422 Commits

Author	SHA1	Message	Date
robcaulk	4b28d0495f	fix timestamping, move imports, add words to doc	2022-09-06 19:46:58 +02:00
Wagner Costa Santos	2c8e5b191b	fix hyperopt - freqai	2022-09-05 17:43:55 -03:00
Wagner Costa Santos	5b826150df	fix hyperopt - freqai	2022-09-05 17:43:28 -03:00
robcaulk	78d01810ed	reduce code redundancy, ensure live always gets the latest data	2022-09-05 00:12:00 +02:00
Wagner Costa Santos	d43ed186fc	fix issue with freqai backtesting at slice dataframe	2022-09-05 00:12:00 +02:00
Robert Caulk	956ea43e55	Merge pull request #7340 from wizrds/sigint-freqai ... Support SIGINT in FreqAI	2022-09-04 16:43:36 +02:00
robcaulk	ec76214d02	backup historical predictions pickle and load the backup in case of corruption	2022-09-04 15:56:07 +02:00
robcaulk	69b3fcfd32	Merge branch 'develop' into dev-merge-rl	2022-09-04 11:23:25 +02:00
robcaulk	27dce20b29	fix bug in Base4ActionRLEnv, improve example strats	2022-09-04 11:21:54 +02:00
Robert Caulk	8545d74378	Merge pull request #7331 from th0rntwig/pca ... Normalise PCA space	2022-09-03 21:49:54 +02:00
Timothy Pogue	dae3b3d86a	support shutting down freqai	2022-09-03 13:24:14 -06:00
robcaulk	5cfb4154eb	revert all changes in normalize_data()	2022-09-03 19:48:30 +02:00
Robert Caulk	63514b0443	Merge pull request #7325 from wagnercosta/develop ... Improve Freqai backtesting performance	2022-09-03 19:28:04 +02:00
robcaulk	c21808ff98	remove metadata redundancy, fix pca bug	2022-09-03 16:54:30 +02:00
robcaulk	c9be66b5b6	increase test coverage for dk, improve function naming, extra cleaning	2022-09-03 15:52:29 +02:00
Matthias	80b5f035ab	Remove typo in log message	2022-09-03 15:01:28 +02:00
robcaulk	599c1c79fb	reorganized backtest utilities, test new functionality, improve/update doc	2022-09-03 14:00:01 +02:00
Wagner Costa Santos	af5460cebf	Add option to keep models only in memory for backtest	2022-09-02 22:01:53 -03:00
th0rntwig	11b2bc269e	Added missing s	2022-09-01 22:37:32 +02:00
th0rntwig	3f8400df10	Normalise PCA space	2022-09-01 21:51:33 +02:00
Wagner Costa Santos	d6e115178a	refactoring freqai backtesting - remove duplicate code	2022-09-01 07:09:23 -03:00
Wagner Costa Santos	44d3a9140d	Merge branch 'develop' of https://github.com/wagnercosta/freqtrade into develop	2022-08-31 15:37:06 -03:00
Wagner Costa Santos	7bed0450d2	pr review - refactoring backtesting freqai	2022-08-31 15:36:29 -03:00
wagnercosta	3d4497467c	Merge branch 'freqtrade:develop' into develop	2022-08-31 14:47:06 -03:00
robcaulk	240b529533	fix tensorboard path so that users can track all historical models	2022-08-31 16:50:39 +02:00
Richard Jozsa	2493e0c8a5	Unnecessary lines in Base4, and changes for box space, to fit better for our needs (#7324)	2022-08-31 16:37:02 +02:00
Wagner Costa Santos	df51da22ee	refactoring freqai backtesting	2022-08-31 11:23:48 -03:00
Matthias	57ff6f8ac5	Init timerange object properly	2022-08-31 10:28:31 +00:00
Matthias	7ba4fda5d7	Implement PR feedback	2022-08-31 10:26:47 +00:00
Matthias	a88ffd2c9d	Merge branch 'develop' into move_datadownload	2022-08-31 10:23:45 +00:00
robcaulk	7e8e29e42d	use continuous value for inlier_metric	2022-08-30 20:41:37 +02:00
robcaulk	7f52908e87	ensure the lost points are prepended for FreqUI	2022-08-30 18:55:58 +02:00
robcaulk	a58dd0bbf9	add noise feature, improve docstrings	2022-08-30 18:26:24 +02:00
robcaulk	b11742a4c5	integrate inlier metric function	2022-08-30 18:26:24 +02:00
th0rntwig	d3cb211283	Add inlier metric computation	2022-08-30 18:26:24 +02:00
th0rntwig	50e2808667	Fix bug in DI (#7321)	2022-08-30 12:54:39 +02:00
robcaulk	62c0a174c8	allow users to properly reverse train-test data ordering	2022-08-29 11:04:58 +02:00
