robcaulk
|
0f6b98b69a
|
merge develop into tensorboard cleanup
|
2022-12-11 15:38:32 +01:00 |
|
robcaulk
|
0fd8e214e4
|
add documentation for tensorboard_log, change how users interact with tensorboard_log
|
2022-12-11 15:31:29 +01:00 |
|
initrv
|
cb8fc3c8c7
|
custom info to tensorboard_metrics
|
2022-12-11 15:37:45 +03:00 |
|
Emre
|
272c3302e3
|
Merge remote-tracking branch 'origin/develop' into update-freqai-tf-handling
|
2022-12-11 13:12:45 +03:00 |
|
initrv
|
58604c747e
|
cleanup tensorboard callback
|
2022-12-07 14:37:55 +03:00 |
|
Emre
|
e734b39929
|
Make model_training_parameters optional
|
2022-12-05 14:54:42 +03:00 |
|
robcaulk
|
24766928ba
|
reorganize/generalize tensorboard callback
|
2022-12-04 13:54:30 +01:00 |
|
smarmau
|
d6f45a12ae
|
add multiproc fix flake8
|
2022-12-03 22:30:04 +11:00 |
|
smarmau
|
075c8c23c8
|
add state/action info to callbacks
|
2022-12-03 21:16:04 +11:00 |
|
robcaulk
|
81fd2e588f
|
ensure typing, remove unsued code
|
2022-11-26 12:11:59 +01:00 |
|
robcaulk
|
8dbfd2cacf
|
improve docstring clarity about how to inherit from ReinforcementLearner, demonstrate inherittance with ReinforcementLearner_multiproc
|
2022-11-26 11:51:08 +01:00 |
|
robcaulk
|
6394ef4558
|
fix docstrings
|
2022-11-13 17:43:52 +01:00 |
|
robcaulk
|
7a4bb040a5
|
merge develop into feat/freqai-rl-dev
|
2022-11-12 10:54:34 +01:00 |
|
Robert Caulk
|
833578716c
|
Merge pull request #7644 from markdregan/multi-target-classifier
Support for multi target multi-class classification (FreqaiMultiOutputRegressor for Classification)
|
2022-11-11 18:48:38 +01:00 |
|
robcaulk
|
66514e84e4
|
add LightGBMClassifierMultiTarget. add test
|
2022-11-11 17:45:53 +01:00 |
|
robcaulk
|
d1a0874683
|
merge develop into feat/freqai-rl-dev
|
2022-10-30 10:13:03 +01:00 |
|
Mark Regan
|
217add70bd
|
add strat and config for testing on PR
|
2022-10-25 20:07:39 +01:00 |
|
Mark Regan
|
47056eded3
|
multi target classifier working but not for parallel
|
2022-10-25 18:24:27 +01:00 |
|
Matthias
|
1ef38f137d
|
Fix XGBoost regressor "used before assignment"
|
2022-10-25 13:37:04 +02:00 |
|
Matthias
|
6669714a73
|
Update mal-formatted docstrings
|
2022-10-24 18:12:17 +02:00 |
|
Matthias
|
441032be25
|
Fix sys.stdout bug for CatboostRegressorMultiTarget
|
2022-10-17 19:48:27 +02:00 |
|
Matthias
|
6cb14148aa
|
Fix random test failure due to catboost bug
https://github.com/catboost/catboost/issues/2195
|
2022-10-17 07:00:44 +02:00 |
|
Robert Caulk
|
62ca822597
|
Merge pull request #7569 from Silur/develop
Add XGBoost random forest predictors to freqai
|
2022-10-15 16:09:26 +02:00 |
|
Emre
|
7f05b44376
|
Add eval set to CatboostClassifier
|
2022-10-13 23:01:09 +03:00 |
|
robcaulk
|
dba1b573bc
|
remove tensorboard dir from other pred models
|
2022-10-11 19:49:24 +02:00 |
|
robcaulk
|
5b5bb8aab5
|
catboost tensorboard bugfix
|
2022-10-11 19:05:46 +02:00 |
|
Robert Caulk
|
7bcb7d9a1a
|
Merge pull request #7554 from initrv/add-catboost-tensorboard
Add tensorboard for catboost
|
2022-10-10 21:03:45 +02:00 |
|
silur
|
2ad086dd7a
|
add XGBoost random forest predictors to freqai
|
2022-10-10 14:38:43 +02:00 |
|
Matthias
|
eaae9c9e03
|
Update docstring format
|
2022-10-10 12:19:29 +00:00 |
|
Matthias
|
60de192d47
|
Update Classifier docstrings
|
2022-10-10 12:13:41 +00:00 |
|
