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Dobromir Popov 2025-02-02 01:06:56 +02:00
parent c7c7acdb26
commit 79c51c0d5d
1 changed files with 127 additions and 129 deletions
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crypto/brian/index.py
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@ -33,40 +33,35 @@ def load_candles_cache(filename):
try:
with open(filename, "r") as f:
data = json.load(f)
print(f"Loaded {len(data)} candles from cache.")
print(f"Loaded cached data from {filename}.")
return data
except Exception as e:
print("Error reading cache file:", e)
return []
return {}
def save_candles_cache(filename, candles):
def save_candles_cache(filename, candles_dict):
try:
with open(filename, "w") as f:
json.dump(candles, f)
json.dump(candles_dict, f)
except Exception as e:
print("Error saving cache file:", e)
# -------------------------------------
# Functions for handling checkpoints
# Checkpoint Functions (same as before)
# -------------------------------------
def maintain_checkpoint_directory(directory, max_files=10):
"""Keep only the most recent max_files in a given directory based on modification time."""
files = os.listdir(directory)
if len(files) > max_files:
full_paths = [os.path.join(directory, f) for f in files]
full_paths.sort(key=lambda x: os.path.getmtime(x))
# Remove the oldest files
for f in full_paths[: len(files) - max_files]:
os.remove(f)
def get_best_models(directory):
"""Return a list of (reward, filename) for files in the best folder.
Expected filename format: best_{reward:.4f}_epoch_{epoch}_{timestamp}.pt"""
best_files = []
for file in os.listdir(directory):
parts = file.split("_")
try:
# parts[1] should be the reward
r = float(parts[1])
best_files.append((r, file))
except Exception:
@ -74,7 +69,6 @@ def get_best_models(directory):
return best_files
def save_checkpoint(model, epoch, reward, last_dir=LAST_DIR, best_dir=BEST_DIR):
"""Save the model state at each epoch to last_dir and, conditionally, to best_dir."""
timestamp = datetime.now().strftime("%Y%m%d_%H%M%S")
last_filename = f"model_last_epoch_{epoch}_{timestamp}.pt"
last_path = os.path.join(last_dir, last_filename)
@ -83,7 +77,6 @@ def save_checkpoint(model, epoch, reward, last_dir=LAST_DIR, best_dir=BEST_DIR):
"reward": reward,
"model_state_dict": model.state_dict()
}, last_path)
# Maintain only last 10 checkpoints
maintain_checkpoint_directory(last_dir, max_files=10)
best_models = get_best_models(best_dir)
@ -107,7 +100,6 @@ def save_checkpoint(model, epoch, reward, last_dir=LAST_DIR, best_dir=BEST_DIR):
print(f"Saved checkpoint for epoch {epoch} with reward {reward:.4f}")
def load_best_checkpoint(model, best_dir=BEST_DIR):
"""Load the best checkpoint (with highest reward) if available."""
best_models = get_best_models(best_dir)
if not best_models:
return None
@ -118,6 +110,41 @@ def load_best_checkpoint(model, best_dir=BEST_DIR):
model.load_state_dict(checkpoint["model_state_dict"])
return checkpoint
# -------------------------------------
# Technical Indicator Helper Functions
# -------------------------------------
def compute_sma(candles_list, index, period=10):
start = max(0, index - period + 1)
values = [candle["close"] for candle in candles_list[start:index+1]]
return sum(values) / len(values) if values else 0.0
def compute_sma_volume(candles_list, index, period=10):
start = max(0, index - period + 1)
values = [candle["volume"] for candle in candles_list[start:index+1]]
return sum(values) / len(values) if values else 0.0
def get_aligned_candle_with_index(candles_list, target_ts):
"""Find the candle in the list whose timestamp is the largest that is <= target_ts."""
best_idx = 0
for i, candle in enumerate(candles_list):
if candle["timestamp"] <= target_ts:
best_idx = i
else:
break
return best_idx, candles_list[best_idx]
def get_features_for_tf(candles_list, index, period=10):
"""Return a vector of 7 features: open, high, low, close, volume, sma_close, sma_volume."""
candle = candles_list[index]
f_open = candle["open"]
f_high = candle["high"]
f_low = candle["low"]
f_close = candle["close"]
f_volume = candle["volume"]
sma_close = compute_sma(candles_list, index, period)
sma_volume = compute_sma_volume(candles_list, index, period)
return [f_open, f_high, f_low, f_close, f_volume, sma_close, sma_volume]
# -------------------------------------
# Neural Network Architecture Definition
# -------------------------------------
@ -152,26 +179,6 @@ class ReplayBuffer:
def __len__(self):
return len(self.buffer)
# -------------------------------------
# Indicator and Feature Preparation Function
# -------------------------------------
def compute_indicators(candle, additional_data):
"""
Combine OHLCV candle data with extra indicator information.
