Merge pull request #7466 from th0rntwig/improve-freqai-docs
Revise FreqAI multipage docs structure
This commit is contained in:
Robert Caulk
GitHub
commit
0e7ec182a3
BIN
docs/assets/freqai_inlier-metric.jpg
Normal file
BIN
docs/assets/freqai_inlier-metric.jpg
Normal file
Binary file not shown.
|
After Width: | Height: | Size: 458 KiB |
@ -4,7 +4,7 @@ FreqAI is configured through the typical [Freqtrade config file](configuration.m
|
||||
|
||||
## Setting up the configuration file
|
||||
|
||||
Although there are plenty of additional parameters that a user can choose from, as highlighted in the [parameter table](freqai-parameter-table.md#parameter-table), a FreqAI config must at minimum include the following parameters (the parameter values are only examples):
|
||||
Although there are plenty of additional parameters to choose from, as highlighted in the [parameter table](freqai-parameter-table.md#parameter-table), a FreqAI config must at minimum include the following parameters (the parameter values are only examples):
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
@ -36,7 +36,7 @@ A full example config is available in `config_examples/config_freqai.example.jso
|
||||
|
||||
## Building a FreqAI strategy
|
||||
|
||||
The FreqAI strategy requires the user to include the following lines of code in the standard [Freqtrade strategy](strategy-customization.md):
|
||||
The FreqAI strategy requires including the following lines of code in the standard [Freqtrade strategy](strategy-customization.md):
|
||||
|
||||
```python
|
||||
# user should define the maximum startup candle count (the largest number of candles
|
||||
@ -120,16 +120,16 @@ The FreqAI strategy requires the user to include the following lines of code in
|
||||
|
||||
```
|
||||
|
||||
Notice how the `populate_any_indicators()` is where the user adds their own [features](freqai-feature-engineering.md#feature-engineering) and labels/tragets. A full example strategy is available in `templates/FreqaiExampleStrategy.py`.
|
||||
Notice how the `populate_any_indicators()` is where [features](freqai-feature-engineering.md#feature-engineering) and labels/tragets are added. A full example strategy is available in `templates/FreqaiExampleStrategy.py`.
|
||||
|
||||
Notice also the location of the labels under `if set_generalized_indicators:` at the bottom of the example. This is where the user will add single features and labels/targets to their feature set to avoid duplication of them from various configuration parameters that multiply the feature set, such as `include_timeframes`.
|
||||
Notice also the location of the labels under `if set_generalized_indicators:` at the bottom of the example. This is where single features and labels/targets should be added to the feature set to avoid duplication of them from various configuration parameters that multiply the feature set, such as `include_timeframes`.
|
||||
|
||||
!!! Note
|
||||
The `self.freqai.start()` function cannot be called outside the `populate_indicators()`.
|
||||
|
||||
!!! Note
|
||||
Features **must** be defined in `populate_any_indicators()`. Defining FreqAI features in `populate_indicators()`
|
||||
will cause the algorithm to fail in live/dry mode. If the user wishes to add generalized features that are not associated with a specific pair or timeframe, they should use the following structure inside `populate_any_indicators()`
|
||||
will cause the algorithm to fail in live/dry mode. In order to add generalized features that are not associated with a specific pair or timeframe, the following structure inside `populate_any_indicators()` should be used
|
||||
(as exemplified in `freqtrade/templates/FreqaiExampleStrategy.py`):
|
||||
|
||||
```python
|
||||
@ -161,18 +161,18 @@ Notice also the location of the labels under `if set_generalized_indicators:` at
|
||||
|
||||
## Important dataframe key patterns
|
||||
|
||||
Below are the values the user can expect to include/use inside a typical strategy dataframe (`df[]`):
|
||||
Below are the values you can expect to include/use inside a typical strategy dataframe (`df[]`):
|
||||
|
||||
| DataFrame Key | Description |
|
||||
|------------|-------------|
|
||||
| `df['&*']` | Any dataframe column prepended with `&` in `populate_any_indicators()` is treated as a training target (label) inside FreqAI (typically following the naming convention `&-s*`). The names of these dataframe columns are fed back to the user as the predictions. For example, if the user wishes to predict the price change in the next 40 candles (similar to `templates/FreqaiExampleStrategy.py`), they set `df['&-s_close']`. FreqAI makes the predictions and gives them back under the same key (`df['&-s_close']`) to be used in `populate_entry/exit_trend()`. <br> **Datatype:** Depends on the output of the model.
|
||||
| `df['&*_std/mean']` | Standard deviation and mean values of the user defined labels during training (or live tracking with `fit_live_predictions_candles`). Commonly used to understand the rarity of a prediction (use the z-score as shown in `templates/FreqaiExampleStrategy.py` and explained [here](#creating-a-dynamic-target-threshold) to evaluate how often a particular prediction was observed during training or historically with `fit_live_predictions_candles`). <br> **Datatype:** Float.
|
||||
| `df['do_predict']` | Indication of an outlier data point. The return value is integer between -1 and 2, which lets the user know if the prediction is trustworthy or not. `do_predict==1` means that the prediction is trustworthy. If the Dissimilarity Index (DI, see details [here](freqai-outlier-detection.md#identifying-outliers-with-the-dissimilarity-index)) of the input data point is above the user-defined threshold, FreqAI will subtract 1 from `do_predict`, resulting in `do_predict==0`. If `use_SVM_to_remove_outliers()` is active, the Support Vector Machine (SVM, see details [here](freqai-outlier-detection.md#identifying-outliers-using-a-support-vector-machine-svm)) may also detect outliers in training and prediction data. In this case, the SVM will also subtract 1 from `do_predict`. If the input data point was considered an outlier by the SVM but not by the DI, or vice versa, the result will be `do_predict==0`. If both the DI and the SVM considers the input data point to be an outlier, the result will be `do_predict==-1`. A particular case is when `do_predict == 2`, which means that the model has expired due to exceeding `expired_hours`. <br> **Datatype:** Integer between -1 and 2.
|
||||
| `df['DI_values']` | Dissimilarity Index (DI) values are proxies for the level of confidence FreqAI has in the prediction. A lower DI means the prediction is close to the training data, i.e., higher prediction confidence. See details about the DI [here](freqai-outlier-detection.md#identifying-outliers-with-the-dissimilarity-index). <br> **Datatype:** Float.
|
||||
| `df['%*']` | Any dataframe column prepended with `%` in `populate_any_indicators()` is treated as a training feature. For example, the user can include the RSI in the training feature set (similar to in `templates/FreqaiExampleStrategy.py`) by setting `df['%-rsi']`. See more details on how this is done [here](freqai-feature-engineering.md). <br> **Note:** Since the number of features prepended with `%` can multiply very quickly (10s of thousands of features is easily engineered using the multiplictative functionality described in the `feature_parameters` table shown above), these features are removed from the dataframe upon return from FreqAI. If the user wishes to keep a particular type of feature for plotting purposes, they can prepend it with `%%`. <br> **Datatype:** Depends on the output of the model.
|
||||
| `df['&*']` | Any dataframe column prepended with `&` in `populate_any_indicators()` is treated as a training target (label) inside FreqAI (typically following the naming convention `&-s*`). The names of these dataframe columns are fed back as the predictions. For example, to predict the price change in the next 40 candles (similar to `templates/FreqaiExampleStrategy.py`), you would set `df['&-s_close']`. FreqAI makes the predictions and gives them back under the same key (`df['&-s_close']`) to be used in `populate_entry/exit_trend()`. <br> **Datatype:** Depends on the output of the model.
|
||||
| `df['&*_std/mean']` | Standard deviation and mean values of the defined labels during training (or live tracking with `fit_live_predictions_candles`). Commonly used to understand the rarity of a prediction (use the z-score as shown in `templates/FreqaiExampleStrategy.py` and explained [here](#creating-a-dynamic-target-threshold) to evaluate how often a particular prediction was observed during training or historically with `fit_live_predictions_candles`). <br> **Datatype:** Float.
|
||||
| `df['do_predict']` | Indication of an outlier data point. The return value is integer between -1 and 2, which lets you know if the prediction is trustworthy or not. `do_predict==1` means that the prediction is trustworthy. If the Dissimilarity Index (DI, see details [here](freqai-feature-engineering.md#identifying-outliers-with-the-dissimilarity-index-di)) of the input data point is above the threshold defined in the config, FreqAI will subtract 1 from `do_predict`, resulting in `do_predict==0`. If `use_SVM_to_remove_outliers()` is active, the Support Vector Machine (SVM, see details [here](freqai-feature-engineering.md#identifying-outliers-using-a-support-vector-machine-svm)) may also detect outliers in training and prediction data. In this case, the SVM will also subtract 1 from `do_predict`. If the input data point was considered an outlier by the SVM but not by the DI, or vice versa, the result will be `do_predict==0`. If both the DI and the SVM considers the input data point to be an outlier, the result will be `do_predict==-1`. A particular case is when `do_predict == 2`, which means that the model has expired due to exceeding `expired_hours`. <br> **Datatype:** Integer between -1 and 2.
|
||||
| `df['DI_values']` | Dissimilarity Index (DI) values are proxies for the level of confidence FreqAI has in the prediction. A lower DI means the prediction is close to the training data, i.e., higher prediction confidence. See details about the DI [here](freqai-feature-engineering.md#identifying-outliers-with-the-dissimilarity-index-di). <br> **Datatype:** Float.
|
||||
| `df['%*']` | Any dataframe column prepended with `%` in `populate_any_indicators()` is treated as a training feature. For example, you can include the RSI in the training feature set (similar to in `templates/FreqaiExampleStrategy.py`) by setting `df['%-rsi']`. See more details on how this is done [here](freqai-feature-engineering.md). <br> **Note:** Since the number of features prepended with `%` can multiply very quickly (10s of thousands of features is easily engineered using the multiplictative functionality described in the `feature_parameters` table shown above), these features are removed from the dataframe upon return from FreqAI. To keep a particular type of feature for plotting purposes, you would prepend it with `%%`. <br> **Datatype:** Depends on the output of the model.
|
||||
|
||||
## Setting the `startup_candle_count`
|
||||
The user needs to take care to set the `startup_candle_count` in their strategy the same way as in the standard Freqtrade strategy (see details [here](strategy-customization.md#strategy-startup-period)). This value is used by Freqtrade to ensure that a sufficient amount of data is provided when calling the `dataprovider`, to avoid any NaNs at the beginning of the first training. The user can easily set this value by identifying the longest period (in candle units) that they pass to their indicator creation functions (e.g., talib functions). In the presented example, `startup_candle_count` is 20 since this is the maximum value in `indicators_periods_candles`.
|
||||
The `startup_candle_count` in the FreqAI strategy needs to be set up in the same way as in the standard Freqtrade strategy (see details [here](strategy-customization.md#strategy-startup-period)). This value is used by Freqtrade to ensure that a sufficient amount of data is provided when calling the `dataprovider`, to avoid any NaNs at the beginning of the first training. You can easily set this value by identifying the longest period (in candle units) which is passed to the indicator creation functions (e.g., talib functions). In the presented example, `startup_candle_count` is 20 since this is the maximum value in `indicators_periods_candles`.
