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Merge pull request #12126 from stash86/main-stash

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Improve lookahead analysis to use full dataframe comparison instead of just the last row
This commit is contained in:
Matthias
2025-08-20 06:45:13 +02:00
committed by GitHub
parent 765a0b52cb a531f8644d
commit 1f21d5e2c2
2 changed files with 32 additions and 32 deletions
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55
freqtrade/optimize/analysis/lookahead.py
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@@ -70,34 +70,29 @@ class LookaheadAnalysis(BaseAnalysis):
cut_df: DataFrame = cut_vars.indicators[current_pair]
full_df: DataFrame = full_vars.indicators[current_pair]
# cut longer dataframe to length of the shorter
full_df_cut = full_df[(full_df.date == cut_vars.compared_dt)].reset_index(drop=True)
cut_df_cut = cut_df[(cut_df.date == cut_vars.compared_dt)].reset_index(drop=True)
# trim full_df to the same index and length as cut_df
cut_full_df = full_df.loc[cut_df.index]
compare_df = cut_full_df.compare(cut_df)
# check if dataframes are not empty
if full_df_cut.shape[0] != 0 and cut_df_cut.shape[0] != 0:
# compare dataframes
compare_df = full_df_cut.compare(cut_df_cut)
if compare_df.shape[0] > 0:
for col_name in compare_df:
col_idx = compare_df.columns.get_loc(col_name)
compare_df_row = compare_df.iloc[0]
# compare_df now comprises tuples with [1] having either 'self' or 'other'
if "other" in col_name[1]:
continue
self_value = compare_df_row.iloc[col_idx]
other_value = compare_df_row.iloc[col_idx + 1]
if compare_df.shape[0] > 0:
for col_name, values in compare_df.items():
col_idx = compare_df.columns.get_loc(col_name)
compare_df_row = compare_df.iloc[0]
# compare_df now comprises tuples with [1] having either 'self' or 'other'
if "other" in col_name[1]:
continue
self_value = compare_df_row.iloc[col_idx]
other_value = compare_df_row.iloc[col_idx + 1]
# output differences
if self_value != other_value:
if not self.current_analysis.false_indicators.__contains__(col_name[0]):
self.current_analysis.false_indicators.append(col_name[0])
logger.info(
f"=> found look ahead bias in indicator "
f"{col_name[0]}. "
f"{str(self_value)} != {str(other_value)}"
)
# output differences
if self_value != other_value:
if not self.current_analysis.false_indicators.__contains__(col_name[0]):
self.current_analysis.false_indicators.append(col_name[0])
logger.info(
f"=> found look ahead bias in column "
f"{col_name[0]}. "
f"{str(self_value)} != {str(other_value)}"
)
def prepare_data(self, varholder: VarHolder, pairs_to_load: list[DataFrame]):
if "freqai" in self.local_config and "identifier" in self.local_config["freqai"]:
@@ -132,7 +127,13 @@ class LookaheadAnalysis(BaseAnalysis):
varholder.data, varholder.timerange = backtesting.load_bt_data()
varholder.timeframe = backtesting.timeframe
varholder.indicators = backtesting.strategy.advise_all_indicators(varholder.data)
temp_indicators = backtesting.strategy.advise_all_indicators(varholder.data)
filled_indicators = dict()
for pair, dataframe in temp_indicators.items():
filled_indicators[pair] = backtesting.strategy.ft_advise_signals(
dataframe, {"pair": pair}
)
varholder.indicators = filled_indicators
varholder.result = self.get_result(backtesting, varholder.indicators)
def fill_entry_and_exit_varHolders(self, result_row):