freqtrade_origin/freqtrade/freqai/base_models/BasePyTorchRegressor.py

51 lines
1.7 KiB
Python
Raw Normal View History

2023-03-20 15:06:33 +00:00
import logging
from typing import Tuple
import numpy as np
import numpy.typing as npt
from pandas import DataFrame
from freqtrade.freqai.base_models.BasePyTorchModel import BasePyTorchModel
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
logger = logging.getLogger(__name__)
2023-03-22 15:50:00 +00:00
class BasePyTorchRegressor(BasePyTorchModel):
2023-03-20 15:06:33 +00:00
"""
A PyTorch implementation of a regressor.
User must implement fit method
"""
def __init__(self, **kwargs):
super().__init__(**kwargs)
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
self.data_cleaning_predict(dk)
2023-04-03 12:19:10 +00:00
x = self.data_convertor.convert_x(
dk.data_dictionary["prediction_features"],
device=self.device
)
2023-03-20 15:06:33 +00:00
y = self.model.model(x)
y = y.cpu()
2023-03-20 15:06:33 +00:00
pred_df = DataFrame(y.detach().numpy(), columns=[dk.label_list[0]])
2023-03-20 17:28:30 +00:00
return (pred_df, dk.do_predict)