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Change config parameter names to improve clarity and consistency throughout the code (!!breaking change, please check discord support channel for migration instructions or review templates/FreqaiExampleStrategy.py config_examples/config_freqai_futures.example.json file changes!!)

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Robert Caulk 2022-07-10 12:34:09 +02:00
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commit 607455919e
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49
config_examples/config_freqai_futures.example.json
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@ -15,7 +15,7 @@
"exit": 30 "exit": 30
}, },
"exchange": { "exchange": {
"name": "okx", "name": "binance",
"key": "", "key": "",
"secret": "", "secret": "",
"ccxt_config": { "ccxt_config": {
@ -26,15 +26,8 @@
"rateLimit": 200 "rateLimit": 200
}, },
"pair_whitelist": [ "pair_whitelist": [
"AGLD/USDT:USDT", "1INCH/USDT",
"1INCH/USDT:USDT", "ALGO/USDT"
"AAVE/USDT:USDT",
"ALGO/USDT:USDT",
"ALPHA/USDT:USDT",
"API3/USDT:USDT",
"AVAX/USDT:USDT",
"AXS/USDT:USDT",
"BCH/USDT:USDT"
], ],
"pair_blacklist": [] "pair_blacklist": []
}, },
@ -60,29 +53,31 @@
], ],
"freqai": { "freqai": {
"startup_candles": 10000, "startup_candles": 10000,
"timeframes": [ "purge_old_models": true,
"3m", "train_period_days": 15,
"15m", "backtest_period_days": 7,
"1h" "live_retrain_hours": 0,
], "identifier": "uniqe-id6",
"train_period": 20,
"backtest_period": 0.001,
"identifier": "constant_retrain_live",
"live_trained_timestamp": 0, "live_trained_timestamp": 0,
"corr_pairlist": [
"BTC/USDT:USDT",
"ETH/USDT:USDT"
],
"feature_parameters": { "feature_parameters": {
"period": 20, "include_timeframes": [
"shift": 2, "3m",
"15m",
"1h"
],
"include_corr_pairlist": [
"BTC/USDT",
"ETH/USDT"
],
"label_period_candles": 20,
"include_shifted_candles": 2,
"DI_threshold": 0.9, "DI_threshold": 0.9,
"weight_factor": 0.9, "weight_factor": 0.9,
"principal_component_analysis": false, "principal_component_analysis": false,
"use_SVM_to_remove_outliers": true, "use_SVM_to_remove_outliers": true,
"stratify": 0, "stratify_training_data": 0,
"indicator_max_period": 20, "indicator_max_period_candles": 20,
"indicator_periods": [10, 20] "indicator_periods_candles": [10, 20]
}, },
"data_split_parameters": { "data_split_parameters": {
"test_size": 0.33, "test_size": 0.33,

37
config_examples/config_freqai_spot.example.json
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@ -52,32 +52,31 @@
], ],
"freqai": { "freqai": {
"startup_candles": 10000, "startup_candles": 10000,
"timeframes": [
"5m", "train_period_days": 30,
"15m", "backtest_period_days": 7,
"4h" "live_retrain_hours": 1,
],
"train_period": 30,
"backtest_period": 7,
"identifier": "example", "identifier": "example",
"live_trained_timestamp": 0, "live_trained_timestamp": 0,
"corr_pairlist": [
"BTC/USDT",
"ETH/USDT",
"DOT/USDT",
"MATIC/USDT",
"SOL/USDT"
],
"feature_parameters": { "feature_parameters": {
"period": 500, "include_timeframes": [
"shift": 1, "5m",
"15m",
"4h"
],
"include_corr_pairlist": [
"BTC/USDT",
"ETH/USDT"
],
"label_period_candles": 500,
"include_shifted_candles": 1,
"DI_threshold": 0, "DI_threshold": 0,
"weight_factor": 0.9, "weight_factor": 0.9,
"principal_component_analysis": false, "principal_component_analysis": false,
"use_SVM_to_remove_outliers": false, "use_SVM_to_remove_outliers": false,
"stratify": 0, "stratify_training_data": 0,
"indicator_max_period": 50, "indicator_max_period_candles": 50,
"indicator_periods": [10, 20] "indicator_periods_candles": [10, 20]
}, },
"data_split_parameters": { "data_split_parameters": {
"test_size": 0.33, "test_size": 0.33,

