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freqtrade/en/develop/lookahead-analysis/index.html

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<h1 id="lookahead-analysis">Lookahead analysis<a class="headerlink" href="#lookahead-analysis" title="Permanent link">&para;</a></h1>
<p>This page explains how to validate your strategy in terms of lookahead bias.</p>
<p>Lookahead bias is the bane of any strategy since it is sometimes very easy to introduce this bias, but can be very hard to detect.</p>
<p>Backtesting initializes all timestamps (loads the whole dataframe into memory) and calculates all indicators at once.
This means that if your indicators or entry/exit signals look into future candles, this will falsify your backtest.</p>
<p>The <code>lookahead-analysis</code> command requires historic data to be available.
To learn how to get data for the pairs and exchange you're interested in,
head over to the <a href="../data-download/">Data Downloading</a> section of the documentation.
<code>lookahead-analysis</code> also supports freqai strategies.</p>
<p>This command internally chains backtests and pokes at the strategy to provoke it to show lookahead bias.
This is done by not looking at the strategy code itself, but at changed indicator values and moved entries/exits compared to the full backtest.</p>
<p><code>lookahead-analysis</code> can use the typical options of <a href="../backtesting/">Backtesting</a>, but forces the following options:</p>
<ul>
<li><code>--cache</code> is forced to "none".</li>
<li><code>--max-open-trades</code> is forced to be at least equal to the number of pairs.</li>
<li><code>--dry-run-wallet</code> is forced to be basically infinite (1 billion).</li>
<li><code>--stake-amount</code> is forced to be a static 10000 (10k).</li>
<li><code>--enable-protections</code> is forced to be off.</li>
<li><code>order_types</code> are forced to be "market" (late entries) unless <code>--lookahead-allow-limit-orders</code> is set.</li>
</ul>
<p>These are set to avoid users accidentally generating false positives.</p>
<h2 id="lookahead-analysis-command-reference">Lookahead-analysis command reference<a class="headerlink" href="#lookahead-analysis-command-reference" title="Permanent link">&para;</a></h2>
<div class="highlight"><pre><span></span><code><span class="go">usage: freqtrade lookahead-analysis [-h] [-v] [--no-color] [--logfile FILE]</span>
<span class="go"> [-V] [-c PATH] [-d PATH] [--userdir PATH]</span>
<span class="go"> [-s NAME] [--strategy-path PATH]</span>
<span class="go"> [--recursive-strategy-search]</span>
<span class="go"> [--freqaimodel NAME]</span>
<span class="go"> [--freqaimodel-path PATH] [-i TIMEFRAME]</span>
<span class="go"> [--timerange TIMERANGE]</span>
<span class="go"> [--data-format-ohlcv {json,jsongz,feather,parquet}]</span>
<span class="go"> [--max-open-trades INT]</span>
<span class="go"> [--stake-amount STAKE_AMOUNT]</span>
<span class="go"> [--fee FLOAT] [-p PAIRS [PAIRS ...]]</span>
<span class="go"> [--enable-protections]</span>
<span class="go"> [--enable-dynamic-pairlist]</span>
<span class="go"> [--dry-run-wallet DRY_RUN_WALLET]</span>
<span class="go"> [--timeframe-detail TIMEFRAME_DETAIL]</span>
<span class="go"> [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]</span>
<span class="go"> [--export {none,trades,signals}]</span>
<span class="go"> [--backtest-filename PATH]</span>
<span class="go"> [--backtest-directory PATH]</span>
<span class="go"> [--freqai-backtest-live-models]</span>
<span class="go"> [--minimum-trade-amount INT]</span>
<span class="go"> [--targeted-trade-amount INT]</span>
<span class="go"> [--lookahead-analysis-exportfilename LOOKAHEAD_ANALYSIS_EXPORTFILENAME]</span>
<span class="go"> [--allow-limit-orders]</span>
<span class="go">options:</span>
<span class="go"> -h, --help show this help message and exit</span>
<span class="go"> -i, --timeframe TIMEFRAME</span>
<span class="go"> Specify timeframe (`1m`, `5m`, `30m`, `1h`, `1d`).</span>
<span class="go"> --timerange TIMERANGE</span>
<span class="go"> Specify what timerange of data to use.</span>
