645 lines
23 KiB
Python
645 lines
23 KiB
Python
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import gym
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from gym import spaces
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from gym.utils import seeding
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from enum import Enum
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from sklearn.decomposition import PCA, KernelPCA
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import random
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import numpy as np
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import pandas as pd
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from collections import deque
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import matplotlib.pylab as plt
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from typing import Dict, List, Tuple, Type, Optional, Any, Union, Callable
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import logging
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logger = logging.getLogger(__name__)
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# from bokeh.io import output_notebook
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# from bokeh.plotting import figure, show
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# from bokeh.models import (
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# CustomJS,
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# ColumnDataSource,
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# NumeralTickFormatter,
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# Span,
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# HoverTool,
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# Range1d,
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# DatetimeTickFormatter,
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# Scatter,
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# Label, LabelSet
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# )
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class Actions(Enum):
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Short = 0
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Long = 1
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Neutral = 2
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class Actions_v2(Enum):
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Neutral = 0
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Long_buy = 1
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Long_sell = 2
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Short_buy = 3
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Short_sell = 4
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class Positions(Enum):
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Short = 0
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Long = 1
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Neutral = 0.5
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def opposite(self):
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return Positions.Short if self == Positions.Long else Positions.Long
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def mean_over_std(x):
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std = np.std(x, ddof=1)
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mean = np.mean(x)
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return mean / std if std > 0 else 0
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class DEnv(gym.Env):
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metadata = {'render.modes': ['human']}
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def __init__(self, df, prices, reward_kwargs, window_size=10, starting_point=True, ):
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assert df.ndim == 2
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self.seed()
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self.df = df
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self.signal_features = self.df
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self.prices = prices
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self.window_size = window_size
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self.starting_point = starting_point
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self.rr = reward_kwargs["rr"]
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self.profit_aim = reward_kwargs["profit_aim"]
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self.fee=0.0015
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# # spaces
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self.shape = (window_size, self.signal_features.shape[1])
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self.action_space = spaces.Discrete(len(Actions_v2))
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self.observation_space = spaces.Box(low=-np.inf, high=np.inf, shape=self.shape, dtype=np.float32)
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# episode
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self._start_tick = self.window_size
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self._end_tick = len(self.prices) - 1
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self._done = None
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self._current_tick = None
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self._last_trade_tick = None
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self._position = Positions.Neutral
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self._position_history = None
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self.total_reward = None
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self._total_profit = None
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self._first_rendering = None
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self.history = None
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self.trade_history = []
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# self.A_t, self.B_t = 0.000639, 0.00001954
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self.r_t_change = 0.
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self.returns_report = []
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def seed(self, seed=None):
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self.np_random, seed = seeding.np_random(seed)
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return [seed]
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def reset(self):
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self._done = False
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if self.starting_point == True:
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self._position_history = (self._start_tick* [None]) + [self._position]
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else:
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self._position_history = (self.window_size * [None]) + [self._position]
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self._current_tick = self._start_tick
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self._last_trade_tick = None
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#self._last_trade_tick = self._current_tick - 1
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self._position = Positions.Neutral
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self.total_reward = 0.
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self._total_profit = 1. # unit
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self._first_rendering = True
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self.history = {}
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self.trade_history = []
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self.portfolio_log_returns = np.zeros(len(self.prices))
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self._profits = [(self._start_tick, 1)]
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self.close_trade_profit = []
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self.r_t_change = 0.
