stable/freqtrade/freqai/RL/Base5ActionRLEnv.py
2022-08-24 13:00:55 +02:00

376 lines
15 KiB
Python

import logging
from enum import Enum
# from typing import Any, Callable, Dict, List, Optional, Tuple, Type, Union
import gym
import numpy as np
from gym import spaces
from gym.utils import seeding
logger = logging.getLogger(__name__)
class Actions(Enum):
Neutral = 0
Long_buy = 1
Long_sell = 2
Short_buy = 3
Short_sell = 4
class Positions(Enum):
Short = 0
Long = 1
Neutral = 0.5
def opposite(self):
return Positions.Short if self == Positions.Long else Positions.Long
def mean_over_std(x):
std = np.std(x, ddof=1)
mean = np.mean(x)
return mean / std if std > 0 else 0
class Base5ActionRLEnv(gym.Env):
"""
Base class for a 5 action environment
"""
metadata = {'render.modes': ['human']}
def __init__(self, df, prices, reward_kwargs, window_size=10, starting_point=True,
id: str = 'baseenv-1', seed: int = 1):
assert df.ndim == 2
self.id = id
self.seed(seed)
self.df = df
self.signal_features = self.df
self.prices = prices
self.window_size = window_size
self.starting_point = starting_point
self.rr = reward_kwargs["rr"]
self.profit_aim = reward_kwargs["profit_aim"]
self.fee = 0.0015
# # spaces
self.shape = (window_size, self.signal_features.shape[1])
self.action_space = spaces.Discrete(len(Actions))
self.observation_space = spaces.Box(
low=-np.inf, high=np.inf, shape=self.shape, dtype=np.float32)
# episode
self._start_tick = self.window_size
self._end_tick = len(self.prices) - 1
self._done = None
self._current_tick = None
self._last_trade_tick = None
self._position = Positions.Neutral
self._position_history = None
self.total_reward = None
self._total_profit = None
self._first_rendering = None
self.history = None
self.trade_history = []
def seed(self, seed: int = 1):
self.np_random, seed = seeding.np_random(seed)
return [seed]
def reset(self):
self._done = False
if self.starting_point is True:
self._position_history = (self._start_tick * [None]) + [self._position]
else:
self._position_history = (self.window_size * [None]) + [self._position]
self._current_tick = self._start_tick
self._last_trade_tick = None
self._position = Positions.Neutral
self.total_reward = 0.
self._total_profit = 1. # unit
self._first_rendering = True
self.history = {}
self.trade_history = []
self.portfolio_log_returns = np.zeros(len(self.prices))
self._profits = [(self._start_tick, 1)]
self.close_trade_profit = []
return self._get_observation()
def step(self, action: int):
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_buy.value:
self._position = Positions.Long
trade_type = "long"
elif action == Actions.Short_buy.value:
self._position = Positions.Short
trade_type = "short"
elif action == Actions.Long_sell.value:
self._position = Positions.Neutral
trade_type = "neutral"
elif action == Actions.Short_sell.value:
self._position = Positions.Neutral
trade_type = "neutral"
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
def _get_observation(self):
return self.signal_features[(self._current_tick - self.window_size):self._current_tick]
def get_unrealized_profit(self):
if self._last_trade_tick is None:
return 0.
if self._position == Positions.Neutral:
return 0.
elif self._position == Positions.Short:
current_price = self.add_buy_fee(self.prices.iloc[self._current_tick].open)
last_trade_price = self.add_sell_fee(self.prices.iloc[self._last_trade_tick].open)
return (last_trade_price - current_price) / last_trade_price
elif self._position == Positions.Long:
current_price = self.add_sell_fee(self.prices.iloc[self._current_tick].open)
last_trade_price = self.add_buy_fee(self.prices.iloc[self._last_trade_tick].open)
return (current_price - last_trade_price) / last_trade_price
else:
return 0.
