Merge remote-tracking branch 'origin/develop' into dev-merge-rl

This commit is contained in:
robcaulk
2022-10-05 15:21:45 +02:00
32 changed files with 400 additions and 304 deletions

View File

@@ -264,7 +264,7 @@ class FreqaiDataDrawer:
def append_model_predictions(self, pair: str, predictions: DataFrame,
do_preds: NDArray[np.int_],
dk: FreqaiDataKitchen, len_df: int) -> None:
dk: FreqaiDataKitchen, strat_df: DataFrame) -> None:
"""
Append model predictions to historic predictions dataframe, then set the
strategy return dataframe to the tail of the historic predictions. The length of
@@ -273,6 +273,7 @@ class FreqaiDataDrawer:
historic predictions.
"""
len_df = len(strat_df)
index = self.historic_predictions[pair].index[-1:]
columns = self.historic_predictions[pair].columns
@@ -300,6 +301,15 @@ class FreqaiDataDrawer:
for return_str in rets:
df[return_str].iloc[-1] = rets[return_str]
# this logic carries users between version without needing to
# change their identifier
if 'close_price' not in df.columns:
df['close_price'] = np.nan
df['date_pred'] = np.nan
df['close_price'].iloc[-1] = strat_df['close'].iloc[-1]
df['date_pred'].iloc[-1] = strat_df['date'].iloc[-1]
self.model_return_values[pair] = df.tail(len_df).reset_index(drop=True)
def attach_return_values_to_return_dataframe(