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self.returns_report = []
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return self._get_observation()
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def step(self, action):
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self._done = False
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self._current_tick += 1
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if self._current_tick == self._end_tick:
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self._done = True
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self.update_portfolio_log_returns(action)
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self._update_profit(action)
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step_reward = self._calculate_reward(action)
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self.total_reward += step_reward
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trade_type = None
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if self.is_tradesignal_v2(action): # exclude 3 case not trade
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# Update position
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"""
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Action: Neutral, position: Long -> Close Long
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Action: Neutral, position: Short -> Close Short
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Action: Long, position: Neutral -> Open Long
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Action: Long, position: Short -> Close Short and Open Long
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Action: Short, position: Neutral -> Open Short
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Action: Short, position: Long -> Close Long and Open Short
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"""
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temp_position = self._position
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if action == Actions_v2.Neutral.value:
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self._position = Positions.Neutral
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trade_type = "neutral"
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elif action == Actions_v2.Long_buy.value:
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self._position = Positions.Long
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trade_type = "long"
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elif action == Actions_v2.Short_buy.value:
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self._position = Positions.Short
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trade_type = "short"
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elif action == Actions_v2.Long_sell.value:
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self._position = Positions.Neutral
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trade_type = "neutral"
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elif action == Actions_v2.Short_sell.value:
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self._position = Positions.Neutral
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trade_type = "neutral"
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else:
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print("case not defined")
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# Update last trade tick
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self._last_trade_tick = self._current_tick
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if trade_type != None:
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self.trade_history.append(
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{'price': self.current_price(), 'index': self._current_tick, 'type': trade_type})
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if self._total_profit < 0.2:
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self._done = True
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self._position_history.append(self._position)
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observation = self._get_observation()
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info = dict(
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tick = self._current_tick,
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total_reward = self.total_reward,
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total_profit = self._total_profit,
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position = self._position.value
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)
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self._update_history(info)
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return observation, step_reward, self._done, info
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def processState(self, state):
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return state.to_numpy()
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def convert_mlp_Policy(self, obs_):
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pass
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def _get_observation(self):
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return self.signal_features[(self._current_tick - self.window_size):self._current_tick]
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def get_unrealized_profit(self):
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if self._last_trade_tick == None:
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return 0.
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if self._position == Positions.Neutral:
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return 0.
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elif self._position == Positions.Short:
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current_price = self.add_buy_fee(self.prices.iloc[self._current_tick].open)
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last_trade_price = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open)
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return (last_trade_price - current_price)/last_trade_price
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elif self._position == Positions.Long:
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current_price = self.add_sell_fee(self.prices.iloc[self._current_tick].open)
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last_trade_price = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
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return (current_price - last_trade_price)/last_trade_price
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else:
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return 0.
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def is_tradesignal(self, action):
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# trade signal