234
docs/freqai.md
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@ -77,19 +77,22 @@ config setup includes:
```json ```json
"freqai": { "freqai": {
"startup_candles": 10000, "startup_candles": 10000,
"timeframes" : ["5m","15m","4h"], "purge_old_models": true,
"train_period" : 30, "train_period_days" : 30,
"backtest_period" : 7, "backtest_period_days" : 7,
"identifier" : "unique-id", "identifier" : "unique-id",
"corr_pairlist": [
"ETH/USD",
"LINK/USD",
"BNB/USD"
],
"feature_parameters" : { "feature_parameters" : {
"period": 24, "include_timeframes" : ["5m","15m","4h"],
"shift": 2, "include_corr_pairlist": [
"weight_factor": 0, "ETH/USD",
"LINK/USD",
"BNB/USD"
],
"label_period_candles": 24,
"include_shifted_candles": 2,
"weight_factor": 0,
"indicator_max_period_candles": 20,
"indicator_periods_candles": [10, 20]
}, },
"data_split_parameters" : { "data_split_parameters" : {
"test_size": 0.25, "test_size": 0.25,
@ -106,40 +109,99 @@ config setup includes:
### Building the feature set ### Building the feature set
!! slightly out of date, please refer to templates/FreqaiExampleStrategy.py for updated method !!
Features are added by the user inside the `populate_any_indicators()` method of the strategy Features are added by the user inside the `populate_any_indicators()` method of the strategy
by prepending indicators with `%`: by prepending indicators with `%` and labels are added by prependng `&`. There are some important
components/structures that the user *must* include when building their feature set. As shown below,
`with self.model.bridge.lock:` must be used to ensure thread safety - especially when using third
party libraries for indicator construction such as TA-lib. Another structure to consider is the
location of the labels at the bottom of the example function (below `if set_generalized_indicators:`).
This is where the user will add single features labels to their feature set to avoid duplication from
various configuration paramters which multiply the feature set such as `include_timeframes`.
```python ```python
def populate_any_indicators(self, metadata, pair, df, tf, informative=None, coin=""): def populate_any_indicators(
informative['%-' + coin + "rsi"] = ta.RSI(informative, timeperiod=14) self, metadata, pair, df, tf, informative=None, coin="", set_generalized_indicators=False
informative['%-' + coin + "mfi"] = ta.MFI(informative, timeperiod=25) ):
informative['%-' + coin + "adx"] = ta.ADX(informative, window=20) """
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=14, stds=2.2) Function designed to automatically generate, name and merge features
informative[coin + "bb_lowerband"] = bollinger["lower"] from user indicated timeframes in the configuration file. User controls the indicators
informative[coin + "bb_middleband"] = bollinger["mid"] passed to the training/prediction by prepending indicators with `'%-' + coin `
informative[coin + "bb_upperband"] = bollinger["upper"] (see convention below). I.e. user should not prepend any supporting metrics
informative['%-' + coin + "bb_width"] = ( (e.g. bb_lowerband below) with % unless they explicitly want to pass that metric to the
informative[coin + "bb_upperband"] - informative[coin + "bb_lowerband"] model.
) / informative[coin + "bb_middleband"] :params:
:pair: pair to be used as informative
:df: strategy dataframe which will receive merges from informatives
:tf: timeframe of the dataframe which will modify the feature names
:informative: the dataframe associated with the informative pair
:coin: the name of the coin which will modify the feature names.
"""
with self.model.bridge.lock:
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
# first loop is automatically duplicating indicators for time periods
# The following code automatically adds features according to the `shift` parameter passed for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
# in the config. Do not remove t = int(t)
indicators = [col for col in informative if col.startswith('%')] informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
for n in range(self.freqai_info["feature_parameters"]["shift"] + 1): informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
if n == 0: informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, window=t)
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
# The following code safely merges into the base timeframe. bollinger = qtpylib.bollinger_bands(
# Do not remove. qtpylib.typical_price(informative), window=t, stds=2.2
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True) )
skip_columns = [(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]] informative[f"{coin}bb_lowerband-period_{t}"] = bollinger["lower"]
df = df.drop(columns=skip_columns) informative[f"{coin}bb_middleband-period_{t}"] = bollinger["mid"]
informative[f"{coin}bb_upperband-period_{t}"] = bollinger["upper"]
informative[f"%-{coin}bb_width-period_{t}"] = (
informative[f"{coin}bb_upperband-period_{t}"]
- informative[f"{coin}bb_lowerband-period_{t}"]
) / informative[f"{coin}bb_middleband-period_{t}"]
informative[f"%-{coin}close-bb_lower-period_{t}"] = (
informative["close"] / informative[f"{coin}bb_lowerband-period_{t}"]
)
informative[f"%-{coin}relative_volume-period_{t}"] = (
informative["volume"] / informative["volume"].rolling(t).mean()
)
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
df["&-s_close"] = (
df["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean()
/ df["close"]
- 1
)
return df
``` ```
The user of the present example does not want to pass the `bb_lowerband` as a feature to the model, The user of the present example does not want to pass the `bb_lowerband` as a feature to the model,
and has therefore not prepended it with `%`. The user does, however, wish to pass `bb_width` to the and has therefore not prepended it with `%`. The user does, however, wish to pass `bb_width` to the
@ -153,6 +215,7 @@ a specific pair or timeframe, they should use the following structure inside `po
```python ```python
def populate_any_indicators(self, metadata, pair, df, tf, informative=None, coin=""): def populate_any_indicators(self, metadata, pair, df, tf, informative=None, coin=""):
...
# Add generalized indicators here (because in live, it will call only this function to populate # Add generalized indicators here (because in live, it will call only this function to populate
# indicators for retraining). Notice how we ensure not to add them multiple times by associating # indicators for retraining). Notice how we ensure not to add them multiple times by associating
@ -160,35 +223,47 @@ a specific pair or timeframe, they should use the following structure inside `po
if pair == metadata['pair'] and tf == self.timeframe: if pair == metadata['pair'] and tf == self.timeframe:
df['%-day_of_week'] = (df["date"].dt.dayofweek + 1) / 7 df['%-day_of_week'] = (df["date"].dt.dayofweek + 1) / 7
df['%-hour_of_day'] = (df['date'].dt.hour + 1) / 25 df['%-hour_of_day'] = (df['date'].dt.hour + 1) / 25
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
df["&-s_close"] = (
df["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean()
/ df["close"]
- 1
)
``` ```
(Please see the example script located in `freqtrade/templates/FreqaiExampleStrategy.py` for a full example of `populate_any_indicators()`) (Please see the example script located in `freqtrade/templates/FreqaiExampleStrategy.py` for a full example of `populate_any_indicators()`)
The `timeframes` from the example config above are the timeframes of each `populate_any_indicator()` The `include_timeframes` from the example config above are the timeframes of each `populate_any_indicator()`
included metric for inclusion in the feature set. In the present case, the user is asking for the included metric for inclusion in the feature set. In the present case, the user is asking for the
`5m`, `15m`, and `4h` timeframes of the `rsi`, `mfi`, `roc`, and `bb_width` to be included `5m`, `15m`, and `4h` timeframes of the `rsi`, `mfi`, `roc`, and `bb_width` to be included
in the feature set. in the feature set.
In addition, the user can ask for each of these features to be included from In addition, the user can ask for each of these features to be included from
informative pairs using the `corr_pairlist`. This means that the present feature informative pairs using the `include_corr_pairlist`. This means that the present feature
set will include all the `base_features` on all the `timeframes` for each of set will include all the features from `populate_any_indicators` on all the `include_timeframes` for each of
`ETH/USD`, `LINK/USD`, and `BNB/USD`. `ETH/USD`, `LINK/USD`, and `BNB/USD`.
`shift` is another user controlled parameter which indicates the number of previous `include_shifted_candles` is another user controlled parameter which indicates the number of previous
candles to include in the present feature set. In other words, `shift: 2`, tells candles to include in the present feature set. In other words, `innclude_shifted_candles: 2`, tells
Freqai to include the the past 2 candles for each of the features included Freqai to include the the past 2 candles for each of the features included
in the dataset. in the dataset.
In total, the number of features the present user has created is:_ In total, the number of features the present user has created is:_
no. `timeframes` * no. `base_features` * no. `corr_pairlist` * no. `shift`_ legnth of `include_timeframes` * no. features in `populate_any_indicators()` * legnth of `include_corr_pairlist` * no. `include_shifted_candles` * length of `indicator_periods_candles`_
