added exportfilename to args_to_config

introduced strategy_test_v3_with_lookahead_bias.py for checking lookahead_bias#
introduced test_lookahead_analysis which currently is broken

freqtrade/configuration/configuration.py

@@ -300,9 +300,10 @@ class Configuration:
         self._args_to_config(config, argname='hyperoptexportfilename',
                              logstring='Using hyperopt file: {}')
 
-        if self.args["lookahead_analysis_exportfilename"] is not None:
+        if self.args.get('lookahead_analysis_exportfilename'):
-            self._args_to_config(config, argname='lookahead_analysis_exportfilename',
+            if self.args["lookahead_analysis_exportfilename"] is not None:
-                                 logstring='saving lookahead analysis results into {} ...')
+                self._args_to_config(config, argname='lookahead_analysis_exportfilename',
+                                     logstring='saving lookahead analysis results into {} ...')
 
         self._args_to_config(config, argname='epochs',
                              logstring='Parameter --epochs detected ... '

tests/strategy/strats/strategy_test_v3_with_lookahead_bias.py

@@ -0,0 +1,50 @@
+# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
+from pandas import DataFrame
+from technical.indicators import ichimoku
+
+from freqtrade.strategy import IStrategy
+
+
+class strategy_test_v3_with_lookahead_bias(IStrategy):
+    INTERFACE_VERSION = 3
+
+    # Minimal ROI designed for the strategy
+    minimal_roi = {
+        "40": 0.0,
+        "30": 0.01,
+        "20": 0.02,
+        "0": 0.04
+    }
+
+    # Optimal stoploss designed for the strategy
+    stoploss = -0.10
+
+    # Optimal timeframe for the strategy
+    timeframe = '5m'
+
+    # Number of candles the strategy requires before producing valid signals
+    startup_candle_count: int = 20
+
+    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # bias is introduced here
+        ichi = ichimoku(dataframe,
+                        conversion_line_period=20,
+                        base_line_periods=60,
+                        laggin_span=120,
+                        displacement=30)
+        dataframe['chikou_span'] = ichi['chikou_span']
+
+        return dataframe
+
+    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        dataframe.loc[
+            dataframe['close'].shift(-10) > dataframe['close'],
+            'enter_long'] = 1
+
+        return dataframe
+
+    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        dataframe.loc[
+            dataframe['close'].shift(-10) > dataframe['close'], 'exit'] = 1
+
+        return dataframe

tests/test_lookahead_analysis.py

@@ -0,0 +1,69 @@
+# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
+
+from unittest.mock import PropertyMock
+
+import numpy as np
+
+import freqtrade.commands.arguments
+import freqtrade.optimize.lookahead_analysis
+from freqtrade.configuration import TimeRange
+from freqtrade.data import history
+from freqtrade.data.converter import clean_ohlcv_dataframe
+from freqtrade.data.history import get_timerange
+from tests.conftest import patch_exchange
+
+
+def trim_dictlist(dict_list, num):
+    new = {}
+    for pair, pair_data in dict_list.items():
+        new[pair] = pair_data[num:].reset_index()
+    return new
+
+
+def load_data_test(what, testdatadir):
+    timerange = TimeRange.parse_timerange('1510694220-1510700340')
+    data = history.load_pair_history(pair='UNITTEST/BTC', datadir=testdatadir,
+                                     timeframe='1m', timerange=timerange,
+                                     drop_incomplete=False,
+                                     fill_up_missing=False)
+
+    base = 0.001
+    if what == 'raise':
+        data.loc[:, 'open'] = data.index * base
+        data.loc[:, 'high'] = data.index * base + 0.0001
+        data.loc[:, 'low'] = data.index * base - 0.0001
+        data.loc[:, 'close'] = data.index * base
+
+    if what == 'lower':
+        data.loc[:, 'open'] = 1 - data.index * base
+        data.loc[:, 'high'] = 1 - data.index * base + 0.0001
+        data.loc[:, 'low'] = 1 - data.index * base - 0.0001
+        data.loc[:, 'close'] = 1 - data.index * base
+
+    if what == 'sine':
+        hz = 0.1  # frequency
+        data.loc[:, 'open'] = np.sin(data.index * hz) / 1000 + base
+        data.loc[:, 'high'] = np.sin(data.index * hz) / 1000 + base + 0.0001
+        data.loc[:, 'low'] = np.sin(data.index * hz) / 1000 + base - 0.0001
+        data.loc[:, 'close'] = np.sin(data.index * hz) / 1000 + base
+
+    return {'UNITTEST/BTC': clean_ohlcv_dataframe(data, timeframe='1m', pair='UNITTEST/BTC',
+                                                  fill_missing=True, drop_incomplete=True)}
+
+
+def test_biased_strategy(default_conf, mocker, caplog) -> None:
+
+    mocker.patch('freqtrade.data.history.get_timerange', get_timerange)
+    patch_exchange(mocker)
+    mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
+                 PropertyMock(return_value=['UNITTEST/BTC']))
+
+    default_conf['timeframe'] = '5m'
+    default_conf['timerange'] = '-1510694220'
+    default_conf['strategy'] = 'strategy_test_v3_with_lookahead_bias'
+    default_conf['strategy_path'] = 'tests/strategy/strats'
+
+    strategy_obj = {}
+    strategy_obj['name'] = "strategy_test_v3_with_lookahead_bias"
+    freqtrade.optimize.lookahead_analysis.LookaheadAnalysis(default_conf, strategy_obj, {})
+    pass