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"""
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not trade signal is :
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Action: Neutral, position: Neutral -> Nothing
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Action: Long, position: Long -> Hold Long
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Action: Short, position: Short -> Hold Short
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"""
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return not ((action == Actions.Neutral.value and self._position == Positions.Neutral)
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or (action == Actions.Short.value and self._position == Positions.Short)
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or (action == Actions.Long.value and self._position == Positions.Long))
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def is_tradesignal_v2(self, action):
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# trade signal
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"""
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not trade signal is :
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Action: Neutral, position: Neutral -> Nothing
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Action: Long, position: Long -> Hold Long
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Action: Short, position: Short -> Hold Short
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"""
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return not ((action == Actions_v2.Neutral.value and self._position == Positions.Neutral) or
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(action == Actions_v2.Short_buy.value and self._position == Positions.Short) or
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(action == Actions_v2.Short_sell.value and self._position == Positions.Short) or
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(action == Actions_v2.Short_buy.value and self._position == Positions.Long) or
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(action == Actions_v2.Short_sell.value and self._position == Positions.Long) or
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(action == Actions_v2.Long_buy.value and self._position == Positions.Long) or
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(action == Actions_v2.Long_sell.value and self._position == Positions.Long) or
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(action == Actions_v2.Long_buy.value and self._position == Positions.Short) or
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(action == Actions_v2.Long_sell.value and self._position == Positions.Short))
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def _is_trade(self, action: Actions):
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return ((action == Actions.Long.value and self._position == Positions.Short) or
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(action == Actions.Short.value and self._position == Positions.Long) or
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(action == Actions.Neutral.value and self._position == Positions.Long) or
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(action == Actions.Neutral.value and self._position == Positions.Short)
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)
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def _is_trade_v2(self, action: Actions_v2):
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return ((action == Actions_v2.Long_buy.value and self._position == Positions.Short) or
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(action == Actions_v2.Short_buy.value and self._position == Positions.Long) or
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(action == Actions_v2.Neutral.value and self._position == Positions.Long) or
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(action == Actions_v2.Neutral.value and self._position == Positions.Short) or
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(action == Actions_v2.Neutral.Short_sell and self._position == Positions.Long) or
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(action == Actions_v2.Neutral.Long_sell and self._position == Positions.Short)
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)
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def is_hold(self, action):
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return ((action == Actions.Short.value and self._position == Positions.Short)
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or (action == Actions.Long.value and self._position == Positions.Long))
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def is_hold_v2(self, action):
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return ((action == Actions_v2.Short_buy.value and self._position == Positions.Short)
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or (action == Actions_v2.Long_buy.value and self._position == Positions.Long))
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def add_buy_fee(self, price):
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return price * (1 + self.fee)
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def add_sell_fee(self, price):
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return price / (1 + self.fee)
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def _update_history(self, info):
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if not self.history:
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self.history = {key: [] for key in info.keys()}
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for key, value in info.items():
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self.history[key].append(value)
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def render(self, mode='human'):
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def _plot_position(position, tick):
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color = None
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if position == Positions.Short:
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color = 'red'
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elif position == Positions.Long:
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color = 'green'
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if color:
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plt.scatter(tick, self.prices.loc[tick].open, color=color)
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if self._first_rendering:
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self._first_rendering = False
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plt.cla()
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plt.plot(self.prices)
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start_position = self._position_history[self._start_tick]
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_plot_position(start_position, self._start_tick)
