robcaulk
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6394ef4558
|
fix docstrings
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2022-11-13 17:43:52 +01:00 |
|
robcaulk
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7a4bb040a5
|
merge develop into feat/freqai-rl-dev
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2022-11-12 10:54:34 +01:00 |
|
Robert Caulk
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833578716c
|
Merge pull request #7644 from markdregan/multi-target-classifier
Support for multi target multi-class classification (FreqaiMultiOutputRegressor for Classification)
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2022-11-11 18:48:38 +01:00 |
|
robcaulk
|
66514e84e4
|
add LightGBMClassifierMultiTarget. add test
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2022-11-11 17:45:53 +01:00 |
|
robcaulk
|
d1a0874683
|
merge develop into feat/freqai-rl-dev
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2022-10-30 10:13:03 +01:00 |
|
Mark Regan
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217add70bd
|
add strat and config for testing on PR
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2022-10-25 20:07:39 +01:00 |
|
Mark Regan
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47056eded3
|
multi target classifier working but not for parallel
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2022-10-25 18:24:27 +01:00 |
|
Matthias
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1ef38f137d
|
Fix XGBoost regressor "used before assignment"
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2022-10-25 13:37:04 +02:00 |
|
Matthias
|
6669714a73
|
Update mal-formatted docstrings
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2022-10-24 18:12:17 +02:00 |
|
Matthias
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441032be25
|
Fix sys.stdout bug for CatboostRegressorMultiTarget
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2022-10-17 19:48:27 +02:00 |
|
Matthias
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6cb14148aa
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Fix random test failure due to catboost bug
https://github.com/catboost/catboost/issues/2195
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2022-10-17 07:00:44 +02:00 |
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Robert Caulk
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62ca822597
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Merge pull request #7569 from Silur/develop
Add XGBoost random forest predictors to freqai
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2022-10-15 16:09:26 +02:00 |
|
Emre
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7f05b44376
|
Add eval set to CatboostClassifier
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2022-10-13 23:01:09 +03:00 |
|
robcaulk
|
dba1b573bc
|
remove tensorboard dir from other pred models
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2022-10-11 19:49:24 +02:00 |
|
robcaulk
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5b5bb8aab5
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catboost tensorboard bugfix
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2022-10-11 19:05:46 +02:00 |
|
Robert Caulk
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7bcb7d9a1a
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Merge pull request #7554 from initrv/add-catboost-tensorboard
Add tensorboard for catboost
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2022-10-10 21:03:45 +02:00 |
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silur
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2ad086dd7a
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add XGBoost random forest predictors to freqai
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2022-10-10 14:38:43 +02:00 |
|
Matthias
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eaae9c9e03
|
Update docstring format
|
2022-10-10 12:19:29 +00:00 |
|
Matthias
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60de192d47
|
Update Classifier docstrings
|
2022-10-10 12:13:41 +00:00 |
|
robcaulk
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a4aa1b972c
|
isolate and standardize location of tensorboard files, add doc, ensure backtesting functionality
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2022-10-09 21:11:37 +02:00 |
|
robcaulk
|
8d7adfabe9
|
clean RL tests to avoid dir pollution and increase speed
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2022-10-08 12:10:38 +02:00 |
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initrv
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86c781798a
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Add сatboost train_dir for tensorboard
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2022-10-06 19:59:35 +03:00 |
|
robcaulk
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936ca24482
|
separate RL install from general FAI install, update docs
|
2022-10-05 15:58:54 +02:00 |
|
robcaulk
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83343dc2f1
|
control number of threads, update doc
|
2022-09-29 00:10:18 +02:00 |
|
Timothy Pogue
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099137adac
|
remove hasattr calls
|
2022-09-27 22:35:15 -06:00 |
|
Timothy Pogue
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9e36b0d2ea
|
fix formatting
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2022-09-27 22:02:33 -06:00 |
|
Timothy Pogue
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caa47a2f47
|
close subproc env on shutdown
|
2022-09-28 03:06:05 +00:00 |
|
robcaulk
|
647200e8a7
|
isort
|
2022-09-23 19:30:56 +02:00 |
|
robcaulk
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77c360b264
|
improve typing, improve docstrings, ensure global tests pass
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2022-09-23 19:17:27 +02:00 |
|
robcaulk
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ea8e34e192
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Merge branch 'develop' into dev-merge-rl
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2022-09-22 19:46:50 +02:00 |
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robcaulk
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8aac644009
|
add tests. add guardrails.
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2022-09-15 00:46:35 +02:00 |
|
robcaulk
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81417cb795
|
Merge branch 'develop' into dev-merge-rl
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2022-09-14 22:49:11 +02:00 |
|
Emre
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330d7068ab
|
Merge branch 'develop' into add-xgboostclassifier
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2022-09-10 23:59:11 +03:00 |
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robcaulk
|
5a0cfee27e
|
allow user to multithread jobs (advanced users only)
|
2022-09-10 22:16:49 +02:00 |
|
Emre
|
60eb02bb62
|
Add XGBoostClassifier
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2022-09-10 20:13:16 +03:00 |
|
robcaulk
|
10b6aebc5f
|
enable continual learning and evaluation sets on multioutput models.
|
2022-09-10 16:54:13 +02:00 |
|
robcaulk
|
a826c0eb83
|
ensure signatures match, reduce verbosity
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2022-09-09 19:30:53 +02:00 |
|
Emre
|
acb410a0de
|
Remove verbosity params
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2022-09-09 19:30:53 +02:00 |
|
Emre
|
df6e43d2c5
|
Add XGBoostRegressorMultiTarget class
|
2022-09-09 19:30:53 +02:00 |
|
Emre
|
1b6410d7d1
|
Add XGBoostRegressor for freqAI, fix mypy errors
|
2022-09-09 19:30:53 +02:00 |
|
robcaulk
|
4c9ac6b7c0
|
add kwargs, reduce duplicated code
|
2022-09-07 18:58:55 +02:00 |
|
robcaulk
|
97077ba18a
|
add continual learning to catboost and friends
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2022-09-06 20:30:46 +02:00 |
|
robcaulk
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240b529533
|
fix tensorboard path so that users can track all historical models
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2022-08-31 16:50:39 +02:00 |
|
robcaulk
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7766350c15
|
refactor environment inheritence tree to accommodate flexible action types/counts. fix bug in train profit handling
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2022-08-28 19:21:57 +02:00 |
|
robcaulk
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3199eb453b
|
reduce code for base use-case, ensure multiproc inherits custom env, add ability to limit ram use.
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2022-08-25 19:05:51 +02:00 |
|
robcaulk
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05ccebf9a1
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automate eval freq in multiproc
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2022-08-25 12:29:48 +02:00 |
|
robcaulk
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94cfc8e63f
|
fix multiproc callback, add continual learning to multiproc, fix totalprofit bug in env, set eval_freq automatically, improve default reward
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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
|
bd870e2331
|
fix monitor bug, set default values in case user doesnt set params
|
2022-08-24 16:32:14 +02:00 |
|
robcaulk
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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
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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
|
29f0e01c4a
|
expose environment reward parameters to the user config
|
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 |
|
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
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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 |
|
robcaulk
|
b90da46b1b
|
improve price df handling to enable backtesting
|
2022-08-24 13:00:55 +02:00 |
|
sonnhfit
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0475b7cb18
|
remove unuse code and fix coding conventions
|
2022-08-24 13:00:55 +02:00 |
|
MukavaValkku
|
d60a166fbf
|
multiproc TDQN with xtra callbacks
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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
|
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
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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 |
|