|
||||
|
||||
!!! Note
|
||||
There are instances where the talib functions actually require more data than just the passed `period` or else the feature dataset gets populated with NaNs. Anecdotally, multiplying the `startup_candle_count` by 2 always leads to a fully NaN free training dataset. Hence, it is typically safest to multiply the expected `startup_candle_count` by 2. Look out for this log message to confirm that the data is clean:
|
||||
@ -183,14 +183,14 @@ The user needs to take care to set the `startup_candle_count` in their strategy
|
||||
|
||||
## Creating a dynamic target threshold
|
||||
|
||||
Deciding when to enter or exit a trade can be done in a dynamic way to reflect current market conditions. FreqAI allows the user to return additional information from the training of a model (more info [here](freqai-data-handling.md#returning-additional-info-from-training)). For example, the `&*_std/mean` return values describe the statistical distribution of the user defined target/label *during the most recent training*. Comparing a given prediction to these values allows the user to know the rarity of the prediction. In `templates/FreqaiExampleStrategy.py`, the `target_roi` and `sell_roi` are defined to be 1.25 z-scores away from the mean which causes predictions that are closer to the mean to be filtered out.
|
||||
Deciding when to enter or exit a trade can be done in a dynamic way to reflect current market conditions. FreqAI allows you to return additional information from the training of a model (more info [here](freqai-feature-engineering.md#returning-additional-info-from-training)). For example, the `&*_std/mean` return values describe the statistical distribution of the target/label *during the most recent training*. Comparing a given prediction to these values allows you to know the rarity of the prediction. In `templates/FreqaiExampleStrategy.py`, the `target_roi` and `sell_roi` are defined to be 1.25 z-scores away from the mean which causes predictions that are closer to the mean to be filtered out.
|
||||
|
||||
```python
|
||||
dataframe["target_roi"] = dataframe["&-s_close_mean"] + dataframe["&-s_close_std"] * 1.25
|
||||
dataframe["sell_roi"] = dataframe["&-s_close_mean"] - dataframe["&-s_close_std"] * 1.25
|
||||
```
|
||||
|
||||
If the user wishes to consider the population of *historical predictions* for creating the dynamic target instead of information from the training as discussed above, the user can do so by setting `fit_live_prediction_candles` in the config to the number of historical prediction candles the user wishes to use to generate target statistics.
|
||||
To consider the population of *historical predictions* for creating the dynamic target instead of information from the training as discussed above, you would set `fit_live_prediction_candles` in the config to the number of historical prediction candles you wish to use to generate target statistics.
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
@ -198,15 +198,15 @@ If the user wishes to consider the population of *historical predictions* for cr
|
||||
}
|
||||
```
|
||||
|
||||
If the user sets this value, FreqAI will initially use the predictions from the training data and subsequently begin introducing real prediction data as it is generated. FreqAI will save this historical data to be reloaded if the user stops and restarts a model with the same `identifier`.
|
||||
If this value is set, FreqAI will initially use the predictions from the training data and subsequently begin introducing real prediction data as it is generated. FreqAI will save this historical data to be reloaded if you stop and restart a model with the same `identifier`.
|
||||
|
||||
## Using different prediction models
|
||||
|
||||
FreqAI has multiple example prediction model libraries that are ready to be used as is via the flag `--freqaimodel`. These libraries include `Catboost`, `LightGBM`, and `XGBoost` regression, classification, and multi-target models, and can be found in `freqai/prediction_models/`. For the more interested user, it is possible to customize and create their own prediction models using the `IFreqaiModel` class. The user is encouraged to inherit `fit()`, `train()`, and `predict()` to let these customize various aspects of their training procedures.
|
||||
FreqAI has multiple example prediction model libraries that are ready to be used as is via the flag `--freqaimodel`. These libraries include `Catboost`, `LightGBM`, and `XGBoost` regression, classification, and multi-target models, and can be found in `freqai/prediction_models/`. However, it is possible to customize and create your own prediction models using the `IFreqaiModel` class. You are encouraged to inherit `fit()`, `train()`, and `predict()` to let these customize various aspects of the training procedures.
|
||||
|
||||
### Setting classifier targets
|
||||
|
||||
`FreqAI` includes a variety of classifiers, such as the `CatboostClassifier` via the flag `--freqaimodel CatboostClassifier`. If the user elects to use a classifier, they must ensure the classes are set using strings. For example:
|
||||
`FreqAI` includes a variety of classifiers, such as the `CatboostClassifier` via the flag `--freqaimodel CatboostClassifier`. If you elects to use a classifier, the classes need to be set using strings. For example:
|
||||
|
||||
```python
|
||||
df['&s-up_or_down'] = np.where( df["close"].shift(-100) > df["close"], 'up', 'down')
|
||||
|
||||
@ -1,115 +0,0 @@
|
||||
# Data handling
|
||||
|
||||
`FreqAI` aims to organize model files, prediction data, and meta data in a way that simplifies post-processing and enhances crash recililence by automatic data reloading. The data is saved in a file structure,`user_data_dir/models/`, which contains all the data associated with the trainings and backtests. The `FreqaiDataKitchen()` relies heavily on the file structure for proper training and inferencing and should therefore not be manually modified.
|
||||
|
||||
## File structure
|
||||
|
||||
The file structure is automatically generated based on the model `identifier` set by the user in the [config](freqai-configuration.md#setting-up-the-configuration-file). The following structure shows where the data is stored for post processing:
|
||||
|
||||
| Structure | Description |
|
||||
|-----------|-------------|
|
||||
| `config_*.json` | A copy of the model specific configuration file. |
|
||||
| `historic_predictions.pkl` | A file containing all historic predictions generated during the lifetime of the `identifier` model during live deployment. `historic_predictions.pkl` is used to reload the model after a crash or a config change. A backup file is always held incase of corruption on the main file. **FreqAI automatically detects corruption and replaces the corrupted file with the backup**. |
|
||||
| `pair_dictionary.json` | A file containing the training queue as well as the on disk location of the most recently trained model. |
|
||||
| `sub-train-*_TIMESTAMP` | A folder containing all the files associated with a single model, such as: <br>
|
||||
|| `*_metadata.json` - Metadata for the model, such as normalization max/mins, expected training feature list, etc. <br>
|
||||
|| `*_model.*` - The model file saved to disk for reloading from a crash. Can be `joblib` (typical boosting libs), `zip` (stable_baselines), `hd5` (keras type), etc. <br>
|
||||
|| `*_pca_object.pkl` - The [Principal component analysis (PCA)](freqai-feature-engineering.md#data-dimensionality-reduction-with-principal-component-analysis) transform (if the user set `principal_component_analysis: true` in their config) which will be used to transform unseen prediction features. <br>
|
||||
|| `*_svm_model.pkl` - The [Support Vector Machine (SVM)](freqai-outlier-detection.md#identifying-outliers-using-a-support-vector-machine-svm) model which is used to detect outliers in unseen prediction features. <br>
|
||||
|| `*_trained_df.pkl` - The dataframe containing all the training features used to train the `identifier` model. This is used for computing the [Dissimilarity Index (DI)](freqai-outlier-detection.md#identifying-outliers-with-the-dissimilarity-index-di) and can also be used for post-processing. <br>
|
||||
|| `*_trained_dates.df.pkl` - The dates associated with the `trained_df.pkl`, which is useful for post-processing. |
|
||||
|
||||
The example file structure would look like this:
|
||||
|
||||
```
|
||||
├── models
|
||||
│ └── unique-id
|
||||
│ ├── config_freqai.example.json
|
||||
│ ├── historic_predictions.backup.pkl
|
||||
│ ├── historic_predictions.pkl
|
||||
│ ├── pair_dictionary.json
|
||||
│ ├── sub-train-1INCH_1662821319
|
||||
│ │ ├── cb_1inch_1662821319_metadata.json
|
||||
│ │ ├── cb_1inch_1662821319_model.joblib
|
||||
│ │ ├── cb_1inch_1662821319_pca_object.pkl
|
||||
│ │ ├── cb_1inch_1662821319_svm_model.joblib
|
||||
│ │ ├── cb_1inch_1662821319_trained_dates_df.pkl
|
||||
│ │ └── cb_1inch_1662821319_trained_df.pkl
|
||||
│ ├── sub-train-1INCH_1662821371
|
||||
│ │ ├── cb_1inch_1662821371_metadata.json
|
||||
│ │ ├── cb_1inch_1662821371_model.joblib
|
||||
│ │ ├── cb_1inch_1662821371_pca_object.pkl
|
||||
│ │ ├── cb_1inch_1662821371_svm_model.joblib
|
||||
│ │ ├── cb_1inch_1662821371_trained_dates_df.pkl
|
||||
│ │ └── cb_1inch_1662821371_trained_df.pkl
|
||||
│ ├── sub-train-ADA_1662821344
|
||||
│ │ ├── cb_ada_1662821344_metadata.json
|
||||
│ │ ├── cb_ada_1662821344_model.joblib
|
||||
│ │ ├── cb_ada_1662821344_pca_object.pkl
|
||||
│ │ ├── cb_ada_1662821344_svm_model.joblib
|
||||
│ │ ├── cb_ada_1662821344_trained_dates_df.pkl
|
||||
│ │ └── cb_ada_1662821344_trained_df.pkl
|
||||
│ └── sub-train-ADA_1662821399
|
||||
│ ├── cb_ada_1662821399_metadata.json
|
||||
│ ├── cb_ada_1662821399_model.joblib
|
||||
│ ├── cb_ada_1662821399_pca_object.pkl
|
||||
│ ├── cb_ada_1662821399_svm_model.joblib
|
||||
│ ├── cb_ada_1662821399_trained_dates_df.pkl
|
||||
│ └── cb_ada_1662821399_trained_df.pkl
|
||||
```
|
||||
|
||||
## Live deployments
|
||||
|
||||
### Automatic data download
|
||||
|
||||
FreqAI automatically downloads the proper amount of data needed to ensure training of a model through the user defined `train_period_days` and `startup_candle_count` (see the [parameter table](freqai-parameter-table.md) for detailed descriptions of these parameters).
|
||||
|
||||
### Saving prediction data
|
||||
|
||||
All predictions made during the lifetime of a specific `identifier` model are stored in `historical_predictions.pkl` to allow for reloading after a crash or changes made to the config.
|
||||
|
||||
### Purging old model data
|
||||
|
||||
FreqAI stores new model files after each successful training. These files become obsolete as new models are generated to adapt to new market conditions. The user who is planning to leave FreqAI running for extended periods of time with high frequency retraining should enable `purge_old_models` in their config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"purge_old_models": true,
|
||||
}
|
||||
```
|
||||
|
||||
This will automatically purge all models older than the two most recently trained ones to save disk space.
|
||||
|
||||
### Returning additional info from training
|
||||
|
||||
The user may find that there are important metrics that they would like to return to their strategy at the end of each model training. Such metrics are returned by assigning them to `dk.data['extra_returns_per_train']['my_new_value'] = XYZ` inside the user's custom prediction model class.
|
||||
|
||||
FreqAI takes the `my_new_value` assigned in this dictionary and expands it to fit the dataframe that is returned to the strategy. The user can then use the returned metrics in their strategy through `dataframe['my_new_value']`. An example of how return values can be used in FreqAI are the `&*_mean` and `&*_std` values that are used to [created a dynamic target threshold](freqai-configuration.md#creating-a-dynamic-target-threshold).