3 * 3 * 3 * 2 = 54._ 3 * 3 * 3 * 2 * 2 = 108._
### Deciding the sliding training window and backtesting duration ### Deciding the sliding training window and backtesting duration
Users define the backtesting timerange with the typical `--timerange` parameter in the user Users define the backtesting timerange with the typical `--timerange` parameter in the user
configuration file. `train_period` is the duration of the sliding training window, while configuration file. `train_period_days` is the duration of the sliding training window, while
`backtest_period` is the sliding backtesting window, both in number of days (backtest_period can be `backtest_period_days` is the sliding backtesting window, both in number of days (backtest_period_days can be
a float to indicate sub daily retraining in live/dry mode). In the present example, a float to indicate sub daily retraining in live/dry mode). In the present example,
the user is asking Freqai to use a training period of 30 days and backtest the subsequent 7 days. the user is asking Freqai to use a training period of 30 days and backtest the subsequent 7 days.
This means that if the user sets `--timerange 20210501-20210701`, This means that if the user sets `--timerange 20210501-20210701`,
@ -203,9 +278,9 @@ the user must manually enter the required number of `startup_candles` in the con
is used to increase the available data to FreqAI and should be sufficient to enable all indicators is used to increase the available data to FreqAI and should be sufficient to enable all indicators
to be NaN free at the beginning of the first training timerange. This boils down to identifying the to be NaN free at the beginning of the first training timerange. This boils down to identifying the
highest timeframe (`4h` in present example) and the longest indicator period (25 in present example) highest timeframe (`4h` in present example) and the longest indicator period (25 in present example)
and adding this to the `train_period`. The units need to be in the base candle time frame:_ and adding this to the `train_period_days`. The units need to be in the base candle time frame:_
`startup_candles` = ( 4 hours * 25 max period * 60 minutes/hour + 30 day train_period * 1440 minutes per day ) / 5 min (base time frame) = 1488. `startup_candles` = ( 4 hours * 25 max period * 60 minutes/hour + 30 day train_period_days * 1440 minutes per day ) / 5 min (base time frame) = 1488.
!!! Note !!! Note
In dry/live, this is all precomputed and handled automatically. Thus, `startup_candle` has no influence on dry/live. In dry/live, this is all precomputed and handled automatically. Thus, `startup_candle` has no influence on dry/live.
@ -242,9 +317,9 @@ The Freqai strategy requires the user to include the following lines of code in
def informative_pairs(self): def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist() whitelist_pairs = self.dp.current_whitelist()
corr_pairs = self.config["freqai"]["corr_pairlist"] corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"]
informative_pairs = [] informative_pairs = []
for tf in self.config["freqai"]["timeframes"]: for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]:
for pair in whitelist_pairs: for pair in whitelist_pairs:
informative_pairs.append((pair, tf)) informative_pairs.append((pair, tf))
for pair in corr_pairs: for pair in corr_pairs:
@ -257,21 +332,37 @@ The Freqai strategy requires the user to include the following lines of code in
self.model = CustomModel(self.config) self.model = CustomModel(self.config)
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
self.freqai_info = self.config['freqai']
# the following loops are necessary for building the features self.freqai_info = self.config["freqai"]
# indicated by the user in the configuration file. self.pair = metadata["pair"]
for tf in self.freqai_info['timeframes']: sgi = True
for i in self.freqai_info['corr_pairlist']: # the following loops are necessary for building the features
dataframe = self.populate_any_indicators(i, # indicated by the user in the configuration file.
dataframe.copy(), tf, coin=i.split("/")[0]+'-') # All indicators must be populated by populate_any_indicators() for live functionality
# to work correctly.
for tf in self.freqai_info["feature_parameters"]["include_timeframes"]:
dataframe = self.populate_any_indicators(
metadata,
self.pair,
dataframe.copy(),
tf,
coin=self.pair.split("/")[0] + "-",
set_generalized_indicators=sgi,
)
sgi = False
for pair in self.freqai_info["feature_parameters"]["include_corr_pairlist"]:
if metadata["pair"] in pair:
continue # do not include whitelisted pair twice if it is in corr_pairlist
dataframe = self.populate_any_indicators(
metadata, pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-"
)
# the model will return 4 values, its prediction, an indication of whether or not the prediction # the model will return 4 values, its prediction, an indication of whether or not the
# should be accepted, the target mean/std values from the labels used during each training period. # prediction should be accepted, the target mean/std values from the labels used during
(dataframe['prediction'], dataframe['do_predict'], # each training period.
dataframe['target_mean'], dataframe['target_std']) = self.model.bridge.start(dataframe, metadata) dataframe = self.model.bridge.start(dataframe, metadata, self)
return dataframe return dataframe
``` ```
The user should also include `populate_any_indicators()` from `templates/FreqaiExampleStrategy.py` which builds The user should also include `populate_any_indicators()` from `templates/FreqaiExampleStrategy.py` which builds
@ -280,8 +371,7 @@ the feature set with a proper naming convention for the IFreqaiModel to use late
### Building an IFreqaiModel ### Building an IFreqaiModel
Freqai has an example prediction model based on the popular `Catboost` regression (`freqai/prediction_models/CatboostPredictionModel.py`). However, users can customize and create Freqai has an example prediction model based on the popular `Catboost` regression (`freqai/prediction_models/CatboostPredictionModel.py`). However, users can customize and create
their own prediction models using the `IFreqaiModel` class. Users are encouraged to inherit `train()`, `predict()`, their own prediction models using the `IFreqaiModel` class. Users are encouraged to inherit `train()` and `predict()` to let them customize various aspects of their training procedures.
and `make_labels()` to let them customize various aspects of their training procedures.
### Running the model live ### Running the model live
@ -293,10 +383,10 @@ freqtrade trade --strategy FreqaiExampleStrategy --config config_freqai.example.
By default, Freqai will not find find any existing models and will start by training a new one By default, Freqai will not find find any existing models and will start by training a new one
given the user configuration settings. Following training, it will use that model to predict for the given the user configuration settings. Following training, it will use that model to predict for the
duration of `backtest_period`. After a full `backtest_period` has elapsed, Freqai will auto retrain duration of `backtest_period_days`. After a full `backtest_period_days` has elapsed, Freqai will auto retrain
a new model, and begin making predictions with the updated model. FreqAI backtesting and live both a new model, and begin making predictions with the updated model. FreqAI backtesting and live both
permit the user to use fractional days (i.e. 0.1) in the `backtest_period`, which enables more frequent permit the user to use fractional days (i.e. 0.1) in the `backtest_period_days`, which enables more frequent
retraining. But the user should be careful that using a fractional `backtest_period` with a large retraining. But the user should be careful that using a fractional `backtest_period_days` with a large
`--timerange` in backtesting will result in a huge amount of required trainings/models. `--timerange` in backtesting will result in a huge amount of required trainings/models.
If the user wishes to start dry/live from a backtested saved model, the user only needs to reuse If the user wishes to start dry/live from a backtested saved model, the user only needs to reuse
@ -305,12 +395,14 @@ the same `identifier` parameter
```json ```json
"freqai": { "freqai": {
"identifier": "example", "identifier": "example",
"live_retrain_hours": 1
} }
``` ```
In this case, although Freqai will initiate with a In this case, although Freqai will initiate with a
pre-trained model, it will still check to see how much time has elapsed since the model was trained, pre-trained model, it will still check to see how much time has elapsed since the model was trained,
and if a full `backtest_period` has elapsed since the end of the loaded model, FreqAI will self retrain. and if a full `live_retrain_hours` has elapsed since the end of the loaded model, FreqAI will self retrain.
It is common to want constant retraining, in whichcase, user should set `live_retrain_hours` to 0.
## Data anylsis techniques ## Data anylsis techniques
@ -412,7 +504,7 @@ The user can stratify the training/testing data using:
```json ```json
"freqai": { "freqai": {
"feature_parameters" : { "feature_parameters" : {
"stratify": 3 "stratify_training_data": 3
} }
} }
``` ```