<span class="go"> --data-format-ohlcv {json,jsongz,feather,parquet}</span>
<span class="go"> Storage format for downloaded candle (OHLCV) data.</span>
<span class="go"> (default: `feather`).</span>
<span class="go"> --max-open-trades INT</span>
<span class="go"> Override the value of the `max_open_trades`</span>
<span class="go"> configuration setting.</span>
<span class="go"> --stake-amount STAKE_AMOUNT</span>
<span class="go"> Override the value of the `stake_amount` configuration</span>
<span class="go"> setting.</span>
<span class="go"> --fee FLOAT Specify fee ratio. Will be applied twice (on trade</span>
<span class="go"> entry and exit).</span>
<span class="go"> -p, --pairs PAIRS [PAIRS ...]</span>
<span class="go"> Limit command to these pairs. Pairs are space-</span>
<span class="go"> separated.</span>
<span class="go"> --enable-protections, --enableprotections</span>
<span class="go"> Enable protections for backtesting. Will slow</span>
<span class="go"> backtesting down by a considerable amount, but will</span>
<span class="go"> include configured protections</span>
<span class="go"> --enable-dynamic-pairlist</span>
<span class="go"> Enables dynamic pairlist refreshes in backtesting. The</span>
<span class="go"> pairlist will be generated for each new candle if</span>
<span class="go"> you&#39;re using a pairlist handler that supports this</span>
<span class="go"> feature, for example, ShuffleFilter.</span>
<span class="go"> --dry-run-wallet, --starting-balance DRY_RUN_WALLET</span>
<span class="go"> Starting balance, used for backtesting / hyperopt and</span>
<span class="go"> dry-runs.</span>
<span class="go"> --timeframe-detail TIMEFRAME_DETAIL</span>
<span class="go"> Specify detail timeframe for backtesting (`1m`, `5m`,</span>
<span class="go"> `30m`, `1h`, `1d`).</span>
<span class="go"> --strategy-list STRATEGY_LIST [STRATEGY_LIST ...]</span>
<span class="go"> Provide a space-separated list of strategies to</span>
<span class="go"> backtest. Please note that timeframe needs to be set</span>
<span class="go"> either in config or via command line. When using this</span>
<span class="go"> together with `--export trades`, the strategy-name is</span>
<span class="go"> injected into the filename (so `backtest-data.json`</span>
<span class="go"> becomes `backtest-data-SampleStrategy.json`</span>
<span class="go"> --export {none,trades,signals}</span>
<span class="go"> Export backtest results (default: trades).</span>
<span class="go"> --backtest-filename, --export-filename PATH</span>
<span class="go"> Use this filename for backtest results.Example:</span>
<span class="go"> `--backtest-</span>
<span class="go"> filename=backtest_results_2020-09-27_16-20-48.json`.</span>
<span class="go"> Assumes either `user_data/backtest_results/` or</span>
<span class="go"> `--export-directory` as base directory.</span>
<span class="go"> --backtest-directory, --export-directory PATH</span>
<span class="go"> Directory to use for backtest results. Example:</span>
<span class="go"> `--export-directory=user_data/backtest_results/`.</span>
<span class="go"> --freqai-backtest-live-models</span>
<span class="go"> Run backtest with ready models.</span>
<span class="go"> --minimum-trade-amount INT</span>
<span class="go"> Minimum trade amount for lookahead-analysis</span>
<span class="go"> --targeted-trade-amount INT</span>
<span class="go"> Targeted trade amount for lookahead analysis</span>
<span class="go"> --lookahead-analysis-exportfilename LOOKAHEAD_ANALYSIS_EXPORTFILENAME</span>
<span class="go"> Use this csv-filename to store lookahead-analysis-</span>
<span class="go"> results</span>
<span class="go"> --allow-limit-orders Allow limit orders in lookahead analysis (could cause</span>
<span class="go"> false positives in lookahead analysis results).</span>
<span class="go">Common arguments:</span>
<span class="go"> -v, --verbose Verbose mode (-vv for more, -vvv to get all messages).</span>
<span class="go"> --no-color Disable colorization of hyperopt results. May be</span>