robcaulk
|
a4aa1b972c
|
isolate and standardize location of tensorboard files, add doc, ensure backtesting functionality
|
2022-10-09 21:11:37 +02:00 |
|
robcaulk
|
8d7adfabe9
|
clean RL tests to avoid dir pollution and increase speed
|
2022-10-08 12:10:38 +02:00 |
|
initrv
|
86c781798a
|
Add сatboost train_dir for tensorboard
|
2022-10-06 19:59:35 +03:00 |
|
robcaulk
|
936ca24482
|
separate RL install from general FAI install, update docs
|
2022-10-05 15:58:54 +02:00 |
|
robcaulk
|
83343dc2f1
|
control number of threads, update doc
|
2022-09-29 00:10:18 +02:00 |
|
Timothy Pogue
|
099137adac
|
remove hasattr calls
|
2022-09-27 22:35:15 -06:00 |
|
Timothy Pogue
|
9e36b0d2ea
|
fix formatting
|
2022-09-27 22:02:33 -06:00 |
|
Timothy Pogue
|
caa47a2f47
|
close subproc env on shutdown
|
2022-09-28 03:06:05 +00:00 |
|
robcaulk
|
647200e8a7
|
isort
|
2022-09-23 19:30:56 +02:00 |
|
robcaulk
|
77c360b264
|
improve typing, improve docstrings, ensure global tests pass
|
2022-09-23 19:17:27 +02:00 |
|
robcaulk
|
ea8e34e192
|
Merge branch 'develop' into dev-merge-rl
|
2022-09-22 19:46:50 +02:00 |
|
robcaulk
|
8aac644009
|
add tests. add guardrails.
|
2022-09-15 00:46:35 +02:00 |
|
robcaulk
|
81417cb795
|
Merge branch 'develop' into dev-merge-rl
|
2022-09-14 22:49:11 +02:00 |
|
Emre
|
330d7068ab
|
Merge branch 'develop' into add-xgboostclassifier
|
2022-09-10 23:59:11 +03:00 |
|
robcaulk
|
5a0cfee27e
|
allow user to multithread jobs (advanced users only)
|
2022-09-10 22:16:49 +02:00 |
|
Emre
|
60eb02bb62
|
Add XGBoostClassifier
|
2022-09-10 20:13:16 +03:00 |
|
robcaulk
|
10b6aebc5f
|
enable continual learning and evaluation sets on multioutput models.
|
2022-09-10 16:54:13 +02:00 |
|
robcaulk
|
a826c0eb83
|
ensure signatures match, reduce verbosity
|
2022-09-09 19:30:53 +02:00 |
|
Emre
|
acb410a0de
|
Remove verbosity params
|
2022-09-09 19:30:53 +02:00 |
|
Emre
|
df6e43d2c5
|
Add XGBoostRegressorMultiTarget class
|
2022-09-09 19:30:53 +02:00 |
|
Emre
|
1b6410d7d1
|
Add XGBoostRegressor for freqAI, fix mypy errors
|
2022-09-09 19:30:53 +02:00 |
|
robcaulk
|
4c9ac6b7c0
|
add kwargs, reduce duplicated code
|
2022-09-07 18:58:55 +02:00 |
|
robcaulk
|
97077ba18a
|
add continual learning to catboost and friends
|
2022-09-06 20:30:46 +02:00 |
|
robcaulk
|
240b529533
|
fix tensorboard path so that users can track all historical models
|
2022-08-31 16:50:39 +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
|
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
|
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
|
29f0e01c4a
|
expose environment reward parameters to the user config
|
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 |
|
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 |
|
robcaulk
|
b90da46b1b
|
improve price df handling to enable backtesting
|
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
|
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
|
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 |
|
robcaulk
|
4c0fda400f
|
fix input shape warning for LGBMClassifier, add sample_weights/eval_weights
|
2022-08-16 11:41:53 +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
|
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
|
eb8bde37c1
|
Add lightgbm classifier, add classifier check test, fix classifier bug.
