diff --git a/docs/lookahead-analysis.md b/docs/lookahead-analysis.md index 22440a6d6..d61acf370 100644 --- a/docs/lookahead-analysis.md +++ b/docs/lookahead-analysis.md @@ -5,8 +5,7 @@ Checking look ahead bias is the bane of any strategy since it is sometimes very but very hard to detect. Backtesting initializes all timestamps at once and calculates all indicators in the beginning. -This means that if you are allowing your indicators (or the libraries that get used) then you would -look into the future and falsify your backtest. +This means that if your indicators or entry/exit signals could look into future candles and falsify your backtest. Lookahead-analysis requires historic data to be available. To learn how to get data for the pairs and exchange you're interested in, @@ -14,13 +13,15 @@ head over to the [Data Downloading](data-download.md) section of the documentati This command is built upon backtesting since it internally chains backtests and pokes at the strategy to provoke it to show look ahead bias. -This is done by looking not at the strategy itself - but at the results it returned. +This is done by not looking at the strategy itself - but at the results it returned. The results are things like changed indicator-values and moved entries/exits compared to the full backtest. You can use commands of [Backtesting](backtesting.md). It also supports the lookahead-analysis of freqai strategies. ---cache is enforced to be "none" +- --cache is forced to "none" +- --max_open_trades is forced to be at least equal to the number of pairs +- --dry_run_wallet is forced to be basically infinite ## Backtesting command reference @@ -46,7 +47,7 @@ optional arguments: #### Summary -Checks a given strategy for look ahead bias via backtest-analysis +Checks a given strategy for look ahead bias via lookahead-analysis Look ahead bias means that the backtest uses data from future candles thereby not making it viable beyond backtesting and producing false hopes for the one backtesting. @@ -61,19 +62,22 @@ but not realistic. This command is made to try to verify the validity in the form of the aforementioned look ahead bias. #### How does the command work? -It will not look at the strategy or any contents itself but instead will run multiple backtests -by using precisely cut timeranges and analyzing the results each time, comparing to the full timerange. +It will start with a backtest of all pairs to generate a baseline for indicators and entries/exits. +After the backtest ran, it will look if the minimum-trade-amount is met +and if not cancel the lookahead-analysis for this strategy. -At first, it starts a backtest over the whole duration -and then repeats backtests from the same starting point to the respective points to watch. -In addition, it analyzes the dataframes form the overall backtest to the cut ones. +After setting the baseline it will then do additional runs for every entry and exit separately. +When a verification-backtest is done, it will compare the indicators as the signal (either entry or exit) +and report the bias. +After all signals have been verified or falsified a result-table will be generated for the user to see. -At the end it will return a result-table in terminal. - -Hint: -If an entry or exit condition is only triggered rarely or the timerange was chosen -so only a few entry conditions are met -then the bias checker is unable to catch the biased entry or exit condition. -In the end it only checks which entry and exit signals have been triggered. - ----Flow chart here for better understanding--- +#### Caveats: +- The lookahead-analysis can only verify / falsify the trades it calculated through. +If there was a strategy with signals that were not triggered in the lookahead-analysis +then it will not have it verified that entry/exit signal either. +This could then lead to a false-negative (the strategy will then be reported as non-biased). +- lookahead-analysis has access to everything that backtesting has too. +Please don't provoke any configs like enabling position stacking. +If you decide to do so, +then make doubly sure that you won't ever run out of max_open_trades +amount and neither leftover money in your wallet.