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plt.cla()
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plt.plot(self.prices)
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_plot_position(self._position, self._current_tick)
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plt.suptitle("Total Reward: %.6f" % self.total_reward + ' ~ ' + "Total Profit: %.6f" % self._total_profit)
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plt.pause(0.01)
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def render_all(self):
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plt.figure()
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window_ticks = np.arange(len(self._position_history))
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plt.plot(self.prices['open'], alpha=0.5)
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short_ticks = []
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long_ticks = []
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neutral_ticks = []
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for i, tick in enumerate(window_ticks):
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if self._position_history[i] == Positions.Short:
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short_ticks.append(tick - 1)
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elif self._position_history[i] == Positions.Long:
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long_ticks.append(tick - 1)
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elif self._position_history[i] == Positions.Neutral:
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neutral_ticks.append(tick - 1)
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plt.plot(neutral_ticks, self.prices.loc[neutral_ticks].open,
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'o', color='grey', ms=3, alpha=0.1)
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plt.plot(short_ticks, self.prices.loc[short_ticks].open,
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'o', color='r', ms=3, alpha=0.8)
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plt.plot(long_ticks, self.prices.loc[long_ticks].open,
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'o', color='g', ms=3, alpha=0.8)
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plt.suptitle("Generalising")
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fig = plt.gcf()
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fig.set_size_inches(15, 10)
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def close_trade_report(self):
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small_trade = 0
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positive_big_trade = 0
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negative_big_trade = 0
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small_profit = 0.003
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for i in self.close_trade_profit:
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if i < small_profit and i > -small_profit:
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small_trade+=1
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|
|
elif i > small_profit:
|
||
|
|
positive_big_trade += 1
|
||
|
|
elif i < -small_profit:
|
||
|
|
negative_big_trade += 1
|
||
|
|
print(f"small trade={small_trade/len(self.close_trade_profit)}; positive_big_trade={positive_big_trade/len(self.close_trade_profit)}; negative_big_trade={negative_big_trade/len(self.close_trade_profit)}")
|
||
|
|
|
||
|
|
|
||
|
|
def report(self):
|
||
|
|
|
||
|
|
# get total trade
|
||
|
|
long_trade = 0
|
||
|
|
short_trade = 0
|
||
|
|
neutral_trade = 0
|
||
|
|
for trade in self.trade_history:
|
||
|
|
if trade['type'] == 'long':
|
||
|
|
long_trade += 1
|
||
|
|
|
||
|
|
elif trade['type'] == 'short':
|
||
|
|
short_trade += 1
|
||
|
|
else:
|
||
|
|
neutral_trade += 1
|
||
|
|
|
||
|
|
negative_trade = 0
|
||
|
|
positive_trade = 0
|
||
|
|
for tr in self.close_trade_profit:
|
||
|
|
if tr < 0.:
|
||
|
|
negative_trade += 1
|
||
|
|
|
||
|
|
if tr > 0.:
|
||
|
|
positive_trade += 1
|
||
|
|
|
||
|
|
total_trade_lr = negative_trade+positive_trade
|
||
|
|
|
||
|
|
|
||
|
|
total_trade = long_trade + short_trade
|
||
|
|
sharp_ratio = self.sharpe_ratio()
|
||
|
|
sharp_log = self.get_sharpe_ratio()
|
||
|
|
|
||
|
|
from tabulate import tabulate
|
||
|
|
|
||
|
|
headers = ["Performance", ""]
|
||
|
|
performanceTable = [["Total Trade", "{0:.2f}".format(total_trade)],
|
||
|
|
["Total reward", "{0:.3f}".format(self.total_reward)],
|
||
|
|
["Start profit(unit)", "{0:.2f}".format(1.)],
|
||
|
|
["End profit(unit)", "{0:.3f}".format(self._total_profit)],
|
||
|
|
["Sharp ratio", "{0:.3f}".format(sharp_ratio)],
|
||
|
|
["Sharp log", "{0:.3f}".format(sharp_log)],
|
||
|
|
# ["Sortino ratio", "{0:.2f}".format(0) + '%'],
|
||
|
|
["winrate", "{0:.2f}".format(positive_trade*100/total_trade_lr) + '%']
|
||
|
|
]
|
||
|
|
tabulation = tabulate(performanceTable, headers, tablefmt="fancy_grid", stralign="center")
|
||
|
|
print(tabulation)
|
||
|
|
|
||
|
|
result = {
|
||
|
|
"Start": "{0:.2f}".format(1.),
|
||
|
|
"End": "{0:.2f}".format(self._total_profit),
|
||
|
|
"Sharp": "{0:.3f}".format(sharp_ratio),
|
||
|
|
"Winrate": "{0:.2f}".format(positive_trade*100/total_trade_lr)
|
||
|
|
}
|
||
|
|
return result
|
||
|
|
|
||
|
|
def close(self):
|
||
|
|
plt.close()
|
||
|
|
|
||
|
|
def get_sharpe_ratio(self):
|
||
|
|
return mean_over_std(self.get_portfolio_log_returns())
|
||
|
|
|
||
|
|
|
||
|
|
def save_rendering(self, filepath):
|
||
|
|
plt.savefig(filepath)
|
||
|
|
|
||
|
|
|
||
|
|
def pause_rendering(self):
|
||
|
|
plt.show()
|
||
|
|
|
||
|
|
|
||
|
|
def _calculate_reward(self, action):
|
||
|
|
# rw = self.transaction_profit_reward(action)
|
||
|
|
#rw = self.reward_rr_profit_config(action)
|
||
|
|
rw = self.reward_rr_profit_config_v2(action)
|
||
|
|
return rw
|
||
|
|
|
||
|
|
|
||
|
|
def _update_profit(self, action):
|
||
|
|
#if self._is_trade(action) or self._done:
|
||
|
|
if self._is_trade_v2(action) or self._done:
|
||
|
|
pnl = self.get_unrealized_profit()
|
||
|
|
|
||
|
|
if self._position == Positions.Long:
|
||
|
|
self._total_profit = self._total_profit + self._total_profit*pnl
|
||
|
|
self._profits.append((self._current_tick, self._total_profit))
|
||
|
|
self.close_trade_profit.append(pnl)
|
||
|
|
|
||
|
|
if self._position == Positions.Short:
|
||
|
|
self._total_profit = self._total_profit + self._total_profit*pnl
|
||
|
|
self._profits.append((self._current_tick, self._total_profit))
|
||
|
|
self.close_trade_profit.append(pnl)
|
||
|
|
|
||
|
|
|
||
|
|
def most_recent_return(self, action):
|
||
|
|
"""
|
||
|
|
We support Long, Neutral and Short positions.
|
||
|
|
Return is generated from rising prices in Long
|
||
|
|
and falling prices in Short positions.
|
||
|
|
The actions Sell/Buy or Hold during a Long position trigger the sell/buy-fee.
