Files
TradeBot/tools/train_torch_recurrent_forecaster.py
T

590 lines
22 KiB
Python

from __future__ import annotations
import argparse
import json
import math
import sys
from dataclasses import dataclass
from datetime import datetime, timezone
from pathlib import Path
from typing import Any
PROJECT_ROOT = Path(__file__).resolve().parents[1]
if str(PROJECT_ROOT) not in sys.path:
sys.path.insert(0, str(PROJECT_ROOT))
try:
import torch
from torch import nn
from torch.utils.data import DataLoader, TensorDataset
except ImportError as exc: # pragma: no cover - exercised on machines without training deps.
raise SystemExit(
"PyTorch is not installed. Install local training deps with: "
"python -m pip install torch --index-url https://download.pytorch.org/whl/cpu"
) from exc
from crypto_spot_bot.bybit import BybitClient
from crypto_spot_bot.config import load_settings
from crypto_spot_bot.indicators import add_indicators
from crypto_spot_bot.models import Candle
from crypto_spot_bot.time_series import DEFAULT_TORCH_FEATURES, _feature_matrix, _log_returns
@dataclass(slots=True)
class PreparedData:
train_x: torch.Tensor
train_y: torch.Tensor
validation_x: torch.Tensor
validation_y: torch.Tensor
validation_targets: list[float]
feature_names: list[str]
feature_means: list[float]
feature_scales: list[float]
target_mean: float
target_scale: float
train_samples: int
validation_samples: int
class RecurrentReturnModel(nn.Module):
def __init__(
self,
*,
architecture: str,
input_size: int,
hidden_size: int,
num_layers: int,
dropout: float,
) -> None:
super().__init__()
recurrent_cls = nn.LSTM if architecture == "lstm" else nn.GRU
self.rnn = recurrent_cls(
input_size=input_size,
hidden_size=hidden_size,
num_layers=num_layers,
dropout=dropout if num_layers > 1 else 0.0,
batch_first=True,
)
self.head = nn.Linear(hidden_size, 1)
def forward(self, values: torch.Tensor) -> torch.Tensor:
output, _state = self.rnn(values)
return self.head(output[:, -1, :]).squeeze(-1)
def main() -> None:
args = _parse_args()
if args.threads > 0:
torch.set_num_threads(args.threads)
_seed(args.seed)
settings = load_settings(args.env)
client = BybitClient(settings)
symbols = _symbols(args.symbols, settings, client)
interval = args.interval or settings.base_interval
output = Path(args.output) if args.output else settings.time_series_lstm_model_path
device = _device(args.device)
horizon = args.horizon if args.horizon > 0 else max(1, settings.time_series_forecast_horizon)
feature_names = _feature_names_arg(args.features)
artifact: dict[str, Any] = {
"version": 3,
"type": "pytorch_recurrent_forecaster",
"created_at": datetime.now(timezone.utc).isoformat(),
"trainer": Path(__file__).name,
"interval": interval,
"limit": args.limit,
"validation_window": args.validation_window,
"target_horizon": horizon,
"direct_horizon": True,
"feature_names": feature_names,
"feature_count": len(feature_names),
"device": str(device),
"symbols": {},
}
for symbol in symbols:
result = _train_symbol(
client=client,
symbol=symbol,
interval=interval,
limit=args.limit,
validation_window=args.validation_window,
target_horizon=horizon,
feature_names=feature_names,
architectures=_strings(args.architectures),
lookbacks=_ints(args.lookbacks),
hidden_sizes=_ints(args.hidden_sizes),
layers_values=_ints(args.layers),
dropouts=_floats(args.dropouts),
epochs=args.epochs,
patience=args.patience,
batch_size=args.batch_size,
learning_rate=args.learning_rate,
weight_decay=args.weight_decay,
clip=args.clip,
device=device,
seed=args.seed,
)
if result is None:
print(f"{symbol}: skipped, not enough candles or train/validation samples")
continue
artifact["symbols"][symbol] = result
print(
f"{symbol}: model={result['model']} lookback={result['lookback']} "
f"features={result['input_size']} hidden={result['hidden_size']} "
f"layers={result['num_layers']} horizon={result['target_horizon']} "
f"mae={result['validation_mae_percent']:.5f}% "
f"baseline={result['baseline_mae_percent']:.5f}% "
f"skill={result['skill']:.4f} dir={result['directional_accuracy']:.3f}"
)
output.parent.mkdir(parents=True, exist_ok=True)
tmp_output = output.with_name(f"{output.name}.tmp")
tmp_output.write_text(json.dumps(artifact, ensure_ascii=False, indent=2) + "\n", encoding="utf-8")
tmp_output.replace(output)
print(f"saved {output}")
def _parse_args() -> argparse.Namespace:
parser = argparse.ArgumentParser(description="Train PyTorch LSTM/GRU forecast models on Bybit spot candles.")