def is_tradesignal(self, action: int):
# trade signal
"""
not trade signal is :
Action: Neutral, position: Neutral -> Nothing
Action: Long, position: Long -> Hold Long
Action: Short, position: Short -> Hold Short
"""
return not ((action == Actions.Neutral.value and self._position == Positions.Neutral) or
(action == Actions.Neutral.value and self._position == Positions.Short) or
(action == Actions.Neutral.value and self._position == Positions.Long) or
(action == Actions.Short_buy.value and self._position == Positions.Short) or
(action == Actions.Short_buy.value and self._position == Positions.Long) or
(action == Actions.Short_sell.value and self._position == Positions.Short) or
(action == Actions.Short_sell.value and self._position == Positions.Long) or
(action == Actions.Short_sell.value and self._position == Positions.Neutral) or
(action == Actions.Long_buy.value and self._position == Positions.Long) or
(action == Actions.Long_buy.value and self._position == Positions.Short) or
(action == Actions.Long_sell.value and self._position == Positions.Long) or
(action == Actions.Long_sell.value and self._position == Positions.Short) or
(action == Actions.Long_sell.value and self._position == Positions.Neutral))
def _is_trade(self, action: Actions):
return ((action == Actions.Long_buy.value and self._position == Positions.Neutral) or
(action == Actions.Short_buy.value and self._position == Positions.Neutral))
def is_hold(self, action):
return ((action == Actions.Short_buy.value and self._position == Positions.Short) or
(action == Actions.Long_buy.value and self._position == Positions.Long) or
(action == Actions.Neutral.value and self._position == Positions.Long) or
(action == Actions.Neutral.value and self._position == Positions.Short) or
(action == Actions.Neutral.value and self._position == Positions.Neutral))
def add_buy_fee(self, price):
return price * (1 + self.fee)
def add_sell_fee(self, price):
return price / (1 + self.fee)
def _update_history(self, info):
if not self.history:
self.history = {key: [] for key in info.keys()}
for key, value in info.items():
self.history[key].append(value)
def get_sharpe_ratio(self):
return mean_over_std(self.get_portfolio_log_returns())
def calculate_reward(self, action):
if self._last_trade_tick is None:
return 0.
# close long
if action == Actions.Long_sell.value and self._position == Positions.Long:
if len(self.close_trade_profit):
# aim x2 rw
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)
# less than aim x1 rw
elif 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))
# # less than RR SL x2 neg rw
# elif self.close_trade_profit[-1] < (self.profit_aim * -1):
# 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) * -1
# close short
if action == Actions.Short_buy.value and self._position == Positions.Short:
if len(self.close_trade_profit):
# aim x2 rw
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)
# less than aim x1 rw
elif 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))
# # less than RR SL x2 neg rw
# elif 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) * -1
return 0.
def _update_profit(self, action):
# if self._is_trade(action) or self._done:
if self._is_trade(action) or self._done:
pnl = self.get_unrealized_profit()
if self._position == Positions.Long:
self._total_profit = self._total_profit + self._total_profit * pnl
self._profits.append((self._current_tick, self._total_profit))
self.close_trade_profit.append(pnl)
if self._position == Positions.Short:
self._total_profit = self._total_profit + self._total_profit * pnl
self._profits.append((self._current_tick, self._total_profit))
self.close_trade_profit.append(pnl)
def most_recent_return(self, action: int):
"""
We support Long, Neutral and Short positions.
Return is generated from rising prices in Long
and falling prices in Short positions.
The actions Sell/Buy or Hold during a Long position trigger the sell/buy-fee.
"""
# Long positions
if self._position == Positions.Long:
current_price = self.prices.iloc[self._current_tick].open
if action == Actions.Short_buy.value or action == Actions.Neutral.value:
current_price = self.add_sell_fee(current_price)
previous_price = self.prices.iloc[self._current_tick - 1].open
if (self._position_history[self._current_tick - 1] == Positions.Short
or self._position_history[self._current_tick - 1] == Positions.Neutral):
previous_price = self.add_buy_fee(previous_price)
return np.log(current_price) - np.log(previous_price)
# Short positions
if self._position == Positions.Short:
current_price = self.prices.iloc[self._current_tick].open
if action == Actions.Long_buy.value or action == Actions.Neutral.value:
current_price = self.add_buy_fee(current_price)
previous_price = self.prices.iloc[self._current_tick - 1].open
if (self._position_history[self._current_tick - 1] == Positions.Long
or self._position_history[self._current_tick - 1] == Positions.Neutral):
previous_price = self.add_sell_fee(previous_price)
return np.log(previous_price) - np.log(current_price)
return 0
def get_portfolio_log_returns(self):
return self.portfolio_log_returns[1:self._current_tick + 1]
def update_portfolio_log_returns(self, action):
self.portfolio_log_returns[self._current_tick] = self.most_recent_return(action)
def current_price(self) -> float:
return self.prices.iloc[self._current_tick].open
def prev_price(self) -> float:
return self.prices.iloc[self._current_tick - 1].open
def sharpe_ratio(self):
if len(self.close_trade_profit) == 0:
return 0.
returns = np.array(self.close_trade_profit)
reward = (np.mean(returns) - 0. + 1e-9) / (np.std(returns) + 1e-9)
return reward