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better train algo

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This commit is contained in:
Dobromir Popov 2025-02-04 22:10:24 +02:00
parent 967363378b
commit 615579d456
1 changed files with 92 additions and 55 deletions
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crypto/brian/index-deep-new.py
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@ -18,6 +18,7 @@ from datetime import datetime
import matplotlib.pyplot as plt
import math
from torch.nn import TransformerEncoder, TransformerEncoderLayer
import matplotlib.dates as mdates
from dotenv import load_dotenv
load_dotenv()
@ -31,7 +32,10 @@ CACHE_FILE = "candles_cache.json"
# --- Constants ---
NUM_TIMEFRAMES = 5 # e.g., ["1m", "5m", "15m", "1h", "1d"]
NUM_INDICATORS = 20 # e.g., 20 technical indicators
FEATURES_PER_CHANNEL = 7 # e.g., [open, high, low, close, volume, sma_close, sma_volume]
# Each channel input will have 7 features.
FEATURES_PER_CHANNEL = 7
# We add one extra channel for order information.
ORDER_CHANNELS = 1
# --- Positional Encoding Module ---
class PositionalEncoding(nn.Module):
@ -52,7 +56,7 @@ class PositionalEncoding(nn.Module):
class TradingModel(nn.Module):
def __init__(self, num_channels, num_timeframes, hidden_dim=128):
super().__init__()
# One branch per channel
# Create one branch per channel.
self.channel_branches = nn.ModuleList([
nn.Sequential(
nn.Linear(FEATURES_PER_CHANNEL, hidden_dim),
@ -61,6 +65,7 @@ class TradingModel(nn.Module):
nn.Dropout(0.1)
) for _ in range(num_channels)
])
# Embedding for channels 0..num_channels-1.
self.timeframe_embed = nn.Embedding(num_channels, hidden_dim)
self.pos_encoder = PositionalEncoding(hidden_dim)
encoder_layers = TransformerEncoderLayer(
@ -86,8 +91,8 @@ class TradingModel(nn.Module):
for i in range(num_channels):
channel_out = self.channel_branches[i](x[:, i, :])
channel_outs.append(channel_out)
stacked = torch.stack(channel_outs, dim=1) # [batch, channels, hidden]
stacked = stacked.permute(1, 0, 2) # [channels, batch, hidden]
stacked = torch.stack(channel_outs, dim=1) # shape: [batch, channels, hidden]
stacked = stacked.permute(1, 0, 2) # shape: [channels, batch, hidden]
tf_embeds = self.timeframe_embed(timeframe_ids).unsqueeze(1)
stacked = stacked + tf_embeds
src_mask = torch.triu(torch.ones(stacked.size(0), stacked.size(0)), diagonal=1).bool().to(x.device)
@ -211,15 +216,17 @@ def load_best_checkpoint(model, best_dir=BEST_DIR):
# --- Live HTML Chart Update ---
def update_live_html(candles, trade_history, epoch):
"""
Generate a chart image with buy/sell markers and dotted lines between entry and exit,
then embed it in an auto-refreshing HTML page.
Generate a chart image that uses actual timestamps on the x-axis and shows a cumulative epoch PnL.
The chart (with buy/sell markers and dotted lines) is embedded in an HTML page that auto-refreshes.
"""
from io import BytesIO
import base64
fig, ax = plt.subplots(figsize=(12, 6))
update_live_chart(ax, candles, trade_history)
ax.set_title(f"Live Trading Chart - Epoch {epoch}")
# Compute cumulative epoch PnL.
epoch_pnl = sum(trade["pnl"] for trade in trade_history)
ax.set_title(f"Live Trading Chart - Epoch {epoch} | PnL: {epoch_pnl:.2f}")
buf = BytesIO()
fig.savefig(buf, format='png')
plt.close(fig)
@ -252,7 +259,7 @@ def update_live_html(candles, trade_history, epoch):
</head>
<body>
<div class="chart-container">
<h2>Live Trading Chart - Epoch {epoch}</h2>
<h2>Live Trading Chart - Epoch {epoch} | PnL: {epoch_pnl:.2f}</h2>
<img src="data:image/png;base64,{image_base64}" alt="Live Chart"/>
</div>
</body>
@ -265,42 +272,51 @@ def update_live_html(candles, trade_history, epoch):
# --- Chart Drawing Helpers ---
def update_live_chart(ax, candles, trade_history):
"""
Draw the price chart with close prices and mark BUY (green) and SELL (red) actions.