|
||
|
|
"""
|
||
|
|
# Long positions
|
||
|
|
if self._position == Positions.Long:
|
||
|
|
current_price = self.prices.iloc[self._current_tick].open
|
||
|
|
#if action == Actions.Short.value or action == Actions.Neutral.value:
|
||
|
|
if action == Actions_v2.Short_buy.value or action == Actions_v2.Neutral.value:
|
||
|
|
current_price = self.add_sell_fee(current_price)
|
||
|
|
|
||
|
|
previous_price = self.prices.iloc[self._current_tick - 1].open
|
||
|
|
|
||
|
|
if (self._position_history[self._current_tick - 1] == Positions.Short
|
||
|
|
or self._position_history[self._current_tick - 1] == Positions.Neutral):
|
||
|
|
previous_price = self.add_buy_fee(previous_price)
|
||
|
|
|
||
|
|
return np.log(current_price) - np.log(previous_price)
|
||
|
|
|
||
|
|
# Short positions
|
||
|
|
if self._position == Positions.Short:
|
||
|
|
current_price = self.prices.iloc[self._current_tick].open
|
||
|
|
#if action == Actions.Long.value or action == Actions.Neutral.value:
|
||
|
|
if action == Actions_v2.Long_buy.value or action == Actions_v2.Neutral.value:
|
||
|
|
current_price = self.add_buy_fee(current_price)
|
||
|
|
|
||
|
|
previous_price = self.prices.iloc[self._current_tick - 1].open
|
||
|
|
if (self._position_history[self._current_tick - 1] == Positions.Long
|
||
|
|
or self._position_history[self._current_tick - 1] == Positions.Neutral):
|
||
|
|
previous_price = self.add_sell_fee(previous_price)
|
||
|
|
|
||
|
|
return np.log(previous_price) - np.log(current_price)
|
||
|
|
|
||
|
|
return 0
|
||
|
|
|
||
|
|
def get_portfolio_log_returns(self):
|
||
|
|
return self.portfolio_log_returns[1:self._current_tick + 1]
|
||
|
|
|
||
|
|
|
||
|
|
def get_trading_log_return(self):
|
||
|
|
return self.portfolio_log_returns[self._start_tick:]
|
||
|
|
|
||
|
|
def update_portfolio_log_returns(self, action):
|
||
|
|
self.portfolio_log_returns[self._current_tick] = self.most_recent_return(action)
|
||
|
|
|
||
|
|
def current_price(self) -> float:
|
||
|
|
return self.prices.iloc[self._current_tick].open
|
||
|
|
|
||
|
|
def prev_price(self) -> float:
|
||
|
|
return self.prices.iloc[self._current_tick-1].open
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
def sharpe_ratio(self):
|
||
|
|
if len(self.close_trade_profit) == 0:
|
||
|
|
return 0.
|
||
|
|
returns = np.array(self.close_trade_profit)
|
||
|
|
reward = (np.mean(returns) - 0. + 1e-9) / (np.std(returns) + 1e-9)
|
||
|
|
return reward
|
||
|
|
|
||
|
|
def get_bnh_log_return(self):
|
||
|
|
return np.diff(np.log(self.prices['open'][self._start_tick:]))
|
||
|
|
|
||
|
|
|
||
|
|
def transaction_profit_reward(self, action):
|
||
|
|
rw = 0.
|
||
|
|
|
||
|
|
pt = self.prev_price()
|
||
|
|
pt_1 = self.current_price()
|
||
|
|
|
||
|
|
|
||
|
|
if self._position == Positions.Long:
|
||
|
|
a_t = 1
|
||
|
|
elif self._position == Positions.Short:
|
||
|
|
a_t = -1
|
||
|
|
else:
|
||
|
|
a_t = 0
|
||
|
|
|
||
|
|
# close long
|
||
|
|
if (action == Actions.Short.value or action == Actions.Neutral.value) and self._position == Positions.Long:
|
||
|
|
pt_1 = self.add_sell_fee(self.current_price())
|
||
|
|
po = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
|
||
|
|
|
||
|
|
rw = a_t*(pt_1 - po)/po
|
||
|
|
#rw = rw*2
|
||
|
|
# close short
|
||
|
|
elif (action == Actions.Long.value or action == Actions.Neutral.value) and self._position == Positions.Short:
|
||
|
|
pt_1 = self.add_buy_fee(self.current_price())
|
||
|
|
po = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open)
|
||
|
|
rw = a_t*(pt_1 - po)/po
|
||
|
|
#rw = rw*2
|
||
|
|
else:
|
||
|
|
rw = a_t*(pt_1 - pt)/pt
|
||
|
|
|
||
|
|
return np.clip(rw, 0, 1)
|
||
|
|
|
||
|
|
|
||
|
|
|
||
|
|
def reward_rr_profit_config_v2(self, action):
|
||
|
|
rw = 0.
