create a prediction_models folder where basic prediction models can live (similar to optimize/hyperopt-loss. Update resolver/docs/and gitignore to accommodate change

.gitignore

@@ -8,6 +8,8 @@ user_data/*
 !user_data/strategy/sample_strategy.py
 !user_data/notebooks
 !user_data/models
+!user_data/freqaimodels
+user_data/freqaimodels/*
 user_data/models/*
 user_data/notebooks/*
 freqtrade-plot.html

docs/freqai.md

@@ -49,15 +49,16 @@ Use `pip` to install the prerequisities with:
 
 ## Running from the example files
 
-An example strategy, example prediction model, and example config can all be found in 
-`freqtrade/templates/ExampleFreqaiStrategy.py`, `freqtrade/templates/ExamplePredictionModel.py`, 
+An example strategy, an example prediction model, and example config can all be found in 
+`freqtrade/templates/ExampleFreqaiStrategy.py`, 
+`freqtrade/freqai/prediction_models/CatboostPredictionModel.py`, 
 `config_examples/config_freqai.example.json`, respectively. Assuming the user has downloaded
 the necessary data, Freqai can be executed from these templates with:
 
 ```bash
 freqtrade backtesting --config config_examples/config_freqai.example.json --strategy 
-FreqaiExampleStrategy --freqaimodel ExamplePredictionModel
---freqaimodel-path freqtrade/templates --strategy-path freqtrade/templates --timerange 20220101-220201
+FreqaiExampleStrategy --freqaimodel CatboostPredictionModel --strategy-path freqtrade/templates 
+--timerange 20220101-220201
 ```
 
 ## Configuring the bot
@@ -185,7 +186,7 @@ the feature set with a proper naming convention for the IFreqaiModel to use late
 
 ### Building an IFreqaiModel
 
-Freqai has a base example model in `templates/ExamplePredictionModel.py`, but users can customize and create
+Freqai has an example prediction model based on the popular `Catboost` regression (`freqai/prediction_models/CatboostPredictionModel.py`). However, users can customize and create
 their own prediction models using the `IFreqaiModel` class. Users are encouraged to inherit `train()`, `predict()`, 
 and `make_labels()` to let them customize various aspects of their training procedures.
 

freqtrade/freqai/freqai_interface.py

@@ -105,6 +105,11 @@ class IFreqaiModel(ABC):
                 self.dh.full_target_mean, self.dh.full_target_std)
 
     def start_live(self, dataframe: DataFrame, metadata: dict, strategy: IStrategy) -> None:
+        """
+        The main broad execution for dry/live. This function will check if a retraining should be
+        performed, and if so, retrain and reset the model.
+
+        """
 
         self.dh.set_paths()
 
@@ -119,7 +124,6 @@ class IFreqaiModel(ABC):
 
         if retrain or not file_exists:
             self.dh.download_new_data_for_retraining(new_trained_timerange, metadata)
-            # dataframe = download-data
             corr_dataframes, base_dataframes = self.dh.load_pairs_histories(new_trained_timerange,
                                                                             metadata)
 
@@ -131,12 +135,9 @@ class IFreqaiModel(ABC):
             self.model = self.train(unfiltered_dataframe, metadata)
             self.dh.save_data(self.model)
 
-            self.freqai_info
-
         self.model = self.dh.load_data()
         preds, do_preds = self.predict(dataframe, metadata)
         self.dh.append_predictions(preds, do_preds, len(dataframe))
-        # dataframe should have len 1 here
 
