import logging import numpy as np from freqtrade.freqai.prediction_models.ReinforcementLearner import ReinforcementLearner from freqtrade.freqai.RL.Base3ActionRLEnv import Actions, Base3ActionRLEnv, Positions logger = logging.getLogger(__name__) class ReinforcementLearner_test_3ac(ReinforcementLearner): """ User created Reinforcement Learning Model prediction model. """ class MyRLEnv(Base3ActionRLEnv): """ User can override any function in BaseRLEnv and gym.Env. Here the user sets a custom reward based on profit and trade duration. """ def calculate_reward(self, action: int) -> float: # first, penalize if the action is not valid if not self._is_valid(action): return -2 pnl = self.get_unrealized_profit() rew = np.sign(pnl) * (pnl + 1) factor = 100. # reward agent for entering trades if (action in (Actions.Buy.value, Actions.Sell.value) and self._position == Positions.Neutral): return 25 # discourage agent from not entering trades if action == Actions.Neutral.value and self._position == Positions.Neutral: return -1 max_trade_duration = self.rl_config.get('max_trade_duration_candles', 300) trade_duration = self._current_tick - self._last_trade_tick # type: ignore if trade_duration <= max_trade_duration: factor *= 1.5 elif trade_duration > max_trade_duration: factor *= 0.5 # discourage sitting in position if self._position in (Positions.Short, Positions.Long) and ( action == Actions.Neutral.value or (action == Actions.Sell.value and self._position == Positions.Short) or (action == Actions.Buy.value and self._position == Positions.Long) ): return -1 * trade_duration / max_trade_duration # close position if (action == Actions.Buy.value and self._position == Positions.Short) or ( action == Actions.Sell.value and self._position == Positions.Long ): if pnl > self.profit_aim * self.rr: factor *= self.rl_config["model_reward_parameters"].get("win_reward_factor", 2) return float(rew * factor) return 0.