|
||||
|
||||
Another example, where the user wants to use live metrics from the trade database, is shown below:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"extra_returns_per_train": {"total_profit": 4}
|
||||
}
|
||||
```
|
||||
|
||||
The user needs to set the standard dictionary in the config so that FreqAI can return proper dataframe shapes. These values will likely be overridden by the prediction model, but in the case where the model has yet to set them, or needs a default initial value, the preset values are what will be returned.
|
||||
|
||||
## Backtesting
|
||||
|
||||
### Saving prediction data
|
||||
|
||||
To allow the user to tweak their strategy (**not** the features!), FreqAI will automatically save the predictions during backtesting so that they can be reused for future backtests and live runs using the same `identifier` model. This provides a performance enhancement geared towards enabling **high-level hyperopting** of entry/exit criteria.
|
||||
|
||||
An additional directory called `predictions`, which contains all the predictions stored in `hdf` format, will be created in the `unique-id` folder.
|
||||
|
||||
If the user wishes to change their **features**, they **must** set a new `identifier` in the config to signal to `FreqAI` to train new models.
|
||||
|
||||
If the user wishes to save the models generated during a particular backtest so that they can start a live deployment from one of them instead of training a new model, they must set `save_backtest_models` to `True` in their configuration file.
|
||||
|
||||
### Downloading data to cover the full backtest period
|
||||
|
||||
For live/dry deployments, FreqAI will download the necessary data automatically. However, the user who wishes to use backtesting functionality needs to download the necessary data using `download-data` (details [here](data-download.md#data-downloading)). FreqAI users need to pay careful attention to understanding how much *additional* data needs to be downloaded to ensure that they have a sufficient amount of training data *before* the start of their backtesting timerange. The amount of additional data can be roughly estimated by moving the start date of the timerange backwards by `train_period_days` and the `startup_candle_count` (see the [parameter table](freqai-parameter-table.md) for detailed descriptions of these parameters) from the beginning of the desired backtesting timerange.
|
||||
|
||||
As an example, to backtest the `--timerange 20210501-20210701` using the [example config](freqai-configuration.md#setting-up-the-configuration-file) which sets `train_period_days` to 30, together with `startup_candle_count: 40` on a maximum `include_timeframes` of 1h, the start date for the downloaded data needs to be `20210501` - 30 days - 40 * 1h / 24 hours = 20210330 (31.7 days earlier than the start of the desired training timerange).
|
||||
@ -1,6 +1,8 @@
|
||||
# Development
|
||||
|
||||
The architechture and functions of FreqAI are generalized to encourage users to develop their own features, functions, models, etc.
|
||||
## Project architecture
|
||||
|
||||
The architechture and functions of FreqAI are generalized to encourages development of unique features, functions, models, etc.
|
||||
|
||||
The class structure and a detailed algorithmic overview is depicted in the following diagram:
|
||||
|
||||
@ -13,3 +15,64 @@ As shown, there are three distinct objects comprising FreqAI:
|
||||
* **FreqaiDataDrawer** - A singular persistent object containing all the historical predictions, models, and save/load methods.
|
||||
|
||||
There are a variety of built-in [prediction models](freqai-configuration.md#using-different-prediction-models) which inherit directly from `IFreqaiModel`. Each of these models have full access to all methods in `IFreqaiModel` and can therefore override any of those functions at will. However, advanced users will likely stick to overriding `fit()`, `train()`, `predict()`, and `data_cleaning_train/predict()`.
|
||||
|
||||
## Data handling
|
||||
|
||||
`FreqAI` aims to organize model files, prediction data, and meta data in a way that simplifies post-processing and enhances crash recililence by automatic data reloading. The data is saved in a file structure,`user_data_dir/models/`, which contains all the data associated with the trainings and backtests. The `FreqaiDataKitchen()` relies heavily on the file structure for proper training and inferencing and should therefore not be manually modified.
|
||||
|
||||
### File structure
|
||||
|
||||
The file structure is automatically generated based on the model `identifier` set in the [config](freqai-configuration.md#setting-up-the-configuration-file). The following structure shows where the data is stored for post processing:
|
||||
|
||||
| Structure | Description |
|
||||
|-----------|-------------|
|
||||
| `config_*.json` | A copy of the model specific configuration file. |
|
||||
| `historic_predictions.pkl` | A file containing all historic predictions generated during the lifetime of the `identifier` model during live deployment. `historic_predictions.pkl` is used to reload the model after a crash or a config change. A backup file is always held incase of corruption on the main file. **FreqAI automatically detects corruption and replaces the corrupted file with the backup**. |
|
||||
| `pair_dictionary.json` | A file containing the training queue as well as the on disk location of the most recently trained model. |
|
||||
| `sub-train-*_TIMESTAMP` | A folder containing all the files associated with a single model, such as: <br>
|
||||
|| `*_metadata.json` - Metadata for the model, such as normalization max/mins, expected training feature list, etc. <br>
|
||||
|| `*_model.*` - The model file saved to disk for reloading from a crash. Can be `joblib` (typical boosting libs), `zip` (stable_baselines), `hd5` (keras type), etc. <br>
|
||||
|| `*_pca_object.pkl` - The [Principal component analysis (PCA)](freqai-feature-engineering.md#data-dimensionality-reduction-with-principal-component-analysis) transform (if `principal_component_analysis: true` is set in the config) which will be used to transform unseen prediction features. <br>
|
||||
|| `*_svm_model.pkl` - The [Support Vector Machine (SVM)](freqai-feature-engineering.md#identifying-outliers-using-a-support-vector-machine-svm) model which is used to detect outliers in unseen prediction features. <br>
|
||||
|| `*_trained_df.pkl` - The dataframe containing all the training features used to train the `identifier` model. This is used for computing the [Dissimilarity Index (DI)](freqai-feature-engineering.md#identifying-outliers-with-the-dissimilarity-index-di) and can also be used for post-processing. <br>
|
||||
|| `*_trained_dates.df.pkl` - The dates associated with the `trained_df.pkl`, which is useful for post-processing. |
|
||||
|
||||
The example file structure would look like this:
|
||||
|
||||
```
|
||||
├── models
|
||||
│ └── unique-id
|
||||
│ ├── config_freqai.example.json
|
||||
│ ├── historic_predictions.backup.pkl
|
||||
│ ├── historic_predictions.pkl
|
||||
│ ├── pair_dictionary.json
|
||||
│ ├── sub-train-1INCH_1662821319
|
||||
│ │ ├── cb_1inch_1662821319_metadata.json
|
||||
│ │ ├── cb_1inch_1662821319_model.joblib
|
||||
│ │ ├── cb_1inch_1662821319_pca_object.pkl
|
||||
│ │ ├── cb_1inch_1662821319_svm_model.joblib
|
||||
│ │ ├── cb_1inch_1662821319_trained_dates_df.pkl
|
||||
│ │ └── cb_1inch_1662821319_trained_df.pkl
|
||||
│ ├── sub-train-1INCH_1662821371
|
||||
│ │ ├── cb_1inch_1662821371_metadata.json
|
||||
│ │ ├── cb_1inch_1662821371_model.joblib
|
||||
│ │ ├── cb_1inch_1662821371_pca_object.pkl
|
||||
│ │ ├── cb_1inch_1662821371_svm_model.joblib
|
||||
│ │ ├── cb_1inch_1662821371_trained_dates_df.pkl
|
||||
│ │ └── cb_1inch_1662821371_trained_df.pkl
|
||||
│ ├── sub-train-ADA_1662821344
|
||||
│ │ ├── cb_ada_1662821344_metadata.json
|
||||
│ │ ├── cb_ada_1662821344_model.joblib
|
||||
│ │ ├── cb_ada_1662821344_pca_object.pkl
|
||||
│ │ ├── cb_ada_1662821344_svm_model.joblib
|
||||
│ │ ├── cb_ada_1662821344_trained_dates_df.pkl
|
||||
│ │ └── cb_ada_1662821344_trained_df.pkl
|
||||
│ └── sub-train-ADA_1662821399
|
||||
│ ├── cb_ada_1662821399_metadata.json
|
||||
│ ├── cb_ada_1662821399_model.joblib
|
||||
│ ├── cb_ada_1662821399_pca_object.pkl
|
||||
│ ├── cb_ada_1662821399_svm_model.joblib
|
||||
│ ├── cb_ada_1662821399_trained_dates_df.pkl
|
||||
│ └── cb_ada_1662821399_trained_df.pkl
|
||||
|
||||
```
|
||||
|
||||
@ -2,9 +2,9 @@
|
||||
|
||||
## Defining the features
|
||||
|
||||
Feature engineering is handled within `"feature_parameters":{}` in the `FreqAI` config file and in the user strategy. The user adds all their `base features`, such as, e.g., `RSI`, `MFI`, `EMA`, `SMA`, etc., to their strategy. The `base features` can be custom indicators or they can be imported from any technical-analysis library that the user can find. The `base features` are added by the user inside the `populate_any_indicators()` method of the strategy by prepending indicators with `%`, and labels with `&`.
|
||||
Feature engineering is handled within `"feature_parameters":{}` in the `FreqAI` config and strategy. All `base features` you wish to use, such as, e.g., `RSI`, `MFI`, `EMA`, `SMA`, etc., should be added to the strategy. The `base features` can be custom indicators or they can be imported from any technical-analysis library that you can find. The `base features` are added inside the `populate_any_indicators()` method of the strategy by prepending indicators with `%`, and labels with `&`.
|
||||
|
||||
It is advisable for the user to start from the `populate_any_indicators()` in the example strategy (found in `templates/FreqaiExampleStrategy.py`) to ensure that they are following the correct conventions. Here is an example of how to set the indicators and labels in the strategy:
|
||||
It is advisable to start from the `populate_any_indicators()` in the example strategy (found in `templates/FreqaiExampleStrategy.py`) to ensure that the feature definitions are following the correct conventions. Here is an example of how to set the indicators and labels in the strategy:
|
||||
|
||||
```python
|
||||
def populate_any_indicators(
|
||||
@ -118,21 +118,40 @@ After having defined the `base features`, the next step is to expand upon them u
|
||||
|
||||
The `include_timeframes` in the config above are the timeframes (`tf`) of each call to `populate_any_indicators()` in the strategy. In the presented case, the user is asking for the `5m`, `15m`, and `4h` timeframes of the `rsi`, `mfi`, `roc`, and `bb_width` to be included in the feature set.
|
||||
|
||||
The user can ask for each of the defined features to be included also for informative pairs using the `include_corr_pairlist`. This means that the feature set will include all the features from `populate_any_indicators` on all the `include_timeframes` for each of the correlated pairs defined in the config (`ETH/USD`, `LINK/USD`, and `BNB/USD` in the presented example).
|
||||
You can ask for each of the defined features to be included also for informative pairs using the `include_corr_pairlist`. This means that the feature set will include all the features from `populate_any_indicators` on all the `include_timeframes` for each of the correlated pairs defined in the config (`ETH/USD`, `LINK/USD`, and `BNB/USD` in the presented example).
|
||||
|
||||
`include_shifted_candles` indicates the number of previous candles to include in the feature set. For example, `include_shifted_candles: 2` tells `FreqAI` to include the past 2 candles for each of the features in the feature set.