         return
 

freqtrade/freqai/prediction_models/CatboostPredictionModel.py

@@ -0,0 +1,159 @@
+import logging
+from typing import Any, Dict, Tuple
+
+import pandas as pd
+from catboost import CatBoostRegressor, Pool
+from pandas import DataFrame
+
+from freqtrade.freqai.freqai_interface import IFreqaiModel
+
+
+logger = logging.getLogger(__name__)
+
+
+class CatboostPredictionModel(IFreqaiModel):
+    """
+    User created prediction model. The class needs to override three necessary
+    functions, predict(), train(), fit(). The class inherits ModelHandler which
+    has its own DataHandler where data is held, saved, loaded, and managed.
+    """
+
+    def make_labels(self, dataframe: DataFrame) -> DataFrame:
+        """
+        User defines the labels here (target values).
+        :params:
+        :dataframe: the full dataframe for the present training period
+        """
+
+        dataframe["s"] = (
+            dataframe["close"]
+            .shift(-self.feature_parameters["period"])
+            .rolling(self.feature_parameters["period"])
+            .max()
+            / dataframe["close"]
+            - 1
+        )
+        self.dh.data["s_mean"] = dataframe["s"].mean()
+        self.dh.data["s_std"] = dataframe["s"].std()
+
+        # logger.info("label mean", self.dh.data["s_mean"], "label std", self.dh.data["s_std"])
+
+        return dataframe["s"]
+
+    def train(self, unfiltered_dataframe: DataFrame, metadata: dict) -> Tuple[DataFrame, DataFrame]:
+        """
+        Filter the training data and train a model to it. Train makes heavy use of the datahkitchen
+        for storing, saving, loading, and analyzing the data.
+        :params:
+        :unfiltered_dataframe: Full dataframe for the current training period
+        :metadata: pair metadata from strategy.
+        :returns:
+        :model: Trained model which can be used to inference (self.predict)
+        """
+        logger.info("--------------------Starting training--------------------")
+
+        # create the full feature list based on user config info
+        self.dh.training_features_list = self.dh.build_feature_list(self.config, metadata)
+        unfiltered_labels = self.make_labels(unfiltered_dataframe)
+
+        # filter the features requested by user in the configuration file and elegantly handle NaNs
+        features_filtered, labels_filtered = self.dh.filter_features(
+            unfiltered_dataframe,
+            self.dh.training_features_list,
+            unfiltered_labels,
+            training_filter=True,
+        )
+
+        # split data into train/test data.
+        data_dictionary = self.dh.make_train_test_datasets(features_filtered, labels_filtered)
+        # standardize all data based on train_dataset only
+        data_dictionary = self.dh.standardize_data(data_dictionary)
+
+        # optional additional data cleaning
+        if self.feature_parameters["principal_component_analysis"]:
+            self.dh.principal_component_analysis()
+        if self.feature_parameters["remove_outliers"]:
+            self.dh.remove_outliers(predict=False)
+        if self.feature_parameters["DI_threshold"]:
+            self.dh.data["avg_mean_dist"] = self.dh.compute_distances()
+
+        logger.info("length of train data %s", len(data_dictionary["train_features"]))
+
+        model = self.fit(data_dictionary)
+
+        logger.info(f'--------------------done training {metadata["pair"]}--------------------')
+
+        return model
+
+    def fit(self, data_dictionary: Dict) -> Any:
+        """
+        Most regressors use the same function names and arguments e.g. user
+        can drop in LGBMRegressor in place of CatBoostRegressor and all data
+        management will be properly handled by Freqai.
+        :params:
+        :data_dictionary: the dictionary constructed by DataHandler to hold
+        all the training and test data/labels.
+        """
+
+        train_data = Pool(
+            data=data_dictionary["train_features"],
+            label=data_dictionary["train_labels"],
+            weight=data_dictionary["train_weights"],
+        )
+
+        test_data = Pool(
+            data=data_dictionary["test_features"],
+            label=data_dictionary["test_labels"],
+            weight=data_dictionary["test_weights"],
+        )
+
+        model = CatBoostRegressor(
+            verbose=100, early_stopping_rounds=400, **self.model_training_parameters
+        )
+        model.fit(X=train_data, eval_set=test_data)
+
+        return model
+
+    def predict(self, unfiltered_dataframe: DataFrame, metadata: dict) -> Tuple[DataFrame,
+                                                                                DataFrame]:
+        """
+        Filter the prediction features data and predict with it.
+        :param: unfiltered_dataframe: Full dataframe for the current backtest period.
+        :return:
+        :predictions: np.array of predictions
+        :do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove
+        data (NaNs) or felt uncertain about data (PCA and DI index)
+        """
+
+        # logger.info("--------------------Starting prediction--------------------")
+
+        original_feature_list = self.dh.build_feature_list(self.config, metadata)
+        filtered_dataframe, _ = self.dh.filter_features(
+            unfiltered_dataframe, original_feature_list, training_filter=False
+        )
+        filtered_dataframe = self.dh.standardize_data_from_metadata(filtered_dataframe)
+        self.dh.data_dictionary["prediction_features"] = filtered_dataframe
+
+        # optional additional data cleaning
+        if self.feature_parameters["principal_component_analysis"]:
+            pca_components = self.dh.pca.transform(filtered_dataframe)
+            self.dh.data_dictionary["prediction_features"] = pd.DataFrame(
+                data=pca_components,
+                columns=["PC" + str(i) for i in range(0, self.dh.data["n_kept_components"])],
+                index=filtered_dataframe.index,
+            )
+
+        if self.feature_parameters["remove_outliers"]:
+            self.dh.remove_outliers(predict=True)  # creates dropped index
+
+        if self.feature_parameters["DI_threshold"]:
+            self.dh.check_if_pred_in_training_spaces()  # sets do_predict
+
+        predictions = self.model.predict(self.dh.data_dictionary["prediction_features"])
+
+        # compute the non-standardized predictions
+        self.dh.predictions = predictions * self.dh.data["labels_std"] + self.dh.data["labels_mean"]
+
+        # logger.info("--------------------Finished prediction--------------------")
+
+        return (self.dh.predictions, self.dh.do_predict)

freqtrade/resolvers/freqaimodel_resolver.py

@@ -24,7 +24,8 @@ class FreqaiModelResolver(IResolver):
     object_type = IFreqaiModel
     object_type_str = "FreqaiModel"
     user_subdir = USERPATH_FREQAIMODELS
-    initial_search_path = Path(__file__).parent.parent.joinpath("optimize").resolve()
+    initial_search_path = Path(__file__).parent.parent.joinpath(
+                                                       "freqai/prediction_models").resolve()
 
     @staticmethod
     def load_freqaimodel(config: Dict) -> IFreqaiModel: