adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #7315 from freqtrade/reverse-train-test-order

Browse Source 
allow users to properly reverse train-test data ordering
This commit is contained in:
Matthias 2022-08-29 15:27:28 +02:00 committed by GitHub
commit 93cbfc5f29
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 12 additions and 3 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

1
docs/freqai.md
View File

@ -114,6 +114,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `svm_params` | All parameters available in Sklearn's `SGDOneClassSVM()`. See details about some select parameters [here](#removing-outliers-using-a-support-vector-machine-svm). <br> **Datatype:** Dictionary.
| `use_DBSCAN_to_remove_outliers` | Cluster data using DBSCAN to identify and remove outliers from training and prediction data. See details about how it works [here](#removing-outliers-with-dbscan). <br> **Datatype:** Boolean.
| `outlier_protection_percentage` | If more than `outlier_protection_percentage` fraction of points are removed as outliers, FreqAI will log a warning message and ignore outlier detection while keeping the original dataset intact. <br> **Datatype:** float. Default: `30`
| `reverse_train_test_order` | If true, FreqAI will train on the latest data split 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 unorthodox nature of this parameter before employing it. <br> **Datatype:** bool. Default: False
| | **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` | Fraction of data that should be used for testing instead of training. <br> **Datatype:** Positive float < 1.

14
freqtrade/freqai/data_kitchen.py
View File

@ -168,9 +168,17 @@ class FreqaiDataKitchen:
train_labels = labels
train_weights = weights
return self.build_data_dictionary(
train_features, test_features, train_labels, test_labels, train_weights, test_weights
)
# Simplest way to reverse the order of training and test data:
if self.freqai_config['feature_parameters'].get('reverse_train_test_order', False):
return self.build_data_dictionary(
test_features, train_features, test_labels,
train_labels, test_weights, train_weights
)
else:
return self.build_data_dictionary(
train_features, test_features, train_labels,
test_labels, train_weights, test_weights
)
def filter_features(
self,