|
||||
|
||||
In total, the number of features the user of the presented example strat has created is: length of `include_timeframes` * no. features in `populate_any_indicators()` * length of `include_corr_pairlist` * no. `include_shifted_candles` * length of `indicator_periods_candles`
|
||||
$= 3 * 3 * 3 * 2 * 2 = 108$.
|
||||
|
||||
### Returning additional info from training
|
||||
|
||||
Important metrics can be returned to the strategy at the end of each model training by assigning them to `dk.data['extra_returns_per_train']['my_new_value'] = XYZ` inside the custom prediction model class.
|
||||
|
||||
FreqAI takes the `my_new_value` assigned in this dictionary and expands it to fit the dataframe that is returned to the strategy. You can then use the returned metrics in your strategy through `dataframe['my_new_value']`. An example of how return values can be used in FreqAI are the `&*_mean` and `&*_std` values that are used to [created a dynamic target threshold](freqai-configuration.md#creating-a-dynamic-target-threshold).
|
||||
|
||||
Another example, where the user wants to use live metrics from the trade database, is shown below:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"extra_returns_per_train": {"total_profit": 4}
|
||||
}
|
||||
```
|
||||
|
||||
You need to set the standard dictionary in the config so that FreqAI can return proper dataframe shapes. These values will likely be overridden by the prediction model, but in the case where the model has yet to set them, or needs a default initial value, the preset values are what will be returned.
|
||||
|
||||
## Feature normalization
|
||||
|
||||
FreqAI is strict when it comes to data normalization. The train features are always normalized to [-1, 1] and all other data (test data and unseen prediction data in dry/live/backtest) is always automatically normalized to the training feature space according to industry standards. FreqAI stores all the metadata required to ensure that test and prediction features will be properly normalized and that predictions are properly denormalized. For this reason, it is not recommended to eschew industry standards and modify FreqAI internals - however - advanced users can do so by inheriting `train()` in their custom `IFreqaiModel` and using their own normalization functions.
|
||||
FreqAI is strict when it comes to data normalization. The train features, $X^{train}$, are always normalized to [-1, 1] using a shifted min-max normalization:
|
||||
|
||||
$$X^{train}_{norm} = 2 * \frac{X^{train} - X^{train}.min()}{X^{train}.max() - X^{train}.min()} - 1$$
|
||||
|
||||
All other data (test data and unseen prediction data in dry/live/backtest) is always automatically normalized to the training feature space according to industry standards. FreqAI stores all the metadata required to ensure that test and prediction features will be properly normalized and that predictions are properly denormalized. For this reason, it is not recommended to eschew industry standards and modify FreqAI internals - however - advanced users can do so by inheriting `train()` in their custom `IFreqaiModel` and using their own normalization functions.
|
||||
|
||||
## Data dimensionality reduction with Principal Component Analysis
|
||||
|
||||
The user can reduce the dimensionality of their features by activating the `principal_component_analysis` in the config:
|
||||
You can reduce the dimensionality of your features by activating the `principal_component_analysis` in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
@ -148,7 +167,9 @@ This will perform PCA on the features and reduce their dimensionality so that th
|
||||
|
||||
The `inlier_metric` is a metric aimed at quantifying how similar a the features of a data point are to the most recent historic data points.
|
||||
|
||||
The user defines the lookback window by setting `inlier_metric_window` and FreqAI computes the distance between the present time point and each of the previous `inlier_metric_window` lookback points. A Weibull function is fit to each of the lookback distributions and its cumulative distribution function is used to produce a quantile for each lookback point. The `inlier_metric` is then computed for each time point as the average of the corresponding lookback quantiles.
|
||||
You define the lookback window by setting `inlier_metric_window` and FreqAI computes the distance between the present time point and each of the previous `inlier_metric_window` lookback points. A Weibull function is fit to each of the lookback distributions and its cumulative distribution function (CDF) is used to produce a quantile for each lookback point. The `inlier_metric` is then computed for each time point as the average of the corresponding lookback quantiles. The figure below explains the concept for an `inlier_metric_window` of 5.
|
||||
|
||||
|
||||
|
||||
FreqAI adds the `inlier_metric` to the training features and hence gives the model access to a novel type of temporal information.
|
||||
|
||||
@ -156,10 +177,90 @@ This function does **not** remove outliers from the data set.
|
||||
|
||||
## Weighting features for temporal importance
|
||||
|
||||
FreqAI allows the user to set a `weight_factor` to weight recent data more strongly than past data via an exponential function:
|
||||
FreqAI allows you to set a `weight_factor` to weight recent data more strongly than past data via an exponential function:
|
||||
|
||||
$$ W_i = \exp(\frac{-i}{\alpha*n}) $$
|
||||
|
||||
where $W_i$ is the weight of data point $i$ in a total set of $n$ data points. Below is a figure showing the effect of different weight factors on the data points in a feature set.
|
||||
|
||||
|
||||
|
||||
## Outlier detection
|
||||
|
||||
Equity and crypto markets suffer from a high level of non-patterned noise in the form of outlier data points. FreqAI implements a variety of methods to identify such outliers and hence mitigate risk.
|
||||
|
||||
### Identifying outliers with the Dissimilarity Index (DI)
|
||||
|
||||
The Dissimilarity Index (DI) aims to quantify the uncertainty associated with each prediction made by the model.
|
||||
|
||||
You can tell FreqAI to remove outlier data points from the training/test data sets using the DI by including the following statement in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"feature_parameters" : {
|
||||
"DI_threshold": 1
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
The DI allows predictions which are outliers (not existent in the model feature space) to be thrown out due to low levels of certainty. To do so, FreqAI measures the distance between each training data point (feature vector), $X_{a}$, and all other training data points:
|
||||
|
||||
$$ d_{ab} = \sqrt{\sum_{j=1}^p(X_{a,j}-X_{b,j})^2} $$
|
||||
|
||||
where $d_{ab}$ is the distance between the normalized points $a$ and $b$, and $p$ is the number of features, i.e., the length of the vector $X$. The characteristic distance, $\overline{d}$, for a set of training data points is simply the mean of the average distances:
|
||||
|
||||
$$ \overline{d} = \sum_{a=1}^n(\sum_{b=1}^n(d_{ab}/n)/n) $$
|
||||
|
||||
$\overline{d}$ quantifies the spread of the training data, which is compared to the distance between a new prediction feature vectors, $X_k$ and all the training data:
|
||||
|
||||
$$ d_k = \arg \min d_{k,i} $$
|
||||
|
||||
This enables the estimation of the Dissimilarity Index as:
|
||||
|
||||
$$ DI_k = d_k/\overline{d} $$
|
||||
|
||||
You can tweak the DI through the `DI_threshold` to increase or decrease the extrapolation of the trained model. A higher `DI_threshold` means that the DI is more lenient and allows predictions further away from the training data to be used whilst a lower `DI_threshold` has the opposite effect and hence discards more predictions.
|
||||
|
||||
Below is a figure that describes the DI for a 3D data set.
|
||||
|
||||
|
||||
|
||||
### Identifying outliers using a Support Vector Machine (SVM)
|
||||
|
||||
You can tell FreqAI to remove outlier data points from the training/test data sets using a Support Vector Machine (SVM) by including the following statement in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"feature_parameters" : {
|
||||
"use_SVM_to_remove_outliers": true
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
The SVM will be trained on the training data and any data point that the SVM deems to be beyond the feature space will be removed.
|
||||
|
||||
FreqAI uses `sklearn.linear_model.SGDOneClassSVM` (details are available on scikit-learn's webpage [here](https://scikit-learn.org/stable/modules/generated/sklearn.linear_model.SGDOneClassSVM.html) (external website)) and you can elect to provide additional parameters for the SVM, such as `shuffle`, and `nu`.
|
||||
|
||||
The parameter `shuffle` is by default set to `False` to ensure consistent results. If it is set to `True`, running the SVM multiple times on the same data set might result in different outcomes due to `max_iter` being to low for the algorithm to reach the demanded `tol`. Increasing `max_iter` solves this issue but causes the procedure to take longer time.
|
||||
|
||||
The parameter `nu`, *very* broadly, is the amount of data points that should be considered outliers and should be between 0 and 1.
|
||||
|
||||
### Identifying outliers with DBSCAN
|
||||
|
||||
You can configure FreqAI to use DBSCAN to cluster and remove outliers from the training/test data set or incoming outliers from predictions, by activating `use_DBSCAN_to_remove_outliers` in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"feature_parameters" : {
|
||||
"use_DBSCAN_to_remove_outliers": true
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
DBSCAN is an unsupervised machine learning algorithm that clusters data without needing to know how many clusters there should be.
|
||||
|
||||
Given a number of data points $N$, and a distance $\varepsilon$, DBSCAN clusters the data set by setting all data points that have $N-1$ other data points within a distance of $\varepsilon$ as *core points*. A data point that is within a distance of $\varepsilon$ from a *core point* but that does not have $N-1$ other data points within a distance of $\varepsilon$ from itself is considered an *edge point*. A cluster is then the collection of *core points* and *edge points*. Data points that have no other data points at a distance $<\varepsilon$ are considered outliers. The figure below shows a cluster with $N = 3$.
|
||||
|
||||
|
||||
|
||||
FreqAI uses `sklearn.cluster.DBSCAN` (details are available on scikit-learn's webpage [here](https://scikit-learn.org/stable/modules/generated/sklearn.cluster.DBSCAN.html) (external website)) with `min_samples` ($N$) taken as 1/4 of the no. of time points in the feature set. `eps` ($\varepsilon$) is computed automatically as the elbow point in the *k-distance graph* computed from the nearest neighbors in the pairwise distances of all data points in the feature set.
|
||||
|
||||
@ -1,79 +0,0 @@
|
||||
# Outlier detection
|
||||
|
||||
Equity and crypto markets suffer from a high level of non-patterned noise in the form of outlier data points. FreqAI implements a variety of methods to identify such outliers and hence mitigate risk.
|
||||
|
||||
## Identifying outliers with the Dissimilarity Index (DI)
|
||||
|
||||
The Dissimilarity Index (DI) aims to quantify the uncertainty associated with each prediction made by the model.
|
||||
|
||||
The user can tell FreqAI to remove outlier data points from the training/test data sets using the DI by including the following statement in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"feature_parameters" : {
|
||||
"DI_threshold": 1
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
The DI allows predictions which are outliers (not existent in the model feature space) to be thrown out due to low levels of certainty. To do so, FreqAI measures the distance between each training data point (feature vector), $X_{a}$, and all other training data points:
|
||||
|
||||
$$ d_{ab} = \sqrt{\sum_{j=1}^p(X_{a,j}-X_{b,j})^2} $$
|
||||
|
||||
where $d_{ab}$ is the distance between the normalized points $a$ and $b$, and $p$ is the number of features, i.e., the length of the vector $X$. The characteristic distance, $\overline{d}$, for a set of training data points is simply the mean of the average distances:
|
||||
|
||||
$$ \overline{d} = \sum_{a=1}^n(\sum_{b=1}^n(d_{ab}/n)/n) $$
|
||||
|
||||
$\overline{d}$ quantifies the spread of the training data, which is compared to the distance between a new prediction feature vectors, $X_k$ and all the training data:
|
||||
|
||||
$$ d_k = \arg \min d_{k,i} $$
|
||||
|
||||
This enables the estimation of the Dissimilarity Index as:
|
||||
|
||||
$$ DI_k = d_k/\overline{d} $$
|
||||
|
||||
The user can tweak the DI through the `DI_threshold` to increase or decrease the extrapolation of the trained model. A higher `DI_threshold` means that the DI is more lenient and allows predictions further away from the training data to be used whilst a lower `DI_threshold` has the opposite effect and hence discards more predictions.
|
||||
|
||||
Below is a figure that describes the DI for a 3D data set.
|
||||
|
||||
|
||||
|
||||
## Identifying outliers using a Support Vector Machine (SVM)
|
||||
|
||||
The user can tell FreqAI to remove outlier data points from the training/test data sets using a Support Vector Machine (SVM) by including the following statement in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"feature_parameters" : {
|
||||
"use_SVM_to_remove_outliers": true
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
The SVM will be trained on the training data and any data point that the SVM deems to be beyond the feature space will be removed.
|
||||
|
||||
FreqAI uses `sklearn.linear_model.SGDOneClassSVM` (details are available on scikit-learn's webpage [here](https://scikit-learn.org/stable/modules/generated/sklearn.linear_model.SGDOneClassSVM.html) (external website)) and the user can elect to provide additional parameters for the SVM, such as `shuffle`, and `nu`.
|
||||
|
||||
The parameter `shuffle` is by default set to `False` to ensure consistent results. If it is set to `True`, running the SVM multiple times on the same data set might result in different outcomes due to `max_iter` being to low for the algorithm to reach the demanded `tol`. Increasing `max_iter` solves this issue but causes the procedure to take longer time.
|
||||
|
||||
The parameter `nu`, *very* broadly, is the amount of data points that should be considered outliers and should be between 0 and 1.
|
||||
|
||||
## Identifying outliers with DBSCAN
|
||||
|
||||
The user can configure FreqAI to use DBSCAN to cluster and remove outliers from the training/test data set or incoming outliers from predictions, by activating `use_DBSCAN_to_remove_outliers` in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"feature_parameters" : {
|
||||
"use_DBSCAN_to_remove_outliers": true
|
||||
}
|
||||
}
|
||||
```
|
||||
|
||||
DBSCAN is an unsupervised machine learning algorithm that clusters data without needing to know how many clusters there should be.
|
||||
|
||||
Given a number of data points $N$, and a distance $\varepsilon$, DBSCAN clusters the data set by setting all data points that have $N-1$ other data points within a distance of $\varepsilon$ as *core points*. A data point that is within a distance of $\varepsilon$ from a *core point* but that does not have $N-1$ other data points within a distance of $\varepsilon$ from itself is considered an *edge point*. A cluster is then the collection of *core points* and *edge points*. Data points that have no other data points at a distance $<\varepsilon$ are considered outliers. The figure below shows a cluster with $N = 3$.
|
||||
|
||||
|
||||
|
||||
FreqAI uses `sklearn.cluster.DBSCAN` (details are available on scikit-learn's webpage [here](https://scikit-learn.org/stable/modules/generated/sklearn.cluster.DBSCAN.html) (external website)) with `min_samples` ($N$) taken as 1/4 of the no. of time points in the feature set. `eps` ($\varepsilon$) is computed automatically as the elbow point in the *k-distance graph* computed from the nearest neighbors in the pairwise distances of all data points in the feature set.
|
||||
@ -9,43 +9,43 @@ Mandatory parameters are marked as **Required** and have to be set in one of the
|
||||
| | **General configuration parameters**
|
||||
| `freqai` | **Required.** <br> The parent dictionary containing all the parameters for controlling FreqAI. <br> **Datatype:** Dictionary.
|
||||
| `train_period_days` | **Required.** <br> Number of days to use for the training data (width of the sliding window). <br> **Datatype:** Positive integer.
|
||||
| `backtest_period_days` | **Required.** <br> Number of days to inference from the trained model before sliding the `train_period_days` window defined above, and retraining the model during backtesting (more info [here](freqai-running.md#backtesting)). This can be fractional days, but beware that the user provided `timerange` will be divided by this number to yield the number of trainings necessary to complete the backtest. <br> **Datatype:** Float.
|
||||
| `identifier` | **Required.** <br> A unique ID for the current model. If models are saved to disk, the `identifier` allows the user to reload specific pre-trained models/data. <br> **Datatype:** String.
|
||||
| `backtest_period_days` | **Required.** <br> Number of days to inference from the trained model before sliding the `train_period_days` window defined above, and retraining the model during backtesting (more info [here](freqai-running.md#backtesting)). This can be fractional days, but beware that the provided `timerange` will be divided by this number to yield the number of trainings necessary to complete the backtest. <br> **Datatype:** Float.
|
||||
| `identifier` | **Required.** <br> A unique ID for the current model. If models are saved to disk, the `identifier` allows for reloading specific pre-trained models/data. <br> **Datatype:** String.
|
||||
| `live_retrain_hours` | Frequency of retraining during dry/live runs. <br> **Datatype:** Float > 0. <br> Default: 0 (models retrain as often as possible).
|
||||
| `expiration_hours` | Avoid making predictions if a model is more than `expiration_hours` old. <br> **Datatype:** Positive integer. <br> Default: 0 (models never expire).
|
||||
| `purge_old_models` | Delete obsolete models. <br> **Datatype:** Boolean. <br> Default: `False` (all historic models remain on disk).
|
||||
| `save_backtest_models` | Save models to disk when running backtesting. Backtesting operates most efficiently by saving the prediction data and reusing them directly for subsequent runs (when the user wishes to tune entry/exit parameters). Saving backtesting models to disk also allows to use the same model files for starting a dry/live instance with the same model `identifier`. <br> **Datatype:** Boolean. <br> Default: `False` (no models are saved).
|
||||
| `save_backtest_models` | Save models to disk when running backtesting. Backtesting operates most efficiently by saving the prediction data and reusing them directly for subsequent runs (when you wish to tune entry/exit parameters). Saving backtesting models to disk also allows to use the same model files for starting a dry/live instance with the same model `identifier`. <br> **Datatype:** Boolean. <br> Default: `False` (no models are saved).
|
||||
| `fit_live_predictions_candles` | Number of historical candles to use for computing target (label) statistics from prediction data, instead of from the training dataset (more information can be found [here](freqai-configuration.md#creating-a-dynamic-target-threshold)). <br> **Datatype:** Positive integer.
|
||||
| `follow_mode` | Use a `follower` that will look for models associated with a specific `identifier` and load those for inferencing. A `follower` will **not** train new models. <br> **Datatype:** Boolean. <br> Default: `False`.
|
||||
| `continual_learning` | Use the final state of the most recently trained model as starting point for the new model, allowing for incremental learning. <br> **Datatype:** Boolean. <br> Default: `False`.
|
||||
| `continual_learning` | Use the final state of the most recently trained model as starting point for the new model, allowing for incremental learning (more information can be found [here](freqai-running.md#continual-learning)). <br> **Datatype:** Boolean. <br> Default: `False`.
|
||||
| | **Feature parameters**
|
||||
| `feature_parameters` | A dictionary containing the parameters used to engineer the feature set. Details and examples are shown [here](freqai-feature-engineering.md). <br> **Datatype:** Dictionary.
|
||||
| `include_timeframes` | A list of timeframes that all indicators in `populate_any_indicators` will be created for. The list is added as features to the base indicators dataset. <br> **Datatype:** List of timeframes (strings).
|
||||
| `include_corr_pairlist` | A list of correlated coins that FreqAI will add as additional features to all `pair_whitelist` coins. All indicators set in `populate_any_indicators` during feature engineering (see details [here](freqai-feature-engineering.md)) will be created for each correlated coin. The correlated coins features are added to the base indicators dataset. <br> **Datatype:** List of assets (strings).
|
||||
| `label_period_candles` | Number of candles into the future that the labels are created for. This is used in `populate_any_indicators` (see `templates/FreqaiExampleStrategy.py` for detailed usage). The user can create custom labels and choose whether to make use of this parameter or not. <br> **Datatype:** Positive integer.
|
||||
| `label_period_candles` | Number of candles into the future that the labels are created for. This is used in `populate_any_indicators` (see `templates/FreqaiExampleStrategy.py` for detailed usage). You can create custom labels and choose whether to make use of this parameter or not. <br> **Datatype:** Positive integer.
|
||||
| `include_shifted_candles` | Add features from previous candles to subsequent candles with the intent of adding historical information. If used, FreqAI will duplicate and shift all features from the `include_shifted_candles` previous candles so that the information is available for the subsequent candle. <br> **Datatype:** Positive integer.
|
||||
| `weight_factor` | Weight training data points according to their recency (see details [here](freqai-feature-engineering.md#weighting-features-for-temporal-importance)). <br> **Datatype:** Positive float (typically < 1).
|
||||
| `indicator_max_period_candles` | **No longer used (#7325)**. Replaced by `startup_candle_count` which is set in the [strategy](freqai-configuration.md#building-a-freqai-strategy). `startup_candle_count` is timeframe independent and defines the maximum *period* used in `populate_any_indicators()` for indicator creation. FreqAI uses this parameter together with the maximum timeframe in `include_time_frames` to calculate how many data points to download such that the first data point does not include a NaN <br> **Datatype:** Positive integer.
|
||||
| `indicator_periods_candles` | Time periods to calculate indicators for. The indicators are added to the base indicator dataset. <br> **Datatype:** List of positive integers.
|
||||
| `stratify_training_data` | Split the feature set into training and testing datasets. For example, `stratify_training_data: 2` would set every 2nd data point into a separate dataset to be pulled from during training/testing. See details about how it works [here](freqai-running.md#data-stratification-for-training-and-testing-the-model). <br> **Datatype:** Positive integer.
|
||||
| `principal_component_analysis` | Reduce the dimensionality of the dataset using Principal Component Analysis. See details about how it works [here](freqai-feature-engineering.md#data-dimensionality-reduction-with-principal-component-analysis). <br> **Datatype:** Boolean.
|
||||
| `DI_threshold` | Activates the use of the Dissimilarity Index for outlier detection when set to > 0. See details about how it works [here](freqai-outlier-detection.md#identifying-outliers-with-the-dissimilarity-index). <br> **Datatype:** Positive float (typically < 1).
|
||||
| `use_SVM_to_remove_outliers` | Train a support vector machine to detect and remove outliers from the training dataset, as well as from incoming data points. See details about how it works [here](freqai-outlier-detection.md#identifying-outliers-using-a-support-vector-machine-svm). <br> **Datatype:** Boolean.
|
||||
| `svm_params` | All parameters available in Sklearn's `SGDOneClassSVM()`. See details about some select parameters [here](freqai-outlier-detection.md#identifying-outliers-using-a-support-vector-machine-svm). <br> **Datatype:** Dictionary.
|
||||
| `use_DBSCAN_to_remove_outliers` | Cluster data using the DBSCAN algorithm to identify and remove outliers from training and prediction data. See details about how it works [here](freqai-outlier-detection.md#identifying-outliers-with-dbscan). <br> **Datatype:** Boolean.