robcaulk	7766350c15	refactor environment inheritence tree to accommodate flexible action types/counts. fix bug in train profit handling	2022-08-28 19:21:57 +02:00
robcaulk	fcb5d1cb5a	remove debugging flag	2022-08-28 13:01:39 +02:00
robcaulk	dd628eb525	add tests for outlier detection and removal functions	2022-08-28 12:56:39 +02:00
robcaulk	1e41c773a0	fix outlier protection	2022-08-28 12:11:29 +02:00
th0rntwig	71f7d68783	Fixed mypy error	2022-08-27 12:44:55 +02:00
elintornquist	86c5ac44e4	Add outlier percentage check	2022-08-26 23:05:07 +02:00
elintornquist	b2d664c63c	Change MinPts calculation	2022-08-26 18:57:27 +02:00
robcaulk	bb3523f383	download data homogeneously across timeframes	2022-08-26 18:51:42 +02:00
robcaulk	e7261cf515	add freqai utils.py file	2022-08-26 15:30:28 +02:00
robcaulk	65b552e310	make docs reflect reality, move download_all_data to new utils.py file, automatic startup_candle detection	2022-08-26 15:30:01 +02:00
robcaulk	4b7e640f31	reduce code duplication, optimize auto data download per tf	2022-08-26 13:56:44 +02:00
robcaulk	baa4f8e3d0	remove Base3ActionEnv in favor of Base4Action	2022-08-26 11:04:25 +02:00
richardjozsa	d31926efdf	Added Base4Action	2022-08-26 11:04:25 +02:00
robcaulk	3199eb453b	reduce code for base use-case, ensure multiproc inherits custom env, add ability to limit ram use.	2022-08-25 19:05:51 +02:00
robcaulk	05ccebf9a1	automate eval freq in multiproc	2022-08-25 12:29:48 +02:00
robcaulk	94cfc8e63f	fix multiproc callback, add continual learning to multiproc, fix totalprofit bug in env, set eval_freq automatically, improve default reward	2022-08-25 11:46:18 +02:00
robcaulk	d1bee29b1e	improve default reward, fix bugs in environment	2022-08-24 18:32:40 +02:00
robcaulk	a61821e1c6	remove monitor log	2022-08-24 16:33:13 +02:00
robcaulk	bd870e2331	fix monitor bug, set default values in case user doesnt set params	2022-08-24 16:32:14 +02:00
robcaulk	c0cee5df07	add continual retraining feature, handly mypy typing reqs, improve docstrings	2022-08-24 13:00:55 +02:00
robcaulk	b708134c1a	switch multiproc thread count to rl_config definition	2022-08-24 13:00:55 +02:00
robcaulk	b26ed7dea4	fix generic reward, add time duration to reward	2022-08-24 13:00:55 +02:00
robcaulk	280a1dc3f8	add live rate, add trade duration	2022-08-24 13:00:55 +02:00
robcaulk	f9a49744e6	add strategy to the freqai object	2022-08-24 13:00:55 +02:00
richardjozsa	a2a4bc05db	Fix the state profit calculation logic	2022-08-24 13:00:55 +02:00
robcaulk	29f0e01c4a	expose environment reward parameters to the user config	2022-08-24 13:00:55 +02:00
robcaulk	d88a0dbf82	add sb3_contrib models to the available agents. include sb3_contrib in requirements.	2022-08-24 13:00:55 +02:00
robcaulk	8b3a8234ac	fix env bug, allow example strat to short	2022-08-24 13:00:55 +02:00
mrzdev	8cd4daad0a	Feat/freqai rl dev (#7) ... * access trades through get_trades_proxy method to allow backtesting	2022-08-24 13:00:55 +02:00
robcaulk	3eb897c2f8	reuse callback, allow user to acces all stable_baselines3 agents via config	2022-08-24 13:00:55 +02:00
robcaulk	4b9499e321	improve nomenclature and fix short exit bug	2022-08-24 13:00:55 +02:00
sonnhfit	4baa36bdcf	fix persist a single training environment for PPO	2022-08-24 13:00:55 +02:00
robcaulk	f95602f6bd	persist a single training environment.	2022-08-24 13:00:55 +02:00
robcaulk	5d4e5e69fe	reinforce training with state info, reinforce prediction with state info, restructure config to accommodate all parameters from any user imported model type. Set 5Act to default env on TDQN. Clean example config.	2022-08-24 13:00:55 +02:00
