Error thrown at numpy_rolling_window

[stash86]

When function numpy_rolling_window is called, if length of data is less than the supplied window value, this error will be thrown

2024-07-29 10:19:57,751 - freqtrade - ERROR - Fatal exception!
Traceback (most recent call last):
  File "/home/linuxuser/freqtrade/freqtrade/main.py", line 43, in main
    return_code = args["func"](args)
                  ^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade/commands/optimize_commands.py", line 162, in start_recursive_analysis
    RecursiveAnalysisSubFunctions.start(config)
  File "/home/linuxuser/freqtrade/freqtrade/optimize/analysis/recursive_helpers.py", line 98, in start
    RecursiveAnalysisSubFunctions.initialize_single_recursive_analysis(
  File "/home/linuxuser/freqtrade/freqtrade/optimize/analysis/recursive_helpers.py", line 66, in initialize_single_recursive_analysis
    current_instance.start()
  File "/home/linuxuser/freqtrade/freqtrade/optimize/analysis/recursive.py", line 170, in start
    self.fill_partial_varholder_lookahead(end_date_partial)
  File "/home/linuxuser/freqtrade/freqtrade/optimize/analysis/recursive.py", line 155, in fill_partial_varholder_lookahead
    self.prepare_data(partial_varHolder, self.local_config["pairs"])
  File "/home/linuxuser/freqtrade/freqtrade/optimize/analysis/recursive.py", line 131, in prepare_data
    varholder.indicators = backtesting.strategy.advise_all_indicators(varholder.data)
                           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade/strategy/interface.py", line 1578, in advise_all_indicators
    return {
           ^
  File "/home/linuxuser/freqtrade/freqtrade/strategy/interface.py", line 1579, in <dictcomp>
    pair: self.advise_indicators(pair_data.copy(), {"pair": pair}).copy()
          ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade/strategy/interface.py", line 1613, in advise_indicators
    return self.populate_indicators(dataframe, metadata)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade_strategies/test_ao.py", line 39, in populate_indicators
    dataframe['ao'] = qtpylib.awesome_oscillator(dataframe)
                      ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade/vendor/qtpylib/indicators.py", line 157, in awesome_oscillator
    ao = numpy_rolling_mean(midprice, fast) - numpy_rolling_mean(midprice, slow)
                                              ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade/vendor/qtpylib/indicators.py", line 44, in func_wrapper
    calculated = func(series, window)
                 ^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade/vendor/qtpylib/indicators.py", line 57, in numpy_rolling_mean
    return np.mean(numpy_rolling_window(data, window), axis=-1)
                   ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/freqtrade/vendor/qtpylib/indicators.py", line 36, in numpy_rolling_window
    return np.lib.stride_tricks.as_strided(data, shape=shape, strides=strides)
           ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
  File "/home/linuxuser/freqtrade/.venv/lib/python3.11/site-packages/numpy/lib/stride_tricks.py", line 105, in as_strided
    array = np.asarray(DummyArray(interface, base=x))
            ^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^
ValueError: negative dimensions are not allowed

The error above was thrown when I tried to calculate qptylib.awesome_oscilator with the default fast and slow values. The issue is the supplied data was only 10 rows. When I changed the slow parameter to something less than 10 (for example 7), there was no error,

Is is possible to add a check at the beginning of numpy_rolling_window and maybe return NaN when the length of data is smaller than the window value?

[xmatthias]

Considering qtpylib is a vendored library we use (mostly) "as is" - I'd rather prefer to not mess with it too much.

We've disabled a few methods we know are lookahead-biased - but that's about it.
It's also importable from 2 separate sources (it's vendored both here and in freqtrade itself) - which doesn't simplify things in this regards (this could be solved - but it'll still remain a vendored file).

If we see us being disturbed by that - i think it should be reworked completely - as i think it does some things a bit oddly - not necessarily in a way you'd do it if you're looking at it from a pure performance point of view) (numpy_rolling_mean is effectively ta.SMA - but expressed / implemented in a very verbose and nested way).

---

To be quite fair - raising ValueError in case of an invalid input doesn't seem wrong - why suggest that "it worked but you get nothing" if the user provided invalid inputs?

[stash86]

For example. If you are doing ta.SMA of 100 but you have only 50 rows, it would just give you NaN for all the rows, so I assume same thing can be applied here? Getting NaN should equate to "the calculation failed".

Ofc this is a very rare case, when we throw less than 34 rows of data to the awesome_oscilator, but it can happen when one trying to test lookahead by cutting the timerange to just 10 candles and the strategy using no startup_candle_count 😁

I'll look at another way of dealing with the issue then, and not changing the lib.

[xmatthias]

well my point is - IF we assume that we'll take over qtpylib's indicators (we vendor them - but upstream has been archived earlier this year, so there won't be any fixes anymore) - then we'll need to

• have only one source (probably reexport the ones from technical in freqtrade, removing the duplicated implementation)
• add some tests to ensure it's actually doing what it should (i'm NOT sure about that for all indicators qtpylib offers)
• do some things differently - like the 10x nested call to numpy_rolling_window just to get a np.rolling(x).mean()