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Merge pull request #9552 from thojou/fix-freqai-populate-features-timerange

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Fix duplicated data loading and timerange for populate_features
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Robert Caulk
2023-12-30 13:42:08 +01:00
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parent 7ccddb5d58 3f44f56f6f
commit ea8edbd23b
7 changed files with 146 additions and 58 deletions
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docs/freqai-running.md
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@@ -68,7 +68,7 @@ Backtesting mode requires [downloading the necessary data](#downloading-data-to-
This way, you can return to using any model you wish by simply specifying the `identifier`.
!!! Note
Backtesting calls `set_freqai_targets()` one time for each backtest window (where the number of windows is the full backtest timerange divided by the `backtest_period_days` parameter). Doing this means that the targets simulate dry/live behavior without look ahead bias. However, the definition of the features in `feature_engineering_*()` is performed once on the entire backtest timerange. This means that you should be sure that features do look-ahead into the future.
Backtesting calls `set_freqai_targets()` one time for each backtest window (where the number of windows is the full backtest timerange divided by the `backtest_period_days` parameter). Doing this means that the targets simulate dry/live behavior without look ahead bias. However, the definition of the features in `feature_engineering_*()` is performed once on the entire training timerange. This means that you should be sure that features do not look-ahead into the future.
More details about look-ahead bias can be found in [Common Mistakes](strategy-customization.md#common-mistakes-when-developing-strategies).
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