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compare full dataframe instead of only last row

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Stefano
2025-08-17 16:05:22 +09:00
parent 5d4edb5ec0
commit 5e5137edc1
1 changed files with 29 additions and 28 deletions
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57
freqtrade/optimize/analysis/lookahead.py
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@@ -25,7 +25,7 @@ class Analysis:
self.total_signals = 0 self.total_signals = 0
self.false_entry_signals = 0 self.false_entry_signals = 0
self.false_exit_signals = 0 self.false_exit_signals = 0
self.false_indicators: list[str] = [] self.false_indicators: set[str] = set()
self.has_bias = False self.has_bias = False
@@ -70,34 +70,29 @@ class LookaheadAnalysis(BaseAnalysis):
cut_df: DataFrame = cut_vars.indicators[current_pair] cut_df: DataFrame = cut_vars.indicators[current_pair]
full_df: DataFrame = full_vars.indicators[current_pair] full_df: DataFrame = full_vars.indicators[current_pair]
# cut longer dataframe to length of the shorter # trim full_df to the same index and length as cut_df
full_df_cut = full_df[(full_df.date == cut_vars.compared_dt)].reset_index(drop=True) cut_full_df = full_df.loc[cut_df.index]
cut_df_cut = cut_df[(cut_df.date == cut_vars.compared_dt)].reset_index(drop=True) compare_df = cut_full_df.compare(cut_df)
# check if dataframes are not empty if compare_df.shape[0] > 0:
if full_df_cut.shape[0] != 0 and cut_df_cut.shape[0] != 0: for col_name in compare_df:
# compare dataframes col_idx = compare_df.columns.get_loc(col_name)
compare_df = full_df_cut.compare(cut_df_cut) 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: # output differences
for col_name, values in compare_df.items(): if self_value != other_value:
col_idx = compare_df.columns.get_loc(col_name) if not self.current_analysis.false_indicators.__contains__(col_name[0]):
compare_df_row = compare_df.iloc[0] self.current_analysis.false_indicators.add(col_name[0])
# compare_df now comprises tuples with [1] having either 'self' or 'other' logger.info(
if "other" in col_name[1]: f"=> found look ahead bias in column "
continue f"{col_name[0]}. "
self_value = compare_df_row.iloc[col_idx] f"{str(self_value)} != {str(other_value)}"
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)}"
)
def prepare_data(self, varholder: VarHolder, pairs_to_load: list[DataFrame]): def prepare_data(self, varholder: VarHolder, pairs_to_load: list[DataFrame]):
if "freqai" in self.local_config and "identifier" in self.local_config["freqai"]: 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.data, varholder.timerange = backtesting.load_bt_data()
varholder.timeframe = backtesting.timeframe 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) varholder.result = self.get_result(backtesting, varholder.indicators)
def fill_entry_and_exit_varHolders(self, result_row): def fill_entry_and_exit_varHolders(self, result_row):