7
freqtrade/configuration/config_validation.py
View File

@ -174,9 +174,10 @@ def _validate_freqai(conf: Dict[str, Any]) -> None:
for param in constants.SCHEMA_FREQAI_REQUIRED: for param in constants.SCHEMA_FREQAI_REQUIRED:
if param not in conf.get('freqai', {}): if param not in conf.get('freqai', {}):
raise OperationalException( if param not in conf.get('freqai', {}).get('feature_parameters', {}):
f'{param} not found in Freqai config' raise OperationalException(
) f'{param} not found in Freqai config'
)
def _validate_whitelist(conf: Dict[str, Any]) -> None: def _validate_whitelist(conf: Dict[str, Any]) -> None:

20
freqtrade/constants.py
View File

@ -477,16 +477,16 @@ CONF_SCHEMA = {
"freqai": { "freqai": {
"type": "object", "type": "object",
"properties": { "properties": {
"timeframes": {"type": "list"}, "train_period_days": {"type": "integer", "default": 0},
"train_period": {"type": "integer", "default": 0}, "backtest_period_days": {"type": "float", "default": 7},
"backtest_period": {"type": "float", "default": 7},
"identifier": {"type": "str", "default": "example"}, "identifier": {"type": "str", "default": "example"},
"corr_pairlist": {"type": "list"},
"feature_parameters": { "feature_parameters": {
"type": "object", "type": "object",
"properties": { "properties": {
"period": {"type": "integer"}, "include_corr_pairlist": {"type": "list"},
"shift": {"type": "integer", "default": 0}, "include_timeframes": {"type": "list"},
"label_period_candles": {"type": "integer"},
"include_shifted_candles": {"type": "integer", "default": 0},
"DI_threshold": {"type": "float", "default": 0}, "DI_threshold": {"type": "float", "default": 0},
"weight_factor": {"type": "number", "default": 0}, "weight_factor": {"type": "number", "default": 0},
"principal_component_analysis": {"type": "boolean", "default": False}, "principal_component_analysis": {"type": "boolean", "default": False},
@ -555,11 +555,11 @@ SCHEMA_MINIMAL_REQUIRED = [
] ]
SCHEMA_FREQAI_REQUIRED = [ SCHEMA_FREQAI_REQUIRED = [
'timeframes', 'include_timeframes',
'train_period', 'train_period_days',
'backtest_period', 'backtest_period_days',
'identifier', 'identifier',
'corr_pairlist', 'include_corr_pairlist',
'feature_parameters', 'feature_parameters',
'data_split_parameters', 'data_split_parameters',
'model_training_parameters' 'model_training_parameters'

