import logging from typing import Any, Dict, Tuple import numpy as np import numpy.typing as npt import pandas as pd from pandas import DataFrame from abc import abstractmethod from freqtrade.freqai.data_kitchen import FreqaiDataKitchen from freqtrade.freqai.freqai_interface import IFreqaiModel from freqtrade.freqai.RL.Base3ActionRLEnv import Base3ActionRLEnv, Actions, Positions from freqtrade.persistence import Trade logger = logging.getLogger(__name__) class BaseReinforcementLearningModel(IFreqaiModel): """ User created Reinforcement Learning Model prediction model. """ def train( self, unfiltered_dataframe: DataFrame, pair: str, dk: FreqaiDataKitchen ) -> Any: """ Filter the training data and train a model to it. Train makes heavy use of the datakitchen for storing, saving, loading, and analyzing the data. :param unfiltered_dataframe: Full dataframe for the current training period :param metadata: pair metadata from strategy. :returns: :model: Trained model which can be used to inference (self.predict) """ logger.info("--------------------Starting training " f"{pair} --------------------") # filter the features requested by user in the configuration file and elegantly handle NaNs features_filtered, labels_filtered = dk.filter_features( unfiltered_dataframe, dk.training_features_list, dk.label_list, training_filter=True, ) data_dictionary: Dict[str, Any] = dk.make_train_test_datasets( features_filtered, labels_filtered) dk.fit_labels() # useless for now, but just satiating append methods # normalize all data based on train_dataset only data_dictionary = dk.normalize_data(data_dictionary) # optional additional data cleaning/analysis self.data_cleaning_train(dk) logger.info( f'Training model on {len(dk.data_dictionary["train_features"].columns)}' " features" ) logger.info(f'Training model on {len(data_dictionary["train_features"])} data points') model = self.fit(data_dictionary, pair) if pair not in self.dd.historic_predictions: self.set_initial_historic_predictions( data_dictionary['train_features'], model, dk, pair) self.dd.save_historic_predictions_to_disk() logger.info(f"--------------------done training {pair}--------------------") return model @abstractmethod def fit(self, data_dictionary: Dict[str, Any], pair: str = ''): """ Agent customizations and abstract Reinforcement Learning customizations go in here. Abstract method, so this function must be overridden by user class. """ return def get_state_info(self, pair): open_trades = Trade.get_trades(trade_filter=Trade.is_open.is_(True)) market_side = 0.5 current_profit = 0 for trade in open_trades: if trade.pair == pair: current_value = trade.open_trade_value openrate = trade.open_rate if 'long' in trade.enter_tag: market_side = 1 else: market_side = 0 current_profit = current_value / openrate - 1 total_profit = 0 closed_trades = Trade.get_trades( trade_filter=[Trade.is_open.is_(False), Trade.pair == pair]) for trade in closed_trades: total_profit += trade.close_profit return market_side, current_profit, total_profit def predict( self, unfiltered_dataframe: DataFrame, dk: FreqaiDataKitchen, first: bool = False ) -> Tuple[DataFrame, npt.NDArray[np.int_]]: """ Filter the prediction features data and predict with it. :param: unfiltered_dataframe: Full dataframe for the current backtest period. :return: :pred_df: dataframe containing the predictions :do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove data (NaNs) or felt uncertain about data (PCA and DI index) """ dk.find_features(unfiltered_dataframe) filtered_dataframe, _ = dk.filter_features( unfiltered_dataframe, dk.training_features_list, training_filter=False ) filtered_dataframe = dk.normalize_data_from_metadata(filtered_dataframe) dk.data_dictionary["prediction_features"] = filtered_dataframe # optional additional data cleaning/analysis self.data_cleaning_predict(dk, filtered_dataframe) pred_df = self.rl_model_predict(dk.data_dictionary["prediction_features"], dk, self.model) pred_df.fillna(0, inplace=True) return (pred_df, dk.do_predict) def rl_model_predict(self, dataframe: DataFrame, dk: FreqaiDataKitchen, model: Any) -> DataFrame: output = pd.DataFrame(np.full((len(dataframe), 1), 2), columns=dk.label_list) def _predict(window): observations = dataframe.iloc[window.index] res, _ = model.predict(observations, deterministic=True) return res output = output.rolling(window=self.CONV_WIDTH).apply(_predict) return output def set_initial_historic_predictions( self, df: DataFrame, model: Any, dk: FreqaiDataKitchen, pair: str ) -> None: pred_df = self.rl_model_predict(df, dk, model) pred_df.fillna(0, inplace=True) self.dd.historic_predictions[pair] = pred_df hist_preds_df = self.dd.historic_predictions[pair] for label in hist_preds_df.columns: if hist_preds_df[label].dtype == object: continue hist_preds_df[f'{label}_mean'] = 0 hist_preds_df[f'{label}_std'] = 0 hist_preds_df['do_predict'] = 0 if self.freqai_info['feature_parameters'].get('DI_threshold', 0) > 0: hist_preds_df['DI_values'] = 0 for return_str in dk.data['extra_returns_per_train']: hist_preds_df[return_str] = 0 class MyRLEnv(Base3ActionRLEnv): def step(self, action): self._done = False self._current_tick += 1 if self._current_tick == self._end_tick: self._done = True self.update_portfolio_log_returns(action) self._update_profit(action) step_reward = self._calculate_reward(action) self.total_reward += step_reward trade_type = None if self.is_tradesignal(action): # exclude 3 case not trade # Update position """ Action: Neutral, position: Long -> Close Long Action: Neutral, position: Short -> Close Short Action: Long, position: Neutral -> Open Long Action: Long, position: Short -> Close Short and Open Long Action: Short, position: Neutral -> Open Short Action: Short, position: Long -> Close Long and Open Short """ if action == Actions.Neutral.value: self._position = Positions.Neutral trade_type = "neutral" elif action == Actions.Long.value: self._position = Positions.Long trade_type = "long" elif action == Actions.Short.value: self._position = Positions.Short trade_type = "short" else: print("case not defined") # Update last trade tick self._last_trade_tick = self._current_tick if trade_type is not None: self.trade_history.append( {'price': self.current_price(), 'index': self._current_tick, 'type': trade_type}) if self._total_profit < 0.2: self._done = True self._position_history.append(self._position) observation = self._get_observation() info = dict( tick=self._current_tick, total_reward=self.total_reward, total_profit=self._total_profit, position=self._position.value ) self._update_history(info) return observation, step_reward, self._done, info