freqtrade_origin/freqtrade/freqai/prediction_models/PyTorchMLPRegressor.py
2024-05-13 07:10:25 +02:00

84 lines
3.1 KiB
Python

from typing import Any, Dict
import torch
from freqtrade.freqai.base_models.BasePyTorchRegressor import BasePyTorchRegressor
from freqtrade.freqai.data_kitchen import FreqaiDataKitchen
from freqtrade.freqai.torch.PyTorchDataConvertor import (
DefaultPyTorchDataConvertor,
PyTorchDataConvertor,
)
from freqtrade.freqai.torch.PyTorchMLPModel import PyTorchMLPModel
from freqtrade.freqai.torch.PyTorchModelTrainer import PyTorchModelTrainer
class PyTorchMLPRegressor(BasePyTorchRegressor):
"""
This class implements the fit method of IFreqaiModel.
in the fit method we initialize the model and trainer objects.
the only requirement from the model is to be aligned to PyTorchRegressor
predict method that expects the model to predict tensor of type float.
the trainer defines the training loop.
parameters are passed via `model_training_parameters` under the freqai
section in the config file. e.g:
{
...
"freqai": {
...
"model_training_parameters" : {
"learning_rate": 3e-4,
"trainer_kwargs": {
"n_steps": 5000,
"batch_size": 64,
"n_epochs": null,
},
"model_kwargs": {
"hidden_dim": 512,
"dropout_percent": 0.2,
"n_layer": 1,
},
}
}
}
"""
@property
def data_convertor(self) -> PyTorchDataConvertor:
return DefaultPyTorchDataConvertor(target_tensor_type=torch.float)
def __init__(self, **kwargs) -> None:
super().__init__(**kwargs)
config = self.freqai_info.get("model_training_parameters", {})
self.learning_rate: float = config.get("learning_rate", 3e-4)
self.model_kwargs: Dict[str, Any] = config.get("model_kwargs", {})
self.trainer_kwargs: Dict[str, Any] = config.get("trainer_kwargs", {})
def fit(self, data_dictionary: Dict, dk: FreqaiDataKitchen, **kwargs) -> Any:
"""
User sets up the training and test data to fit their desired model here
:param data_dictionary: the dictionary holding all data for train, test,
labels, weights
:param dk: The datakitchen object for the current coin/model
"""
n_features = data_dictionary["train_features"].shape[-1]
model = PyTorchMLPModel(input_dim=n_features, output_dim=1, **self.model_kwargs)
model.to(self.device)
optimizer = torch.optim.AdamW(model.parameters(), lr=self.learning_rate)
criterion = torch.nn.MSELoss()
# check if continual_learning is activated, and retrieve the model to continue training
trainer = self.get_init_model(dk.pair)
if trainer is None:
trainer = PyTorchModelTrainer(
model=model,
optimizer=optimizer,
criterion=criterion,
device=self.device,
data_convertor=self.data_convertor,
tb_logger=self.tb_logger,
**self.trainer_kwargs,
)
trainer.fit(data_dictionary, self.splits)
return trainer