add classifier, improve model naming scheme

freqtrade/freqai/prediction_models/CatboostRegressor.py

@@ -0,0 +1,53 @@
+import gc
+import logging
+from typing import Any, Dict
+
+from catboost import CatBoostRegressor, Pool
+
+from freqtrade.freqai.prediction_models.BaseRegressionModel import BaseRegressionModel
+
+
+logger = logging.getLogger(__name__)
+
+
+class CatboostRegressor(BaseRegressionModel):
+    """
+    User created prediction model. The class needs to override three necessary
+    functions, predict(), train(), fit(). The class inherits ModelHandler which
+    has its own DataHandler where data is held, saved, loaded, and managed.
+    """
+
+    def fit(self, data_dictionary: Dict) -> Any:
+        """
+        User sets up the training and test data to fit their desired model here
+        :param data_dictionary: the dictionary constructed by DataHandler to hold
+                                all the training and test data/labels.
+        """
+
+        train_data = Pool(
+            data=data_dictionary["train_features"],
+            label=data_dictionary["train_labels"],
+            weight=data_dictionary["train_weights"],
+        )
+        if self.freqai_info.get('data_split_parameters', {}).get('test_size', 0.1) == 0:
+            test_data = None
+        else:
+            test_data = Pool(
+                data=data_dictionary["test_features"],
+                label=data_dictionary["test_labels"],
+                weight=data_dictionary["test_weights"],
+            )
+
+        model = CatBoostRegressor(
+            allow_writing_files=False,
+            **self.model_training_parameters,
+        )
+
+        model.fit(X=train_data, eval_set=test_data)
+
+        # some evidence that catboost pools have memory leaks:
+        # https://github.com/catboost/catboost/issues/1835
+        del train_data, test_data
+        gc.collect()
+
+        return model