robcaulk
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599c1c79fb
|
reorganized backtest utilities, test new functionality, improve/update doc
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2022-09-03 14:00:01 +02:00 |
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th0rntwig
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11b2bc269e
|
Added missing s
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2022-09-01 22:37:32 +02:00 |
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th0rntwig
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3f8400df10
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Normalise PCA space
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2022-09-01 21:51:33 +02:00 |
|
Wagner Costa Santos
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d6e115178a
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refactoring freqai backtesting - remove duplicate code
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2022-09-01 07:09:23 -03:00 |
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Wagner Costa Santos
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44d3a9140d
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Merge branch 'develop' of https://github.com/wagnercosta/freqtrade into develop
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2022-08-31 15:37:06 -03:00 |
|
Wagner Costa Santos
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7bed0450d2
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pr review - refactoring backtesting freqai
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2022-08-31 15:36:29 -03:00 |
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wagnercosta
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3d4497467c
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Merge branch 'freqtrade:develop' into develop
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2022-08-31 14:47:06 -03:00 |
|
Wagner Costa Santos
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df51da22ee
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refactoring freqai backtesting
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2022-08-31 11:23:48 -03:00 |
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Matthias
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a88ffd2c9d
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Merge branch 'develop' into move_datadownload
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2022-08-31 10:23:45 +00:00 |
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robcaulk
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7e8e29e42d
|
use continuous value for inlier_metric
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2022-08-30 20:41:37 +02:00 |
|
robcaulk
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a58dd0bbf9
|
add noise feature, improve docstrings
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2022-08-30 18:26:24 +02:00 |
|
robcaulk
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b11742a4c5
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integrate inlier metric function
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2022-08-30 18:26:24 +02:00 |
|
th0rntwig
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d3cb211283
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Add inlier metric computation
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2022-08-30 18:26:24 +02:00 |
|
th0rntwig
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50e2808667
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Fix bug in DI (#7321)
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2022-08-30 12:54:39 +02:00 |
|
robcaulk
|
62c0a174c8
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allow users to properly reverse train-test data ordering
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2022-08-29 11:04:58 +02:00 |
|
robcaulk
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dd628eb525
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add tests for outlier detection and removal functions
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2022-08-28 12:56:39 +02:00 |
|
robcaulk
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1e41c773a0
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fix outlier protection
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2022-08-28 12:11:29 +02:00 |
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th0rntwig
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71f7d68783
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Fixed mypy error
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2022-08-27 12:44:55 +02:00 |
|
elintornquist
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86c5ac44e4
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Add outlier percentage check
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2022-08-26 23:05:07 +02:00 |
|
elintornquist
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b2d664c63c
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Change MinPts calculation
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2022-08-26 18:57:27 +02:00 |
|
robcaulk
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65b552e310
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make docs reflect reality, move download_all_data to new utils.py file, automatic startup_candle detection
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2022-08-26 15:30:01 +02:00 |
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robcaulk
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4b7e640f31
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reduce code duplication, optimize auto data download per tf
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2022-08-26 13:56:44 +02:00 |
|
th0rntwig
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5ce1c69803
|
Improve DBSCAN epsilon identification (#7269)
* Improve DBSCAN epsilon identification
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2022-08-22 19:57:20 +02:00 |
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robcaulk
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ac42c0153d
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deprecate indicator_max_period_candles, automatically compute startup candles for FreqAI backtesting.