|
||||
| `DI_threshold` | Activates the use of the Dissimilarity Index for outlier detection when set to > 0. See details about how it works [here](freqai-feature-engineering.md#identifying-outliers-with-the-dissimilarity-index-di). <br> **Datatype:** Positive float (typically < 1).
|
||||
| `use_SVM_to_remove_outliers` | Train a support vector machine to detect and remove outliers from the training dataset, as well as from incoming data points. See details about how it works [here](freqai-feature-engineering.md#identifying-outliers-using-a-support-vector-machine-svm). <br> **Datatype:** Boolean.
|
||||
| `svm_params` | All parameters available in Sklearn's `SGDOneClassSVM()`. See details about some select parameters [here](freqai-feature-engineering.md#identifying-outliers-using-a-support-vector-machine-svm). <br> **Datatype:** Dictionary.
|
||||
| `use_DBSCAN_to_remove_outliers` | Cluster data using the DBSCAN algorithm to identify and remove outliers from training and prediction data. See details about how it works [here](freqai-feature-engineering.md#identifying-outliers-with-dbscan). <br> **Datatype:** Boolean.
|
||||
| `inlier_metric_window` | If set, FreqAI adds an `inlier_metric` to the training feature set and set the lookback to be the `inlier_metric_window`, i.e., the number of previous time points to compare the current candle to. Details of how the `inlier_metric` is computed can be found [here](freqai-feature-engineering.md#inlier-metric). <br> **Datatype:** Integer. <br> Default: 0.
|
||||
| `noise_standard_deviation` | If set, FreqAI adds noise to the training features with the aim of preventing overfitting. FreqAI generates random deviates from a gaussian distribution with a standard deviation of `noise_standard_deviation` and adds them to all data points. `noise_standard_deviation` should be kept relative to the normalized space, i.e., between -1 and 1. In other words, since data in FreqAI is always normalized to be between -1 and 1, `noise_standard_deviation: 0.05` would result in 32% of the data being randomly increased/decreased by more than 2.5% (i.e., the percent of data falling within the first standard deviation). <br> **Datatype:** Integer. <br> Default: 0.
|
||||
| `outlier_protection_percentage` | Enable to prevent outlier detection methods from discarding too much data. If more than `outlier_protection_percentage` % of points are detected as outliers by the SVM or DBSCAN, FreqAI will log a warning message and ignore outlier detection, i.e., the original dataset will be kept intact. If the outlier protection is triggered, no predictions will be made based on the training dataset. <br> **Datatype:** Float. <br> Default: `30`.
|
||||
| `reverse_train_test_order` | Split the feature dataset (see below) and use the latest data split for training and test on historical split of the data. This allows the model to be trained up to the most recent data point, while avoiding overfitting. However, users should be careful to understand the unorthodox nature of this parameter before employing it. <br> **Datatype:** Boolean. <br> Default: `False` (no reversal).
|
||||
| `reverse_train_test_order` | Split the feature dataset (see below) and use the latest data split for training and test on historical split of the data. This allows the model to be trained up to the most recent data point, while avoiding overfitting. However, you should be careful to understand the unorthodox nature of this parameter before employing it. <br> **Datatype:** Boolean. <br> Default: `False` (no reversal).
|
||||
| | **Data split parameters**
|
||||
| `data_split_parameters` | Include any additional parameters available from Scikit-learn `test_train_split()`, which are shown [here](https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.train_test_split.html) (external website). <br> **Datatype:** Dictionary.
|
||||
| `test_size` | The fraction of data that should be used for testing instead of training. <br> **Datatype:** Positive float < 1.
|
||||
| `shuffle` | Shuffle the training data points during training. Typically, for time-series forecasting, this is set to `False`. <br> **Datatype:** Boolean.
|
||||
| | **Model training parameters**
|
||||
| `model_training_parameters` | A flexible dictionary that includes all parameters available by the user selected model library. For example, if the user uses `LightGBMRegressor`, this dictionary can contain any parameter available by the `LightGBMRegressor` [here](https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.LGBMRegressor.html) (external website). If the user selects a different model, this dictionary can contain any parameter from that model. <br> **Datatype:** Dictionary.
|
||||
| `model_training_parameters` | A flexible dictionary that includes all parameters available by the selected model library. For example, if you use `LightGBMRegressor`, this dictionary can contain any parameter available by the `LightGBMRegressor` [here](https://lightgbm.readthedocs.io/en/latest/pythonapi/lightgbm.LGBMRegressor.html) (external website). If you select a different model, this dictionary can contain any parameter from that model. <br> **Datatype:** Dictionary.
|
||||
| `n_estimators` | The number of boosted trees to fit in regression. <br> **Datatype:** Integer.
|
||||
| `learning_rate` | Boosting learning rate during regression. <br> **Datatype:** Float.
|
||||
| `n_jobs`, `thread_count`, `task_type` | Set the number of threads for parallel processing and the `task_type` (`gpu` or `cpu`). Different model libraries use different parameter names. <br> **Datatype:** Float.
|
||||
| | **Extraneous parameters**
|
||||
| `keras` | If the user selected model makes use of Keras (typical for Tensorflow-based prediction models), this flag needs to be activated so that the model save/loading follows Keras standards. <br> **Datatype:** Boolean. <br> Default: `False`.
|
||||
| `keras` | If the selected model makes use of Keras (typical for Tensorflow-based prediction models), this flag needs to be activated so that the model save/loading follows Keras standards. <br> **Datatype:** Boolean. <br> Default: `False`.
|
||||
| `conv_width` | The width of a convolutional neural network input tensor. This replaces the need for shifting candles (`include_shifted_candles`) by feeding in historical data points as the second dimension of the tensor. Technically, this parameter can also be used for regressors, but it only adds computational overhead and does not change the model training/prediction. <br> **Datatype:** Integer. <br> Default: 2.
|
||||
|
||||
@ -4,7 +4,7 @@ There are two ways to train and deploy an adaptive machine learning model - live
|
||||
|
||||
|
||||
|
||||
## Running the model live
|
||||
## Live deployments
|
||||
|
||||
FreqAI can be run dry/live using the following command:
|
||||
|
||||
@ -12,11 +12,11 @@ FreqAI can be run dry/live using the following command:
|
||||
freqtrade trade --strategy FreqaiExampleStrategy --config config_freqai.example.json --freqaimodel LightGBMRegressor
|
||||
```
|
||||
|
||||
When launched, FreqAI will start training a new model based on the user's config settings. Following training, the model will be used to make predictions on incoming candles until a new model is available. New models are typically generated as often as possible, with FreqAI managing an internal queue of the coin pairs to try to keep all models equally up to date. FreqAI will always use the most recently trained model to make predictions on incoming live data. If the user does not want FreqAI to retrain new models as often as possible, they can set `live_retrain_hours` to tell FreqAI to wait at least that number of hours before training a new model. Additionally, the user can set `expired_hours` to tell FreqAI to avoid making predictions on models that are older than that number of hours.
|
||||
When launched, FreqAI will start training a new model, with a new `identifier`, based on the config settings. Following training, the model will be used to make predictions on incoming candles until a new model is available. New models are typically generated as often as possible, with FreqAI managing an internal queue of the coin pairs to try to keep all models equally up to date. FreqAI will always use the most recently trained model to make predictions on incoming live data. If you do not want FreqAI to retrain new models as often as possible, you can set `live_retrain_hours` to tell FreqAI to wait at least that number of hours before training a new model. Additionally, you can set `expired_hours` to tell FreqAI to avoid making predictions on models that are older than that number of hours.
|
||||
|
||||
Trained models are by default saved to disk to allow for reuse during backtesting or after a crash. The user can opt to purge old models to save disk space by setting `"purge_old_models": true` in the config.
|
||||
Trained models are by default saved to disk to allow for reuse during backtesting or after a crash. You can opt to [purge old models](#purging-old-model-data) to save disk space by setting `"purge_old_models": true` in the config.
|
||||
|
||||
If the user wishes to start a dry/live run from a saved backtest model (or from a previously crashed dry/live session), the user only needs to specify the `identifier` of the specific model:
|
||||
To start a dry/live run from a saved backtest model (or from a previously crashed dry/live session), you only need to specify the `identifier` of the specific model:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
@ -27,6 +27,26 @@ If the user wishes to start a dry/live run from a saved backtest model (or from
|
||||
|
||||
In this case, although FreqAI will initiate with a pre-trained model, it will still check to see how much time has elapsed since the model was trained. If a full `live_retrain_hours` has elapsed since the end of the loaded model, FreqAI will start training a new model.
|
||||
|
||||
### Automatic data download
|
||||
|
||||
FreqAI automatically downloads the proper amount of data needed to ensure training of a model through the defined `train_period_days` and `startup_candle_count` (see the [parameter table](freqai-parameter-table.md) for detailed descriptions of these parameters).
|
||||
|
||||
### Saving prediction data
|
||||
|
||||
All predictions made during the lifetime of a specific `identifier` model are stored in `historical_predictions.pkl` to allow for reloading after a crash or changes made to the config.
|
||||
|
||||
### Purging old model data
|
||||
|
||||
FreqAI stores new model files after each successful training. These files become obsolete as new models are generated to adapt to new market conditions. If you are planning to leave FreqAI running for extended periods of time with high frequency retraining, you should enable `purge_old_models` in the config:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
"purge_old_models": true,
|
||||
}
|
||||
```
|
||||
|
||||
This will automatically purge all models older than the two most recently trained ones to save disk space.
|
||||
|
||||
## Backtesting
|
||||
|
||||
The FreqAI backtesting module can be executed with the following command:
|
||||
@ -38,29 +58,44 @@ freqtrade backtesting --strategy FreqaiExampleStrategy --strategy-path freqtrade
|
||||
If this command has never been executed with the existing config file, FreqAI will train a new model
|
||||
for each pair, for each backtesting window within the expanded `--timerange`.
|
||||
|
||||
Backtesting mode requires the user [download the necessary data](freqai-data-handling.md#downloading-data-to-cover-the-full-backtest-period) before deployment (unlike in dry/live mode where FreqAI handles the data downloading automatically). The user should be careful to consider that the time range of the downloaded data is more than the backtesting time range. This is because FreqAI needs data prior to the desired backtesting time range in order to train a model to be ready to make predictions on the first candle of the user-set backtesting time range. More details on how to calculate the data to download can be found [here](#deciding-the-size-of-the-sliding-training-window-and-backtesting-duration).
|
||||
Backtesting mode requires [downloading the necessary data](#downloading-data-to-cover-the-full-backtest-period) before deployment (unlike in dry/live mode where FreqAI handles the data downloading automatically). You should be careful to consider that the time range of the downloaded data is more than the backtesting time range. This is because FreqAI needs data prior to the desired backtesting time range in order to train a model to be ready to make predictions on the first candle of the set backtesting time range. More details on how to calculate the data to download can be found [here](#deciding-the-size-of-the-sliding-training-window-and-backtesting-duration).
|
||||
|
||||
!!! Note "Model reuse"
|
||||
Once the training is completed, the user can execute the backtesting again with the same config file and
|
||||
Once the training is completed, you can execute the backtesting again with the same config file and
|
||||
FreqAI will find the trained models and load them instead of spending time training. This is useful
|
||||
if the user wants to tweak (or even hyperopt) buy and sell criteria inside the strategy. If the user
|
||||
*wants* to retrain a new model with the same config file, then they should simply change the `identifier`.
