.use_strategy_to_populate_indicators(strategy, corr_df, base_df, "LTC/BTC")
freqai.dk.pair = "ADA/BTC"
freqai.dk.full_df = df
assert "&-s_close_mean" not in freqai.dk.full_df.columns
assert "&-s_close_std" not in freqai.dk.full_df.columns
freqai.backtesting_fit_live_predictions(freqai.dk)
assert "&-s_close_mean" in freqai.dk.full_df.columns
assert "&-s_close_std" in freqai.dk.full_df.columns
shutil.rmtree(Path(freqai.dk.full_path))
def test_follow_mode(mocker, freqai_conf):
freqai_conf.update({"timerange": "20180110-20180130"})