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110 Commits

Author SHA1 Message Date
robcaulk 3a07749fcc fix docstring 2022-11-24 18:46:54 +01:00
robcaulk 44b042ba51 remove unused function 2022-11-24 17:53:26 +01:00
Matthias 8f1a8c752b Add freqairl docker build process 2022-11-24 07:00:12 +01:00
robcaulk 60fcd8dce2 fix skipped mac test, fix RL bug in add_state_info, fix use of __import__, revise doc 2022-11-17 21:50:02 +01:00
robcaulk 6394ef4558 fix docstrings 2022-11-13 17:43:52 +01:00
robcaulk 388ca21200 update docs, fix bug in environment 2022-11-13 16:56:31 +01:00
robcaulk af9e400562 add test coverage, fix bug in base environment. Ensure proper fee is used. 2022-11-13 15:31:37 +01:00
robcaulk 81f800a79b switch to using FT calc_profi_pct, reverse entry/exit fees 2022-11-13 13:41:17 +01:00
robcaulk e71a8b8ac1 add ability to integrate state info or not, and prevent state info integration during backtesting 2022-11-12 18:46:48 +01:00
robcaulk 9c6b97c678 ensure normalization acceleration methods are employed in RL 2022-11-12 12:01:59 +01:00
robcaulk 6746868ea7 store dataprovider to self instead of strategy 2022-11-12 11:33:03 +01:00
robcaulk 8d7adfabe9 clean RL tests to avoid dir pollution and increase speed 2022-10-08 12:10:38 +02:00
robcaulk 488739424d fix reward inconsistency in template 2022-10-05 20:55:50 +02:00
robcaulk cf882fa84e fix tests 2022-10-01 20:26:41 +02:00
Robert Caulk 555cc42630
Ensure 1 thread is available (for testing purposes) 2022-09-29 14:00:09 +02:00
Robert Caulk dcf6ebe273
Update BaseReinforcementLearningModel.py 2022-09-29 00:37:03 +02:00
robcaulk 83343dc2f1 control number of threads, update doc 2022-09-29 00:10:18 +02:00
robcaulk 647200e8a7 isort 2022-09-23 19:30:56 +02:00
robcaulk 77c360b264 improve typing, improve docstrings, ensure global tests pass 2022-09-23 19:17:27 +02:00
Robert Caulk f5cd8f62c6
Remove unused code from BaseEnv 2022-09-23 10:24:39 +02:00
robcaulk 7295ba0fb2 add test for Base4ActionEnv 2022-09-22 23:42:33 +02:00
robcaulk eeebb78a5c skip darwin in RL tests, remove example scripts, improve doc 2022-09-22 21:16:21 +02:00
robcaulk 7b1d409c98 fix mypy/flake8 2022-09-17 17:51:06 +02:00
robcaulk 3b97b3d5c8 fix mypy error for strategy 2022-09-15 00:56:51 +02:00
robcaulk 8aac644009 add tests. add guardrails. 2022-09-15 00:46:35 +02:00
robcaulk 48140bff91 fix bug in 4ActRLEnv 2022-09-14 22:53:53 +02:00
robcaulk 27dce20b29 fix bug in Base4ActionRLEnv, improve example strats 2022-09-04 11:21:54 +02:00
Richard Jozsa 2493e0c8a5
Unnecessary lines in Base4, and changes for box space, to fit better for our needs (#7324) 2022-08-31 16:37:02 +02:00
robcaulk 7766350c15 refactor environment inheritence tree to accommodate flexible action types/counts. fix bug in train profit handling 2022-08-28 19:21:57 +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 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 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
sonnhfit 0475b7cb18 remove unuse code and fix coding conventions 2022-08-24 13:00:55 +02:00
robcaulk bf7ceba958 set cpu threads in config 2022-08-24 13:00:55 +02:00
robcaulk acf3484e88 add multiprocessing variant of ReinforcementLearningPPO 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
robcaulk 91683e1dca restructure RL so that user can customize environment 2022-08-24 13:00:55 +02:00