|
||||
This way, the user can return to using any model they wish by simply specifying the `identifier`.
|
||||
if you want to tweak (or even hyperopt) buy and sell criteria inside the strategy. If you
|
||||
*want* to retrain a new model with the same config file, you should simply change the `identifier`.
|
||||
This way, you can return to using any model you wish by simply specifying the `identifier`.
|
||||
|
||||
---
|
||||
|
||||
## Deciding the size of the sliding training window and backtesting duration
|
||||
### Saving prediction data
|
||||
|
||||
The user defines the backtesting timerange with the typical `--timerange` parameter in the configuration file. The duration of the sliding training window is set by `train_period_days`, whilst `backtest_period_days` is the sliding backtesting window, both in number of days (`backtest_period_days` can be
|
||||
a float to indicate sub-daily retraining in live/dry mode). In the presented [example config](freqai-configuration.md#setting-up-the-configuration-file) (found in `config_examples/config_freqai.example.json`), the user is asking FreqAI to use a training period of 30 days and backtest on the subsequent 7 days. After the training of the model, FreqAI will backtest the subsequent 7 days. The "sliding window" then moves one week forward (emulating FreqAI retraining once per week in live mode) and the new model uses the previous 30 days (including the 7 days used for backtesting by the previous model) to train. This is repeated until the end of `--timerange`. This means that if the user sets `--timerange 20210501-20210701`, FreqAI will have trained 8 separate models at the end of `--timerange` (because the full range comprises 8 weeks).
|
||||
To allow for tweaking your strategy (**not** the features!), FreqAI will automatically save the predictions during backtesting so that they can be reused for future backtests and live runs using the same `identifier` model. This provides a performance enhancement geared towards enabling **high-level hyperopting** of entry/exit criteria.
|
||||
|
||||
An additional directory called `predictions`, which contains all the predictions stored in `hdf` format, will be created in the `unique-id` folder.
|
||||
|
||||
To change your **features**, you **must** set a new `identifier` in the config to signal to `FreqAI` to train new models.
|
||||
|
||||
To save the models generated during a particular backtest so that you can start a live deployment from one of them instead of training a new model, you must set `save_backtest_models` to `True` in the config.
|
||||
|
||||
### Downloading data to cover the full backtest period
|
||||
|
||||
For live/dry deployments, FreqAI will download the necessary data automatically. However, to use backtesting functionality, you need to download the necessary data using `download-data` (details [here](data-download.md#data-downloading)). You need to pay careful attention to understanding how much *additional* data needs to be downloaded to ensure that there is a sufficient amount of training data *before* the start of the backtesting timerange. The amount of additional data can be roughly estimated by moving the start date of the timerange backwards by `train_period_days` and the `startup_candle_count` (see the [parameter table](freqai-parameter-table.md) for detailed descriptions of these parameters) from the beginning of the desired backtesting timerange.
|
||||
|
||||
As an example, to backtest the `--timerange 20210501-20210701` using the [example config](freqai-configuration.md#setting-up-the-configuration-file) which sets `train_period_days` to 30, together with `startup_candle_count: 40` on a maximum `include_timeframes` of 1h, the start date for the downloaded data needs to be `20210501` - 30 days - 40 * 1h / 24 hours = 20210330 (31.7 days earlier than the start of the desired training timerange).
|
||||
|
||||
### Deciding the size of the sliding training window and backtesting duration
|
||||
|
||||
The backtesting timerange is defined with the typical `--timerange` parameter in the configuration file. The duration of the sliding training window is set by `train_period_days`, whilst `backtest_period_days` is the sliding backtesting window, both in number of days (`backtest_period_days` can be
|
||||
a float to indicate sub-daily retraining in live/dry mode). In the presented [example config](freqai-configuration.md#setting-up-the-configuration-file) (found in `config_examples/config_freqai.example.json`), the user is asking FreqAI to use a training period of 30 days and backtest on the subsequent 7 days. After the training of the model, FreqAI will backtest the subsequent 7 days. The "sliding window" then moves one week forward (emulating FreqAI retraining once per week in live mode) and the new model uses the previous 30 days (including the 7 days used for backtesting by the previous model) to train. This is repeated until the end of `--timerange`. This means that if you set `--timerange 20210501-20210701`, FreqAI will have trained 8 separate models at the end of `--timerange` (because the full range comprises 8 weeks).
|
||||
|
||||
!!! Note
|
||||
Although fractional `backtest_period_days` is allowed, the user should be aware that the `--timerange` is divided by this value to determine the number of models that FreqAI will need to train in order to backtest the full range. For example, if the user wants to set a `--timerange` of 10 days, and asks for a `backtest_period_days` of 0.1, FreqAI will need to train 100 models per pair to complete the full backtest. Because of this, a true backtest of FreqAI adaptive training would take a *very* long time. The best way to fully test a model is to run it dry and let it train constantly. In this case, backtesting would take the exact same amount of time as a dry run.
|
||||
Although fractional `backtest_period_days` is allowed, you should be aware that the `--timerange` is divided by this value to determine the number of models that FreqAI will need to train in order to backtest the full range. For example, by setting a `--timerange` of 10 days, and a `backtest_period_days` of 0.1, FreqAI will need to train 100 models per pair to complete the full backtest. Because of this, a true backtest of FreqAI adaptive training would take a *very* long time. The best way to fully test a model is to run it dry and let it train constantly. In this case, backtesting would take the exact same amount of time as a dry run.
|
||||
|
||||
## Defining model expirations
|
||||
|
||||
During dry/live mode, FreqAI trains each coin pair sequentially (on separate threads/GPU from the main Freqtrade bot). This means that there is always an age discrepancy between models. If a user is training on 50 pairs, and each pair requires 5 minutes to train, the oldest model will be over 4 hours old. This may be undesirable if the characteristic time scale (the trade duration target) for a strategy is less than 4 hours. The user can decide to only make trade entries if the model is less than
|
||||
a certain number of hours old by setting the `expiration_hours` in the config file:
|
||||
During dry/live mode, FreqAI trains each coin pair sequentially (on separate threads/GPU from the main Freqtrade bot). This means that there is always an age discrepancy between models. If you are training on 50 pairs, and each pair requires 5 minutes to train, the oldest model will be over 4 hours old. This may be undesirable if the characteristic time scale (the trade duration target) for a strategy is less than 4 hours. You can decide to only make trade entries if the model is less than a certain number of hours old by setting the `expiration_hours` in the config file:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
@ -72,7 +107,7 @@ In the presented example config, the user will only allow predictions on models
|
||||
|
||||
## Data stratification for training and testing the model
|
||||
|
||||
The user can stratify (group) the training/testing data using:
|
||||
You can stratify (group) the training/testing data using:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
@ -82,52 +117,51 @@ The user can stratify (group) the training/testing data using:
|
||||
}
|
||||
```
|
||||
|
||||
This will split the data chronologically so that every Xth data point is used to test the model after training. In the
|
||||
example above, the user is asking for every third data point in the dataframe to be used for
|
||||
This will split the data chronologically so that every Xth data point is used to test the model after training. In the example above, the user is asking for every third data point in the dataframe to be used for
|
||||
testing; the other points are used for training.
|
||||
|
||||
The test data is used to evaluate the performance of the model after training. If the test score is high, the model is able to capture the behavior of the data well. If the test score is low, either the model does not capture the complexity of the data, the test data is significantly different from the train data, or a different type of model should be used.
|
||||
|
||||
## Controlling the model learning process
|
||||
|
||||
Model training parameters are unique to the machine learning library selected by the user. FreqAI allows the user to set any parameter for any library using the `model_training_parameters` dictionary in the user configuration file. The example config (found in `config_examples/config_freqai.example.json`) shows some of the example parameters associated with `Catboost` and `LightGBM`, but the user can add any parameters available in those libraries or any other machine learning library they choose to implement.
|
||||
Model training parameters are unique to the selected machine learning library. FreqAI allows you to set any parameter for any library using the `model_training_parameters` dictionary in the config. The example config (found in `config_examples/config_freqai.example.json`) shows some of the example parameters associated with `Catboost` and `LightGBM`, but you can add any parameters available in those libraries or any other machine learning library you choose to implement.
|
||||
|
||||
Data split parameters are defined in `data_split_parameters` which can be any parameters associated with Scikit-learn's `train_test_split()` function. `train_test_split()` has a parameters called `shuffle` which allows the user to shuffle the data or keep it unshuffled. This is particularly useful to avoid biasing training with temporally auto-correlated data. More details about these parameters can be found the [Scikit-learn website](https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.train_test_split.html) (external website).
|
||||
Data split parameters are defined in `data_split_parameters` which can be any parameters associated with Scikit-learn's `train_test_split()` function. `train_test_split()` has a parameters called `shuffle` which allows to shuffle the data or keep it unshuffled. This is particularly useful to avoid biasing training with temporally auto-correlated data. More details about these parameters can be found the [Scikit-learn website](https://scikit-learn.org/stable/modules/generated/sklearn.model_selection.train_test_split.html) (external website).
|
||||
|
||||
The FreqAI specific parameter `label_period_candles` defines the offset (number of candles into the future) used for the `labels`. In the presented [example config](freqai-configuration.md#setting-up-the-configuration-file), the user is asking for `labels` that are 24 candles in the future.
|
||||
|
||||
## Continual learning
|
||||
|
||||
The user can choose to adopt a continual learning scheme by setting `"continual_learning": true` in their configuration file. By enabling `continual_learning`, after training an initial model from scratch, subsequent trainings will start from the final model state of the preceding training. This gives the new model a "memory" of the previous state. By default, this is set to `false` which means that all new models are trained from scratch, without input from previous models.
|
||||
You can choose to adopt a continual learning scheme by setting `"continual_learning": true` in the config. By enabling `continual_learning`, after training an initial model from scratch, subsequent trainings will start from the final model state of the preceding training. This gives the new model a "memory" of the previous state. By default, this is set to `false` which means that all new models are trained from scratch, without input from previous models.
|
||||
|
||||
## Hyperopt
|
||||
|
||||
The user can hyperopt using the same command as for [typical Freqtrade hyperopt](hyperopt.md):
|
||||
You can hyperopt using the same command as for [typical Freqtrade hyperopt](hyperopt.md):
|
||||
|
||||
```bash
|
||||
freqtrade hyperopt --hyperopt-loss SharpeHyperOptLoss --strategy FreqaiExampleStrategy --freqaimodel LightGBMRegressor --strategy-path freqtrade/templates --config config_examples/config_freqai.example.json --timerange 20220428-20220507
|
||||
```
|
||||
|
||||
`hyperopt` requires the user to have the data pre-downloaded in the same fashion as if they were doing [backtesting](#backtesting). In addition, the user must consider some restrictions when trying to hyperopt FreqAI strategies:
|
||||
`hyperopt` requires you to have the data pre-downloaded in the same fashion as if you were doing [backtesting](#backtesting). In addition, you must consider some restrictions when trying to hyperopt FreqAI strategies:
|
||||
|
||||
- The `--analyze-per-epoch` hyperopt parameter is not compatible with FreqAI.
