9394559170

Committed 26 Apr 2024 06:36AM UTC coverage: 94.656% (-0.02%) from 94.674%

Build # 9394559170

Build Type

push

github

Committed by

xmatthias

Commit Message

Loader should be passed as kwarg for clarity

Run Details

20280 of 21425 relevant lines covered (94.66%)

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92.96

/freqtrade/freqai/RL/Base5ActionRLEnv.py

import logging
from enum import Enum

from gymnasium import spaces

from freqtrade.freqai.RL.BaseEnvironment import BaseEnvironment, Positions


logger = logging.getLogger(__name__)


class Actions(Enum):
    Neutral = 0
    Long_enter = 1
    Long_exit = 2
    Short_enter = 3
    Short_exit = 4


class Base5ActionRLEnv(BaseEnvironment):
    """
    Base class for a 5 action environment
    """
    def __init__(self, **kwargs):
        super().__init__(**kwargs)
        self.actions = Actions

    def set_action_space(self):
        self.action_space = spaces.Discrete(len(Actions))

    def step(self, action: int):
        """
        Logic for a single step (incrementing one candle in time)
        by the agent
        :param: action: int = the action type that the agent plans
            to take for the current step.
        :returns:
            observation = current state of environment
            step_reward = the reward from `calculate_reward()`
            _done = if the agent "died" or if the candles finished
            info = dict passed back to openai gym lib
        """
        self._done = False
        self._current_tick += 1

        if self._current_tick == self._end_tick:
            self._done = True

        self._update_unrealized_total_profit()
        step_reward = self.calculate_reward(action)
        self.total_reward += step_reward
        self.tensorboard_log(self.actions._member_names_[action], category="actions")

        trade_type = None
        if self.is_tradesignal(action):

            if action == Actions.Neutral.value:
                self._position = Positions.Neutral
                trade_type = "neutral"
                self._last_trade_tick = None
            elif action == Actions.Long_enter.value:
                self._position = Positions.Long
                trade_type = "enter_long"
                self._last_trade_tick = self._current_tick
            elif action == Actions.Short_enter.value:
                self._position = Positions.Short
                trade_type = "enter_short"
                self._last_trade_tick = self._current_tick
            elif action == Actions.Long_exit.value:
                self._update_total_profit()
                self._position = Positions.Neutral
                trade_type = "exit_long"
                self._last_trade_tick = None
            elif action == Actions.Short_exit.value:
                self._update_total_profit()
                self._position = Positions.Neutral
                trade_type = "exit_short"
                self._last_trade_tick = None
            else:
                print("case not defined")

            if trade_type is not None:
                self.trade_history.append(
                    {'price': self.current_price(), 'index': self._current_tick,
                     'type': trade_type, 'profit': self.get_unrealized_profit()})

        if (self._total_profit < self.max_drawdown or
                self._total_unrealized_profit < self.max_drawdown):
            self._done = True

        self._position_history.append(self._position)

        info = dict(
            tick=self._current_tick,
            action=action,
            total_reward=self.total_reward,
            total_profit=self._total_profit,
            position=self._position.value,
            trade_duration=self.get_trade_duration(),
            current_profit_pct=self.get_unrealized_profit()
        )

        observation = self._get_observation()
        # user can play with time if they want
        truncated = False

        self._update_history(info)

        return observation, step_reward, self._done, truncated, info

    def is_tradesignal(self, action: int) -> bool:
        """
        Determine if the signal is a trade signal
        e.g.: agent wants a Actions.Long_exit while it is in a Positions.short
        """
        return not ((action == Actions.Neutral.value and self._position == Positions.Neutral) or
                    (action == Actions.Neutral.value and self._position == Positions.Short) or
                    (action == Actions.Neutral.value and self._position == Positions.Long) or
                    (action == Actions.Short_enter.value and self._position == Positions.Short) or
                    (action == Actions.Short_enter.value and self._position == Positions.Long) or
                    (action == Actions.Short_exit.value and self._position == Positions.Long) or
                    (action == Actions.Short_exit.value and self._position == Positions.Neutral) or
                    (action == Actions.Long_enter.value and self._position == Positions.Long) or
                    (action == Actions.Long_enter.value and self._position == Positions.Short) or
                    (action == Actions.Long_exit.value and self._position == Positions.Short) or
                    (action == Actions.Long_exit.value and self._position == Positions.Neutral))

    def _is_valid(self, action: int) -> bool:
        # trade signal
        """
        Determine if the signal is valid.
        e.g.: agent wants a Actions.Long_exit while it is in a Positions.short
        """
        # Agent should only try to exit if it is in position
        if action in (Actions.Short_exit.value, Actions.Long_exit.value):
            if self._position not in (Positions.Short, Positions.Long):
                return False

