stable/freqtrade/freqai/prediction_models/ReinforcementLearner.py

83 lines
3.4 KiB
Python

import logging
from typing import Any, Dict # , Tuple
# import numpy.typing as npt
import torch as th
import numpy as np
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.RL.Base5ActionRLEnv import Actions, Base5ActionRLEnv, Positions
from freqtrade.freqai.RL.BaseReinforcementLearningModel import BaseReinforcementLearningModel
from pathlib import Path
logger = logging.getLogger(__name__)
class ReinforcementLearner(BaseReinforcementLearningModel):
"""
User created Reinforcement Learning Model prediction model.
"""
def fit_rl(self, data_dictionary: Dict[str, Any], dk: FreqaiDataKitchen):
train_df = data_dictionary["train_features"]
total_timesteps = self.freqai_info["rl_config"]["train_cycles"] * len(train_df)
policy_kwargs = dict(activation_fn=th.nn.ReLU,
net_arch=[256, 256, 128])
model = self.MODELCLASS(self.policy_type, self.train_env, policy_kwargs=policy_kwargs,
tensorboard_log=Path(dk.data_path / "tensorboard"),
**self.freqai_info['model_training_parameters']
)
model.learn(
total_timesteps=int(total_timesteps),
callback=self.eval_callback
)
if Path(dk.data_path / "best_model.zip").is_file():
logger.info('Callback found a best model.')
best_model = self.MODELCLASS.load(dk.data_path / "best_model")
return best_model
logger.info('Couldnt find best model, using final model instead.')
return model
class MyRLEnv(Base5ActionRLEnv):
"""
User can modify any part of the environment by overriding base
functions
"""
def calculate_reward(self, action):
if self._last_trade_tick is None:
return 0.
# close long
if action == Actions.Long_exit.value and self._position == Positions.Long:
last_trade_price = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
current_price = self.add_sell_fee(self.prices.iloc[self._current_tick].open)
return float(np.log(current_price) - np.log(last_trade_price))
if action == Actions.Long_exit.value and self._position == Positions.Long:
if self.close_trade_profit[-1] > self.profit_aim * self.rr:
last_trade_price = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
current_price = self.add_sell_fee(self.prices.iloc[self._current_tick].open)
return float((np.log(current_price) - np.log(last_trade_price)) * 2)
# close short
if action == Actions.Short_exit.value and self._position == Positions.Short:
last_trade_price = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open)
current_price = self.add_buy_fee(self.prices.iloc[self._current_tick].open)
return float(np.log(last_trade_price) - np.log(current_price))
if action == Actions.Short_exit.value and self._position == Positions.Short:
if self.close_trade_profit[-1] > self.profit_aim * self.rr:
last_trade_price = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open)
current_price = self.add_buy_fee(self.prices.iloc[self._current_tick].open)
return float((np.log(last_trade_price) - np.log(current_price)) * 2)
return 0.