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202 Commits

Author SHA1 Message Date
Yinon Polak
8acdd0b47c type hints fixes 2023-03-06 19:14:54 +02:00
Yinon Polak
b1ac2bf515 use data loader, add evaluation on epoch 2023-03-06 16:16:45 +02:00
Yinon Polak
751b205618 initial commit 2023-03-05 16:59:24 +02:00
robcaulk
cb80d7c26f close the multi_proc env before creating new ones in an attempt to avoid increasing processes 2023-02-24 11:19:54 +01:00
robcaulk
4fc0edb8b7 add pair to environment for access inside calculate_reward 2023-02-10 14:45:50 +01:00
robcaulk
7b4abd5ef5 use a dictionary to make code more readable 2022-12-15 12:25:33 +01:00
Emre
2018da0767
Add env_info dict to base environment 2022-12-14 22:03:05 +03:00
robcaulk
2285ca7d2a add dp to multiproc 2022-12-14 18:22:20 +01:00
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