|
||
|
|
|
||
|
|
pt_1 = self.current_price()
|
||
|
|
|
||
|
|
|
||
|
|
if len(self.close_trade_profit) > 0:
|
||
|
|
# long
|
||
|
|
if self._position == Positions.Long:
|
||
|
|
pt_1 = self.add_sell_fee(self.current_price())
|
||
|
|
po = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
|
||
|
|
|
||
|
|
if action == Actions_v2.Short_buy.value:
|
||
|
|
if self.close_trade_profit[-1] > self.profit_aim * self.rr:
|
||
|
|
rw = 10 * 2
|
||
|
|
elif self.close_trade_profit[-1] > 0 and self.close_trade_profit[-1] < self.profit_aim * self.rr:
|
||
|
|
rw = 10 * 1 * 1
|
||
|
|
elif self.close_trade_profit[-1] < 0:
|
||
|
|
rw = 10 * -1
|
||
|
|
elif self.close_trade_profit[-1] < (self.profit_aim * -1) * self.rr:
|
||
|
|
rw = 10 * 3 * -1
|
||
|
|
|
||
|
|
if action == Actions_v2.Long_sell.value:
|
||
|
|
if self.close_trade_profit[-1] > self.profit_aim * self.rr:
|
||
|
|
rw = 10 * 5
|
||
|
|
elif self.close_trade_profit[-1] > 0 and self.close_trade_profit[-1] < self.profit_aim * self.rr:
|
||
|
|
rw = 10 * 1 * 3
|
||
|
|
elif self.close_trade_profit[-1] < 0:
|
||
|
|
rw = 10 * -1
|
||
|
|
elif self.close_trade_profit[-1] < (self.profit_aim * -1) * self.rr:
|
||
|
|
rw = 10 * 3 * -1
|
||
|
|
|
||
|
|
if action == Actions_v2.Neutral.value:
|
||
|
|
if self.close_trade_profit[-1] > 0:
|
||
|
|
rw = 2
|
||
|
|
elif self.close_trade_profit[-1] < 0:
|
||
|
|
rw = 2 * -1
|
||
|
|
|
||
|
|
# short
|
||
|
|
if self._position == Positions.Short:
|
||
|
|
pt_1 = self.add_sell_fee(self.current_price())
|
||
|
|
po = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
|
||
|
|
|
||
|
|
if action == Actions_v2.Long_buy.value:
|
||
|
|
if self.close_trade_profit[-1] > self.profit_aim * self.rr:
|
||
|
|
rw = 10 * 2
|
||
|
|
elif self.close_trade_profit[-1] > 0 and self.close_trade_profit[-1] < (self.profit_aim * -1) * self.rr:
|
||
|
|
rw = 10 * 1 * 1
|
||
|
|
elif self.close_trade_profit[-1] < 0:
|
||
|
|
rw = 10 * -1
|
||
|
|
elif self.close_trade_profit[-1] < (self.profit_aim * -1) * self.rr:
|
||
|
|
rw = 10 * 3 * -1
|
||
|
|
|
||
|
|
if action == Actions_v2.Short_sell.value:
|
||
|
|
if self.close_trade_profit[-1] > self.profit_aim * self.rr:
|
||
|
|
rw = 10 * 5
|
||
|
|
elif self.close_trade_profit[-1] > 0 and self.close_trade_profit[-1] < (self.profit_aim * -1) * self.rr:
|
||
|
|
rw = 10 * 1 * 3
|
||
|
|
elif self.close_trade_profit[-1] < 0:
|
||
|
|
rw = 10 * -1
|
||
|
|
elif self.close_trade_profit[-1] < (self.profit_aim * -1) * self.rr:
|
||
|
|
rw = 10 * 3 * -1
|
||
|
|
|
||
|
|
if action == Actions_v2.Neutral.value:
|
||
|
|
if self.close_trade_profit[-1] > 0:
|
||
|
|
rw = 2
|
||
|
|
elif self.close_trade_profit[-1] < 0:
|
||
|
|
rw = 2 * -1
|
||
|
|
|
||
|
|
return np.clip(rw, 0, 1)
|