64
freqtrade/freqai/data_kitchen.py
View File

@ -26,6 +26,7 @@ from freqtrade.strategy.interface import IStrategy
SECONDS_IN_DAY = 86400 SECONDS_IN_DAY = 86400
SECONDS_IN_HOUR = 3600
logger = logging.getLogger(__name__) logger = logging.getLogger(__name__)
@ -59,13 +60,13 @@ class FreqaiDataKitchen:
self.set_all_pairs() self.set_all_pairs()
if not self.live: if not self.live:
self.full_timerange = self.create_fulltimerange( self.full_timerange = self.create_fulltimerange(
self.config["timerange"], self.freqai_config.get("train_period") self.config["timerange"], self.freqai_config.get("train_period_days")
) )
(self.training_timeranges, self.backtesting_timeranges) = self.split_timerange( (self.training_timeranges, self.backtesting_timeranges) = self.split_timerange(
self.full_timerange, self.full_timerange,
config["freqai"]["train_period"], config["freqai"]["train_period_days"],
config["freqai"]["backtest_period"], config["freqai"]["backtest_period_days"],
) )
# self.strat_dataframe: DataFrame = strat_dataframe # self.strat_dataframe: DataFrame = strat_dataframe
self.dd = data_drawer self.dd = data_drawer
@ -234,17 +235,18 @@ class FreqaiDataKitchen:
:filtered_dataframe: cleaned dataframe ready to be split. :filtered_dataframe: cleaned dataframe ready to be split.
:labels: cleaned labels ready to be split. :labels: cleaned labels ready to be split.
""" """
feat_dict = self.freqai_config.get("feature_parameters", {})
weights: npt.ArrayLike weights: npt.ArrayLike
if self.freqai_config["feature_parameters"].get("weight_factor", 0) > 0: if feat_dict.get("weight_factor", 0) > 0:
weights = self.set_weights_higher_recent(len(filtered_dataframe)) weights = self.set_weights_higher_recent(len(filtered_dataframe))
else: else:
weights = np.ones(len(filtered_dataframe)) weights = np.ones(len(filtered_dataframe))
if self.freqai_config["feature_parameters"].get("stratify", 0) > 0: if feat_dict.get("stratify_training_data", 0) > 0:
stratification = np.zeros(len(filtered_dataframe)) stratification = np.zeros(len(filtered_dataframe))
for i in range(1, len(stratification)): for i in range(1, len(stratification)):
if i % self.freqai_config.get("feature_parameters", {}).get("stratify", 0) == 0: if i % feat_dict.get("stratify_training_data", 0) == 0:
stratification[i] = 1 stratification[i] = 1
else: else:
stratification = None stratification = None
@ -439,7 +441,7 @@ class FreqaiDataKitchen:
bt_split: the backtesting length (dats). Specified in user configuration file bt_split: the backtesting length (dats). Specified in user configuration file
""" """
train_period = train_split * SECONDS_IN_DAY train_period_days = train_split * SECONDS_IN_DAY
bt_period = bt_split * SECONDS_IN_DAY bt_period = bt_split * SECONDS_IN_DAY
full_timerange = TimeRange.parse_timerange(tr) full_timerange = TimeRange.parse_timerange(tr)
@ -460,7 +462,7 @@ class FreqaiDataKitchen:
while True: while True:
if not first: if not first:
timerange_train.startts = timerange_train.startts + bt_period timerange_train.startts = timerange_train.startts + bt_period
timerange_train.stopts = timerange_train.startts + train_period timerange_train.stopts = timerange_train.startts + train_period_days
first = False first = False
start = datetime.datetime.utcfromtimestamp(timerange_train.startts) start = datetime.datetime.utcfromtimestamp(timerange_train.startts)
@ -763,7 +765,7 @@ class FreqaiDataKitchen:
return return
def create_fulltimerange(self, backtest_tr: str, backtest_period: int) -> str: def create_fulltimerange(self, backtest_tr: str, backtest_period_days: int) -> str:
backtest_timerange = TimeRange.parse_timerange(backtest_tr) backtest_timerange = TimeRange.parse_timerange(backtest_tr)
if backtest_timerange.stopts == 0: if backtest_timerange.stopts == 0:
@ -771,7 +773,8 @@ class FreqaiDataKitchen:
datetime.datetime.now(tz=datetime.timezone.utc).timestamp() datetime.datetime.now(tz=datetime.timezone.utc).timestamp()
) )
backtest_timerange.startts = backtest_timerange.startts - backtest_period * SECONDS_IN_DAY backtest_timerange.startts = (backtest_timerange.startts
- backtest_period_days * SECONDS_IN_DAY)
start = datetime.datetime.utcfromtimestamp(backtest_timerange.startts) start = datetime.datetime.utcfromtimestamp(backtest_timerange.startts)
stop = datetime.datetime.utcfromtimestamp(backtest_timerange.stopts) stop = datetime.datetime.utcfromtimestamp(backtest_timerange.stopts)
full_timerange = start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d") full_timerange = start.strftime("%Y%m%d") + "-" + stop.strftime("%Y%m%d")
@ -817,7 +820,8 @@ class FreqaiDataKitchen:
data_load_timerange = TimeRange() data_load_timerange = TimeRange()
# find the max indicator length required # find the max indicator length required
max_timeframe_chars = self.freqai_config.get("timeframes")[-1] max_timeframe_chars = self.freqai_config.get(
"feature_parameters", {}).get("include_timeframes")[-1]
max_period = self.freqai_config.get("feature_parameters", {}).get( max_period = self.freqai_config.get("feature_parameters", {}).get(
"indicator_max_period", 50 "indicator_max_period", 50
) )
@ -840,11 +844,11 @@ class FreqaiDataKitchen:
# logger.info(f'Extending data download by {additional_seconds/SECONDS_IN_DAY:.2f} days') # logger.info(f'Extending data download by {additional_seconds/SECONDS_IN_DAY:.2f} days')
if trained_timestamp != 0: if trained_timestamp != 0:
elapsed_time = (time - trained_timestamp) / SECONDS_IN_DAY elapsed_time = (time - trained_timestamp) / SECONDS_IN_HOUR
retrain = elapsed_time > self.freqai_config.get("backtest_period") retrain = elapsed_time > self.freqai_config.get("live_retrain_hours", 0)
if retrain: if retrain:
trained_timerange.startts = int( trained_timerange.startts = int(
time - self.freqai_config.get("train_period", 0) * SECONDS_IN_DAY time - self.freqai_config.get("train_period_days", 0) * SECONDS_IN_DAY
) )
trained_timerange.stopts = int(time) trained_timerange.stopts = int(time)
# we want to load/populate indicators on more data than we plan to train on so # we want to load/populate indicators on more data than we plan to train on so
@ -852,19 +856,19 @@ class FreqaiDataKitchen:
# unless they have data further back in time before the start of the train period # unless they have data further back in time before the start of the train period
data_load_timerange.startts = int( data_load_timerange.startts = int(