sonnhfit	7962a1439b	remove keep low profit	2022-08-24 13:00:55 +02:00
sonnhfit	81b5aa66e8	make env keep current position when low profit	2022-08-24 13:00:55 +02:00
sonnhfit	45218faeb0	fix coding convention	2022-08-24 13:00:55 +02:00
robcaulk	b90da46b1b	improve price df handling to enable backtesting	2022-08-24 13:00:55 +02:00
MukavaValkku	2080ff86ed	5ac base fixes in logic	2022-08-24 13:00:55 +02:00
robcaulk	16cec7dfbd	fix save/reload functionality for stablebaselines	2022-08-24 13:00:55 +02:00
sonnhfit	0475b7cb18	remove unuse code and fix coding conventions	2022-08-24 13:00:55 +02:00
MukavaValkku	d60a166fbf	multiproc TDQN with xtra callbacks	2022-08-24 13:00:55 +02:00
robcaulk	dd382dd370	add monitor to eval env so that multiproc can save best_model	2022-08-24 13:00:55 +02:00
robcaulk	69d542d3e2	match config and strats to upstream freqai	2022-08-24 13:00:55 +02:00
robcaulk	e5df39e891	ensuring best_model is placed in ram and saved to disk and loaded from disk	2022-08-24 13:00:55 +02:00
robcaulk	bf7ceba958	set cpu threads in config	2022-08-24 13:00:55 +02:00
MukavaValkku	57c488a6f1	learning_rate + multicpu changes	2022-08-24 13:00:55 +02:00
robcaulk	acf3484e88	add multiprocessing variant of ReinforcementLearningPPO	2022-08-24 13:00:55 +02:00
MukavaValkku	cf0731095f	type fix	2022-08-24 13:00:55 +02:00
MukavaValkku	1c81ec6016	3ac and 5ac example strategies	2022-08-24 13:00:55 +02:00
MukavaValkku	13cd18dc9a	PPO policy change + verbose=1	2022-08-24 13:00:55 +02:00
robcaulk	926023935f	make base 3ac and base 5ac environments. TDQN defaults to 3AC.	2022-08-24 13:00:55 +02:00
MukavaValkku	096533bcb9	3ac to 5ac	2022-08-24 13:00:55 +02:00
MukavaValkku	718c9d0440	action fix	2022-08-24 13:00:55 +02:00
robcaulk	9c78e6c26f	base PPO model only customizes reward for 3AC	2022-08-24 13:00:55 +02:00
robcaulk	6048f60f13	get TDQN working with 5 action environment	2022-08-24 13:00:55 +02:00
robcaulk	d4db5c3281	ensure TDQN class is properly named	2022-08-24 13:00:55 +02:00
robcaulk	91683e1dca	restructure RL so that user can customize environment	2022-08-24 13:00:55 +02:00
sonnhfit	ecd1f55abc	add rl module	2022-08-24 13:00:55 +02:00
MukavaValkku	9b895500b3	initial commit - new dev branch	2022-08-24 13:00:55 +02:00
MukavaValkku	cd3fe44424	callback function and TDQN model added	2022-08-24 13:00:55 +02:00
MukavaValkku	01232e9a1f	callback function and TDQN model added	2022-08-24 13:00:55 +02:00
MukavaValkku	8eeaab2746	add reward function	2022-08-24 13:00:55 +02:00
MukavaValkku	ec813434f5	ReinforcementLearningModel	2022-08-24 13:00:55 +02:00
MukavaValkku	2f4d73eb06	Revert "ReinforcementLearningModel" ... This reverts commit 4d8dfe1ff1daa47276eda77118ddf39c13512a85.	2022-08-24 13:00:55 +02:00
MukavaValkku	c1e7db3130	ReinforcementLearningModel	2022-08-24 13:00:55 +02:00
robcaulk	05ed1b544f	Working base for reinforcement learning model	2022-08-24 13:00:40 +02:00
th0rntwig	5ce1c69803	Improve DBSCAN epsilon identification (#7269) ... * Improve DBSCAN epsilon identification	2022-08-22 19:57:20 +02:00
robcaulk	ac42c0153d	deprecate indicator_max_period_candles, automatically compute startup candles for FreqAI backtesting.	2022-08-22 18:19:07 +02:00
robcaulk	96d8882f1e	Plug mem leak, add training timer	2022-08-22 13:30:30 +02:00
longyu	cfa5b3f12c	add new line	2022-08-19 12:39:08 +02:00
longyu	277245c69d	remove line	2022-08-19 12:39:00 +02:00
longyu	f70b0bab80	remove line	2022-08-17 23:49:20 +02:00
robcaulk	5155afb4e7	clean up code remnants	2022-08-17 15:22:48 +02:00
robcaulk	0c34104e45	extract download-data from freqai to prepare for future async changes	2022-08-17 15:18:44 +02:00