Base features: open, high, low, close, volume.
Additional channels (e.g., simulated sentiment) are appended.
"""
features = [
candle.get('open', 0.0),
candle.get('high', 0.0),
candle.get('low', 0.0),
candle.get('close', 0.0),
candle.get('volume', 0.0),
]
for key, value in additional_data.items():
features.append(value)
return np.array(features, dtype=np.float32)
# -------------------------------------
# RL Agent with Q-Learning and Epsilon-Greedy Exploration
# -------------------------------------
@ -190,8 +197,7 @@ class ContinuousRLAgent:
state_tensor = torch.from_numpy(np.array(state, dtype=np.float32)).unsqueeze(0)
with torch.no_grad():
output = self.model(state_tensor)
action = torch.argmax(output, dim=1).item()
return action
return torch.argmax(output, dim=1).item()
def train_step(self):
if len(self.replay_buffer) < self.batch_size:
@ -217,20 +223,16 @@ class ContinuousRLAgent:
self.optimizer.step()
# -------------------------------------
# Historical Data Fetching Functions
# Historical Data Fetching Function (for a given timeframe)
# -------------------------------------
async def fetch_historical_data(exchange, symbol, timeframe, since, end_time, batch_size=500):
"""
Fetch historical OHLCV data for a given symbol and timeframe.
"since" and "end_time" are given in milliseconds.
"""
candles = []
since_ms = since
while True:
try:
batch = await exchange.fetch_ohlcv(symbol, timeframe=timeframe, since=since_ms, limit=batch_size)
except Exception as e:
print("Error fetching historical data:", e)
print(f"Error fetching historical data for {timeframe}:", e)
break
if not batch:
break
@ -248,33 +250,23 @@ async def fetch_historical_data(exchange, symbol, timeframe, since, end_time, ba
if last_timestamp >= end_time:
break
since_ms = last_timestamp + 1
print(f"Fetched {len(candles)} candles.")
print(f"Fetched {len(candles)} candles for timeframe {timeframe}.")
return candles
async def get_cached_or_fetch_data(exchange, symbol, timeframe, since, end_time, cache_file=CACHE_FILE, batch_size=500):
cached_candles = load_candles_cache(cache_file)
if cached_candles:
last_ts = cached_candles[-1]['timestamp']
if last_ts < end_time:
print("Fetching new candles to update cache...")
new_candles = await fetch_historical_data(exchange, symbol, timeframe, last_ts + 1, end_time, batch_size)
cached_candles.extend(new_candles)
else:
print("Cache covers the requested period.")
return cached_candles
else:
candles = await fetch_historical_data(exchange, symbol, timeframe, since, end_time, batch_size)
return candles
# -------------------------------------
# Backtest Environment with Trade History Recording
# Backtest Environment with Multi-Timeframe State
# -------------------------------------
class BacktestEnvironment:
def __init__(self, candles):
self.candles = candles
self.current_index = 0
self.position = None # Active position: dict with 'entry_price' and 'entry_index'
self.trade_history = [] # List of closed trades
def __init__(self, candles_dict, base_tf="1m", timeframes=None):
self.candles_dict = candles_dict # dict of timeframe: candles_list
self.base_tf = base_tf
if timeframes is None:
self.timeframes = [base_tf] # fallback to single timeframe
else:
self.timeframes = timeframes
self.trade_history = [] # record of closed trades
self.current_index = 0 # index on base_tf candles
self.position = None # active position record
def reset(self, clear_trade_history=True):
self.current_index = 0
@ -284,66 +276,69 @@ class BacktestEnvironment:
return self.get_state(self.current_index)
def get_state(self, index):
candle = self.candles[index]
sentiment = {
'sentiment_score': np.random.rand(),
'news_volume': np.random.rand(),
'social_engagement': np.random.rand()
}
return compute_indicators(candle, sentiment)
"""Construct the state as the concatenated features of all timeframes.