|
2022-08-22 18:19:07 +02:00 |
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robcaulk
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96d8882f1e
|
Plug mem leak, add training timer
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2022-08-22 13:30:30 +02:00 |
|
longyu
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cfa5b3f12c
|
add new line
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2022-08-19 12:39:08 +02:00 |
|
longyu
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277245c69d
|
remove line
|
2022-08-19 12:39:00 +02:00 |
|
longyu
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f70b0bab80
|
remove line
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2022-08-17 23:49:20 +02:00 |
|
robcaulk
|
5155afb4e7
|
clean up code remnants
|
2022-08-17 15:22:48 +02:00 |
|
robcaulk
|
0c34104e45
|
extract download-data from freqai to prepare for future async changes
|
2022-08-17 15:18:44 +02:00 |
|
longyu
|
9c38c27eed
|
ignore sample itself distance for avg_mean_dist computation
|
2022-08-17 15:09:57 +02:00 |
|
longyu
|
72c34291e3
|
newline
|
2022-08-17 15:09:10 +02:00 |
|
robcaulk
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006b11e5d5
|
fix leftover bug in indicator population
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2022-08-14 21:42:55 +02:00 |
|
robcaulk
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ad846cdb76
|
fix lock bug, update docstring
|
2022-08-14 20:24:29 +02:00 |
|
Matthias
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a29402ddde
|
Rename and move analysis_lock to data_kitchen
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2022-08-14 17:23:14 +02:00 |
|
Matthias
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3a9ec76c91
|
Move "freqai.lock" to backend to simplify user interface
|
2022-08-14 17:19:50 +02:00 |
|
robcaulk
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b1b76a2dbe
|
debug classifier with predict proba
|
2022-08-13 19:40:24 +02:00 |
|
robcaulk
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23cc21ce59
|
add predict_proba to base classifier, improve historic predictions handling
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2022-08-13 19:40:24 +02:00 |
|
robcaulk
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fb4b73ce89
|
ensure dates are saved
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2022-08-12 12:03:44 +02:00 |
|
robcaulk
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2cae3c42e6
|
remove trade database analyzer, clean up a bit
|
2022-08-10 17:43:06 +02:00 |
|
robcaulk
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5a16d5a512
|
Deactivate database analyzer if user does not use sqlite
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2022-08-09 16:36:22 +02:00 |
|
robcaulk
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aef086b02e
|
Improved dict typing, timeframe parser, collect dates associated with training data points
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2022-08-09 15:30:25 +02:00 |
|
Matthias
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77b3b8a134
|
Use main exchange instead of creating a separate instance.
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2022-08-08 18:34:11 +00:00 |
|
Matthias
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b16f57cb0d
|
Minor stylistic fixes
|
2022-08-06 14:55:46 +02:00 |
|
Robert Caulk
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c172ce1011
|
improve flexibility of user defined prediction dataframe
|
2022-08-06 13:51:19 +02:00 |
|
Robert Caulk
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07763d0d4f
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add classifier, improve model naming scheme
|
2022-08-06 08:33:55 +02:00 |
|
Robert Caulk
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ce8fbbf743
|
ensure loading historical df matches frequi indices
|
2022-08-06 07:25:59 +02:00 |
|
robcaulk
|
60d782e5c5
|
remove unnecessary function
|
2022-08-05 21:31:32 +02:00 |
|
robcaulk
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a42a060ab5
|
fix DB once and for all. Make DBSCAN more efficient and robust.
|
2022-08-05 21:29:03 +02:00 |
|
robcaulk
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29b7b014e5
|
fix bug in DB path initialization
|
2022-08-05 18:19:26 +02:00 |
|
robcaulk
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05ec5c5e54
|
generalize database url path for any db type
|
2022-08-05 12:19:29 +02:00 |
|
Robert Caulk
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51a6b4289f
|
improve DBSCAN performance for subsequent trainings
|
2022-08-04 17:41:58 +02:00 |
|
Robert Caulk
|
fe1b8515a8
|
fix bug in DBSCAN, update doc
|
2022-08-04 17:00:59 +02:00 |
|
robcaulk
|
29225e4baf
|
add DBSCAN outlier detection feature, add supporting documentation
|
2022-08-04 12:15:16 +02:00 |
|
robcaulk
|
eae82d0222
|
fix bug with database url during backtesting. comment out example trade db analysis.
|
2022-08-03 16:17:57 +02:00 |
|
robcaulk
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95d3009a95
|
give user ability to analyze live trade dataframe inside custom prediction model. Add documentation to explain new functionality
|
2022-08-02 20:14:02 +02:00 |
|
robcaulk
|
d830105605
|
*BREAKING CHANGE* remove unnecessary arguments from populate_any_indicators(), accommodate tests
|
2022-07-31 17:05:29 +02:00 |
|
robcaulk
|
dd8288c090
|
expose full parameter set for SVM outlier detection. Set default shuffle to false to improve reproducibility
|
2022-07-30 13:40:05 +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
|
c84d54b35e
|
Fix typing issue, avoid using .get() when unnecessary, convert to fstrings
|
2022-07-29 08:12:50 +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
|
897f18a8c8
|
ensure proper integer type casting for timestamps. Add check test for backtesting subdaily time periods
|
2022-07-25 15:07:09 +02:00 |
|
Matthias
|
61c41fd919
|
Merge branch 'develop' into feat/freqai
|
2022-07-24 16:18:58 +02:00 |
|
Robert Caulk
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88e10f7306
|
add exception for not passing timerange. Remove hard coded arguments for CatboostPredictionModels. Update docs
|
2022-07-24 09:01:23 +02:00 |
|
Robert Caulk
|
fff39eff9e
|
fix multitarget bug
|
2022-07-24 08:42:50 +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 |
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robcaulk
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c91e23dc50
|
let user avoid normalizing labels
|
2022-07-23 16:14:13 +02:00 |
|
robcaulk
|
a1cff377ec
|
add record of contribution to data_kitchen.py
|
2022-07-23 13:32:04 +02:00 |
|
robcaulk
|
40f00196eb
|
use cloudpickle in place of pickle. define Paths once in data_drawer.
