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switch to using FT calc_profi_pct, reverse entry/exit fees

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This commit is contained in:
robcaulk
2022-11-13 13:41:17 +01:00
parent e45d791c19
commit 81f800a79b
4 changed files with 12 additions and 19 deletions
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15
freqtrade/freqai/RL/BaseEnvironment.py
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@@ -165,12 +165,12 @@ class BaseEnvironment(gym.Env):
if self._position == Positions.Neutral:
return 0.
elif self._position == Positions.Short:
current_price = self.add_entry_fee(self.prices.iloc[self._current_tick].open)
last_trade_price = self.add_exit_fee(self.prices.iloc[self._last_trade_tick].open)
return (last_trade_price - current_price) / last_trade_price
elif self._position == Positions.Long:
current_price = self.add_exit_fee(self.prices.iloc[self._current_tick].open)
last_trade_price = self.add_entry_fee(self.prices.iloc[self._last_trade_tick].open)
return (last_trade_price - current_price) / last_trade_price
elif self._position == Positions.Long:
current_price = self.add_entry_fee(self.prices.iloc[self._current_tick].open)
last_trade_price = self.add_exit_fee(self.prices.iloc[self._last_trade_tick].open)
return (current_price - last_trade_price) / last_trade_price
else:
return 0.
@@ -210,9 +210,8 @@ class BaseEnvironment(gym.Env):
"""
An example reward function. This is the one function that users will likely
wish to inject their own creativity into.
:params:
action: int = The action made by the agent for the current candle.
:returns:
:param action: int = The action made by the agent for the current candle.
:return:
float = the reward to give to the agent for current step (used for optimization
of weights in NN)
"""
@@ -234,7 +233,7 @@ class BaseEnvironment(gym.Env):
def _update_total_profit(self):
pnl = self.get_unrealized_profit()
if self.compound_trades:
# assumes unite stake and compounding
# assumes unitestake and compounding
self._total_profit = self._total_profit * (1 + pnl)
else:
# assumes unit stake and no compounding