|
||||
- It's not possible to hyperopt indicators in the `populate_any_indicators()` function. This means that the user cannot optimize model parameters using hyperopt. Apart from this exception, it is possible to optimize all other [spaces](hyperopt.md#running-hyperopt-with-smaller-search-space).
|
||||
- It's not possible to hyperopt indicators in the `populate_any_indicators()` function. This means that you cannot optimize model parameters using hyperopt. Apart from this exception, it is possible to optimize all other [spaces](hyperopt.md#running-hyperopt-with-smaller-search-space).
|
||||
- The backtesting instructions also apply to hyperopt.
|
||||
|
||||
The best method for combining hyperopt and FreqAI is to focus on hyperopting entry/exit thresholds/criteria. The user needs to focus on hyperopting parameters that are not used in their FreqAI features. For example, the user should not try to hyperopt rolling window lengths in their feature creation, or any part of their FreqAI config which changes predictions. In order to efficiently hyperopt the FreqAI strategy, FreqAI stores predictions as dataframes and reuses them. Hence the requirement to hyperopt entry/exit thresholds/criteria only.
|
||||
The best method for combining hyperopt and FreqAI is to focus on hyperopting entry/exit thresholds/criteria. You need to focus on hyperopting parameters that are not used in your features. For example, you should not try to hyperopt rolling window lengths in the feature creation, or any part of the FreqAI config which changes predictions. In order to efficiently hyperopt the FreqAI strategy, FreqAI stores predictions as dataframes and reuses them. Hence the requirement to hyperopt entry/exit thresholds/criteria only.
|
||||
|
||||
A good example of a hyperoptable parameter in FreqAI is a threshold for the [Dissimilarity Index (DI)](freqai-outlier-detection.md#identifying-outliers-with-the-dissimilarity-index-di) `DI_values` beyond which we consider data points as outliers:
|
||||
A good example of a hyperoptable parameter in FreqAI is a threshold for the [Dissimilarity Index (DI)](freqai-feature-engineering.md#identifying-outliers-with-the-dissimilarity-index-di) `DI_values` beyond which we consider data points as outliers:
|
||||
|
||||
```python
|
||||
di_max = IntParameter(low=1, high=20, default=10, space='buy', optimize=True, load=True)
|
||||
dataframe['outlier'] = np.where(dataframe['DI_values'] > self.di_max.value/10, 1, 0)
|
||||
```
|
||||
|
||||
This specific hyperopt would help the user understand the appropriate `DI_values` for their particular parameter space.
|
||||
This specific hyperopt would help you understand the appropriate `DI_values` for your particular parameter space.
|
||||
|
||||
## Setting up a follower
|
||||
|
||||
The user can indicate to the bot that it should not train models, but instead should look for models trained by a leader with a specific `identifier` by defining:
|
||||
You can indicate to the bot that it should not train models, but instead should look for models trained by a leader with a specific `identifier` by defining:
|
||||
|
||||
```json
|
||||
"freqai": {
|
||||
|
||||
@ -8,13 +8,13 @@ FreqAI is a software designed to automate a variety of tasks associated with tra
|
||||
|
||||
Features include:
|
||||
|
||||
* **Self-adaptive retraining** - Retrain models during [live deployments](freqai-running.md#running-the-model-live) to self-adapt to the market in a supervised manner
|
||||
* **Self-adaptive retraining** - Retrain models during [live deployments](freqai-running.md#live-deployments) to self-adapt to the market in a supervised manner
|
||||
* **Rapid feature engineering** - Create large rich [feature sets](freqai-feature-engineering.md#feature-engineering) (10k+ features) based on simple user-created strategies
|
||||
* **High performance** - Threading allows for adaptive model retraining on a separate thread (or on GPU if available) from model inferencing (prediction) and bot trade operations. Newest models and data are kept in RAM for rapid inferencing
|
||||
* **Realistic backtesting** - Emulate self-adaptive training on historic data with a [backtesting module](freqai-running.md#backtesting) that automates retraining
|
||||
* **Extensibility** - The generalized and robust architecture allows for incorporating any [machine learning library/method](freqai-configuration.md#using-different-prediction-models) available in Python. Eight examples are currently available, including classifiers, regressors, and a convolutional neural network
|
||||
* **Smart outlier removal** - Remove outliers from training and prediction data sets using a variety of [outlier detection techniques](freqai-outlier-detection.md)
|
||||
* **Crash resilience** - Store trained models to disk to make reloading from a crash fast and easy, and [purge obsolete files](freqai-data-handling.md#purging-old-model-data) for sustained dry/live runs
|
||||
* **Smart outlier removal** - Remove outliers from training and prediction data sets using a variety of [outlier detection techniques](freqai-feature-engineering.md#outlier-detection)
|
||||
* **Crash resilience** - Store trained models to disk to make reloading from a crash fast and easy, and [purge obsolete files](freqai-running.md#purging-old-model-data) for sustained dry/live runs
|
||||
* **Automatic data normalization** - [Normalize the data](freqai-feature-engineering.md#feature-normalization) in a smart and statistically safe way
|
||||
* **Automatic data download** - Compute timeranges for data downloads and update historic data (in live deployments)
|
||||
* **Cleaning of incoming data** - Handle NaNs safely before training and model inferencing
|
||||
@ -29,7 +29,7 @@ The easiest way to quickly test FreqAI is to run it in dry mode with the followi
|
||||
freqtrade trade --config config_examples/config_freqai.example.json --strategy FreqaiExampleStrategy --freqaimodel LightGBMRegressor --strategy-path freqtrade/templates
|
||||
```
|
||||
|
||||
The user will see the boot-up process of automatic data downloading, followed by simultaneous training and trading.
|
||||
You will see the boot-up process of automatic data downloading, followed by simultaneous training and trading.
|
||||
|
||||
An example strategy, prediction model, and config to use as a starting points can be found in
|
||||
`freqtrade/templates/FreqaiExampleStrategy.py`, `freqtrade/freqai/prediction_models/LightGBMRegressor.py`, and
|
||||
@ -37,7 +37,7 @@ An example strategy, prediction model, and config to use as a starting points ca
|
||||
|
||||
## General approach
|
||||
|
||||
The user provides FreqAI with a set of custom *base indicators* (the same way as in a [typical Freqtrade strategy](strategy-customization.md)) as well as target values (*labels*). For each pair in the whitelist, FreqAI trains a model to predict the target values based on the input of custom indicators. The models are then consistently retrained, with a frequency set by the user, to adapt to market conditions. FreqAI offers the ability to both backtest strategies (emulating reality with periodic retraining on historic data) and deploy dry/live runs. In dry/live conditions, FreqAI can be set to constant retraining in a background thread to keep models as up to date as possible.
|
||||
You provide FreqAI with a set of custom *base indicators* (the same way as in a [typical Freqtrade strategy](strategy-customization.md)) as well as target values (*labels*). For each pair in the whitelist, FreqAI trains a model to predict the target values based on the input of custom indicators. The models are then consistently retrained, with a predetermined frequency, to adapt to market conditions. FreqAI offers the ability to both backtest strategies (emulating reality with periodic retraining on historic data) and deploy dry/live runs. In dry/live conditions, FreqAI can be set to constant retraining in a background thread to keep models as up to date as possible.
|
||||
|
||||
An overview of the algorithm, explaining the data processing pipeline and model usage, is shown below.
|
||||
|
||||
@ -45,9 +45,9 @@ An overview of the algorithm, explaining the data processing pipeline and model
|
||||
|
||||
### Important machine learning vocabulary
|
||||
|
||||
**Features** - the parameters, based on historic data, on which a model is trained. All features for a single candle is stored as a vector. In FreqAI, the user builds a feature data sets from anything they can construct in the strategy.
|
||||
**Features** - the parameters, based on historic data, on which a model is trained. All features for a single candle is stored as a vector. In FreqAI, you build a feature data sets from anything you can construct in the strategy.
|
||||
|
||||
**Labels** - the target values that a model is trained toward. Each feature vector is associated with a single label that is defined by the user within the strategy. These labels intentionally look into the future, and are not available to the model during dry/live/backtesting.
|
||||
**Labels** - the target values that a model is trained toward. Each feature vector is associated with a single label that is defined by you within your strategy. These labels intentionally look into the future, and are not available to the model during dry/live/backtesting.
|
||||
|
||||
**Training** - the process of "teaching" the model to match the feature sets to the associated labels. Different types of models "learn" in different ways. More information about the different models can be found [here](freqai-configuration.md#using-different-prediction-models).
|
||||
|
||||
@ -59,7 +59,7 @@ An overview of the algorithm, explaining the data processing pipeline and model
|
||||
|
||||
## Install prerequisites
|
||||
|
||||
The normal Freqtrade install process will ask the user if they wish to install FreqAI dependencies. The user should reply "yes" to this question if they wish to use FreqAI. If the user did not reply yes, they can manually install these dependencies after the install with:
|
||||
The normal Freqtrade install process will ask if you wish to install FreqAI dependencies. You should reply "yes" to this question if you wish to use FreqAI. If you did not reply yes, you can manually install these dependencies after the install with:
|
||||
|
||||
``` bash
|
||||
pip install -r requirements-freqai.txt
|
||||
@ -70,7 +70,7 @@ pip install -r requirements-freqai.txt
|
||||
|
||||
### Usage with docker
|
||||
|
||||
For docker users, a dedicated tag with FreqAI dependencies is available as `:freqai`. As such - you can replace the image line in your docker-compose file with `image: freqtradeorg/freqtrade:develop_freqai`. This image contains the regular FreqAI dependencies. Similar to native installs, Catboost will not be available on ARM based devices.
|
||||
If you are using docker, a dedicated tag with FreqAI dependencies is available as `:freqai`. As such - you can replace the image line in your docker-compose file with `image: freqtradeorg/freqtrade:develop_freqai`. This image contains the regular FreqAI dependencies. Similar to native installs, Catboost will not be available on ARM based devices.
|
||||
|
||||
## Common pitfalls
|
||||
|
||||
@ -93,5 +93,5 @@ Software development:
|
||||
Wagner Costa @wagnercosta
|
||||
|
||||
Beta testing and bug reporting:
|
||||
Stefan Gehring @bloodhunter4rc, @longyu, @paranoidandy, @smidelis, Ryan McMullan @smarmau,
|
||||
Stefan Gehring @bloodhunter4rc, @longyu, Andrew Robert Lawless @paranoidandy, Pascal Schmidt @smidelis, Ryan McMullan @smarmau,
|
||||
Juha Nykänen @suikula, Johan van der Vlugt @jooopiert, Richárd Józsa @richardjosza
|
||||
|
||||
@ -28,9 +28,9 @@ nav:
|
||||
- Configuration: freqai-configuration.md
|
||||
- Parameter table: freqai-parameter-table.md
|
||||
- Feature engineering: freqai-feature-engineering.md
|
||||
- Outlier detection: freqai-outlier-detection.md
|
||||
# - Outlier detection: freqai-outlier-detection.md
|
||||
- Running FreqAI: freqai-running.md
|
||||
- Data handling: freqai-data-handling.md
|
||||
# - Data handling: freqai-data-handling.md
|
||||
- Developer guide: freqai-developers.md
|
||||
- Short / Leverage: leverage.md
|
||||
- Utility Sub-commands: utils.md
|
||||
|
||||
Loading…
Reference in New Issue
Block a user