stable/freqtrade/freqai/base_models/BaseRegressionModel.py
2022-10-01 14:18:46 +02:00

103 lines
3.8 KiB
Python

import logging
from time import time
from typing import Any, Tuple
import numpy as np
import numpy.typing as npt
from pandas import DataFrame
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.freqai_interface import IFreqaiModel
logger = logging.getLogger(__name__)
class BaseRegressionModel(IFreqaiModel):
"""
Base class for regression type models (e.g. Catboost, LightGBM, XGboost etc.).
User *must* inherit from this class and set fit() and predict(). See example scripts
such as prediction_models/CatboostPredictionModel.py for guidance.
"""
def train(
self, unfiltered_df: DataFrame, pair: str, dk: FreqaiDataKitchen, **kwargs
) -> Any:
"""
Filter the training data and train a model to it. Train makes heavy use of the datakitchen
for storing, saving, loading, and analyzing the data.
:param unfiltered_df: Full dataframe for the current training period
:param metadata: pair metadata from strategy.
:return:
:model: Trained model which can be used to inference (self.predict)
"""
logger.info(f"-------------------- Starting training {pair} --------------------")
start_time = time()
# filter the features requested by user in the configuration file and elegantly handle NaNs
features_filtered, labels_filtered = dk.filter_features(
unfiltered_df,
dk.training_features_list,
dk.label_list,
training_filter=True,
)
start_date = unfiltered_df["date"].iloc[0].strftime("%Y-%m-%d")
end_date = unfiltered_df["date"].iloc[-1].strftime("%Y-%m-%d")
logger.info(f"-------------------- Training on data from {start_date} to "
f"{end_date} --------------------")
# split data into train/test data.
data_dictionary = dk.make_train_test_datasets(features_filtered, labels_filtered)
if not self.freqai_info.get("fit_live_predictions", 0) or not self.live:
dk.fit_labels()
# normalize all data based on train_dataset only
data_dictionary = dk.normalize_data(data_dictionary)
# optional additional data cleaning/analysis
self.data_cleaning_train(dk)
logger.info(
f"Training model on {len(dk.data_dictionary['train_features'].columns)} features"
)
logger.info(f"Training model on {len(data_dictionary['train_features'])} data points")
model = self.fit(data_dictionary, dk)
end_time = time()
logger.info(f"-------------------- Done training {pair} "
f"({end_time - start_time:.2f} secs) --------------------")
return model
def predict(
self, unfiltered_df: DataFrame, dk: FreqaiDataKitchen, **kwargs
) -> Tuple[DataFrame, npt.NDArray[np.int_]]:
"""
Filter the prediction features data and predict with it.
:param: unfiltered_df: Full dataframe for the current backtest period.
:return:
:pred_df: dataframe containing the predictions
:do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove
data (NaNs) or felt uncertain about data (PCA and DI index)
"""
dk.find_features(unfiltered_df)
filtered_df, _ = dk.filter_features(
unfiltered_df, dk.training_features_list, training_filter=False
)
filtered_df = dk.normalize_data_from_metadata(filtered_df)
dk.data_dictionary["prediction_features"] = filtered_df
# optional additional data cleaning/analysis
self.data_cleaning_predict(dk)
predictions = self.model.predict(dk.data_dictionary["prediction_features"])
pred_df = DataFrame(predictions, columns=dk.label_list)
pred_df = dk.denormalize_labels_from_metadata(pred_df)
return (pred_df, dk.do_predict)