Commit Graph

9283 Commits

Author SHA1 Message Date
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
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
Matthias
a6d78a8615 initialize Since parameter properly
closes #7285
2022-08-23 06:43:04 +02:00
Matthias
fe7108ae75 Convert amount to contracts before comparing for close
closes #7279
2022-08-23 06:37:38 +02:00
Matthias
78b161e14c add contract_size to database 2022-08-23 06:37:38 +02:00
Matthias
6036018f35 Extract contracts_to_amount and amount_to_contracts to standalone functions 2022-08-23 06:37:38 +02:00