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auto populate features based on a prepended % in the strategy (remove feature assignment from config). Update doc/constants/example strategy to reflect change

This commit is contained in:
robcaulk 2022-05-17 18:15:03 +02:00
parent 8664e8f9a3
commit d1d451c27e
6 changed files with 80 additions and 69 deletions
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13
config_examples/config_freqai.example.json
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@ -56,20 +56,9 @@
], ],
"train_period": 30, "train_period": 30,
"backtest_period": 7, "backtest_period": 7,
"identifier": "new_corrlist", "identifier": "example",
"live_trained_timerange": "20220330-20220429", "live_trained_timerange": "20220330-20220429",
"live_full_backtestrange": "20220302-20220501", "live_full_backtestrange": "20220302-20220501",
"base_features": [
"rsi",
"close_over_20sma",
"relative_volume",
"bb_width",
"mfi",
"roc",
"pct-change",
"adx",
"macd"
],
"corr_pairlist": [ "corr_pairlist": [
"BTC/USDT", "BTC/USDT",
"ETH/USDT", "ETH/USDT",

35
docs/freqai.md
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@ -72,11 +72,6 @@ config setup includes:
"train_period" : 30, "train_period" : 30,
"backtest_period" : 7, "backtest_period" : 7,
"identifier" : "unique-id", "identifier" : "unique-id",
"base_features": [
"rsi",
"mfi",
"roc",
],
"corr_pairlist": [ "corr_pairlist": [
"ETH/USD", "ETH/USD",
"LINK/USD", "LINK/USD",
@ -102,11 +97,31 @@ config setup includes:
### Building the feature set ### Building the feature set
Most of these parameters are controlling the feature data set. The `base_features` Most of these parameters are controlling the feature data set. Features are added by the user
indicates the basic indicators the user wishes to include in the feature set. inside the `populate_any_indicators()` method of the strategy by prepending indicators with `%`:
The `timeframes` are the timeframes of each base_feature that the user wishes to
include in the feature set. In the present case, the user is asking for the ```python
`5m`, `15m`, and `4h` timeframes of the `rsi`, `mfi`, `roc`, etc. to be included def populate_any_indicators(self, pair, df, tf, informative=None, coin=""):
informative['%-''%-' + coin + "rsi"] = ta.RSI(informative, timeperiod=14)
informative['%-' + coin + "mfi"] = ta.MFI(informative, timeperiod=25)
informative['%-' + coin + "adx"] = ta.ADX(informative, window=20)
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=14, stds=2.2)
informative[coin + "bb_lowerband"] = bollinger["lower"]
informative[coin + "bb_middleband"] = bollinger["mid"]
informative[coin + "bb_upperband"] = bollinger["upper"]
informative['%-' + coin + "bb_width"] = (
informative[coin + "bb_upperband"] - informative[coin + "bb_lowerband"]
) / informative[coin + "bb_middleband"]
```
The user of the present example does not want to pass the `bb_lowerband` as a feature to the model,
and has therefore not prepended it with `%`. The user does, however, wish to pass `bb_width` to the
model for training/prediction and has therfore prepended it with `%`._
(Please see the example script located in `freqtrade/templates/FreqaiExampleStrategy.py` for a full example of `populate_any_indicators()`)
The `timeframes` from the example config above are the timeframes of each `populate_any_indicator()`
included metric for inclusion in the feature set. In the present case, the user is asking for the
`5m`, `15m`, and `4h` timeframes of the `rsi`, `mfi`, `roc`, and `bb_width` to be included
in the feature set. in the feature set.
In addition, the user can ask for each of these features to be included from In addition, the user can ask for each of these features to be included from

3
freqtrade/constants.py
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@ -442,7 +442,6 @@ CONF_SCHEMA = {
"identifier": {"type": "str", "default": "example"}, "identifier": {"type": "str", "default": "example"},
"live_trained_timerange": {"type": "str"}, "live_trained_timerange": {"type": "str"},
"live_full_backtestrange": {"type": "str"}, "live_full_backtestrange": {"type": "str"},
"base_features": {"type": "list"},
"corr_pairlist": {"type": "list"}, "corr_pairlist": {"type": "list"},
"feature_parameters": { "feature_parameters": {
"type": "object", "type": "object",
@ -537,4 +536,4 @@ TradeList = List[List]
LongShort = Literal['long', 'short'] LongShort = Literal['long', 'short']
EntryExit = Literal['entry', 'exit'] EntryExit = Literal['entry', 'exit']
BuySell = Literal['buy', 'sell'] BuySell = Literal['buy', 'sell']

53
freqtrade/freqai/data_kitchen.py
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@ -483,31 +483,38 @@ class FreqaiDataKitchen:
return return
def build_feature_list(self, config: dict, metadata: dict) -> list: def find_features(self, dataframe: DataFrame) -> list:
""" column_names = dataframe.columns
Build the list of features that will be used to filter features = [c for c in column_names if '%' in c]
the full dataframe. Feature list is construced from the assert features, ("Could not find any features!")
user configuration file.