|
2022-07-22 17:37:51 +02:00 |
|
robcaulk
|
afcb0bec00
|
clean up obsolete comments, move remove_features_from_df to datakitchen
|
2022-07-22 12:29:20 +02:00 |
|
robcaulk
|
3205788bce
|
extend doc to include descriptions of the return values from FreqAI to the strategy
|
2022-07-21 22:11:46 +02:00 |
|
robcaulk
|
183dec866a
|
remove ability to backtest open ended timeranges (safer)
|
2022-07-21 13:02:52 +02:00 |
|
robcaulk
|
ca4dd58642
|
remove superceded function from datakitchen
|
2022-07-21 12:40:54 +02:00 |
|
robcaulk
|
8f86b0deaa
|
*breaking change* simplify user strat by consolidating feature loops into backend
|
2022-07-21 12:24:22 +02:00 |
|
robcaulk
|
e7337728bf
|
add separator in folder name just incase an asset ends in an integer
|
2022-07-21 11:25:28 +02:00 |
|
robcaulk
|
d43c146676
|
add more tests for datakitchen functionalities, add regression tests for freqai_interface train/backtest
|
2022-07-20 12:56:46 +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 |
|
robcaulk
|
714d9534b6
|
start adding tests
|
2022-07-19 16:16:44 +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
|
ef409dd345
|
Add ground work for TensorFlow models, add protections from common mistakes
|
2022-07-12 18:09:17 +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 |
|
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 |
|
robcaulk
|
d9acdc9767
|
remove excess, increase no model warning clarity
|
2022-07-06 18:20:21 +02:00 |
|
robcaulk
|
4cac67fd66
|
Catch infrequent issue associated with grabbing first candle
|
2022-07-05 12:43:33 +02:00 |
|
robcaulk
|
bd3a6ba2fe
|
update backtesting to handle new output framework
|
2022-07-03 17:34:44 +02:00 |
|
robcaulk
|
4ff0ef7359
|
fix bug returning multiple targets for training
|
2022-07-03 12:15:59 +02:00 |
|
robcaulk
|
ffb39a5029
|
black formatting on freqai files
|
2022-07-03 10:59:38 +02:00 |
|
robcaulk
|
106131ff0f
|
Rehaul organization of return values
|
2022-07-02 18:09:38 +02:00 |
|
robcaulk
|
93e1410ed9
|
first step toward cleaning output and enabling multimodel training per pair
|
2022-07-01 14:00:30 +02:00 |
|
robcaulk
|
6c7d02cb18
|
expose nu in the SVM outlier detection via svm_nu in config
|
2022-06-28 15:12:25 +02:00 |
|
robcaulk
|
051b99791d
|
reduce unnecessary verbosity, fix error on first training sweep, add LightGBMPredictionModel
|
2022-06-26 19:04:23 +02:00 |
|
Robert Caulk
|
852706cd6b
|
Fix default behavior for expiration_hours
|
2022-06-21 08:12:51 +02:00 |
|
robcaulk
|
6da7a98857
|
add docstrings to new functions, remove superceded code
|
2022-06-17 16:16:23 +02:00 |
|
robcaulk
|
f631ae911b
|
add model expiration feature, fix bug in DI return values
|
2022-06-17 14:55:40 +02:00 |
|
robcaulk
|
c5de0c49e4
|
first functional scanning commit
|
2022-06-16 00:24:18 +02:00 |
|
robcaulk
|
4d472a0ea1
|
merging datarehaul into scanning branch
|
2022-06-16 00:22:49 +02:00 |
|
robcaulk
|
eb47c74096
|
merge datarehaul into main freqai branch
|
2022-06-10 20:26:19 +02:00 |
|
robcaulk
|
d9b79d94e4
|
increase candle update flexibility to allow long sequential trainings that may last more than one candle
|
2022-06-07 20:57:10 +02:00 |
|
robcaulk
|
15d049cffe
|
detect if upper tf candles are new or not, append if so. Correct the epoch for candle update check
|
2022-06-07 19:49:20 +02:00 |
|