Matthias
c3daddc629
Merge pull request #7809 from richardjozsa/develop
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Improve the RL learning process
2022-11-29 06:28:36 +01:00
Emre
9cbfa12011
Directly set model_type in base RL model
2022-11-28 16:02:17 +03:00
robcaulk
56518def42
isort
2022-11-27 21:06:01 +01:00
robcaulk
7fd6bc526e
add randomize_starting_position to the rl_config
2022-11-27 21:03:13 +01:00
richardjozsa
64d4a52a56
Improve the RL learning process
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Improve the RL learning process by selecting random start point for the agent, it can help to block the agent to only learn on the selected period of time, while improving the quality of the model.
2022-11-27 20:43:50 +01:00
stm
51d21b413d
Fix 4ac update_total_profit
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_update_total_profit() must be executed before "self._position = Positions.Neutral" because _update_total_profit() calls get_unrealized_profit(), which returns 0 if position is neutral and total_profit is not updated
2022-11-26 23:35:20 +03:00
robcaulk
be890b52fd
remove np import
2022-11-26 13:44:58 +01:00
robcaulk
aaaa5a5f64
add documentation for net_arch, other small changes
2022-11-26 13:44:58 +01:00
Matthias
7ebc8ee169
Fix missing Optional typehint
2022-11-26 13:32:18 +01:00
Matthias
bdfedb5fcb
Improve typehints / reduce warnings from mypy
2022-11-26 13:03:07 +01:00
robcaulk
81fd2e588f
ensure typing, remove unsued code
2022-11-26 12:11:59 +01:00
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