time time
- self.freqai_config.get("train_period", 0) * SECONDS_IN_DAY - self.freqai_config.get("train_period_days", 0) * SECONDS_IN_DAY
- additional_seconds - additional_seconds
) )
data_load_timerange.stopts = int(time) data_load_timerange.stopts = int(time)
else: # user passed no live_trained_timerange in config else: # user passed no live_trained_timerange in config
trained_timerange.startts = int( trained_timerange.startts = int(
time - self.freqai_config.get("train_period") * SECONDS_IN_DAY time - self.freqai_config.get("train_period_days") * SECONDS_IN_DAY
) )
trained_timerange.stopts = int(time) trained_timerange.stopts = int(time)
data_load_timerange.startts = int( data_load_timerange.startts = int(
time time
- self.freqai_config.get("train_period", 0) * SECONDS_IN_DAY - self.freqai_config.get("train_period_days", 0) * SECONDS_IN_DAY
- additional_seconds - additional_seconds
) )
data_load_timerange.stopts = int(time) data_load_timerange.stopts = int(time)
@ -930,7 +934,7 @@ class FreqaiDataKitchen:
refresh_backtest_ohlcv_data( refresh_backtest_ohlcv_data(
exchange, exchange,
pairs=self.all_pairs, pairs=self.all_pairs,
timeframes=self.freqai_config.get("timeframes"), timeframes=self.freqai_config.get("feature_parameters", {}).get("include_timeframes"),
datadir=self.config["datadir"], datadir=self.config["datadir"],
timerange=timerange, timerange=timerange,
new_pairs_days=new_pairs_days, new_pairs_days=new_pairs_days,
@ -948,12 +952,12 @@ class FreqaiDataKitchen:
:params: :params:
dataframe: DataFrame = strategy provided dataframe dataframe: DataFrame = strategy provided dataframe
""" """
feat_params = self.freqai_config.get("feature_parameters", {})
with self.dd.history_lock: with self.dd.history_lock:
history_data = self.dd.historic_data history_data = self.dd.historic_data
for pair in self.all_pairs: for pair in self.all_pairs:
for tf in self.freqai_config.get("timeframes"): for tf in feat_params.get("include_timeframes"):
# check if newest candle is already appended # check if newest candle is already appended
df_dp = strategy.dp.get_pair_dataframe(pair, tf) df_dp = strategy.dp.get_pair_dataframe(pair, tf)
@ -992,7 +996,8 @@ class FreqaiDataKitchen:
def set_all_pairs(self) -> None: def set_all_pairs(self) -> None:
self.all_pairs = copy.deepcopy(self.freqai_config.get("corr_pairlist", [])) self.all_pairs = copy.deepcopy(self.freqai_config.get(
'feature_parameters', {}).get('include_corr_pairlist', []))
for pair in self.config.get("exchange", "").get("pair_whitelist"): for pair in self.config.get("exchange", "").get("pair_whitelist"):
if pair not in self.all_pairs: if pair not in self.all_pairs:
self.all_pairs.append(pair) self.all_pairs.append(pair)
@ -1003,14 +1008,14 @@ class FreqaiDataKitchen:
Only called once upon startup of bot. Only called once upon startup of bot.
:params: :params:
timerange: TimeRange = full timerange required to populate all indicators timerange: TimeRange = full timerange required to populate all indicators
for training according to user defined train_period for training according to user defined train_period_days
""" """
history_data = self.dd.historic_data history_data = self.dd.historic_data
for pair in self.all_pairs: for pair in self.all_pairs:
if pair not in history_data: if pair not in history_data:
history_data[pair] = {} history_data[pair] = {}
for tf in self.freqai_config.get("timeframes"): for tf in self.freqai_config.get("feature_parameters", {}).get("include_timeframes"):
history_data[pair][tf] = load_pair_history( history_data[pair][tf] = load_pair_history(
datadir=self.config["datadir"], datadir=self.config["datadir"],
timeframe=tf, timeframe=tf,
@ -1028,7 +1033,7 @@ class FreqaiDataKitchen:
to the present pair. to the present pair.
:params: :params:
timerange: TimeRange = full timerange required to populate all indicators timerange: TimeRange = full timerange required to populate all indicators
for training according to user defined train_period for training according to user defined train_period_days
metadata: dict = strategy furnished pair metadata metadata: dict = strategy furnished pair metadata
""" """
@ -1036,9 +1041,10 @@ class FreqaiDataKitchen:
corr_dataframes: Dict[Any, Any] = {} corr_dataframes: Dict[Any, Any] = {}
base_dataframes: Dict[Any, Any] = {} base_dataframes: Dict[Any, Any] = {}
historic_data = self.dd.historic_data historic_data = self.dd.historic_data
pairs = self.freqai_config.get("corr_pairlist", []) pairs = self.freqai_config.get('feature_parameters', {}).get(
'include_corr_pairlist', [])
for tf in self.freqai_config.get("timeframes"): for tf in self.freqai_config.get("feature_parameters", {}).get("include_timeframes"):
base_dataframes[tf] = self.slice_dataframe(timerange, historic_data[pair][tf]) base_dataframes[tf] = self.slice_dataframe(timerange, historic_data[pair][tf])
if pairs: if pairs:
for p in pairs: for p in pairs:
@ -1057,7 +1063,7 @@ class FreqaiDataKitchen:
# DataFrame]: # DataFrame]:
# corr_dataframes: Dict[Any, Any] = {} # corr_dataframes: Dict[Any, Any] = {}
# base_dataframes: Dict[Any, Any] = {} # base_dataframes: Dict[Any, Any] = {}
# pairs = self.freqai_config.get('corr_pairlist', []) # + [metadata['pair']] # pairs = self.freqai_config.get('include_corr_pairlist', []) # + [metadata['pair']]
# # timerange = TimeRange.parse_timerange(new_timerange) # # timerange = TimeRange.parse_timerange(new_timerange)
# for tf in self.freqai_config.get('timeframes'): # for tf in self.freqai_config.get('timeframes'):
@ -1101,9 +1107,9 @@ class FreqaiDataKitchen:
dataframe: DataFrame = dataframe containing populated indicators dataframe: DataFrame = dataframe containing populated indicators
""" """
dataframe = base_dataframes[self.config["timeframe"]].copy() dataframe = base_dataframes[self.config["timeframe"]].copy()
pairs = self.freqai_config.get("corr_pairlist", []) pairs = self.freqai_config.get('feature_parameters', {}).get('include_corr_pairlist', [])
sgi = True sgi = True
for tf in self.freqai_config.get("timeframes"): for tf in self.freqai_config.get("feature_parameters", {}).get("include_timeframes"):
dataframe = strategy.populate_any_indicators( dataframe = strategy.populate_any_indicators(
pair, pair,
pair, pair,