|
2022-08-06 17:51:21 +02:00 |
|
Robert Caulk
|
07763d0d4f
|
add classifier, improve model naming scheme
|
2022-08-06 08:33:55 +02:00 |
|
robcaulk
|
f22b140782
|
fix backtesting bug, undo move of label stat calc, fix example strat exit logic
|
2022-07-29 17:27:35 +02:00 |
|
robcaulk
|
59624181bd
|
isort BaseRegressionModel imports
|
2022-07-29 08:23:44 +02:00 |
|
robcaulk
|
c84d54b35e
|
Fix typing issue, avoid using .get() when unnecessary, convert to fstrings
|
2022-07-29 08:12:50 +02:00 |
|
robcaulk
|
324e54c015
|
fix possible memory leak associated with Catboost Pool object
|
2022-07-26 17:29:29 +02:00 |
|
robcaulk
|
3f149c4067
|
fix return type in BaseTensorFlowModel
|
2022-07-26 16:01:54 +02:00 |
|
robcaulk
|
e213d0ad55
|
isolate data_drawer functions from data_kitchen, accommodate tests, add new test
|
2022-07-26 10:24:14 +02:00 |
|
robcaulk
|
56b17e6f3c
|
allow user to pass test_size = 0 and avoid using eval sets in prediction models
|
2022-07-25 19:40:13 +02:00 |
|
Robert Caulk
|
7b105532d1
|
fix mypy error and add test for principal component analysis
|
2022-07-25 11:46:59 +02:00 |
|
Matthias
|
520ee3f7a1
|
Convert freqAI into packages
|
2022-07-24 17:07:45 +02:00 |
|
Matthias
|
1885deb632
|
More docstring changes
|
2022-07-24 16:54:39 +02:00 |
|
Robert Caulk
|
88e10f7306
|
add exception for not passing timerange. Remove hard coded arguments for CatboostPredictionModels. Update docs
|
2022-07-24 09:01:23 +02:00 |
|
robcaulk
|
f3d46613ee
|
move prediction denormalization into datakitchen. remove duplicate associated code. avoid normalization/denormalization for string dtypes.
|
2022-07-23 17:14:33 +02:00 |
|
robcaulk
|
98c8a447b2
|
add LightGBMPredictionMultiModel
|
2022-07-22 12:40:51 +02:00 |
|
lolong
|
9c051958a6
|
Feat/freqai (#7105)
Vectorize weight setting, log training dates
Co-authored-by: robcaulk <rob.caulk@gmail.com>
|
2022-07-19 17:49:18 +02:00 |
|
lolong
|
ed0f8b1189
|
Improve FreqAI documentation (#7072)
Improve doc + some other small fixes
Co-authored-by: robcaulk <rob.caulk@gmail.com>
|
2022-07-18 11:57:52 +02:00 |
|
robcaulk
|
4141d165ff
|
add BaseTensorFlowModel class
|
2022-07-12 19:10:09 +02:00 |
|
robcaulk
|
ef409dd345
|
Add ground work for TensorFlow models, add protections from common mistakes
|
2022-07-12 18:09:17 +02:00 |
|
Robert Caulk
|
fea63fba12
|
Fix saving/loading historic predictions
|
2022-07-12 10:12:50 +02:00 |
|
Robert Caulk
|
8ce6b18318
|
start collecting indefinite history of predictions. Allow user to generate statistics on these predictions. Direct FreqAI to save these to disk and reload them if available.
|
2022-07-11 22:01:48 +02:00 |
|
Matthias
|
3fc92b1b21
|
Create BaseRegression model - designed to reduce code duplication across currently available models.
|
2022-07-11 11:33:59 +02:00 |
|
Robert Caulk
|
607455919e
|
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!!)