parser.add_argument("--env", default=None, help="Path to .env file.")
parser.add_argument("--symbols", default="", help="Comma-separated symbols. Defaults to configured or popular pairs.")
parser.add_argument("--interval", default="", help="Bybit kline interval. Defaults to BASE_INTERVAL.")
parser.add_argument("--limit", type=int, default=1000, help="Kline limit per symbol.")
parser.add_argument("--validation-window", type=int, default=120, help="Held-out tail targets used for validation.")
parser.add_argument("--horizon", type=int, default=0, help="Direct forecast horizon in candles. Defaults to TIME_SERIES_FORECAST_HORIZON.")
parser.add_argument("--features", default=",".join(DEFAULT_TORCH_FEATURES), help="Comma-separated feature names.")
parser.add_argument("--architectures", default="lstm,gru", help="Comma-separated recurrent types: lstm,gru.")
parser.add_argument("--lookbacks", default="32,64", help="Comma-separated sequence lengths.")
parser.add_argument("--hidden-sizes", default="32,64", help="Comma-separated hidden sizes.")
parser.add_argument("--layers", default="2", help="Comma-separated recurrent layer counts.")
parser.add_argument("--dropouts", default="0.15", help="Comma-separated dropout values; only used with layers > 1.")
parser.add_argument("--epochs", type=int, default=60, help="Maximum epochs per hyperparameter candidate.")
parser.add_argument("--patience", type=int, default=10, help="Early stopping patience in epochs.")
parser.add_argument("--batch-size", type=int, default=64, help="Training batch size.")
parser.add_argument("--learning-rate", type=float, default=0.001, help="AdamW learning rate.")
parser.add_argument("--weight-decay", type=float, default=0.0001, help="AdamW weight decay.")
parser.add_argument("--clip", type=float, default=8.0, help="Clamp normalized features, targets and predictions.")
parser.add_argument("--seed", type=int, default=7, help="Random seed.")
parser.add_argument("--threads", type=int, default=0, help="Torch CPU threads; 0 keeps torch default.")
parser.add_argument("--device", default="auto", help="auto, cpu, cuda, or mps.")
parser.add_argument("--output", default="", help="Output JSON path. Defaults to TIME_SERIES_LSTM_MODEL_PATH.")