Plot the price chart using actual timestamps on the x-axis.
Mark BUY (green) and SELL (red) actions, and draw dotted lines between entry and exit.
"""
ax.clear()
# Convert timestamps to datetime objects.
times = [datetime.fromtimestamp(candle["timestamp"]) for candle in candles]
close_prices = [candle["close"] for candle in candles]
x = list(range(len(close_prices)))
ax.plot(x, close_prices, label="Close Price", color="black", linewidth=1)
ax.plot(times, close_prices, label="Close Price", color="black", linewidth=1)
# Format x-axis date labels.
ax.xaxis.set_major_formatter(mdates.DateFormatter('%H:%M:%S'))
# Calculate epoch PnL.
epoch_pnl = sum(trade["pnl"] for trade in trade_history)
# Plot each trade.
buy_label_added = False
sell_label_added = False
for trade in trade_history:
in_idx = trade["entry_index"]
out_idx = trade["exit_index"]
entry_time = datetime.fromtimestamp(candles[trade["entry_index"]]["timestamp"])
exit_time = datetime.fromtimestamp(candles[trade["exit_index"]]["timestamp"])
in_price = trade["entry_price"]
out_price = trade["exit_price"]
if not buy_label_added:
ax.plot(in_idx, in_price, marker="^", color="green", markersize=10, label="BUY")
ax.plot(entry_time, in_price, marker="^", color="green", markersize=10, label="BUY")
buy_label_added = True
else:
ax.plot(in_idx, in_price, marker="^", color="green", markersize=10)
ax.plot(entry_time, in_price, marker="^", color="green", markersize=10)
if not sell_label_added:
ax.plot(out_idx, out_price, marker="v", color="red", markersize=10, label="SELL")
ax.plot(exit_time, out_price, marker="v", color="red", markersize=10, label="SELL")
sell_label_added = True
else:
ax.plot(out_idx, out_price, marker="v", color="red", markersize=10)
ax.plot([in_idx, out_idx], [in_price, out_price], linestyle="dotted", color="blue")
ax.set_xlabel("Candle Index")
ax.plot(exit_time, out_price, marker="v", color="red", markersize=10)
ax.plot([entry_time, exit_time], [in_price, out_price], linestyle="dotted", color="blue")
ax.set_xlabel("Time")
ax.set_ylabel("Price")
ax.legend()
ax.grid(True)
fig = ax.get_figure()
fig.autofmt_xdate()
# --- Simulation of Trades for Visualization ---
def simulate_trades(model, env, device, args):
"""
Run a complete simulation on the current sliding window using a decision rule based on model outputs.
This simulation (which updates env.trade_history) is used only for visualization.
Run a simulation on the current sliding window using the model's outputs and a decision rule.
This simulation updates env.trade_history and is used for visualization only.
"""
env.reset() # resets the sliding window and index
env.reset() # resets the window and index
while True:
i = env.current_index
state = env.get_state(i)
@ -310,7 +326,7 @@ def simulate_trades(model, env, device, args):
pred_high, pred_low = model(state_tensor, timeframe_ids)
pred_high = pred_high.item()
pred_low = pred_low.item()
