add LightGBMPredictionMultiModel

freqtrade/freqai/prediction_models/LightGBMPredictionMultiModel.py

@@ -0,0 +1,40 @@
+import logging
+from typing import Any, Dict
+
+from lightgbm import LGBMRegressor
+from sklearn.multioutput import MultiOutputRegressor
+
+from freqtrade.freqai.prediction_models.BaseRegressionModel import BaseRegressionModel
+
+
+logger = logging.getLogger(__name__)
+
+
+class LightGBMPredictionMultiModel(BaseRegressionModel):
+    """
+    User created prediction model. The class needs to override three necessary
+    functions, predict(), train(), fit(). The class inherits ModelHandler which
+    has its own DataHandler where data is held, saved, loaded, and managed.
+    """
+
+    def fit(self, data_dictionary: Dict) -> Any:
+        """
+        User sets up the training and test data to fit their desired model here
+        :params:
+        :data_dictionary: the dictionary constructed by DataHandler to hold
+        all the training and test data/labels.
+        """
+
+        lgb = LGBMRegressor(**self.model_training_parameters)
+
+        X = data_dictionary["train_features"]
+        y = data_dictionary["train_labels"]
+        eval_set = (data_dictionary["test_features"], data_dictionary["test_labels"])
+        sample_weight = data_dictionary["train_weights"]
+
+        model = MultiOutputRegressor(estimator=lgb)
+        model.fit(X=X, y=y, sample_weight=sample_weight)  # , eval_set=eval_set)
+        train_score = model.score(X, y)
+        test_score = model.score(*eval_set)
+        logger.info(f"Train score {train_score}, Test score {test_score}")
+        return model