config-EURUSD-30M_v3.0141.json

{
  "agent": {
    "num_cols": 4,
    "data": "data/duka/EURUSD_30M-2004_01_01-2015-12-31.csv",
    "test_data": "data/duka/EURUSD-2018_01_01-2018_12_31.csv",
    "normalise": false,
    "detrend": true,
    "best_agent": "saved_models/DeepNeuro_Gen_best_100.pkl",
    "cols": {
      "Close": {
        "detrend": true
      },
      "Open": {
        "detrend": true
      },
      "High": {
        "detrend": true
      },
      "Low": {
        "detrend": true
      },
      "CNNClassifier_hold": {
        "detrend": false
      },
      "CNNClassifier_buy": {
        "detrend": false
      },
      "CNNClassifier_sell": {
        "detrend": false
      }
    },
    "technical_indicators": [
      "MACDhist",
      "RSI"
    ],
    "intervals": [
      3,
      5,
      9,
      14
    ],
    "params": {
      "env": "Market",
      "population_size": 256,
      "generations": 100,
      "episodes": 10,
      "mutation_variance": 0.005,
      "survival_ratio": 0.15,
      "both_parent_percentage": 0.8,
      "one_parent_percentage": 0.1,
      "reward_function": "SimpleProfit",
      "initial_cash": 5.0,
      "profit_window_size": 100,
      "max_env_steps": 500,
      "max_possible_holdings": 10,
      "close_col": 0,
      "large_holdings_penalty": 0,
      "no_trades_penalty": -1e2,
      "lost_all_cash_penalty": -1e2,
      "inaction_penalty": 0,
      "close_padding": 0
    },
    "layers": [
      16,
      32,
      64,
      32,
      16
    ]
  },
  "model": {
    "loss": "mse",
    "generative_training": true,
    "optimizer": "adam",
    "save_dir": "saved_models",
    "metrics": [],
    "pre_trained_model": "cnn-EURUSD_buy_sell_w10-ep500-2020_06_11.model",
    "pre_trained_weights": "cnn-EURUSD_buy_sell_w10-ep500-2020_06_11.h5",
    "inputs": {
      "technical_indicators": [
        "SMA",
        "KAMA",
        "MIDPRICE",
        "EMA",
        "WMA",
        "MOM",
        "ROCP",
        "TRIX",
        "ATR",
        "RSI",
        "ADX",
        "CCI",
        "WILLR",
        "CMO",
        "AROONOSC"
      ],
      "intervals": [
        2,
        3,
        4,
        5,
        7,
        9,
        11,
        13,
        17,
        21,
        34,
        41,
        55,
        77,
        99
      ]
    }
  },
  "backtesting": {
    "initial_cash": 5.0,
    "commission": 0,
    "detrend": true,
    "datapath": "data/eur-usd-historical-daily-data.csv",
    "start_date": "2004-01-01",
    "end_date": "2008-03-01",
    "date_format": "%Y-%m-%d",
    "date_col_name": "timestamp",
    "type": "PPO"
  }
}