        # Agent should only try to enter if it is not in position
        if action in (Actions.Short_enter.value, Actions.Long_enter.value):
            if self._position != Positions.Neutral:
                return False

        return True

1	import logging	1✔
2	from enum import Enum	1✔
3
4	from gymnasium import spaces	1✔
5
6	from freqtrade.freqai.RL.BaseEnvironment import BaseEnvironment, Positions	1✔
7
8
9	logger = logging.getLogger(__name__)	1✔
10
11
12	class Actions(Enum):	1✔
13	Neutral = 0	1✔
14	Long_enter = 1	1✔
15	Long_exit = 2	1✔
16	Short_enter = 3	1✔
17	Short_exit = 4	1✔
18
19
20	class Base5ActionRLEnv(BaseEnvironment):	1✔
21	"""
22	Base class for a 5 action environment
23	"""
24	def __init__(self, **kwargs):	1✔
25	super().__init__(**kwargs)	1✔
26	self.actions = Actions	1✔
27
28	def set_action_space(self):	1✔
29	self.action_space = spaces.Discrete(len(Actions))	1✔
30
31	def step(self, action: int):	1✔
32	"""
33	Logic for a single step (incrementing one candle in time)
34	by the agent
35	:param: action: int = the action type that the agent plans
36	to take for the current step.
37	:returns:
38	observation = current state of environment
39	step_reward = the reward from `calculate_reward()`
40	_done = if the agent "died" or if the candles finished
41	info = dict passed back to openai gym lib
42	"""
43	self._done = False	1✔
44	self._current_tick += 1	1✔
45
46	if self._current_tick == self._end_tick:	1✔
47	self._done = True	1✔
48
49	self._update_unrealized_total_profit()	1✔
50	step_reward = self.calculate_reward(action)	1✔
51	self.total_reward += step_reward	1✔
52	self.tensorboard_log(self.actions._member_names_[action], category="actions")	1✔
53
54	trade_type = None	1✔
55	if self.is_tradesignal(action):	1✔
56
57	if action == Actions.Neutral.value:	1✔
58	self._position = Positions.Neutral	×
59	trade_type = "neutral"	×
60	self._last_trade_tick = None	×
61	elif action == Actions.Long_enter.value:	1✔
62	self._position = Positions.Long	1✔
63	trade_type = "enter_long"	1✔
64	self._last_trade_tick = self._current_tick	1✔
65	elif action == Actions.Short_enter.value:	1✔
66	self._position = Positions.Short	1✔
67	trade_type = "enter_short"	1✔
68	self._last_trade_tick = self._current_tick	1✔
69	elif action == Actions.Long_exit.value:	1✔
70	self._update_total_profit()	1✔
71	self._position = Positions.Neutral	1✔
72	trade_type = "exit_long"	1✔
73	self._last_trade_tick = None	1✔
74	elif action == Actions.Short_exit.value:	1✔
75	self._update_total_profit()	1✔
76	self._position = Positions.Neutral	1✔
77	trade_type = "exit_short"	1✔
78	self._last_trade_tick = None	1✔
79	else:
80	print("case not defined")	×
81
82	if trade_type is not None:	1✔
83	self.trade_history.append(	1✔
84	{'price': self.current_price(), 'index': self._current_tick,
85	'type': trade_type, 'profit': self.get_unrealized_profit()})
86
87	if (self._total_profit < self.max_drawdown or	1✔
88	self._total_unrealized_profit < self.max_drawdown):
89	self._done = True	×
90
91	self._position_history.append(self._position)	1✔
92
93	info = dict(	1✔
94	tick=self._current_tick,
95	action=action,
96	total_reward=self.total_reward,
97	total_profit=self._total_profit,
98	position=self._position.value,
99	trade_duration=self.get_trade_duration(),
100	current_profit_pct=self.get_unrealized_profit()
101	)
102
103	observation = self._get_observation()	1✔
104	# user can play with time if they want
105	truncated = False	1✔
106
107	self._update_history(info)	1✔
108
109	return observation, step_reward, self._done, truncated, info	1✔
110
111	def is_tradesignal(self, action: int) -> bool:	1✔
112	"""
113	Determine if the signal is a trade signal
114	e.g.: agent wants a Actions.Long_exit while it is in a Positions.short
115	"""
116	return not ((action == Actions.Neutral.value and self._position == Positions.Neutral) or	1✔
117	(action == Actions.Neutral.value and self._position == Positions.Short) or
118	(action == Actions.Neutral.value and self._position == Positions.Long) or
119	(action == Actions.Short_enter.value and self._position == Positions.Short) or
120	(action == Actions.Short_enter.value and self._position == Positions.Long) or
121	(action == Actions.Short_exit.value and self._position == Positions.Long) or
122	(action == Actions.Short_exit.value and self._position == Positions.Neutral) or
123	(action == Actions.Long_enter.value and self._position == Positions.Long) or
124	(action == Actions.Long_enter.value and self._position == Positions.Short) or
125	(action == Actions.Long_exit.value and self._position == Positions.Short) or
126	(action == Actions.Long_exit.value and self._position == Positions.Neutral))
127
128	def _is_valid(self, action: int) -> bool:	1✔
129	# trade signal
130	"""
131	Determine if the signal is valid.
132	e.g.: agent wants a Actions.Long_exit while it is in a Positions.short
133	"""
134	# Agent should only try to exit if it is in position
135	if action in (Actions.Short_exit.value, Actions.Long_exit.value):	1✔
136	if self._position not in (Positions.Short, Positions.Long):	1✔
137	return False	1✔
138
139	# Agent should only try to enter if it is not in position
140	if action in (Actions.Short_enter.value, Actions.Long_enter.value):	1✔
141	if self._position != Positions.Neutral:	1✔
142	return False	1✔
143
144	return True	1✔

freqtrade / freqtrade / 9394559170

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