<span class="go"> useful if you are redirecting output to a file.</span>
<span class="go"> --logfile, --log-file FILE</span>
<span class="go"> Log to the file specified. Special values are:</span>
<span class="go"> &#39;syslog&#39;, &#39;journald&#39;. See the documentation for more</span>
<span class="go"> details.</span>
<span class="go"> -V, --version show program&#39;s version number and exit</span>
<span class="go"> -c, --config PATH Specify configuration file (default:</span>
<span class="go"> `userdir/config.json` or `config.json` whichever</span>
<span class="go"> exists). Multiple --config options may be used. Can be</span>
<span class="go"> set to `-` to read config from stdin.</span>
<span class="go"> -d, --datadir, --data-dir PATH</span>
<span class="go"> Path to the base directory of the exchange with</span>
<span class="go"> historical backtesting data. To see futures data, use</span>
<span class="go"> trading-mode additionally.</span>
<span class="go"> --userdir, --user-data-dir PATH</span>
<span class="go"> Path to userdata directory.</span>
<span class="go">Strategy arguments:</span>
<span class="go"> -s, --strategy NAME Specify strategy class name which will be used by the</span>
<span class="go"> bot.</span>
<span class="go"> --strategy-path PATH Specify additional strategy lookup path.</span>
<span class="go"> --recursive-strategy-search</span>
<span class="go"> Recursively search for a strategy in the strategies</span>
<span class="go"> folder.</span>
<span class="go"> --freqaimodel NAME Specify a custom freqaimodels.</span>
<span class="go"> --freqaimodel-path PATH</span>
<span class="go"> Specify additional lookup path for freqaimodels.</span>
</code></pre></div>
<div class="admonition note">
<p class="admonition-title">Note</p>
<p>The above output was reduced to options that <code>lookahead-analysis</code> adds on top of regular backtesting commands.</p>
</div>
<h3 id="introduction">Introduction<a class="headerlink" href="#introduction" title="Permanent link">&para;</a></h3>
<p>Many strategies, without the programmer knowing, have fallen prey to lookahead bias.
This typically makes the strategy backtest look profitable, sometimes to extremes, but this is not realistic as the strategy is "cheating" by looking at data it would not have in dry or live modes.</p>
<p>The reason why strategies can "cheat" is because the freqtrade backtesting process populates the full dataframe including all candle timestamps at the outset.
If the programmer is not careful or oblivious how things work internally
(which sometimes can be really hard to find out) then the strategy will look into the future.</p>
<p>This command is made to try to verify the validity in the form of the aforementioned lookahead bias.</p>
<h3 id="how-does-the-command-work">How does the command work?<a class="headerlink" href="#how-does-the-command-work" title="Permanent link">&para;</a></h3>
<p>It will start with a backtest of all pairs to generate a baseline for indicators and entries/exits.
After this initial backtest runs, it will look if the <code>minimum-trade-amount</code> is met and if not cancel the lookahead-analysis for this strategy.<br />
If this happens, use a wider timerange to get more trades for the analysis, or use a timerange where more trades occur.</p>
<p>After setting the baseline it will then do additional backtest runs for every entry and exit separately.<br />
When these verification backtests complete, it will compare both dataframes (baseline and sliced) for any difference in columns' value and report the bias.
After all signals have been verified or falsified a result table will be generated for the user to see.</p>
<h3 id="how-to-find-and-remove-bias-how-can-i-salvage-a-biased-strategy">How to find and remove bias? How can I salvage a biased strategy?<a class="headerlink" href="#how-to-find-and-remove-bias-how-can-i-salvage-a-biased-strategy" title="Permanent link">&para;</a></h3>
<p>If you found a biased strategy online and want to have the same results, just without bias,
then you will be out of luck most of the time.