For each timeframe, find the aligned candle for the base timeframe’s timestamp."""
state_features = []
base_candle = self.candles_dict[self.base_tf][index]
base_ts = base_candle["timestamp"]
for tf in self.timeframes:
candles_list = self.candles_dict[tf]
# Get the candle from this timeframe that is closest to (and <=) base_ts.
aligned_index, _ = get_aligned_candle_with_index(candles_list, base_ts)
features = get_features_for_tf(candles_list, aligned_index, period=10)
state_features.extend(features)
return np.array(state_features, dtype=np.float32)
def step(self, action):
"""
Simulate a trading step:
- If not in a position and action is BUY (2), record an entry at next candle's open.
- If in a position and action is SELL (0), record an exit at next candle's open and compute PnL.
Simulate a trading step based on the base timeframe.
- If not in a position and action is BUY (2), record entry at next candle's open.
- If in a position and action is SELL (0), record exit at next candle's open, computing PnL.
Returns: (current_state, reward, next_state, done)
"""
if self.current_index >= len(self.candles) - 1:
base_candles = self.candles_dict[self.base_tf]
if self.current_index >= len(base_candles) - 1:
return self.get_state(self.current_index), 0.0, None, True
current_state = self.get_state(self.current_index)
next_index = self.current_index + 1
next_state = self.get_state(next_index)
current_candle = self.candles[self.current_index]
next_candle = self.candles[next_index]
current_candle = base_candles[self.current_index]
next_candle = base_candles[next_index]
reward = 0.0
# Action mapping: 0 -> SELL, 1 -> HOLD, 2 -> BUY.
# If not in a position:
if self.position is None:
if action == 2: # BUY signal: enter position at next candle's open.
entry_price = next_candle['open']
self.position = {'entry_price': entry_price, 'entry_index': self.current_index}
entry_price = next_candle["open"]
self.position = {"entry_price": entry_price, "entry_index": self.current_index}
else:
if action == 0: # SELL signal: exit position at next candle's open.
exit_price = next_candle['open']
reward = exit_price - self.position['entry_price']
if action == 0: # SELL signal: close position at next candle's open.
exit_price = next_candle["open"]
reward = exit_price - self.position["entry_price"]
trade = {
'entry_index': self.position['entry_index'],
'entry_price': self.position['entry_price'],
'exit_index': next_index,
'exit_price': exit_price,
'pnl': reward
"entry_index": self.position["entry_index"],
"entry_price": self.position["entry_price"],
"exit_index": next_index,
"exit_price": exit_price,
"pnl": reward
}
self.trade_history.append(trade)
self.position = None
self.current_index = next_index
done = (self.current_index >= len(self.candles) - 1)
done = (self.current_index >= len(base_candles) - 1)
return current_state, reward, next_state, done
# -------------------------------------
# Plot Trading Chart with Buy/Sell Markers and PnL Annotations
# Chart Plotting: Trade History & PnL
# -------------------------------------
def plot_trade_history(candles, trade_history):
# Extract close price series from candles.
close_prices = [candle['close'] for candle in candles]
close_prices = [candle["close"] for candle in candles]
x = list(range(len(close_prices)))
plt.figure(figsize=(12, 6))
plt.plot(x, close_prices, label="Close Price", color="black", linewidth=1)
# Plot markers only once (avoid duplicate labels)
buy_plotted = False
sell_plotted = False
for trade in trade_history:
@ -363,24 +358,17 @@ def plot_trade_history(candles, trade_history):
else:
plt.plot(exit_idx, exit_price, marker="v", color="red", markersize=10)
plt.text(exit_idx, exit_price, f"{pnl:+.2f}", color="blue", fontsize=8)
plt.title("Trade History with PnL After Order Close")
plt.xlabel("Candle Index")
plt.title("Trade History with PnL")
plt.xlabel("Base Candle Index (1m)")
plt.ylabel("Price")
plt.legend()
plt.grid(True)
plt.show()
# -------------------------------------
# Training Loop Over Historical Data (Backtest)
# Training Loop: Backtesting Trading Episodes
# -------------------------------------
def train_on_historical_data(env, rl_agent, num_epochs=10, epsilon=0.1):
"""
For each epoch, run through the historical episode.
At each step, select an action (using ε‑greedy), simulate a trade,
store the experience, and update the network.
After the epoch, log the total reward and save checkpoints.