12
freqtrade/freqai/freqai_interface.py
View File

@ -95,7 +95,7 @@ class IFreqaiModel(ABC):
dk = self.start_live(dataframe, metadata, strategy, self.dk) dk = self.start_live(dataframe, metadata, strategy, self.dk)
# For backtesting, each pair enters and then gets trained for each window along the # For backtesting, each pair enters and then gets trained for each window along the
# sliding window defined by "train_period" (training window) and "backtest_period" # sliding window defined by "train_period_days" (training window) and "live_retrain_hours"
# (backtest window, i.e. window immediately following the training window). # (backtest window, i.e. window immediately following the training window).
# FreqAI slides the window and sequentially builds the backtesting results before returning # FreqAI slides the window and sequentially builds the backtesting results before returning
# the concatenated results for the full backtesting period back to the strategy. # the concatenated results for the full backtesting period back to the strategy.
@ -143,11 +143,11 @@ class IFreqaiModel(ABC):
) -> FreqaiDataKitchen: ) -> FreqaiDataKitchen:
""" """
The main broad execution for backtesting. For backtesting, each pair enters and then gets The main broad execution for backtesting. For backtesting, each pair enters and then gets
trained for each window along the sliding window defined by "train_period" (training window) trained for each window along the sliding window defined by "train_period_days"
and "backtest_period" (backtest window, i.e. window immediately following the (training window) and "backtest_period_days" (backtest window, i.e. window immediately
training window). FreqAI slides the window and sequentially builds the backtesting results following the training window). FreqAI slides the window and sequentially builds
before returning the concatenated results for the full backtesting period back to the the backtesting results before returning the concatenated results for the full
strategy. backtesting period back to the strategy.
:params: :params:
dataframe: DataFrame = strategy passed dataframe dataframe: DataFrame = strategy passed dataframe
metadata: Dict = pair metadata metadata: Dict = pair metadata