return parser.parse_args()
def _symbols(raw: str, settings: Any, client: BybitClient) -> list[str]:
if raw.strip():
return [item.strip().upper() for item in raw.split(",") if item.strip()]
if settings.symbols:
return list(settings.symbols)
return client.popular_spot_symbols(settings.top_symbols_count)
def _train_symbol(
*,
client: BybitClient,
symbol: str,
interval: str,
limit: int,
validation_window: int,
target_horizon: int,
feature_names: list[str],
architectures: list[str],
lookbacks: list[int],
hidden_sizes: list[int],
layers_values: list[int],
dropouts: list[float],
epochs: int,
patience: int,
batch_size: int,
learning_rate: float,
weight_decay: float,
clip: float,
device: torch.device,
seed: int,
) -> dict[str, Any] | None:
candles = client.klines(symbol, interval, limit)
add_indicators(candles)
closes = [float(candle.close) for candle in candles if candle.close > 0]
returns = _log_returns(closes)
if len(candles) < max(140, validation_window + max(lookbacks) + target_horizon + 16):
return None
best: dict[str, Any] | None = None
for lookback in lookbacks:
prepared = _prepare_data(
candles=candles,
feature_names=feature_names,
lookback=lookback,
target_horizon=target_horizon,
validation_window=validation_window,
clip=clip,
device=device,
)
if prepared is None:
continue
baseline_mae = sum(abs(value) for value in prepared.validation_targets) / len(prepared.validation_targets)
for architecture in architectures:
if architecture not in {"lstm", "gru"}:
continue
for hidden_size in hidden_sizes:
for num_layers in layers_values:
for dropout in dropouts:
if num_layers <= 1 and dropout != 0.0:
continue
candidate = _fit_candidate(
prepared=prepared,
architecture=architecture,
input_size=len(feature_names),
hidden_size=hidden_size,
num_layers=num_layers,
dropout=dropout,
epochs=epochs,
patience=patience,
batch_size=batch_size,
learning_rate=learning_rate,
weight_decay=weight_decay,
clip=clip,
device=device,
seed=seed,
)
validation_mae = float(candidate["validation_mae"])
skill = (baseline_mae - validation_mae) / baseline_mae if baseline_mae > 0 else 0.0
row = {
**candidate,
"model": f"torch_{architecture}",
"architecture": architecture,
"lookback": lookback,
"target_horizon": target_horizon,
"direct_horizon": True,
"input_size": len(feature_names),
"feature_names": feature_names,
"feature_means": prepared.feature_means,
"feature_scales": prepared.feature_scales,
"target_mean": prepared.target_mean,
"target_scale": prepared.target_scale,
"mean": prepared.target_mean,
"scale": prepared.target_scale,
"hidden_size": hidden_size,
"num_layers": num_layers,
"dropout": dropout if num_layers > 1 else 0.0,
"clip": clip,
"validation_mae_percent": validation_mae * 100,
"baseline_mae_percent": baseline_mae * 100,
"skill": skill,
"candles": len(candles),
"returns": len(returns),
"train_samples": prepared.train_samples,
"validation_samples": prepared.validation_samples,
}
score = _candidate_score(row)
if best is None or score < _candidate_score(best):
best = row
if best is None:
return None
best.pop("validation_mae", None)
return best
def _prepare_data(
*,
candles: list[Candle],
feature_names: list[str],
lookback: int,
target_horizon: int,
validation_window: int,
clip: float,
device: torch.device,
) -> PreparedData | None:
closes = [float(candle.close) for candle in candles]
feature_rows = _feature_matrix(candles, feature_names)
samples: list[tuple[list[list[float]], float]] = []
for end_index in range(lookback - 1, len(candles) - target_horizon):
current = closes[end_index]
future = closes[end_index + target_horizon]
if current <= 0 or future <= 0:
continue
window = feature_rows[end_index - lookback + 1 : end_index + 1]
if len(window) != lookback:
continue
samples.append((window, math.log(future / current)))
if len(samples) < 48:
return None
validation_window = min(max(16, validation_window), max(16, len(samples) // 3))
train_samples = samples[:-validation_window]
validation_samples = samples[-validation_window:]