# Decision rule: if upward move larger than downward and above threshold, BUY; if downward is larger, SELL; else HOLD.
# Simple decision rule based on predicted move.
if (pred_high - current_open) >= (current_open - pred_low) and (pred_high - current_open) > args.threshold:
action = 2 # BUY
elif (current_open - pred_low) > (pred_high - current_open) and (current_open - pred_low) > args.threshold:
@ -321,21 +337,20 @@ def simulate_trades(model, env, device, args):
if done:
break
# --- Backtest Environment with Sliding Window ---
# --- Backtest Environment with Sliding Window and Order Info ---
class BacktestEnvironment:
def __init__(self, candles_dict, base_tf, timeframes, window_size=None):
self.candles_dict = candles_dict # full candles dict for all timeframes
self.candles_dict = candles_dict # full candles dict across timeframes
self.base_tf = base_tf
self.timeframes = timeframes
self.full_candles = candles_dict[base_tf]
if window_size is None:
window_size = 100 if len(self.full_candles) >= 100 else len(self.full_candles)
self.window_size = window_size
self.hint_penalty = 0.001 # not used in the revised loss below
self.reset()
def reset(self):
# Pick a random sliding window from the full dataset.
# Randomly select a sliding window from the full dataset.
self.start_index = random.randint(0, len(self.full_candles) - self.window_size)
self.candle_window = self.full_candles[self.start_index: self.start_index + self.window_size]
self.current_index = 0
@ -346,7 +361,29 @@ class BacktestEnvironment:
def __len__(self):
return self.window_size
def get_order_features(self, index):
"""
Returns a list of 7 features for the order channel.
If an order is open, the first element is 1.0 and the second is the normalized difference:
(current open - entry_price) / current open.
Otherwise, returns zeros.
"""
candle = self.candle_window[index]
if self.position is None:
return [0.0] * FEATURES_PER_CHANNEL
else:
flag = 1.0
diff = (candle["open"] - self.position["entry_price"]) / candle["open"]
return [flag, diff] + [0.0] * (FEATURES_PER_CHANNEL - 2)
def get_state(self, index):
"""
Build state features from:
- For each timeframe: features from the aligned candle.
- One extra channel: current order information.
- NUM_INDICATORS channels of zeros.
Each channel is a vector of length FEATURES_PER_CHANNEL.
"""
state_features = []
base_ts = self.candle_window[index]["timestamp"]
for tf in self.timeframes:
@ -357,15 +394,19 @@ class BacktestEnvironment:
aligned_idx, _ = get_aligned_candle_with_index(self.candles_dict[tf], base_ts)
features = get_features_for_tf(self.candles_dict[tf], aligned_idx)
state_features.append(features)
# Append order channel.
order_features = self.get_order_features(index)
state_features.append(order_features)
# Append technical indicator channels.
for _ in range(NUM_INDICATORS):
state_features.append([0.0] * FEATURES_PER_CHANNEL)
return np.array(state_features, dtype=np.float32)
def step(self, action):
"""
Discrete simulation step.
- Action: 0 (SELL), 1 (HOLD), 2 (BUY).
- Trades are recorded when a BUY is followed by a SELL.
Execute one step in the environment:
- action: 0 => SELL, 1 => HOLD, 2 => BUY.
- Trades recorded when a BUY is followed by a SELL.
"""
base = self.candle_window
if self.current_index >= len(base) - 1:
@ -378,7 +419,6 @@ class BacktestEnvironment:
next_candle = base[next_index]
reward = 0.0
# Simple trading logic (only one position allowed at a time)
if self.position is None:
if action == 2: # BUY signal: enter at next open.
self.position = {"entry_price": next_candle["open"], "entry_index": self.current_index}
@ -404,29 +444,25 @@ class BacktestEnvironment:
# --- Enhanced Training Loop ---
def train_on_historical_data(env, model, device, args, start_epoch, optimizer, scheduler):
# Weighting factor for trade surrogate loss.
lambda_trade = 1.0
lambda_trade = args.lambda_trade # Weight for the surrogate profit loss.
for epoch in range(start_epoch, args.epochs):
# Reset sliding window for each epoch.
env.reset()
env.reset() # Resets the sliding window.
