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MukavaValkku 2022-08-15 12:45:08 +03:00 committed by robcaulk
parent 718c9d0440
commit 096533bcb9
1 changed files with 43 additions and 26 deletions
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69
freqtrade/freqai/prediction_models/ReinforcementLearningTDQN.py
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@ -72,9 +72,11 @@ class ReinforcementLearningTDQN(BaseReinforcementLearningModel):
class Actions(Enum): class Actions(Enum):
Short = 0 Neutral = 0
Long = 1 Long_buy = 1
Neutral = 2 Long_sell = 2
Short_buy = 3
Short_sell = 4
class Positions(Enum): class Positions(Enum):
@ -179,31 +181,36 @@ class MyRLEnv(BaseRLEnv):
self.total_reward += step_reward self.total_reward += step_reward
trade_type = None trade_type = None
if self.is_tradesignal(action): # exclude 3 case not trade if self.is_tradesignal(action): # exclude 3 case not trade
# Update position # Update position
""" """
Action: Neutral, position: Long -> Close Long Action: Neutral, position: Long -> Close Long
Action: Neutral, position: Short -> Close Short Action: Neutral, position: Short -> Close Short
Action: Long, position: Neutral -> Open Long Action: Long, position: Neutral -> Open Long
Action: Long, position: Short -> Close Short and Open Long Action: Long, position: Short -> Close Short and Open Long
Action: Short, position: Neutral -> Open Short Action: Short, position: Neutral -> Open Short
Action: Short, position: Long -> Close Long and Open Short Action: Short, position: Long -> Close Long and Open Short
""" """
temp_position = self._position
if action == Actions.Neutral.value: if action == Actions.Neutral.value:
self._position = Positions.Neutral self._position = Positions.Neutral
trade_type = "neutral" trade_type = "neutral"
elif action == Actions.Long.value: elif action == Actions.Long_buy.value:
self._position = Positions.Long self._position = Positions.Long
trade_type = "long" trade_type = "long"
elif action == Actions.Short.value: elif action == Actions.Short_buy.value:
self._position = Positions.Short self._position = Positions.Short
trade_type = "short" trade_type = "short"
elif action == Actions.Long_sell.value:
self._position = Positions.Neutral
trade_type = "neutral"
elif action == Actions.Short_sell.value:
self._position = Positions.Neutral
trade_type = "neutral"
else: else:
print("case not define") print("case not defined")
# Update last trade tick # Update last trade tick
self._last_trade_tick = self._current_tick self._last_trade_tick = self._current_tick
@ -250,23 +257,33 @@ class MyRLEnv(BaseRLEnv):
return 0. return 0.
def is_tradesignal(self, action): def is_tradesignal(self, action):
# trade signal # trade signal
""" """
not trade signal is : not trade signal is :
Action: Neutral, position: Neutral -> Nothing Action: Neutral, position: Neutral -> Nothing
Action: Long, position: Long -> Hold Long Action: Long, position: Long -> Hold Long
Action: Short, position: Short -> Hold Short Action: Short, position: Short -> Hold Short
""" """
return not ((action == Actions.Neutral.value and self._position == Positions.Neutral) return not ((action == Actions.Neutral.value and self._position == Positions.Neutral) or
or (action == Actions.Short.value and self._position == Positions.Short) (action == Actions.Short_buy.value and self._position == Positions.Short) or
or (action == Actions.Long.value and self._position == Positions.Long)) (action == Actions.Short_sell.value and self._position == Positions.Short) or
(action == Actions.Short_buy.value and self._position == Positions.Long) or
(action == Actions.Short_sell.value and self._position == Positions.Long) or
def _is_trade(self, action: Actions): (action == Actions.Long_buy.value and self._position == Positions.Long) or
return ((action == Actions.Long.value and self._position == Positions.Short) or (action == Actions.Long_sell.value and self._position == Positions.Long) or
(action == Actions.Short.value and self._position == Positions.Long) or (action == Actions.Long_buy.value and self._position == Positions.Short) or
(action == Actions.Neutral.value and self._position == Positions.Long) or (action == Actions.Long_sell.value and self._position == Positions.Short))
(action == Actions.Neutral.value and self._position == Positions.Short)
) def _is_trade(self, action):
return ((action == Actions.Long_buy.value and self._position == Positions.Short) or
(action == Actions.Short_buy.value and self._position == Positions.Long) or
(action == Actions.Neutral.value and self._position == Positions.Long) or
(action == Actions.Neutral.value and self._position == Positions.Short) or
(action == Actions.Neutral.Short_sell and self._position == Positions.Long) or
(action == Actions.Neutral.Long_sell and self._position == Positions.Short)
)
def is_hold(self, action): def is_hold(self, action):
return ((action == Actions.Short.value and self._position == Positions.Short) return ((action == Actions.Short.value and self._position == Positions.Short)