import logging from typing import Any, Dict, Tuple import numpy as np import tensorflow as tf from pandas import DataFrame from tensorflow.keras.layers import Conv1D, Dense, Input from tensorflow.keras.models import Model from freqtrade.exceptions import OperationalException from freqtrade.freqai.base_models.BaseTensorFlowModel import BaseTensorFlowModel, WindowGenerator from freqtrade.freqai.data_kitchen import FreqaiDataKitchen logger = logging.getLogger(__name__) class CNNPredictionModel(BaseTensorFlowModel): """ User created prediction model. The class needs to override three necessary functions, predict(), fit(). """ def fit(self, data_dictionary: Dict[str, Any], dk: FreqaiDataKitchen) -> Any: """ User sets up the training and test data to fit their desired model here :params: :data_dictionary: the dictionary constructed by DataHandler to hold all the training and test data/labels. """ train_df = data_dictionary["train_features"] train_labels = data_dictionary["train_labels"] test_df = data_dictionary["test_features"] test_labels = data_dictionary["test_labels"] n_labels = len(train_labels.columns) if n_labels > 1: raise OperationalException( "Neural Net not yet configured for multi-targets. Please " " reduce number of targets to 1 in strategy." ) n_features = len(data_dictionary["train_features"].columns) BATCH_SIZE = self.model_training_parameters.get("batch_size", 64) # we need to remove batch_size from the model_training_params because # we dont want fit() to get the incorrect assignment (we use the WindowGenerator) # to handle our batches. if 'batch_size' in self.model_training_parameters: self.model_training_parameters.pop('batch_size') input_dims = [BATCH_SIZE, self.CONV_WIDTH, n_features] w1 = WindowGenerator( input_width=self.CONV_WIDTH, label_width=1, shift=1, train_df=train_df, val_df=test_df, train_labels=train_labels, val_labels=test_labels, batch_size=BATCH_SIZE, ) model = self.create_model(input_dims, n_labels) steps_per_epoch = np.ceil(len(test_df) / BATCH_SIZE) lr_schedule = tf.keras.optimizers.schedules.InverseTimeDecay( 0.001, decay_steps=steps_per_epoch * 1000, decay_rate=1, staircase=False ) early_stopping = tf.keras.callbacks.EarlyStopping( monitor="loss", patience=3, mode="min", min_delta=0.0001 ) model.compile( loss=tf.losses.MeanSquaredError(), optimizer=tf.optimizers.Adam(lr_schedule), metrics=[tf.metrics.MeanAbsoluteError()], ) if self.freqai_info.get('data_split_parameters', {}).get('test_size', 0.1) == 0: val_data = None else: val_data = w1.val model.fit( w1.train, **self.model_training_parameters, validation_data=val_data, callbacks=[early_stopping], verbose=1, ) return model def predict( self, unfiltered_dataframe: DataFrame, dk: FreqaiDataKitchen, first=True ) -> Tuple[DataFrame, DataFrame]: """ Filter the prediction features data and predict with it. :param: unfiltered_dataframe: Full dataframe for the current backtest period. :return: :predictions: np.array of predictions :do_predict: np.array of 1s and 0s to indicate places where freqai needed to remove data (NaNs) or felt uncertain about data (PCA and DI index) """ dk.find_features(unfiltered_dataframe) filtered_dataframe, _ = dk.filter_features( unfiltered_dataframe, dk.training_features_list, training_filter=False ) filtered_dataframe = dk.normalize_data_from_metadata(filtered_dataframe) dk.data_dictionary["prediction_features"] = filtered_dataframe # optional additional data cleaning/analysis self.data_cleaning_predict(dk) if first: full_df = dk.data_dictionary["prediction_features"] w1 = WindowGenerator( input_width=self.CONV_WIDTH, label_width=1, shift=1, test_df=full_df, batch_size=len(full_df), ) predictions = self.model.predict(w1.inference) len_diff = len(dk.do_predict) - len(predictions) if len_diff > 0: dk.do_predict = dk.do_predict[len_diff:] else: data = dk.data_dictionary["prediction_features"] data = tf.expand_dims(data, axis=0) predictions = self.model(data, training=False) predictions = predictions[:, 0, 0] pred_df = DataFrame(predictions, columns=dk.label_list) pred_df = dk.denormalize_labels_from_metadata(pred_df) return (pred_df, np.ones(len(pred_df))) def create_model(self, input_dims, n_labels) -> Any: input_layer = Input(shape=(input_dims[1], input_dims[2])) Layer_1 = Conv1D(filters=32, kernel_size=(self.CONV_WIDTH,), activation="relu")(input_layer) Layer_3 = Dense(units=32, activation="relu")(Layer_1) output_layer = Dense(units=n_labels)(Layer_3) return Model(inputs=input_layer, outputs=output_layer)