adelorenzo
/
stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
20,014 Commits 14 Branches 74 Tags 197 MiB
Commit Graph

172 Commits

Author SHA1 Message Date
robcaulk e5df39e891 ensuring best_model is placed in ram and saved to disk and loaded from disk 2022-08-24 13:00:55 +02:00
robcaulk bf7ceba958 set cpu threads in config 2022-08-24 13:00:55 +02:00
MukavaValkku 57c488a6f1 learning_rate + multicpu changes 2022-08-24 13:00:55 +02:00
robcaulk acf3484e88 add multiprocessing variant of ReinforcementLearningPPO 2022-08-24 13:00:55 +02:00
MukavaValkku 13cd18dc9a PPO policy change + verbose=1 2022-08-24 13:00:55 +02:00
robcaulk 926023935f make base 3ac and base 5ac environments. TDQN defaults to 3AC. 2022-08-24 13:00:55 +02:00
MukavaValkku 096533bcb9 3ac to 5ac 2022-08-24 13:00:55 +02:00
MukavaValkku 718c9d0440 action fix 2022-08-24 13:00:55 +02:00
robcaulk 9c78e6c26f base PPO model only customizes reward for 3AC 2022-08-24 13:00:55 +02:00
robcaulk 6048f60f13 get TDQN working with 5 action environment 2022-08-24 13:00:55 +02:00
robcaulk d4db5c3281 ensure TDQN class is properly named 2022-08-24 13:00:55 +02:00
robcaulk 91683e1dca restructure RL so that user can customize environment 2022-08-24 13:00:55 +02:00
sonnhfit ecd1f55abc add rl module 2022-08-24 13:00:55 +02:00
MukavaValkku 9b895500b3 initial commit - new dev branch 2022-08-24 13:00:55 +02:00
MukavaValkku cd3fe44424 callback function and TDQN model added 2022-08-24 13:00:55 +02:00
MukavaValkku 01232e9a1f callback function and TDQN model added 2022-08-24 13:00:55 +02:00
MukavaValkku 8eeaab2746 add reward function 2022-08-24 13:00:55 +02:00
MukavaValkku ec813434f5 ReinforcementLearningModel 2022-08-24 13:00:55 +02:00
MukavaValkku 2f4d73eb06 Revert "ReinforcementLearningModel" 
This reverts commit 4d8dfe1ff1daa47276eda77118ddf39c13512a85.
 2022-08-24 13:00:55 +02:00
MukavaValkku c1e7db3130 ReinforcementLearningModel 2022-08-24 13:00:55 +02:00
robcaulk 05ed1b544f Working base for reinforcement learning model 2022-08-24 13:00:40 +02:00
robcaulk 4c0fda400f fix input shape warning for LGBMClassifier, add sample_weights/eval_weights 2022-08-16 11:41:53 +02:00
Robert Caulk c9c128f781 finalize logo, improve doc, improve algo overview, fix base tensorflowmodel for mypy 2022-08-14 02:49:01 +02:00
robcaulk 58de20af0f make BaseClassifierModel. Add predict_proba to lightgbm 2022-08-13 20:07:31 +02:00
robcaulk b1b76a2dbe debug classifier with predict proba 2022-08-13 19:40:24 +02:00
robcaulk 23cc21ce59 add predict_proba to base classifier, improve historic predictions handling 2022-08-13 19:40:24 +02:00
robcaulk eb8bde37c1 Add lightgbm classifier, add classifier check test, fix classifier bug. 2022-08-06 17:51:21 +02:00
Robert Caulk 07763d0d4f add classifier, improve model naming scheme 2022-08-06 08:33:55 +02:00
robcaulk f22b140782 fix backtesting bug, undo move of label stat calc, fix example strat exit logic 2022-07-29 17:27:35 +02:00
robcaulk 59624181bd isort BaseRegressionModel imports 2022-07-29 08:23:44 +02:00
robcaulk c84d54b35e Fix typing issue, avoid using .get() when unnecessary, convert to fstrings 2022-07-29 08:12:50 +02:00
robcaulk 324e54c015 fix possible memory leak associated with Catboost Pool object 2022-07-26 17:29:29 +02:00
robcaulk 3f149c4067 fix return type in BaseTensorFlowModel 2022-07-26 16:01:54 +02:00
robcaulk e213d0ad55 isolate data_drawer functions from data_kitchen, accommodate tests, add new test 2022-07-26 10:24:14 +02:00
robcaulk 56b17e6f3c allow user to pass test_size = 0 and avoid using eval sets in prediction models 2022-07-25 19:40:13 +02:00
Robert Caulk 7b105532d1 fix mypy error and add test for principal component analysis 2022-07-25 11:46:59 +02:00
Matthias 520ee3f7a1 Convert freqAI into packages 2022-07-24 17:07:45 +02:00
Matthias 1885deb632 More docstring changes 2022-07-24 16:54:39 +02:00
Robert Caulk 88e10f7306 add exception for not passing timerange. Remove hard coded arguments for CatboostPredictionModels. Update docs 2022-07-24 09:01:23 +02:00
robcaulk f3d46613ee move prediction denormalization into datakitchen. remove duplicate associated code. avoid normalization/denormalization for string dtypes. 2022-07-23 17:14:33 +02:00
robcaulk 98c8a447b2 add LightGBMPredictionMultiModel 2022-07-22 12:40:51 +02:00
lolong 9c051958a6
Feat/freqai (#7105) 
Vectorize weight setting, log training dates

