Merge pull request #124 from andreskull/fix_quantstat_issue

Fix quantstat issue
notadamking · Jul 17, 2019 · 8d36151 · 8d36151
2 parents b8182a3 + 242f5e8
commit 8d36151
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Showing 2 changed files with 8 additions and 14 deletions.
diff --git a/lib/RLTrader.py b/lib/RLTrader.py
@@ -112,26 +112,20 @@ def get_model_params(self):
             'cliprange': params['cliprange'],
             'noptepochs': int(params['noptepochs']),
             'lam': params['lam'],
-            'vf_coef': params['vf_coef'],
-            'max_grad_norm': params['max_grad_norm']
         }
 
     def optimize_agent_params(self, trial):
         if self.Model != PPO2:
             return {'learning_rate': trial.suggest_loguniform('learning_rate', 1e-5, 1.)}
 
         return {
-            # PPO2 hyperparameter ranges
-            # https://medium.com/aureliantactics/ppo-hyperparameters-and-ranges-6fc2d29bccbe
-            'n_steps': int(trial.suggest_loguniform('n_steps', 32, 5000)),
-            'gamma': trial.suggest_uniform('gamma', 0.8, 0.9997),
-            'learning_rate': trial.suggest_loguniform('learning_rate', 5e-6, 0.003),
-            'ent_coef': trial.suggest_uniform('ent_coef', 0, 1e-2),
-            'cliprange': trial.suggest_uniform('cliprange', 0.1, 0.3),
-            'noptepochs': int(trial.suggest_uniform('noptepochs', 3, 30)),
-            'lam': trial.suggest_uniform('lam', 0.9, 1.),
-            'vf_coef': trial.suggest_uniform('vf_coef', 0.5, 1.),
-            'max_grad_norm': trial.suggest_uniform('max_grad_norm', 0.4, 0.6),
+            'n_steps': int(trial.suggest_loguniform('n_steps', 16, 2048)),
+            'gamma': trial.suggest_loguniform('gamma', 0.9, 0.9999),
+            'learning_rate': trial.suggest_loguniform('learning_rate', 1e-5, 1.),
+            'ent_coef': trial.suggest_loguniform('ent_coef', 1e-8, 1e-1),
+            'cliprange': trial.suggest_uniform('cliprange', 0.1, 0.4),
+            'noptepochs': int(trial.suggest_loguniform('noptepochs', 1, 48)),
+            'lam': trial.suggest_uniform('lam', 0.8, 1.)
         }
 
     def optimize_params(self, trial, n_prune_evals_per_trial: int = 2, n_tests_per_eval: int = 1):

diff --git a/requirements.base.txt b/requirements.base.txt
@@ -11,4 +11,4 @@ empyrical
 ccxt
 psycopg2
 configparser
-quantstats
+quantstats>=0.0.17