Enable hourly/minute retraining in live/dry. Suppress catboost folder output. Update config + constants + docs to reflect updates.

This commit is contained in:
robcaulk
2022-05-23 00:06:26 +02:00
parent 42d95af829
commit af0cc21af9
6 changed files with 66 additions and 35 deletions

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@@ -151,7 +151,8 @@ no. `timeframes` * no. `base_features` * no. `corr_pairlist` * no. `shift`_
Users define the backtesting timerange with the typical `--timerange` parameter in the user
configuration file. `train_period` is the duration of the sliding training window, while
`backtest_period` is the sliding backtesting window, both in number of days. In the present example,
`backtest_period` is the sliding backtesting window, both in number of days (backtest_period can be
a float to indicate sub daily retraining in live/dry mode). In the present example,
the user is asking Freqai to use a training period of 30 days and backtest the subsequent 7 days.
This means that if the user sets `--timerange 20210501-20210701`,
Freqai will train 8 separate models (because the full range comprises 8 weeks),
@@ -347,6 +348,22 @@ Freqai will train an SVM on the training data (or components if the user activat
`principal_component_analysis`) and remove any data point that it deems to be sit beyond the
feature space.
## Stratifying the data
The user can stratify the training/testing data using:
```json
"freqai": {
"feature_parameters" : {
"stratify": 3
}
}
```
which will split the data chronolocially so that every X data points is a testing data point. In the
present example, the user is asking for every third data point in the dataframe to be used for
testing, the other points are used for training.
## Additional information
### Feature standardization