diff --git a/freqtrade/freqai/data_kitchen.py b/freqtrade/freqai/data_kitchen.py index a7e1d2808..89b8f2b95 100644 --- a/freqtrade/freqai/data_kitchen.py +++ b/freqtrade/freqai/data_kitchen.py @@ -243,6 +243,7 @@ class FreqaiDataKitchen: self.data["filter_drop_index_training"] = drop_index else: + filtered_df = self.check_pred_labels(filtered_df) # we are backtesting so we need to preserve row number to send back to strategy, # so now we use do_predict to avoid any prediction based on a NaN drop_index = pd.isnull(filtered_df).any(axis=1) @@ -462,6 +463,24 @@ class FreqaiDataKitchen: return df + def check_pred_labels(self, df_predictions: DataFrame) -> DataFrame: + """ + Check that prediction feature labels match training feature labels. + :params: + :df_predictions: incoming predictions + """ + train_labels = self.data_dictionary["train_features"].columns + pred_labels = df_predictions.columns + num_diffs = len(pred_labels.difference(train_labels)) + if num_diffs != 0: + df_predictions = df_predictions[train_labels] + logger.warning( + f"Removed {num_diffs} features from prediction features, " + f"these were likely considered constant values during most recent training." + ) + + return df_predictions + def principal_component_analysis(self) -> None: """ Performs Principal Component Analysis on the data for dimensionality reduction diff --git a/tests/freqai/conftest.py b/tests/freqai/conftest.py index 026b45afc..df61b284a 100644 --- a/tests/freqai/conftest.py +++ b/tests/freqai/conftest.py @@ -107,6 +107,8 @@ def make_unfiltered_dataframe(mocker, freqai_conf): unfiltered_dataframe = freqai.dk.use_strategy_to_populate_indicators( strategy, corr_dataframes, base_dataframes, freqai.dk.pair ) + for i in range(5): + unfiltered_dataframe[f'constant_{i}'] = i unfiltered_dataframe = freqai.dk.slice_dataframe(new_timerange, unfiltered_dataframe) diff --git a/tests/freqai/test_freqai_interface.py b/tests/freqai/test_freqai_interface.py index a61853c47..445b718d2 100644 --- a/tests/freqai/test_freqai_interface.py +++ b/tests/freqai/test_freqai_interface.py @@ -157,7 +157,7 @@ def test_extract_data_and_train_model_Classifiers(mocker, freqai_conf, model): ("CatboostClassifier", 6, "freqai_test_classifier") ], ) -def test_start_backtesting(mocker, freqai_conf, model, num_files, strat): +def test_start_backtesting(mocker, freqai_conf, model, num_files, strat, caplog): freqai_conf.get("freqai", {}).update({"save_backtest_models": True}) freqai_conf['runmode'] = RunMode.BACKTEST Trade.use_db = False @@ -181,12 +181,23 @@ def test_start_backtesting(mocker, freqai_conf, model, num_files, strat): 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") + for i in range(5): + df[f'%-constant_{i}'] = i + # df.loc[:, f'%-constant_{i}'] = i metadata = {"pair": "LTC/BTC"} freqai.start_backtesting(df, metadata, freqai.dk) model_folders = [x for x in freqai.dd.full_path.iterdir() if x.is_dir()] assert len(model_folders) == num_files + assert log_has_re( + "Removed features ", + caplog, + ) + assert log_has_re( + "Removed 5 features from prediction features, ", + caplog, + ) Backtesting.cleanup() shutil.rmtree(Path(freqai.dk.full_path)) @@ -256,6 +267,7 @@ def test_start_backtesting_from_existing_folder(mocker, freqai_conf, caplog): 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.start_backtesting(df, metadata, freqai.dk) assert log_has_re( @@ -312,6 +324,7 @@ def test_follow_mode(mocker, freqai_conf): freqai.dd.load_all_pair_histories(timerange, freqai.dk) df = strategy.dp.get_pair_dataframe('ADA/BTC', '5m') + freqai.start_live(df, metadata, strategy, freqai.dk) assert len(freqai.dk.return_dataframe.index) == 5702