47 lines
1.6 KiB
Python
47 lines
1.6 KiB
Python
import logging
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from typing import Any, Dict
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from xgboost import XGBRegressor
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from freqtrade.freqai.base_models.BaseRegressionModel import BaseRegressionModel
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from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
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logger = logging.getLogger(__name__)
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class XGBoostRegressor(BaseRegressionModel):
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"""
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User created prediction model. The class needs to override three necessary
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functions, predict(), train(), fit(). The class inherits ModelHandler which
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has its own DataHandler where data is held, saved, loaded, and managed.
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"""
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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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"""
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X = data_dictionary["train_features"]
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y = data_dictionary["train_labels"]
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if self.freqai_info.get("data_split_parameters", {}).get("test_size", 0.1) == 0:
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eval_set = None
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eval_weights = None
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else:
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eval_set = [(data_dictionary["test_features"], data_dictionary["test_labels"])]
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eval_weights = [data_dictionary['test_weights']]
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sample_weight = data_dictionary["train_weights"]
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xgb_model = self.get_init_model(dk.pair)
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model = XGBRegressor(**self.model_training_parameters)
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model.fit(X=X, y=y, sample_weight=sample_weight, eval_set=eval_set,
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sample_weight_eval_set=eval_weights, xgb_model=xgb_model)
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return model
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