diff --git a/freqtrade/freqai/data_kitchen.py b/freqtrade/freqai/data_kitchen.py
index 7d4bf39ca..3d1ed7849 100644
--- a/freqtrade/freqai/data_kitchen.py
+++ b/freqtrade/freqai/data_kitchen.py
@@ -244,6 +244,14 @@ class FreqaiDataKitchen:
                 f"{self.pair}: dropped {len(unfiltered_df) - len(filtered_df)} training points"
                 f" due to NaNs in populated dataset {len(unfiltered_df)}."
             )
+            if len(unfiltered_df) == 0 and not self.live:
+                raise OperationalException(
+                    f"{self.pair}: all training data dropped due to NaNs. "
+                    "You likely did not download enough training data prior "
+                    "to your backtest timerange. Hint:\n"
+                    "https://www.freqtrade.io/en/stable/freqai-running/"
+                    "#downloading-data-to-cover-the-full-backtest-period"
+                )
             if (1 - len(filtered_df) / len(unfiltered_df)) > 0.1 and self.live:
                 worst_indicator = str(unfiltered_df.count().idxmin())
                 logger.warning(