if len(train_samples) < 24 or len(validation_samples) < 8:
return None
feature_means, feature_scales = _feature_stats(train_samples, len(feature_names))
train_targets = [target for _, target in train_samples]
target_mean = sum(train_targets) / len(train_targets)
target_scale = _return_scale(train_targets)
train_x, train_y = _normalize_samples(
train_samples,
feature_means=feature_means,
feature_scales=feature_scales,
target_mean=target_mean,
target_scale=target_scale,
clip=clip,
)
validation_x, validation_y = _normalize_samples(
validation_samples,
feature_means=feature_means,
feature_scales=feature_scales,
target_mean=target_mean,
target_scale=target_scale,
clip=clip,
)
return PreparedData(
train_x=torch.tensor(train_x, dtype=torch.float32, device=device),
train_y=torch.tensor(train_y, dtype=torch.float32, device=device),
validation_x=torch.tensor(validation_x, dtype=torch.float32, device=device),
validation_y=torch.tensor(validation_y, dtype=torch.float32, device=device),
validation_targets=[target for _, target in validation_samples],
feature_names=feature_names,
feature_means=feature_means,
feature_scales=feature_scales,
target_mean=target_mean,
target_scale=target_scale,
train_samples=len(train_x),
validation_samples=len(validation_x),
)
def _feature_stats(samples: list[tuple[list[list[float]], float]], input_size: int) -> tuple[list[float], list[float]]:
columns = [[] for _ in range(input_size)]
for window, _target in samples:
for row in window:
for index in range(input_size):
columns[index].append(float(row[index] if index < len(row) else 0.0))
means: list[float] = []
scales: list[float] = []
for values in columns:
if not values:
means.append(0.0)
scales.append(1.0)
continue
mean = sum(values) / len(values)
deviations = sorted(abs(value - mean) for value in values)
mad = deviations[len(deviations) // 2] if deviations else 0.0
mean_abs = sum(deviations) / len(deviations) if deviations else 0.0
means.append(mean)
scales.append(max(mad, mean_abs * 0.5, 1e-6))
return means, scales
def _normalize_samples(
samples: list[tuple[list[list[float]], float]],
*,
feature_means: list[float],
feature_scales: list[float],
target_mean: float,
target_scale: float,
clip: float,
) -> tuple[list[list[list[float]]], list[float]]:
input_size = len(feature_means)
x_values: list[list[list[float]]] = []
y_values: list[float] = []
for window, target in samples:
x_values.append(
[
[
_clamp(
((row[index] if index < len(row) else 0.0) - feature_means[index])
/ max(feature_scales[index], 1e-8),
-clip,
clip,
)
for index in range(input_size)
]
for row in window
]
)
y_values.append(_clamp((target - target_mean) / max(target_scale, 1e-8), -clip, clip))
return x_values, y_values
def _fit_candidate(
*,
prepared: PreparedData,
architecture: str,
input_size: int,
hidden_size: int,
num_layers: int,
dropout: float,
epochs: int,
patience: int,
batch_size: int,
learning_rate: float,
weight_decay: float,
clip: float,
device: torch.device,
seed: int,
) -> dict[str, Any]:
_seed(seed)
model = RecurrentReturnModel(
architecture=architecture,
input_size=input_size,
hidden_size=hidden_size,
num_layers=num_layers,
dropout=dropout,
).to(device)
optimizer = torch.optim.AdamW(model.parameters(), lr=learning_rate, weight_decay=weight_decay)
criterion = nn.SmoothL1Loss(beta=0.5)
generator = torch.Generator(device="cpu").manual_seed(seed)
loader = DataLoader(
TensorDataset(prepared.train_x, prepared.train_y),
batch_size=max(1, batch_size),
shuffle=True,
generator=generator,
)
best_state: dict[str, torch.Tensor] | None = None
best_metrics: dict[str, float] = {"validation_mae": math.inf, "directional_accuracy": 0.0, "buy_precision": 0.0}
best_epoch = 0
stale_epochs = 0
for epoch in range(1, max(1, epochs) + 1):
model.train()
for batch_x, batch_y in loader:
optimizer.zero_grad(set_to_none=True)
loss = criterion(model(batch_x), batch_y)
loss.backward()
nn.utils.clip_grad_norm_(model.parameters(), max_norm=1.0)
optimizer.step()
