richardjozsa
5ccd80eda6
Conception problem with the unrealized profit
...
I think here is a conception problem with the total profit, if we *= it with the last PnL it means we assume that the last profit effects on this one. In real life it depends on the user eg stake amount can be unlimited.
However the agent will learn better and more if we just add it with +=.
2022-08-27 00:49:48 +02:00
robcaulk
baa4f8e3d0
remove Base3ActionEnv in favor of Base4Action
2022-08-26 11:04:25 +02:00
richardjozsa
d31926efdf
Added Base4Action
2022-08-26 11:04:25 +02:00
robcaulk
3199eb453b
reduce code for base use-case, ensure multiproc inherits custom env, add ability to limit ram use.
2022-08-25 19:05:51 +02:00
robcaulk
05ccebf9a1
automate eval freq in multiproc
2022-08-25 12:29:48 +02:00
robcaulk
94cfc8e63f
fix multiproc callback, add continual learning to multiproc, fix totalprofit bug in env, set eval_freq automatically, improve default reward
2022-08-25 11:46:18 +02:00
robcaulk
d1bee29b1e
improve default reward, fix bugs in environment
2022-08-24 18:32:40 +02:00
robcaulk
a61821e1c6
remove monitor log
2022-08-24 16:33:13 +02:00
robcaulk
bd870e2331
fix monitor bug, set default values in case user doesnt set params
2022-08-24 16:32:14 +02:00
robcaulk
c0cee5df07
add continual retraining feature, handly mypy typing reqs, improve docstrings
2022-08-24 13:00:55 +02:00
robcaulk
b708134c1a
switch multiproc thread count to rl_config definition
2022-08-24 13:00:55 +02:00
robcaulk
b26ed7dea4
fix generic reward, add time duration to reward
2022-08-24 13:00:55 +02:00
robcaulk
280a1dc3f8
add live rate, add trade duration
2022-08-24 13:00:55 +02:00
robcaulk
f9a49744e6
add strategy to the freqai object
2022-08-24 13:00:55 +02:00
richardjozsa
a2a4bc05db
Fix the state profit calculation logic
2022-08-24 13:00:55 +02:00
robcaulk
29f0e01c4a
expose environment reward parameters to the user config
2022-08-24 13:00:55 +02:00
robcaulk
d88a0dbf82
add sb3_contrib models to the available agents. include sb3_contrib in requirements.
2022-08-24 13:00:55 +02:00
robcaulk
8b3a8234ac
fix env bug, allow example strat to short
2022-08-24 13:00:55 +02:00
mrzdev
8cd4daad0a
Feat/freqai rl dev ( #7 )
...
* access trades through get_trades_proxy method to allow backtesting
2022-08-24 13:00:55 +02:00
robcaulk
3eb897c2f8
reuse callback, allow user to acces all stable_baselines3 agents via config
2022-08-24 13:00:55 +02:00
robcaulk
4b9499e321
improve nomenclature and fix short exit bug
2022-08-24 13:00:55 +02:00
sonnhfit
4baa36bdcf
fix persist a single training environment for PPO
2022-08-24 13:00:55 +02:00
robcaulk
f95602f6bd
persist a single training environment.
2022-08-24 13:00:55 +02:00
robcaulk
5d4e5e69fe
reinforce training with state info, reinforce prediction with state info, restructure config to accommodate all parameters from any user imported model type. Set 5Act to default env on TDQN. Clean example config.
2022-08-24 13:00:55 +02:00
sonnhfit
7962a1439b
remove keep low profit
2022-08-24 13:00:55 +02:00
sonnhfit
81b5aa66e8
make env keep current position when low profit
2022-08-24 13:00:55 +02:00
sonnhfit
45218faeb0
fix coding convention
2022-08-24 13:00:55 +02:00
robcaulk
b90da46b1b
improve price df handling to enable backtesting
2022-08-24 13:00:55 +02:00
MukavaValkku
2080ff86ed
5ac base fixes in logic
2022-08-24 13:00:55 +02:00
robcaulk
16cec7dfbd
fix save/reload functionality for stablebaselines
2022-08-24 13:00:55 +02:00
sonnhfit
0475b7cb18
remove unuse code and fix coding conventions
2022-08-24 13:00:55 +02:00
MukavaValkku
d60a166fbf
multiproc TDQN with xtra callbacks
2022-08-24 13:00:55 +02:00
robcaulk
dd382dd370
add monitor to eval env so that multiproc can save best_model
2022-08-24 13:00:55 +02:00
robcaulk
69d542d3e2
match config and strats to upstream freqai
2022-08-24 13:00:55 +02:00
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
cf0731095f
type fix
2022-08-24 13:00:55 +02:00
MukavaValkku
1c81ec6016
3ac and 5ac example strategies
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