"""
for epoch in range(1, num_epochs + 1):
state = env.reset() # clear trade history each epoch
done = False
@ -400,19 +388,19 @@ def train_on_historical_data(env, rl_agent, num_epochs=10, epsilon=0.1):
save_checkpoint(rl_agent.model, epoch, total_reward, LAST_DIR, BEST_DIR)
# -------------------------------------
# Main Asynchronous Function for Backtest Training and Charting
# Main Asynchronous Function for Training & Charting
# -------------------------------------
async def main_backtest():
# Define symbol, timeframe, and period.
symbol = 'BTC/USDT'
timeframe = '1m'
# Define timeframes: we'll use 5 different ones.
timeframes = ["1m", "5m", "15m", "1h", "1d"]
now = int(time.time() * 1000)
one_day_ms = 24 * 60 * 60 * 1000
# For example, fetch a 1-day period from 2 days ago until 1 day ago.
since = now - one_day_ms * 2
end_time = now - one_day_ms
# Use the base timeframe period of 1500 candles. For 1m, that is 1500 minutes.
period_ms = 1500 * 60 * 1000
since = now - period_ms
end_time = now
# Initialize exchange (using MEXC for example).
# Initialize exchange using MEXC (or your preferred exchange).
mexc_api_key = os.environ.get('MEXC_API_KEY', 'YOUR_API_KEY')
mexc_api_secret = os.environ.get('MEXC_API_SECRET', 'YOUR_SECRET_KEY')
exchange = ccxt.mexc({
@ -421,34 +409,36 @@ async def main_backtest():
'enableRateLimit': True,
})
print("Fetching historical data...")
candles = await get_cached_or_fetch_data(exchange, symbol, timeframe, since, end_time)
if not candles:
print("No historical data fetched.")
await exchange.close()
return
candles_dict = {}
for tf in timeframes:
print(f"Fetching historical data for timeframe {tf}...")
candles = await fetch_historical_data(exchange, symbol, tf, since, end_time, batch_size=500)
candles_dict[tf] = candles
save_candles_cache(CACHE_FILE, candles)
env = BacktestEnvironment(candles)
# Optionally, save the multi-timeframe cache.
save_candles_cache(CACHE_FILE, candles_dict)
# Model dimensions: 5 (OHLCV) + 3 (sentiment) = 8.
input_dim = 8
# Create the backtest environment using multi-timeframe data.
env = BacktestEnvironment(candles_dict, base_tf="1m", timeframes=timeframes)
# Neural Network dimensions: each timeframe produces 7 features.
input_dim = len(timeframes) * 7 # 7 features * 5 timeframes = 35.
hidden_dim = 128
output_dim = 3 # SELL, HOLD, BUY.
output_dim = 3 # Actions: SELL, HOLD, BUY.
model = TradingModel(input_dim, hidden_dim, output_dim)
optimizer = optim.Adam(model.parameters(), lr=1e-4)
replay_buffer = ReplayBuffer(capacity=10000)
rl_agent = ContinuousRLAgent(model, optimizer, replay_buffer, batch_size=32, gamma=0.99)
# At training start, try loading the best checkpoint if available.
# Load best checkpoint if available.
load_best_checkpoint(model, BEST_DIR)
# Run training (backtesting) over historical data.
num_epochs = 10 # adjust as needed.
# Train the agent over the historical period.
num_epochs = 10 # Adjust as needed.
train_on_historical_data(env, rl_agent, num_epochs=num_epochs, epsilon=0.1)
# Final simulation (without exploration) to log trade history.
# Run a final simulation (without exploration) to record trade history.
state = env.reset(clear_trade_history=True)
done = False
cumulative_reward = 0.0
@ -457,10 +447,18 @@ async def main_backtest():
state, reward, next_state, done = env.step(action)
cumulative_reward += reward
state = next_state
print("Final backtest simulation cumulative profit:", cumulative_reward)
# Draw the chart: plot close price with BUY/SELL markers and PnL annotations.
plot_trade_history(candles, env.trade_history)
print("Final simulation cumulative profit:", cumulative_reward)
# Evaluate trade performance.
trades = env.trade_history
num_trades = len(trades)
num_wins = sum(1 for trade in trades if trade["pnl"] > 0)
win_rate = (num_wins / num_trades * 100) if num_trades > 0 else 0.0
total_profit = sum(trade["pnl"] for trade in trades)
print(f"Total trades: {num_trades}, Wins: {num_wins}, Win rate: {win_rate:.2f}%, Total Profit: {total_profit:.4f}")
# Plot chart with buy/sell markers on the base timeframe ("1m").
plot_trade_history(candles_dict["1m"], trades)
await exchange.close()