diff --git a/docs/freqai.md b/docs/freqai.md index 5f523f58a..33fac198c 100644 --- a/docs/freqai.md +++ b/docs/freqai.md @@ -190,19 +190,6 @@ The FreqAI strategy requires the user to include the following lines of code in # passed to any single indicator) startup_candle_count: int = 20 - def informative_pairs(self): - whitelist_pairs = self.dp.current_whitelist() - corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"] - informative_pairs = [] - for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]: - for pair in whitelist_pairs: - informative_pairs.append((pair, tf)) - for pair in corr_pairs: - if pair in whitelist_pairs: - continue # avoid duplication - informative_pairs.append((pair, tf)) - return informative_pairs - def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # the model will return all labels created by user in `populate_any_indicators` diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 9401ebebe..93988ac48 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -613,6 +613,22 @@ class IStrategy(ABC, HyperStrategyMixin): # END - Intended to be overridden by strategy ### + def __informative_pairs_freqai(self) -> ListPairsWithTimeframes: + """ + Create informative-pairs needed for FreqAI + """ + if self.config.get('freqai', {}).get('enabled', False): + whitelist_pairs = self.dp.current_whitelist() + candle_type = self.config.get('candle_type_def', CandleType.SPOT) + corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"] + informative_pairs = [] + for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]: + for pair in set(whitelist_pairs + corr_pairs): + informative_pairs.append((pair, tf, candle_type)) + return informative_pairs + + return [] + def gather_informative_pairs(self) -> ListPairsWithTimeframes: """ Internal method which gathers all informative pairs (user or automatically defined). @@ -637,6 +653,7 @@ class IStrategy(ABC, HyperStrategyMixin): else: for pair in self.dp.current_whitelist(): informative_pairs.append((pair, inf_data.timeframe, candle_type)) + informative_pairs.extend(self.__informative_pairs_freqai()) return list(set(informative_pairs)) def get_strategy_name(self) -> str: diff --git a/freqtrade/templates/FreqaiExampleStrategy.py b/freqtrade/templates/FreqaiExampleStrategy.py index 15b2c6c83..907106453 100644 --- a/freqtrade/templates/FreqaiExampleStrategy.py +++ b/freqtrade/templates/FreqaiExampleStrategy.py @@ -47,19 +47,6 @@ class FreqaiExampleStrategy(IStrategy): std_dev_multiplier_sell = CategoricalParameter( [0.1, 0.25, 0.4], space="sell", default=0.2, optimize=True) - def informative_pairs(self): - whitelist_pairs = self.dp.current_whitelist() - corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"] - informative_pairs = [] - for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]: - for pair in whitelist_pairs: - informative_pairs.append((pair, tf)) - for pair in corr_pairs: - if pair in whitelist_pairs: - continue # avoid duplication - informative_pairs.append((pair, tf)) - return informative_pairs - def populate_any_indicators( self, pair, df, tf, informative=None, set_generalized_indicators=False ): diff --git a/freqtrade/templates/FreqaiHybridExampleStrategy.py b/freqtrade/templates/FreqaiHybridExampleStrategy.py index 286ff012f..593a6062b 100644 --- a/freqtrade/templates/FreqaiHybridExampleStrategy.py +++ b/freqtrade/templates/FreqaiHybridExampleStrategy.py @@ -95,20 +95,6 @@ class FreqaiExampleHybridStrategy(IStrategy): short_rsi = IntParameter(low=51, high=100, default=70, space='sell', optimize=True, load=True) exit_short_rsi = IntParameter(low=1, high=50, default=30, space='buy', optimize=True, load=True) - # FreqAI required function, leave as is or add additional informatives to existing structure. - def informative_pairs(self): - whitelist_pairs = self.dp.current_whitelist() - corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"] - informative_pairs = [] - for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]: - for pair in whitelist_pairs: - informative_pairs.append((pair, tf)) - for pair in corr_pairs: - if pair in whitelist_pairs: - continue # avoid duplication - informative_pairs.append((pair, tf)) - return informative_pairs - # FreqAI required function, user can add or remove indicators, but general structure # must stay the same. def populate_any_indicators( diff --git a/tests/freqai/test_freqai_interface.py b/tests/freqai/test_freqai_interface.py index a66594d7f..998bce903 100644 --- a/tests/freqai/test_freqai_interface.py +++ b/tests/freqai/test_freqai_interface.py @@ -8,6 +8,7 @@ import pytest from freqtrade.configuration import TimeRange from freqtrade.data.dataprovider import DataProvider from freqtrade.freqai.data_kitchen import FreqaiDataKitchen +from freqtrade.plugins.pairlistmanager import PairListManager from tests.conftest import get_patched_exchange, log_has_re from tests.freqai.conftest import get_patched_freqai_strategy @@ -315,3 +316,27 @@ def test_principal_component_analysis(mocker, freqai_conf): assert Path(freqai.dk.data_path / f"{freqai.dk.model_filename}_pca_object.pkl") shutil.rmtree(Path(freqai.dk.full_path)) + + +@pytest.mark.parametrize('timeframes,corr_pairs', [ + (['5m'], ['ADA/BTC', 'DASH/BTC']), + (['5m'], ['ADA/BTC', 'DASH/BTC', 'ETH/USDT']), + (['5m', '15m'], ['ADA/BTC', 'DASH/BTC', 'ETH/USDT']), +]) +def test_freqai_informative_pairs(mocker, freqai_conf, timeframes, corr_pairs): + freqai_conf['freqai']['feature_parameters'].update({ + 'include_timeframes': timeframes, + 'include_corr_pairlist': corr_pairs, + + }) + strategy = get_patched_freqai_strategy(mocker, freqai_conf) + exchange = get_patched_exchange(mocker, freqai_conf) + pairlists = PairListManager(exchange, freqai_conf) + strategy.dp = DataProvider(freqai_conf, exchange, pairlists) + pairlist = strategy.dp.current_whitelist() + + pairs_a = strategy.informative_pairs() + assert len(pairs_a) == 0 + pairs_b = strategy.gather_informative_pairs() + # we expect unique pairs * timeframes + assert len(pairs_b) == len(set(pairlist + corr_pairs)) * len(timeframes) diff --git a/tests/strategy/strats/freqai_test_multimodel_strat.py b/tests/strategy/strats/freqai_test_multimodel_strat.py index cd3327da9..ada4b25f0 100644 --- a/tests/strategy/strats/freqai_test_multimodel_strat.py +++ b/tests/strategy/strats/freqai_test_multimodel_strat.py @@ -43,19 +43,6 @@ class freqai_test_multimodel_strat(IStrategy): ) max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True) - def informative_pairs(self): - whitelist_pairs = self.dp.current_whitelist() - corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"] - informative_pairs = [] - for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]: - for pair in whitelist_pairs: - informative_pairs.append((pair, tf)) - for pair in corr_pairs: - if pair in whitelist_pairs: - continue # avoid duplication - informative_pairs.append((pair, tf)) - return informative_pairs - def populate_any_indicators( self, pair, df, tf, informative=None, set_generalized_indicators=False ): diff --git a/tests/strategy/strats/freqai_test_strat.py b/tests/strategy/strats/freqai_test_strat.py index 792a3952f..cdfb7f4d0 100644 --- a/tests/strategy/strats/freqai_test_strat.py +++ b/tests/strategy/strats/freqai_test_strat.py @@ -43,19 +43,6 @@ class freqai_test_strat(IStrategy): ) max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True) - def informative_pairs(self): - whitelist_pairs = self.dp.current_whitelist() - corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"] - informative_pairs = [] - for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]: - for pair in whitelist_pairs: - informative_pairs.append((pair, tf)) - for pair in corr_pairs: - if pair in whitelist_pairs: - continue # avoid duplication - informative_pairs.append((pair, tf)) - return informative_pairs - def populate_any_indicators( self, pair, df, tf, informative=None, set_generalized_indicators=False ):