adelorenzo
/
stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
17,496 Commits 14 Branches 74 Tags 197 MiB
Commit Graph

71 Commits

Author SHA1 Message Date
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