166 lines
7.0 KiB
Python
166 lines
7.0 KiB
Python
import logging
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from typing import Any, Dict, List, Optional, Tuple
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import numpy as np
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import numpy.typing as npt
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import pandas as pd
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import torch
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from pandas import DataFrame
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from torch.nn import functional as F
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from freqtrade.exceptions import OperationalException
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from freqtrade.freqai.base_models.BasePyTorchModel import BasePyTorchModel
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from freqtrade.freqai.base_models.PyTorchModelTrainer import PyTorchModelTrainer
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from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
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from freqtrade.freqai.prediction_models.PyTorchMLPModel import PyTorchMLPModel
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logger = logging.getLogger(__name__)
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class PyTorchClassifierMultiTarget(BasePyTorchModel):
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"""
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A PyTorch implementation of a multi-target classifier.
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"""
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def __init__(self, **kwargs):
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"""
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int: The number of nodes in the hidden layer of the neural network.
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int: The maximum number of iterations to run during training.
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int: The batch size to use during training.
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float: The learning rate to use during training.
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int: The number of training iterations between each evaluation.
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dict: A dictionary mapping class names to their corresponding indices.
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dict: A dictionary mapping indices to their corresponding class names.
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"""
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super().__init__(**kwargs)
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model_training_params = self.freqai_info.get("model_training_parameters", {})
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self.n_hidden: int = model_training_params.get("n_hidden", 1024)
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self.max_iters: int = model_training_params.get("max_iters", 100)
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self.batch_size: int = model_training_params.get("batch_size", 64)
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self.learning_rate: float = model_training_params.get("learning_rate", 3e-4)
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self.max_n_eval_batches: Optional[int] = model_training_params.get(
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"max_n_eval_batches", None
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)
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self.model_kwargs: Dict = model_training_params.get("model_kwargs", {})
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self.class_name_to_index = None
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self.index_to_class_name = None
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def fit(self, data_dictionary: Dict, dk: FreqaiDataKitchen, **kwargs) -> Any:
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"""
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User sets up the training and test data to fit their desired model here
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:param data_dictionary: the dictionary constructed by DataHandler to hold
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all the training and test data/labels.
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:raises ValueError: If self.class_names is not defined in the parent class.
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"""
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if not hasattr(self, "class_names"):
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raise ValueError(
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"Missing attribute: self.class_names "
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"set self.freqai.class_names = [\"class a\", \"class b\", \"class c\"] "
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"inside IStrategy.set_freqai_targets method."
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)
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self.init_class_names_to_index_mapping(self.class_names)
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self.encode_classes_name(data_dictionary, dk)
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n_features = data_dictionary["train_features"].shape[-1]
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model = PyTorchMLPModel(
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input_dim=n_features,
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output_dim=len(self.class_names),
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**self.model_kwargs
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)
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model.to(self.device)
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optimizer = torch.optim.AdamW(model.parameters(), lr=self.learning_rate)
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criterion = torch.nn.CrossEntropyLoss()
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init_model = self.get_init_model(dk.pair)
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trainer = PyTorchModelTrainer(
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model=model,
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optimizer=optimizer,
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criterion=criterion,
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model_meta_data={"class_names": self.class_names},
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device=self.device,
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batch_size=self.batch_size,
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max_iters=self.max_iters,
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max_n_eval_batches=self.max_n_eval_batches,
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init_model=init_model
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)
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trainer.fit(data_dictionary)
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return trainer
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def predict(
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self, unfiltered_df: DataFrame, dk: FreqaiDataKitchen, **kwargs
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) -> Tuple[DataFrame, npt.NDArray[np.int_]]:
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"""
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Filter the prediction features data and predict with it.
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:param unfiltered_df: Full dataframe for the current backtest period.
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:return:
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:pred_df: dataframe containing the predictions
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:do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove
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data (NaNs) or felt uncertain about data (PCA and DI index)
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:raises ValueError: if 'class_name' doesn't exist in model meta_data.
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"""
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class_names = self.model.model_meta_data.get("class_names", None)
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if not class_names:
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raise ValueError(
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"Missing class names. "
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"self.model.model_meta_data[\"class_names\"] is None."
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)
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self.init_class_names_to_index_mapping(class_names)
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dk.find_features(unfiltered_df)
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filtered_df, _ = dk.filter_features(
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unfiltered_df, dk.training_features_list, training_filter=False
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)
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filtered_df = dk.normalize_data_from_metadata(filtered_df)
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dk.data_dictionary["prediction_features"] = filtered_df
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self.data_cleaning_predict(dk)
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dk.data_dictionary["prediction_features"] = torch.tensor(
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dk.data_dictionary["prediction_features"].values
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).float().to(self.device)
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logits = self.model.model(dk.data_dictionary["prediction_features"])
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probs = F.softmax(logits, dim=-1)
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predicted_classes = torch.argmax(probs, dim=-1)
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predicted_classes_str = self.decode_classes_name(predicted_classes)
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pred_df_prob = DataFrame(probs.detach().numpy(), columns=class_names)
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pred_df = DataFrame(predicted_classes_str, columns=[dk.label_list[0]])
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pred_df = pd.concat([pred_df, pred_df_prob], axis=1)
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return (pred_df, dk.do_predict)
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def encode_classes_name(self, data_dictionary: Dict[str, pd.DataFrame], dk: FreqaiDataKitchen):
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"""
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encode class name str -> int
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assuming first column of *_labels data frame to contain class names
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"""
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target_column_name = dk.label_list[0]
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for split in ["train", "test"]:
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label_df = data_dictionary[f"{split}_labels"]
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self.assert_valid_class_names(label_df[target_column_name])
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label_df[target_column_name] = list(
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map(lambda x: self.class_name_to_index[x], label_df[target_column_name])
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)
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def assert_valid_class_names(self, labels: pd.Series):
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non_defined_labels = set(labels) - set(self.class_names)
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if len(non_defined_labels) != 0:
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raise OperationalException(
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f"Found non defined labels: {non_defined_labels}, ",
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f"expecting labels: {self.class_names}"
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)
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def decode_classes_name(self, classes: torch.Tensor) -> List[str]:
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"""
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decode class name int -> str
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"""
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return list(map(lambda x: self.index_to_class_name[x.item()], classes))
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def init_class_names_to_index_mapping(self, class_names):
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self.class_name_to_index = {s: i for i, s in enumerate(class_names)}
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self.index_to_class_name = {i: s for i, s in enumerate(class_names)}
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logger.info(f"class_name_to_index: {self.class_name_to_index}")
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