stable/freqtrade/freqai/prediction_models/CatboostPredictionModel.py

54 lines
1.7 KiB
Python

import gc
import logging
from typing import Any, Dict
from catboost import CatBoostRegressor, Pool
from freqtrade.freqai.prediction_models.BaseRegressionModel import BaseRegressionModel
logger = logging.getLogger(__name__)
class CatboostPredictionModel(BaseRegressionModel):
"""
User created prediction model. The class needs to override three necessary
functions, predict(), train(), fit(). The class inherits ModelHandler which
has its own DataHandler where data is held, saved, loaded, and managed.
"""
def fit(self, data_dictionary: Dict) -> Any:
"""
User sets up the training and test data to fit their desired model here
:param data_dictionary: the dictionary constructed by DataHandler to hold
all the training and test data/labels.
"""
train_data = Pool(
data=data_dictionary["train_features"],
label=data_dictionary["train_labels"],
weight=data_dictionary["train_weights"],
)
if self.freqai_info.get('data_split_parameters', {}).get('test_size', 0.1) == 0:
test_data = None
else:
test_data = Pool(
data=data_dictionary["test_features"],
label=data_dictionary["test_labels"],
weight=data_dictionary["test_weights"],
)
model = CatBoostRegressor(
allow_writing_files=False,
**self.model_training_parameters,
)
model.fit(X=train_data, eval_set=test_data)
# some evidence that catboost pools have memory leaks:
# https://github.com/catboost/catboost/issues/1835
del train_data, test_data
gc.collect()
return model