191 lines
6.8 KiB
Python
191 lines
6.8 KiB
Python
import logging
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from enum import Enum
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import numpy as np
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import pandas as pd
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from gym import spaces
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from pandas import DataFrame
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from freqtrade.freqai.RL.BaseEnvironment import BaseEnvironment, Positions
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logger = logging.getLogger(__name__)
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class Actions(Enum):
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Neutral = 0
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Long_enter = 1
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Long_exit = 2
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Short_enter = 3
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Short_exit = 4
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def mean_over_std(x):
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std = np.std(x, ddof=1)
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mean = np.mean(x)
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return mean / std if std > 0 else 0
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class Base5ActionRLEnv(BaseEnvironment):
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"""
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Base class for a 5 action environment
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"""
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def set_action_space(self):
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self.action_space = spaces.Discrete(len(Actions))
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def reset(self):
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self._done = False
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if self.starting_point is True:
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self._position_history = (self._start_tick * [None]) + [self._position]
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else:
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self._position_history = (self.window_size * [None]) + [self._position]
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self._current_tick = self._start_tick
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self._last_trade_tick = None
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self._position = Positions.Neutral
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self.total_reward = 0.
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self._total_profit = 1. # unit
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self.history = {}
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self.trade_history = []
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self.portfolio_log_returns = np.zeros(len(self.prices))
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self._profits = [(self._start_tick, 1)]
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self.close_trade_profit = []
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self._total_unrealized_profit = 1
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return self._get_observation()
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def step(self, action: int):
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self._done = False
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self._current_tick += 1
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if self._current_tick == self._end_tick:
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self._done = True
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self.update_portfolio_log_returns(action)
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self._update_unrealized_total_profit()
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step_reward = self.calculate_reward(action)
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self.total_reward += step_reward
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trade_type = None
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if self.is_tradesignal(action):
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"""
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Action: Neutral, position: Long -> Close Long
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Action: Neutral, position: Short -> Close Short
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Action: Long, position: Neutral -> Open Long
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Action: Long, position: Short -> Close Short and Open Long
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Action: Short, position: Neutral -> Open Short
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Action: Short, position: Long -> Close Long and Open Short
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"""
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if action == Actions.Neutral.value:
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self._position = Positions.Neutral
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trade_type = "neutral"
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self._last_trade_tick = None
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elif action == Actions.Long_enter.value:
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self._position = Positions.Long
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trade_type = "long"
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self._last_trade_tick = self._current_tick
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elif action == Actions.Short_enter.value:
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self._position = Positions.Short
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trade_type = "short"
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self._last_trade_tick = self._current_tick
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elif action == Actions.Long_exit.value:
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self._update_total_profit()
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self._position = Positions.Neutral
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trade_type = "neutral"
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self._last_trade_tick = None
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elif action == Actions.Short_exit.value:
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self._update_total_profit()
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self._position = Positions.Neutral
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trade_type = "neutral"
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self._last_trade_tick = None
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else:
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print("case not defined")
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if trade_type is not None:
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self.trade_history.append(
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{'price': self.current_price(), 'index': self._current_tick,
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'type': trade_type})
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if (self._total_profit < self.max_drawdown or
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self._total_unrealized_profit < self.max_drawdown):
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self._done = True
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self._position_history.append(self._position)
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info = dict(
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tick=self._current_tick,
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total_reward=self.total_reward,
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total_profit=self._total_profit,
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position=self._position.value
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)
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observation = self._get_observation()
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self._update_history(info)
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return observation, step_reward, self._done, info
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def _get_observation(self):
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features_window = self.signal_features[(
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self._current_tick - self.window_size):self._current_tick]
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features_and_state = DataFrame(np.zeros((len(features_window), 3)),
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columns=['current_profit_pct', 'position', 'trade_duration'],
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index=features_window.index)
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features_and_state['current_profit_pct'] = self.get_unrealized_profit()
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features_and_state['position'] = self._position.value
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features_and_state['trade_duration'] = self.get_trade_duration()
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features_and_state = pd.concat([features_window, features_and_state], axis=1)
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return features_and_state
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def get_trade_duration(self):
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if self._last_trade_tick is None:
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return 0
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else:
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return self._current_tick - self._last_trade_tick
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def is_tradesignal(self, action: int):
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# trade signal
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"""
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Determine if the signal is a trade signal
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e.g.: agent wants a Actions.Long_exit while it is in a Positions.short
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"""
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return not ((action == Actions.Neutral.value and self._position == Positions.Neutral) or
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(action == Actions.Neutral.value and self._position == Positions.Short) or
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(action == Actions.Neutral.value and self._position == Positions.Long) or
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(action == Actions.Short_enter.value and self._position == Positions.Short) or
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(action == Actions.Short_enter.value and self._position == Positions.Long) or
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(action == Actions.Short_exit.value and self._position == Positions.Long) or
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(action == Actions.Short_exit.value and self._position == Positions.Neutral) or
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(action == Actions.Long_enter.value and self._position == Positions.Long) or
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(action == Actions.Long_enter.value and self._position == Positions.Short) or
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(action == Actions.Long_exit.value and self._position == Positions.Short) or
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(action == Actions.Long_exit.value and self._position == Positions.Neutral))
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def _is_valid(self, action: int):
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# trade signal
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"""
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Determine if the signal is valid.
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e.g.: agent wants a Actions.Long_exit while it is in a Positions.short
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"""
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# Agent should only try to exit if it is in position
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if action in (Actions.Short_exit.value, Actions.Long_exit.value):
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if self._position not in (Positions.Short, Positions.Long):
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return False
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# Agent should only try to enter if it is not in position
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if action in (Actions.Short_enter.value, Actions.Long_enter.value):
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if self._position != Positions.Neutral:
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return False
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return True
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