21
freqtrade/freqai/prediction_models/CatboostPredictionModel.py
View File

@ -27,29 +27,11 @@ class CatboostPredictionModel(IFreqaiModel):
return dataframe return dataframe
def make_labels(self, dataframe: DataFrame, dk: FreqaiDataKitchen) -> DataFrame:
"""
User defines the labels here (target values).
:params:
:dataframe: the full dataframe for the present training period
"""
dataframe["s"] = (
dataframe["close"]
.shift(-self.feature_parameters["period"])
.rolling(self.feature_parameters["period"])
.mean()
/ dataframe["close"]
- 1
)
return dataframe["s"]
def train( def train(
self, unfiltered_dataframe: DataFrame, pair: str, dk: FreqaiDataKitchen self, unfiltered_dataframe: DataFrame, pair: str, dk: FreqaiDataKitchen
) -> Tuple[DataFrame, DataFrame]: ) -> Tuple[DataFrame, DataFrame]:
""" """
Filter the training data and train a model to it. Train makes heavy use of the datahkitchen 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. for storing, saving, loading, and analyzing the data.
:params: :params:
:unfiltered_dataframe: Full dataframe for the current training period :unfiltered_dataframe: Full dataframe for the current training period
@ -60,7 +42,6 @@ class CatboostPredictionModel(IFreqaiModel):
logger.info("--------------------Starting training " f"{pair} --------------------") logger.info("--------------------Starting training " f"{pair} --------------------")
# unfiltered_labels = self.make_labels(unfiltered_dataframe, dk)
# filter the features requested by user in the configuration file and elegantly handle NaNs # filter the features requested by user in the configuration file and elegantly handle NaNs
features_filtered, labels_filtered = dk.filter_features( features_filtered, labels_filtered = dk.filter_features(
unfiltered_dataframe, unfiltered_dataframe,

3
freqtrade/plugins/pairlist/pairlist_helpers.py
View File

@ -44,7 +44,8 @@ def expand_pairlist(wildcardpl: List[str], available_pairs: List[str],
def dynamic_expand_pairlist(config: dict, markets: list) -> List[str]: def dynamic_expand_pairlist(config: dict, markets: list) -> List[str]:
if config.get('freqai', {}): if config.get('freqai', {}):
full_pairs = config['pairs'] + [pair for pair in config['freqai']['corr_pairlist'] corr_pairlist = config['freqai']['feature_parameters']['include_corr_pairlist']
full_pairs = config['pairs'] + [pair for pair in corr_pairlist
if pair not in config['pairs']] if pair not in config['pairs']]
expanded_pairs = expand_pairlist(full_pairs, markets) expanded_pairs = expand_pairlist(full_pairs, markets)
else: else:

18
freqtrade/templates/FreqaiExampleStrategy.py
View File

@ -56,9 +56,9 @@ class FreqaiExampleStrategy(IStrategy):
def informative_pairs(self): def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist() whitelist_pairs = self.dp.current_whitelist()
corr_pairs = self.config["freqai"]["corr_pairlist"] corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"]
informative_pairs = [] informative_pairs = []
for tf in self.config["freqai"]["timeframes"]: for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]:
for pair in whitelist_pairs: for pair in whitelist_pairs:
informative_pairs.append((pair, tf)) informative_pairs.append((pair, tf))
for pair in corr_pairs: for pair in corr_pairs:
@ -93,7 +93,7 @@ class FreqaiExampleStrategy(IStrategy):
informative = self.dp.get_pair_dataframe(pair, tf) informative = self.dp.get_pair_dataframe(pair, tf)
# first loop is automatically duplicating indicators for time periods # first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods"]: for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
t = int(t) t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t) informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
@ -123,8 +123,6 @@ class FreqaiExampleStrategy(IStrategy):
) )
informative[f"%-{coin}roc-period_{t}"] = ta.ROC(informative, timeperiod=t) informative[f"%-{coin}roc-period_{t}"] = ta.ROC(informative, timeperiod=t)
macd = ta.MACD(informative, timeperiod=t)
informative[f"%-{coin}macd-period_{t}"] = macd["macd"]
informative[f"%-{coin}relative_volume-period_{t}"] = ( informative[f"%-{coin}relative_volume-period_{t}"] = (
informative["volume"] / informative["volume"].rolling(t).mean() informative["volume"] / informative["volume"].rolling(t).mean()
@ -136,7 +134,7 @@ class FreqaiExampleStrategy(IStrategy):
indicators = [col for col in informative if col.startswith("%")] indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data # This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["shift"] + 1): for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0: if n == 0:
continue continue
informative_shift = informative[indicators].shift(n) informative_shift = informative[indicators].shift(n)
@ -161,8 +159,8 @@ class FreqaiExampleStrategy(IStrategy):
# needs to be used such as templates/CatboostPredictionMultiModel.py # needs to be used such as templates/CatboostPredictionMultiModel.py
df["&-s_close"] = ( df["&-s_close"] = (
df["close"] df["close"]
.shift(-self.freqai_info["feature_parameters"]["period"]) .shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["period"]) .rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean() .mean()
/ df["close"] / df["close"]
- 1 - 1
@ -179,7 +177,7 @@ class FreqaiExampleStrategy(IStrategy):
# indicated by the user in the configuration file. # indicated by the user in the configuration file.
# All indicators must be populated by populate_any_indicators() for live functionality # All indicators must be populated by populate_any_indicators() for live functionality
# to work correctly. # to work correctly.
for tf in self.freqai_info["timeframes"]: for tf in self.freqai_info["feature_parameters"]["include_timeframes"]:
dataframe = self.populate_any_indicators( dataframe = self.populate_any_indicators(
metadata, metadata,
self.pair, self.pair,
@ -189,7 +187,7 @@ class FreqaiExampleStrategy(IStrategy):
set_generalized_indicators=sgi, set_generalized_indicators=sgi,
) )
sgi = False sgi = False
for pair in self.freqai_info["corr_pairlist"]: for pair in self.freqai_info["feature_parameters"]["include_corr_pairlist"]:
if metadata["pair"] in pair: if metadata["pair"] in pair:
continue # do not include whitelisted pair twice if it is in corr_pairlist continue # do not include whitelisted pair twice if it is in corr_pairlist
dataframe = self.populate_any_indicators( dataframe = self.populate_any_indicators(