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
|
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
|
946d4c7cfc
|
fix trailing whitespace for flake8
|
2022-07-31 18:39:46 +02:00 |
|
robcaulk
|
4e68626bcb
|
ensure convolutional window is prepended for frequi consistency
|
2022-07-31 17:51:19 +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
|
59624181bd
|
isort BaseRegressionModel imports
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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 |
Matthias
|
efbd83c56d
|
Small type and typo fixes in freqai_interface
|
2022-07-28 07:24:30 +02:00 |
|
Matthias
|
a2a0d35a24
|
Update missing typehints
|
2022-07-28 07:07:40 +02:00 |
|
Matthias
|
f31106dc61
|
Minor comment fixes
|
2022-07-27 07:27:24 +02:00 |
|
Matthias
|
bc760b7eb2
|
Simplify small segment in datadrawer
|
2022-07-26 19:41:49 +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
|
ad25a4cb56
|
reduce number of pair_dict lookups, remove coin_first
|
2022-07-26 15:58:40 +02:00 |
|
robcaulk
|
fb4e8430cd
|
isort auto import sorting
|
2022-07-26 10:51:39 +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 |
|
Robert Caulk
|
7b105532d1
|
fix mypy error and add test for principal component analysis
|
2022-07-25 11:46:59 +02:00 |
|
Robert Caulk
|
c9d46a5237
|
finish bringing follow_mode up to date
|
2022-07-25 09:24:40 +02:00 |
|
Robert Caulk
|
ab587747fb
|
first fix for follower path bug
|
2022-07-24 23:32:24 +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 |
|
Matthias
|
70b7a254af
|
Update some areas to use default docstring formatting
|
2022-07-24 16:51:48 +02:00 |
|
Matthias
|
61c41fd919
|
Merge branch 'develop' into feat/freqai
|
2022-07-24 16:18:58 +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 |
|
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 |
|
Matthias
|
8fa6e8b4ba
|
Remove freqAI model bridge in favor of `self.freqai`
|
2022-07-23 17:08:05 +02:00 |
|
robcaulk
|
c91e23dc50
|
let user avoid normalizing labels
|
2022-07-23 16:14:13 +02:00 |
|
robcaulk
|
50d630a155
|
remove unnecessary comments from data_drawer.py
|
2022-07-23 13:35:44 +02:00 |
|
robcaulk
|
a1cff377ec
|
add record of contribution to data_kitchen.py
|
2022-07-23 13:32:04 +02:00 |
|
robcaulk
|
c2d6a0e891
|
add record of contribution to doc and source
|
2022-07-23 13:04:06 +02:00 |
|
robcaulk
|
5559e605b8
|
small PR conversation resolutions
|
2022-07-22 17:46:14 +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
|
98c8a447b2
|
add LightGBMPredictionMultiModel
|
2022-07-22 12:40:51 +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
|
8033e0bf23
|
add counter to backtesting log so users know how many more pairs and how many more models will need to be trained
|
2022-07-21 13:22:12 +02:00 |
|
robcaulk
|
183dec866a
|
remove ability to backtest open ended timeranges (safer)
|
2022-07-21 13:02:52 +02:00 |
|
robcaulk
|
e694ea1cfd
|
make sure backtesting gets the populated indicators with slimmed down user strat
|
2022-07-21 12:48:09 +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
|
921a7ef216
|
add requirements-freqai.txt to builds
|
2022-07-20 15:51:25 +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 |
|
Robert Caulk
|
921f3899f0
|
revert pickle reading for historic predictions
|
2022-07-17 16:06:36 +02:00 |
|
Robert Caulk
|
41eeb99177
|
load pickle file for writing
|
2022-07-17 10:05:21 +02:00 |
|
Robert Caulk
|
9d184586f1
|
fix bug in historic prediction saving
|
2022-07-16 21:16:59 +02:00 |
Wagner Costa Santos
|
ca2029a46b
|
fix issue when bot restarts with same identifier, does not load prediction history
|
2022-07-14 18:55:24 -03:00 |
|
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 |
|
Matthias
|
2e1061af64
|
Fix faulty LightGBM model
|
2022-07-09 08:21:42 +00:00 |
|
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
|
8ac8d53c32
|
All LGBMRegressor model parameters are now set in config
|
2022-07-03 16:30:01 +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
|
7dfbd432d1
|
fix config saving bug, assign priorities to pairs in scanning, sleep the scanning loop to reduce CPU usage
|
2022-06-27 11:35:33 +02:00 |
|
robcaulk
|
68bafa9517
|
archive config to the model folder, filter out features before returning dataframe to strategy (to alleviate frequi issues)`
|
2022-06-26 23:03:48 +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
|
b35c64b6c0
|
fix bug in backtest, typo in example strat
|
2022-06-19 16:41:09 +02:00 |
|
robcaulk
|
3599d18ff6
|
fix bug in follow_mode, thanks @blood4rc
|
2022-06-18 12:05:28 +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
|
0b0688a91e
|
ensure scanning purges models
|
2022-06-16 16:12:38 +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 |
|
Matthias
|
c981ad4608
|
Fix missing space
|
2022-06-12 08:31:02 +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
|
66800c7a45
|
ensure newest candles are always appended
|
2022-06-07 20:24:23 +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 |
|
robcaulk
|
cab8f517b4
|
add lock to datadrawer
|
2022-06-07 01:07:30 +02:00 |
|
robcaulk
|
4b26b6aaec
|
add lock to any historic data access
|
2022-06-07 00:54:18 +02:00 |
|
Robert Caulk
|
2451ed8c88
|
Quick bug fix
|
2022-06-06 15:11:54 -06:00 |
|
robcaulk
|
d6b8801f41
|
fix follower bug
|
2022-06-05 04:40:58 +02:00 |
|
robcaulk
|
e8c0dcf9f3
|
add debug message to timerange
|
2022-06-03 17:14:07 +02:00 |
|
robcaulk
|
f2762e3b4b
|
fix bug in return_values()
|
2022-06-03 16:58:51 +02:00 |
|
robcaulk
|
16b4a5b71f
|
rehaul of backend data management - increasing performance by holding history in memory, reducing load on the ratelimit by only pinging exchange once per candle. Improve code readability.
|
2022-06-03 15:19:46 +02:00 |
|
robcaulk
|
15a971346d
|
catch infinity values when filtering
|
2022-06-02 17:13:20 +02:00 |
|
robcaulk
|
ace951bf7e
|
another queue bug fix for fresh starts
|
2022-06-02 13:28:06 +02:00 |
|
robcaulk
|
833d25bda0
|
Save data after queue reorg
|
2022-06-01 08:05:38 +02:00 |