loss_accum = 0.0
steps = len(env) - 1 # we use pairs of consecutive candles
steps = len(env) - 1 # We assume steps over consecutive candle pairs.
for i in range(steps):
state = env.get_state(i)
current_open = env.candle_window[i]["open"]
# Next candle's actual values serve as targets.
actual_high = env.candle_window[i+1]["high"]
actual_low = env.candle_window[i+1]["low"]
state_tensor = torch.FloatTensor(state).unsqueeze(0).to(device)
timeframe_ids = torch.arange(state.shape[0]).to(device)
pred_high, pred_low = model(state_tensor, timeframe_ids)
# Compute prediction loss (L1)
# Prediction loss (L1 error).
L_pred = torch.abs(pred_high - torch.tensor(actual_high, device=device)) + \
torch.abs(pred_low - torch.tensor(actual_low, device=device))
# Compute surrogate profit (differentiable estimate)
# Surrogate profit loss:
profit_buy = pred_high - current_open # potential long gain
profit_sell = current_open - pred_low # potential short gain
# Here we reward a higher potential move by subtracting it.
L_trade = - torch.max(profit_buy, profit_sell)
loss = L_pred + lambda_trade * L_trade
optimizer.zero_grad()
@ -438,7 +474,6 @@ def train_on_historical_data(env, model, device, args, start_epoch, optimizer, s
epoch_loss = loss_accum / steps
print(f"Epoch {epoch+1} Loss: {epoch_loss:.4f}")
save_checkpoint(model, optimizer, epoch, loss_accum)
# Update the trade simulation (for visualization) using the current model on the same window.
simulate_trades(model, env, device, args)
update_live_html(env.candle_window, env.trade_history, epoch+1)
@ -458,10 +493,13 @@ def parse_args():
parser.add_argument('--epochs', type=int, default=100)
parser.add_argument('--lr', type=float, default=3e-4)
parser.add_argument('--threshold', type=float, default=0.005, help="Minimum predicted move to trigger trade.")
parser.add_argument('--lambda_trade', type=float, default=1.0, help="Weight for the trade surrogate loss.")
parser.add_argument('--lambda_trade', type=float, default=1.0, help="Weight for trade surrogate loss.")
parser.add_argument('--start_fresh', action='store_true', help="Start training from scratch.")
return parser.parse_args()
def random_action():
return random.randint(0, 2)
# --- Main Function ---
async def main():
args = parse_args()
@ -469,7 +507,8 @@ async def main():
print("Using device:", device)
timeframes = ["1m", "5m", "15m", "1h", "1d"]
hidden_dim = 128
total_channels = NUM_TIMEFRAMES + NUM_INDICATORS
# Total channels: NUM_TIMEFRAMES + 1 (order info) + NUM_INDICATORS.
total_channels = NUM_TIMEFRAMES + 1 + NUM_INDICATORS
model = TradingModel(total_channels, NUM_TIMEFRAMES).to(device)
if args.mode == 'train':
@ -478,7 +517,6 @@ async def main():
print("No historical candle data available for backtesting.")
return
base_tf = "1m"
# Use a sliding window of up to 100 candles (if available)
env = BacktestEnvironment(candles_dict, base_tf, timeframes, window_size=100)
start_epoch = 0
checkpoint = None
@ -513,7 +551,6 @@ async def main():
preview_thread.start()
print("Starting live trading loop. (Using model-based decision rule.)")
while True:
# In live mode, we use the simulation decision rule.
state = env.get_state(env.current_index)
current_open = env.candle_window[env.current_index]["open"]
state_tensor = torch.FloatTensor(state).unsqueeze(0).to(device)
@ -535,7 +572,7 @@ async def main():
elif args.mode == 'inference':
load_best_checkpoint(model)
print("Running inference...")
# Inference logic can use a similar decision rule as in live mode.
# Your inference logic goes here.
else:
print("Invalid mode specified.")