Usually the bias in the strategy is THE driving factor for "too good to be true" profits.
Removing conditions or indicators that push the profits up from bias will usually make the strategy significantly worse.
You might be able to salvage it partially if the biased indicators or conditions are not the core of the strategy, or there
are other entry and exit signals that are not biased.</p>
<h3 id="examples-of-lookahead-bias">Examples of lookahead-bias<a class="headerlink" href="#examples-of-lookahead-bias" title="Permanent link">&para;</a></h3>
<ul>
<li><code>shift(-10)</code> looks 10 candles into the future.</li>
<li>Using <code>iloc[]</code> in populate_* functions to access a specific row in the dataframe.</li>
<li>For-loops are prone to introduce lookahead bias if you don't tightly control which numbers are looped through.</li>
<li>Aggregation functions like <code>.mean()</code>, <code>.min()</code> and <code>.max()</code>, without a rolling window,
will calculate the value over the <strong>whole</strong> dataframe, so the signal candle will "see" a value including future candles.
A non-biased example would be to look back candles using <code>rolling()</code> instead:
e.g. <code>dataframe['volume_mean_12'] = dataframe['volume'].rolling(12).mean()</code></li>
<li><code>ta.MACD(dataframe, 12, 26, 1)</code> will introduce bias with a signalperiod of 1.</li>
</ul>
<h3 id="what-do-the-columns-in-the-results-table-mean">What do the columns in the results table mean?<a class="headerlink" href="#what-do-the-columns-in-the-results-table-mean" title="Permanent link">&para;</a></h3>
<ul>
<li><code>filename</code>: name of the checked strategy file</li>
<li><code>strategy</code>: checked strategy class name</li>
<li><code>has_bias</code>: result of the lookahead-analysis. <code>No</code> would be good, <code>Yes</code> would be bad.</li>
<li><code>total_signals</code>: number of checked signals (default is 20)</li>
<li><code>biased_entry_signals</code>: found bias in that many entries</li>
<li><code>biased_exit_signals</code>: found bias in that many exits</li>
<li><code>biased_indicators</code>: shows you the indicators themselves that are defined in populate_indicators</li>
</ul>
<p>You might get false positives in the <code>biased_exit_signals</code> if you have biased entry signals paired with those exits.
However, a biased entry will usually result in a biased exit too,
even if the exit itself does not produce the bias -
especially if your entry and exit conditions use the same biased indicator.</p>
<p><strong>Address the bias in the entries first, then address the exits.</strong></p>
<h3 id="caveats">Caveats<a class="headerlink" href="#caveats" title="Permanent link">&para;</a></h3>
<ul>
<li><code>lookahead-analysis</code> can only verify / falsify the trades it calculated and verified.
If the strategy has many different signals / signal types, it's up to you to select appropriate parameters to ensure that all signals have triggered at least once. Signals that are not triggered will not have been verified.<br />
This would lead to a false-negative, i.e. the strategy will be reported as non-biased.</li>
<li><code>lookahead-analysis</code> has access to the same backtesting options and this can introduce problems.
Please don't use any options like enabling position stacking as this will distort the number of checked signals.
If you decide to do so, then make doubly sure that you won't ever run out of <code>max_open_trades</code> slots,
and that you have enough capital in the backtest wallet configuration.</li>
<li>limit orders in combination with <code>custom_entry_price()</code> and <code>custom_exit_price()</code> callbacks can cause late / delayed entries and exists, causing false positives.
To avoid this - market orders are forced for this command. This implicitly means that <code>custom_entry_price()</code> and <code>custom_exit_price()</code> callbacks are not called.
Using <code>--lookahead-allow-limit-orders</code> will skip the override and use your configured order types - however has shown to eventually produce false positives.</li>
<li>In the results table, the <code>biased_indicators</code> column
will falsely flag FreqAI target indicators defined in <code>set_freqai_targets()</code> as biased.<br />
<strong>These are not biased and can safely be ignored.</strong></li>
</ul>
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