:params:
:config: Canonical freqtrade config file containing all
user defined input in config['freqai] dictionary.
"""
features = []
for tf in config["freqai"]["timeframes"]:
for ft in config["freqai"]["base_features"]:
for n in range(config["freqai"]["feature_parameters"]["shift"] + 1):
shift = ""
if n > 0:
shift = "_shift-" + str(n)
features.append(metadata['pair'].split("/")[0] + "-" + ft + shift + "_" + tf)
for p in config["freqai"]["corr_pairlist"]:
if metadata['pair'] in p:
continue # avoid duplicate features
features.append(p.split("/")[0] + "-" + ft + shift + "_" + tf)
# logger.info("number of features %s", len(features))
return features return features
# def build_feature_list(self, config: dict, metadata: dict) -> list:
# """
# SUPERCEDED BY self.find_features()
# Build the list of features that will be used to filter
# the full dataframe. Feature list is construced from the
# user configuration file.
# :params:
# :config: Canonical freqtrade config file containing all
# user defined input in config['freqai] dictionary.
# """
# features = []
# for tf in config["freqai"]["timeframes"]:
# for ft in config["freqai"]["base_features"]:
# for n in range(config["freqai"]["feature_parameters"]["shift"] + 1):
# shift = ""
# if n > 0:
# shift = "_shift-" + str(n)
# features.append(metadata['pair'].split("/")[0] + "-" + ft + shift + "_" + tf)
# for p in config["freqai"]["corr_pairlist"]:
# if metadata['pair'] in p:
# continue # avoid duplicate features
# features.append(p.split("/")[0] + "-" + ft + shift + "_" + tf)
# # logger.info("number of features %s", len(features))
# return features
def check_if_pred_in_training_spaces(self) -> None: def check_if_pred_in_training_spaces(self) -> None:
""" """
Compares the distance from each prediction point to each training data Compares the distance from each prediction point to each training data

5
freqtrade/freqai/prediction_models/CatboostPredictionModel.py
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@ -53,9 +53,8 @@ class CatboostPredictionModel(IFreqaiModel):
logger.info("--------------------Starting training--------------------") logger.info("--------------------Starting training--------------------")
# create the full feature list based on user config info # create the full feature list based on user config info
self.dh.training_features_list = self.dh.build_feature_list(self.config, metadata) self.dh.training_features_list = self.dh.find_features(unfiltered_dataframe)
unfiltered_labels = self.make_labels(unfiltered_dataframe) unfiltered_labels = self.make_labels(unfiltered_dataframe)
# filter the features requested by user in the configuration file and elegantly handle NaNs # filter the features requested by user in the configuration file and elegantly handle NaNs
features_filtered, labels_filtered = self.dh.filter_features( features_filtered, labels_filtered = self.dh.filter_features(
unfiltered_dataframe, unfiltered_dataframe,
@ -127,7 +126,7 @@ class CatboostPredictionModel(IFreqaiModel):
# logger.info("--------------------Starting prediction--------------------") # logger.info("--------------------Starting prediction--------------------")
original_feature_list = self.dh.build_feature_list(self.config, metadata) original_feature_list = self.dh.find_features(unfiltered_dataframe)
filtered_dataframe, _ = self.dh.filter_features( filtered_dataframe, _ = self.dh.filter_features(
unfiltered_dataframe, original_feature_list, training_filter=False unfiltered_dataframe, original_feature_list, training_filter=False
) )

40
freqtrade/templates/FreqaiExampleStrategy.py
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@ -62,8 +62,11 @@ class FreqaiExampleStrategy(IStrategy):
def populate_any_indicators(self, pair, df, tf, informative=None, coin=""): def populate_any_indicators(self, pair, df, tf, informative=None, coin=""):
""" """
Function designed to automatically generate, name and merge features Function designed to automatically generate, name and merge features
from user indicated timeframes in the configuration file. User can add from user indicated timeframes in the configuration file. User controls the indicators
additional features here, but must follow the naming convention. passed to the training/prediction by prepending indicators with `'%-' + coin `
(see convention below). I.e. user should not prepend any supporting metrics
(e.g. bb_lowerband below) with % unless they explicitly want to pass that metric to the
model.