metrics = _validation_metrics(model, prepared, clip)
if metrics["validation_mae"] + 1e-12 < best_metrics["validation_mae"]:
best_metrics = metrics
best_epoch = epoch
best_state = {key: value.detach().cpu().clone() for key, value in model.state_dict().items()}
stale_epochs = 0
else:
stale_epochs += 1
if stale_epochs >= max(1, patience):
break
if best_state:
model.load_state_dict(best_state)
return {
**best_metrics,
"best_epoch": best_epoch,
"epochs_trained": best_epoch + stale_epochs,
"state_dict": _export_recurrent_state(model),
"head_weight": _round_list(model.head.weight.detach().cpu().squeeze(0).tolist()),
"head_bias": round(float(model.head.bias.detach().cpu().item()), 10),
}
def _validation_metrics(model: nn.Module, prepared: PreparedData, clip: float) -> dict[str, float]:
model.eval()
with torch.no_grad():
normalized_predictions = model(prepared.validation_x).detach().cpu().tolist()
predictions = [
_clamp(float(prediction), -clip, clip) * prepared.target_scale + prepared.target_mean
for prediction in normalized_predictions
]
errors = [abs(prediction - actual) for prediction, actual in zip(predictions, prepared.validation_targets)]
correct = [
1.0
for prediction, actual in zip(predictions, prepared.validation_targets)
if (prediction > 0 and actual > 0) or (prediction < 0 and actual < 0)
]
non_zero = [
1.0
for prediction, actual in zip(predictions, prepared.validation_targets)
if prediction != 0 and actual != 0
]
buy_predictions = [
actual
for prediction, actual in zip(predictions, prepared.validation_targets)
if prediction > 0
]
buy_wins = [actual for actual in buy_predictions if actual > 0]
return {
"validation_mae": sum(errors) / len(errors) if errors else math.inf,
"directional_accuracy": len(correct) / len(non_zero) if non_zero else 0.0,
"buy_precision": len(buy_wins) / len(buy_predictions) if buy_predictions else 0.0,
}
def _candidate_score(row: dict[str, Any]) -> float:
mae = float(row["validation_mae"])
skill = float(row.get("skill", 0.0))
directional = float(row.get("directional_accuracy", 0.0))
buy_precision = float(row.get("buy_precision", 0.0))
return mae * (1.0 - max(0.0, skill) * 0.05) * (1.0 - max(0.0, directional - 0.5) * 0.03) * (
1.0 - max(0.0, buy_precision - 0.5) * 0.02
)
def _export_recurrent_state(model: RecurrentReturnModel) -> dict[str, Any]:
return {
key: _round_nested(value.detach().cpu().tolist())
for key, value in model.rnn.state_dict().items()
}
def _device(raw: str) -> torch.device:
value = raw.strip().lower()
if value == "auto":
if torch.cuda.is_available():
return torch.device("cuda")
if getattr(torch.backends, "mps", None) and torch.backends.mps.is_available():
return torch.device("mps")
return torch.device("cpu")
return torch.device(value)
def _seed(seed: int) -> None:
torch.manual_seed(seed)
if torch.cuda.is_available():
torch.cuda.manual_seed_all(seed)
def _return_scale(returns: list[float]) -> float:
values = sorted(abs(value) for value in returns if math.isfinite(value))
if not values:
return 0.0005
median = values[len(values) // 2]
mean = sum(values) / len(values)
return max(max(median, mean * 0.5), 1e-5)
def _clamp(value: float, low: float, high: float) -> float:
return max(low, min(high, value))
def _round_nested(value: Any) -> Any:
if isinstance(value, list):
return [_round_nested(item) for item in value]
return round(float(value), 10)
def _round_list(values: list[float]) -> list[float]:
return [round(float(value), 10) for value in values]
def _ints(raw: str) -> list[int]:
return [int(item.strip()) for item in raw.split(",") if item.strip()]
def _floats(raw: str) -> list[float]:
return [float(item.strip()) for item in raw.split(",") if item.strip()]
def _strings(raw: str) -> list[str]:
return [item.strip().lower() for item in raw.split(",") if item.strip()]
def _feature_names_arg(raw: str) -> list[str]:
names = [item.strip() for item in raw.split(",") if item.strip()]
return names or list(DEFAULT_TORCH_FEATURES)
if __name__ == "__main__":
main()