longyu	9c38c27eed	ignore sample itself distance for avg_mean_dist computation	2022-08-17 15:09:57 +02:00
longyu	72c34291e3	newline	2022-08-17 15:09:10 +02:00
robcaulk	4c0fda400f	fix input shape warning for LGBMClassifier, add sample_weights/eval_weights	2022-08-16 11:41:53 +02:00
Matthias	c7e1719215	Fix interface import sorting	2022-08-15 06:53:02 +02:00
robcaulk	006b11e5d5	fix leftover bug in indicator population	2022-08-14 21:42:55 +02:00
robcaulk	8961b8d560	merge in inference timer and historic predictions handling improvements.	2022-08-14 20:31:15 +02:00
robcaulk	ad846cdb76	fix lock bug, update docstring	2022-08-14 20:24:29 +02:00
Matthias	464d99808f	Update doc table formatting	2022-08-14 18:22:01 +02:00
Matthias	a29402ddde	Rename and move analysis_lock to data_kitchen	2022-08-14 17:23:14 +02:00
Matthias	3a9ec76c91	Move "freqai.lock" to backend to simplify user interface	2022-08-14 17:19:50 +02:00
Robert Caulk	c9c128f781	finalize logo, improve doc, improve algo overview, fix base tensorflowmodel for mypy	2022-08-14 02:49:01 +02:00
robcaulk	58de20af0f	make BaseClassifierModel. Add predict_proba to lightgbm	2022-08-13 20:07:31 +02:00
robcaulk	31be707cc8	clean up code, add docstrings	2022-08-13 19:40:24 +02:00
robcaulk	3e38c1b0bd	take dynamic sized tail off historic_predictions as return dataframe to strategy.	2022-08-13 19:40:24 +02:00
robcaulk	7d448fd4ac	allow fit_live_predictions access to current pair	2022-08-13 19:40:24 +02:00
robcaulk	1f192be43b	avoid denormalizing labels twice	2022-08-13 19:40:24 +02:00
robcaulk	b1b76a2dbe	debug classifier with predict proba	2022-08-13 19:40:24 +02:00
robcaulk	23cc21ce59	add predict_proba to base classifier, improve historic predictions handling	2022-08-13 19:40:24 +02:00
robcaulk	fb4b73ce89	ensure dates are saved	2022-08-12 12:03:44 +02:00
robcaulk	2cae3c42e6	remove trade database analyzer, clean up a bit	2022-08-10 17:43:06 +02:00
robcaulk	5a16d5a512	Deactivate database analyzer if user does not use sqlite	2022-08-09 16:36:22 +02:00
robcaulk	e7de812948	Allow user to user pair_dict for persistent storage of custom data	2022-08-09 16:03:10 +02:00
robcaulk	aef086b02e	Improved dict typing, timeframe parser, collect dates associated with training data points	2022-08-09 15:30:25 +02:00
Matthias	77b3b8a134	Use main exchange instead of creating a separate instance.	2022-08-08 18:34:11 +00:00
robcaulk	ea64f43e52	bring back auto DF resizing for okx	2022-08-08 01:13:13 +02:00
robcaulk	eb8bde37c1	Add lightgbm classifier, add classifier check test, fix classifier bug.	2022-08-06 17:51:21 +02:00
Matthias	47a30047eb	Fix typo	2022-08-06 15:03:10 +02:00
Matthias	b16f57cb0d	Minor stylistic fixes	2022-08-06 14:55:46 +02:00
Robert Caulk	c172ce1011	improve flexibility of user defined prediction dataframe	2022-08-06 13:51:19 +02:00
Robert Caulk	07763d0d4f	add classifier, improve model naming scheme	2022-08-06 08:33:55 +02:00
Robert Caulk	ce8fbbf743	ensure loading historical df matches frequi indices	2022-08-06 07:25:59 +02:00
robcaulk	60d782e5c5	remove unnecessary function	2022-08-05 21:31:32 +02:00
robcaulk	a42a060ab5	fix DB once and for all. Make DBSCAN more efficient and robust.	2022-08-05 21:29:03 +02:00
Robert Caulk	a3799c4d5d	start frequi with historical data if available	2022-08-05 18:27:47 +02:00
robcaulk	29b7b014e5	fix bug in DB path initialization	2022-08-05 18:19:26 +02:00
robcaulk	db1d367941	fix bug associated to fit_live_predictions_candles	2022-08-05 13:46:20 +02:00
robcaulk	05ec5c5e54	generalize database url path for any db type	2022-08-05 12:19:29 +02:00
Robert Caulk	51a6b4289f	improve DBSCAN performance for subsequent trainings	2022-08-04 17:41:58 +02:00