:params: :params:
:pair: pair to be used as informative :pair: pair to be used as informative
:df: strategy dataframe which will receive merges from informatives :df: strategy dataframe which will receive merges from informatives
@ -74,49 +77,50 @@ class FreqaiExampleStrategy(IStrategy):
if informative is None: if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf) informative = self.dp.get_pair_dataframe(pair, tf)
informative[coin + "rsi"] = ta.RSI(informative, timeperiod=14) informative['%-' + coin + "rsi"] = ta.RSI(informative, timeperiod=14)
informative[coin + "mfi"] = ta.MFI(informative, timeperiod=25) informative['%-' + coin + "mfi"] = ta.MFI(informative, timeperiod=25)
informative[coin + "adx"] = ta.ADX(informative, window=20) informative['%-' + coin + "adx"] = ta.ADX(informative, window=20)
informative[coin + "20sma"] = ta.SMA(informative, timeperiod=20) informative[coin + "20sma"] = ta.SMA(informative, timeperiod=20)
informative[coin + "21ema"] = ta.EMA(informative, timeperiod=21) informative[coin + "21ema"] = ta.EMA(informative, timeperiod=21)
informative[coin + "bmsb"] = np.where( informative['%-' + coin + "bmsb"] = np.where(
informative[coin + "20sma"].lt(informative[coin + "21ema"]), 1, 0 informative[coin + "20sma"].lt(informative[coin + "21ema"]), 1, 0
) )
informative[coin + "close_over_20sma"] = informative["close"] / informative[coin + "20sma"] informative['%-' + coin + "close_over_20sma"] = informative["close"] / informative[
coin + "20sma"]
informative[coin + "mfi"] = ta.MFI(informative, timeperiod=25) informative['%-' + coin + "mfi"] = ta.MFI(informative, timeperiod=25)
informative[coin + "ema21"] = ta.EMA(informative, timeperiod=21) informative[coin + "ema21"] = ta.EMA(informative, timeperiod=21)
informative[coin + "sma20"] = ta.SMA(informative, timeperiod=20) informative[coin + "sma20"] = ta.SMA(informative, timeperiod=20)
stoch = ta.STOCHRSI(informative, 15, 20, 2, 2) stoch = ta.STOCHRSI(informative, 15, 20, 2, 2)
informative[coin + "srsi-fk"] = stoch["fastk"] informative['%-' + coin + "srsi-fk"] = stoch["fastk"]
informative[coin + "srsi-fd"] = stoch["fastd"] informative['%-' + coin + "srsi-fd"] = stoch["fastd"]
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=14, stds=2.2) bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=14, stds=2.2)
informative[coin + "bb_lowerband"] = bollinger["lower"] informative[coin + "bb_lowerband"] = bollinger["lower"]
informative[coin + "bb_middleband"] = bollinger["mid"] informative[coin + "bb_middleband"] = bollinger["mid"]
informative[coin + "bb_upperband"] = bollinger["upper"] informative[coin + "bb_upperband"] = bollinger["upper"]
informative[coin + "bb_width"] = ( informative['%-' + coin + "bb_width"] = (
informative[coin + "bb_upperband"] - informative[coin + "bb_lowerband"] informative[coin + "bb_upperband"] - informative[coin + "bb_lowerband"]
) / informative[coin + "bb_middleband"] ) / informative[coin + "bb_middleband"]
informative[coin + "close-bb_lower"] = ( informative['%-' + coin + "close-bb_lower"] = (
informative["close"] / informative[coin + "bb_lowerband"] informative["close"] / informative[coin + "bb_lowerband"]
) )
informative[coin + "roc"] = ta.ROC(informative, timeperiod=3) informative['%-' + coin + "roc"] = ta.ROC(informative, timeperiod=3)
informative[coin + "adx"] = ta.ADX(informative, window=14) informative['%-' + coin + "adx"] = ta.ADX(informative, window=14)
macd = ta.MACD(informative) macd = ta.MACD(informative)
informative[coin + "macd"] = macd["macd"] informative['%-' + coin + "macd"] = macd["macd"]
informative[coin + "pct-change"] = informative["close"].pct_change() informative[coin + "pct-change"] = informative["close"].pct_change()
informative[coin + "relative_volume"] = ( informative['%-' + coin + "relative_volume"] = (
informative["volume"] / informative["volume"].rolling(10).mean() informative["volume"] / informative["volume"].rolling(10).mean()
) )
informative[coin + "pct-change"] = informative["close"].pct_change() informative[coin + "pct-change"] = informative["close"].pct_change()
indicators = [col for col in informative if col.startswith(coin)] indicators = [col for col in informative if col.startswith('%')]
for n in range(self.freqai_info["feature_parameters"]["shift"] + 1): for n in range(self.freqai_info["feature_parameters"]["shift"] + 1):
if n == 0: if n == 0:
@ -154,7 +158,6 @@ class FreqaiExampleStrategy(IStrategy):
pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-" pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-"
) )
print('dataframe_built')
# the model will return 4 values, its prediction, an indication of whether or not the # the model will return 4 values, its prediction, an indication of whether or not the
# prediction should be accepted, the target mean/std values from the labels used during # prediction should be accepted, the target mean/std values from the labels used during
# each training period. # each training period.
@ -181,7 +184,6 @@ class FreqaiExampleStrategy(IStrategy):
return dataframe return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# sell_goal = eval('self.'+metadata['pair'].split("/")[0]+'_sell_goal.value')
sell_conditions = [ sell_conditions = [
(dataframe["prediction"] < dataframe["sell_roi"]) & (dataframe["do_predict"] == 1) (dataframe["prediction"] < dataframe["sell_roi"]) & (dataframe["do_predict"] == 1)
] ]