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add noise feature, improve docstrings

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This commit is contained in:
robcaulk 2022-08-19 18:35:24 +02:00
parent 98c62dad91
commit 755041c134
2 changed files with 18 additions and 11 deletions
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11
freqtrade/freqai/data_kitchen.py
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@ -752,6 +752,17 @@ class FreqaiDataKitchen:
self.data_dictionary[f'{set_}_features'] = features.iloc[no_prev_pts:]
self.data_dictionary[f'{set_}_labels'] = labels.iloc[no_prev_pts:]
def add_noise_to_training_features(self) -> None:
"""
Add noise to train features to reduce the risk of overfitting.
"""
mu = 0 # no shift
sigma = self.freqai_config["feature_parameters"]["noise_standard_deviation"]
compute_df = self.data_dictionary['train_features']
noise = np.random.normal(mu, sigma, [compute_df.shape[0], compute_df.shape[1]])
self.data_dictionary['train_features'] += noise
return
def find_features(self, dataframe: DataFrame) -> None:
"""
Find features in the strategy provided dataframe

18
freqtrade/freqai/freqai_interface.py
View File

@ -385,10 +385,9 @@ class IFreqaiModel(ABC):
def data_cleaning_train(self, dk: FreqaiDataKitchen) -> None:
"""
Base data cleaning method for train
Any function inside this method should drop training data points from the filtered_dataframe
based on user decided logic. See FreqaiDataKitchen::use_SVM_to_remove_outliers() for an
example of how outlier data points are dropped from the dataframe used for training.
Base data cleaning method for train.
Functions here improve/modify the input data by identifying outliers,
computing additional metrics, adding noise, reducing dimensionality etc.
"""
ft_params = self.freqai_info["feature_parameters"]
@ -417,16 +416,13 @@ class IFreqaiModel(ABC):
if self.freqai_info["data_split_parameters"]["test_size"] > 0:
dk.compute_inlier_metric(set_='test')
if self.freqai_info["feature_parameters"].get('noise_standard_deviation', 0):
dk.add_noise_to_training_features()
def data_cleaning_predict(self, dk: FreqaiDataKitchen, dataframe: DataFrame) -> None:
"""
Base data cleaning method for predict.
These functions each modify dk.do_predict, which is a dataframe with equal length
to the number of candles coming from and returning to the strategy. Inside do_predict,
1 allows prediction and < 0 signals to the strategy that the model is not confident in
the prediction.
See FreqaiDataKitchen::remove_outliers() for an example
of how the do_predict vector is modified. do_predict is ultimately passed back to strategy
for buy signals.
Functions here are complementary to the functions of data_cleaning_train.
"""
ft_params = self.freqai_info["feature_parameters"]