|
2022-07-10 12:35:44 +02:00 |
|
Matthias
|
819cc9c0e4
|
Fully align LightGBM with Catboost
|
2022-07-10 11:06:18 +02:00 |
|
Matthias
|
58b18770e3
|
Fix LightGBM missing argument in predict method
|
2022-07-10 11:05:35 +02:00 |
|
Matthias
|
2e1061af64
|
Fix faulty LightGBM model
|
2022-07-09 08:21:42 +00:00 |
|
robcaulk
|
8ac8d53c32
|
All LGBMRegressor model parameters are now set in config
|
2022-07-03 16:30:01 +02:00 |
|
robcaulk
|
ffb39a5029
|
black formatting on freqai files
|
2022-07-03 10:59:38 +02:00 |
|
robcaulk
|
106131ff0f
|
Rehaul organization of return values
|
2022-07-02 18:09:38 +02:00 |
|
robcaulk
|
051b99791d
|
reduce unnecessary verbosity, fix error on first training sweep, add LightGBMPredictionModel
|
2022-06-26 19:04:23 +02:00 |
|
robcaulk
|
f631ae911b
|
add model expiration feature, fix bug in DI return values
|
2022-06-17 14:55:40 +02:00 |
|
robcaulk
|
c5de0c49e4
|
first functional scanning commit
|
2022-06-16 00:24:18 +02:00 |
|
Matthias
|
c981ad4608
|
Fix missing space
|
2022-06-12 08:31:02 +02:00 |
|
robcaulk
|
15d049cffe
|
detect if upper tf candles are new or not, append if so. Correct the epoch for candle update check
|
2022-06-07 19:49:20 +02:00 |
|
robcaulk
|
f2762e3b4b
|
fix bug in return_values()
|
2022-06-03 16:58:51 +02:00 |
|
robcaulk
|
16b4a5b71f
|
rehaul of backend data management - increasing performance by holding history in memory, reducing load on the ratelimit by only pinging exchange once per candle. Improve code readability.
|
2022-06-03 15:19:46 +02:00 |
|
robcaulk
|
c5a16e91fb
|
throw user error if user tries to load models but feeds the wrong features (while using PCA)
|
2022-05-28 11:11:41 +02:00 |
|
robcaulk
|
6193205012
|
fix bug for target_mean/std array merging in backtesting
|
2022-05-26 21:07:50 +02:00 |
|
robcaulk
|
255d35976e
|
add priority metadata to pairs to avoid a sync of train time + train period
|
2022-05-24 12:58:53 +02:00 |
|
robcaulk
|
059c285425
|
paying closer attention to managing live retraining on separate thread without affecting prediction of other coins on master thread
|
2022-05-24 12:01:01 +02:00 |
|
robcaulk
|
b0d2d13eb1
|
improve data persistence/mapping for live/dry. This accommodates quick reloads after crash and handles multi-pair cleanly
|
2022-05-23 21:05:05 +02:00 |
|
robcaulk
|
e1c068ca66
|
add config asserts, use .get method with default values for optional functionality, move data_cleaning_* to freqai_interface (away from user custom pred model) since it is controlled by config params.
|
2022-05-23 12:07:09 +02:00 |
|
robcaulk
|
af0cc21af9
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Enable hourly/minute retraining in live/dry. Suppress catboost folder output. Update config + constants + docs to reflect updates.
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2022-05-23 00:06:26 +02:00 |
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robcaulk
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42d95af829
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Aggregated commit. Adding support vector machine for outlier detection, improve user interface to dry/live, better standardization, fix various other bugs
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2022-05-22 17:51:49 +02:00 |
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robcaulk
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d1d451c27e
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auto populate features based on a prepended % in the strategy (remove feature assignment from config). Update doc/constants/example strategy to reflect change
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2022-05-17 18:15:03 +02:00 |
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robcaulk
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8664e8f9a3
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create a prediction_models folder where basic prediction models can live (similar to optimize/hyperopt-loss. Update resolver/docs/and gitignore to accommodate change
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2022-05-17 17:13:38 +02:00 |
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