Co-authored-by: robcaulk <rob.caulk@gmail.com>
 2022-07-19 17:49:18 +02:00
lolong ed0f8b1189
Improve FreqAI documentation (#7072) 
Improve doc + some other small fixes

Co-authored-by: robcaulk <rob.caulk@gmail.com>
 2022-07-18 11:57:52 +02:00
robcaulk 4141d165ff add BaseTensorFlowModel class 2022-07-12 19:10:09 +02:00
robcaulk ef409dd345 Add ground work for TensorFlow models, add protections from common mistakes 2022-07-12 18:09:17 +02:00
Robert Caulk fea63fba12 Fix saving/loading historic predictions 2022-07-12 10:12:50 +02:00
Robert Caulk 8ce6b18318 start collecting indefinite history of predictions. Allow user to generate statistics on these predictions. Direct FreqAI to save these to disk and reload them if available. 2022-07-11 22:01:48 +02:00
Matthias 3fc92b1b21 Create BaseRegression model - designed to reduce code duplication across currently available models. 2022-07-11 11:33:59 +02:00
Robert Caulk 607455919e Change config parameter names to improve clarity and consistency throughout the code (!!breaking change, please check discord support channel for migration instructions or review templates/FreqaiExampleStrategy.py config_examples/config_freqai_futures.example.json file changes!!) 2022-07-10 12:35:44 +02:00
Matthias 819cc9c0e4 Fully align LightGBM with Catboost 2022-07-10 11:06:18 +02:00
Matthias 58b18770e3 Fix LightGBM missing argument in predict method 2022-07-10 11:05:35 +02:00
Matthias 2e1061af64 Fix faulty LightGBM model 2022-07-09 08:21:42 +00:00
robcaulk 8ac8d53c32 All LGBMRegressor model parameters are now set in config 2022-07-03 16:30:01 +02:00
robcaulk ffb39a5029 black formatting on freqai files 2022-07-03 10:59:38 +02:00
robcaulk 106131ff0f Rehaul organization of return values 2022-07-02 18:09:38 +02:00
robcaulk 051b99791d reduce unnecessary verbosity, fix error on first training sweep, add LightGBMPredictionModel 2022-06-26 19:04:23 +02:00
robcaulk f631ae911b add model expiration feature, fix bug in DI return values 2022-06-17 14:55:40 +02:00
robcaulk c5de0c49e4 first functional scanning commit 2022-06-16 00:24:18 +02:00
Matthias c981ad4608 Fix missing space 2022-06-12 08:31:02 +02:00
robcaulk 15d049cffe detect if upper tf candles are new or not, append if so. Correct the epoch for candle update check 2022-06-07 19:49:20 +02:00
robcaulk f2762e3b4b fix bug in return_values() 2022-06-03 16:58:51 +02:00
robcaulk 16b4a5b71f rehaul of backend data management - increasing performance by holding history in memory, reducing load on the ratelimit by only pinging exchange once per candle. Improve code readability. 2022-06-03 15:19:46 +02:00
robcaulk c5a16e91fb throw user error if user tries to load models but feeds the wrong features (while using PCA) 2022-05-28 11:11:41 +02:00
robcaulk 6193205012 fix bug for target_mean/std array merging in backtesting 2022-05-26 21:07:50 +02:00
robcaulk 255d35976e add priority metadata to pairs to avoid a sync of train time + train period 2022-05-24 12:58:53 +02:00
robcaulk 059c285425 paying closer attention to managing live retraining on separate thread without affecting prediction of other coins on master thread 2022-05-24 12:01:01 +02:00
robcaulk b0d2d13eb1 improve data persistence/mapping for live/dry. This accommodates quick reloads after crash and handles multi-pair cleanly 2022-05-23 21:05:05 +02:00
robcaulk e1c068ca66 add config asserts, use .get method with default values for optional functionality, move data_cleaning_* to freqai_interface (away from user custom pred model) since it is controlled by config params. 2022-05-23 12:07:09 +02:00
robcaulk af0cc21af9 Enable hourly/minute retraining in live/dry. Suppress catboost folder output. Update config + constants + docs to reflect updates. 2022-05-23 00:06:26 +02:00
robcaulk 42d95af829 Aggregated commit. Adding support vector machine for outlier detection, improve user interface to dry/live, better standardization, fix various other bugs 2022-05-22 17:51:49 +02:00
robcaulk d1d451c27e auto populate features based on a prepended % in the strategy (remove feature assignment from config). Update doc/constants/example strategy to reflect change 2022-05-17 18:15:03 +02:00
robcaulk 8664e8f9a3 create a prediction_models folder where basic prediction models can live (similar to optimize/hyperopt-loss. Update resolver/docs/and gitignore to accommodate change 2022-05-17 17:13:38 +02:00