stable/freqtrade/strategy/hyper.py

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"""
IHyperStrategy interface, hyperoptable Parameter class.
This module defines a base class for auto-hyperoptable strategies.
"""
import logging
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from abc import ABC, abstractmethod
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from contextlib import suppress
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from typing import Any, Iterator, Optional, Sequence, Tuple, Union
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with suppress(ImportError):
from skopt.space import Integer, Real, Categorical
from freqtrade.exceptions import OperationalException
logger = logging.getLogger(__name__)
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class BaseParameter(ABC):
"""
Defines a parameter that can be optimized by hyperopt.
"""
category: Optional[str]
default: Any
value: Any
opt_range: Sequence[Any]
def __init__(self, *, opt_range: Sequence[Any], default: Any, space: Optional[str] = None,
optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable parameter.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
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parameter field
name is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.(Integer|Real|Categorical).
"""
if 'name' in kwargs:
raise OperationalException(
'Name is determined by parameter field name and can not be specified manually.')
self.category = space
self._space_params = kwargs
self.value = default
self.opt_range = opt_range
self.optimize = optimize
self.load = load
def __repr__(self):
return f'{self.__class__.__name__}({self.value})'
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@abstractmethod
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def get_space(self, name: str) -> Union['Integer', 'Real', 'Categorical']:
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"""
Get-space - will be used by Hyperopt to get the hyperopt Space
"""
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def _set_value(self, value: Any):
"""
Update current value. Used by hyperopt functions for the purpose where optimization and
value spaces differ.
:param value: A numerical value.
"""
self.value = value
class IntParameter(BaseParameter):
default: int
value: int
opt_range: Sequence[int]
def __init__(self, low: Union[int, Sequence[int]], high: Optional[int] = None, *, default: int,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable integer parameter.
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:param low: Lower end (inclusive) of optimization space or [low, high].
:param high: Upper end (inclusive) of optimization space.
Must be none of entire range is passed first parameter.
:param default: A default value.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
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parameter fieldname is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Integer.
"""
if high is not None and isinstance(low, Sequence):
raise OperationalException('IntParameter space invalid.')
if high is None or isinstance(low, Sequence):
if not isinstance(low, Sequence) or len(low) != 2:
raise OperationalException('IntParameter space must be [low, high]')
opt_range = low
else:
opt_range = [low, high]
super().__init__(opt_range=opt_range, default=default, space=space, optimize=optimize,
load=load, **kwargs)
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def get_space(self, name: str) -> 'Integer':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return Integer(*self.opt_range, name=name, **self._space_params)
class RealParameter(BaseParameter):
default: float
value: float
opt_range: Sequence[float]
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def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
default: float, space: Optional[str] = None, optimize: bool = True,
load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable floating point parameter with unlimited precision.
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:param low: Lower end (inclusive) of optimization space or [low, high].
:param high: Upper end (inclusive) of optimization space.
Must be none if entire range is passed first parameter.
:param default: A default value.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
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parameter fieldname is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Real.
"""
if high is not None and isinstance(low, Sequence):
raise OperationalException(f'{self.__class__.__name__} space invalid.')
if high is None or isinstance(low, Sequence):
if not isinstance(low, Sequence) or len(low) != 2:
raise OperationalException(f'{self.__class__.__name__} space must be [low, high]')
opt_range = low
else:
opt_range = [low, high]
super().__init__(opt_range=opt_range, default=default, space=space, optimize=optimize,
load=load, **kwargs)
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def get_space(self, name: str) -> 'Real':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return Real(*self.opt_range, name=name, **self._space_params)
class DecimalParameter(RealParameter):
default: float
value: float
opt_range: Sequence[float]
def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
default: float, decimals: int = 3, space: Optional[str] = None,
optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable decimal parameter with a limited precision.
:param low: Lower end (inclusive) of optimization space or [low, high].
:param high: Upper end (inclusive) of optimization space.
Must be none if entire range is passed first parameter.
:param default: A default value.
:param decimals: A number of decimals after floating point to be included in testing.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
parameter fieldname is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Real.
"""
self._decimals = decimals
default = round(default, self._decimals)
super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
load=load, **kwargs)
def get_space(self, name: str) -> 'Integer':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
low = int(self.opt_range[0] * pow(10, self._decimals))
high = int(self.opt_range[1] * pow(10, self._decimals))
return Integer(low, high, name=name, **self._space_params)
def _set_value(self, value: int):
"""
Update current value. Used by hyperopt functions for the purpose where optimization and
value spaces differ.
:param value: An integer value.
"""
self.value = round(value * pow(0.1, self._decimals), self._decimals)
class CategoricalParameter(BaseParameter):
default: Any
value: Any
opt_range: Sequence[Any]
def __init__(self, categories: Sequence[Any], *, default: Optional[Any] = None,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable parameter.
:param categories: Optimization space, [a, b, ...].
:param default: A default value. If not specified, first item from specified space will be
used.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
parameter field
name is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Categorical.
"""
if len(categories) < 2:
raise OperationalException(
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'CategoricalParameter space must be [a, b, ...] (at least two parameters)')
super().__init__(opt_range=categories, default=default, space=space, optimize=optimize,
load=load, **kwargs)
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def get_space(self, name: str) -> 'Categorical':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return Categorical(self.opt_range, name=name, **self._space_params)
class HyperStrategyMixin(object):
"""
A helper base class which allows HyperOptAuto class to reuse implementations of of buy/sell
strategy logic.
"""
def __init__(self, *args, **kwargs):
"""
Initialize hyperoptable strategy mixin.
"""
self._load_params(getattr(self, 'buy_params', None))
self._load_params(getattr(self, 'sell_params', None))
def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]:
"""
Find all optimizeable parameters and return (name, attr) iterator.
:param category:
:return:
"""
if category not in ('buy', 'sell', None):
raise OperationalException('Category must be one of: "buy", "sell", None.')
for attr_name in dir(self):
if not attr_name.startswith('__'): # Ignore internals, not strictly necessary.
attr = getattr(self, attr_name)
if issubclass(attr.__class__, BaseParameter):
if (category and attr_name.startswith(category + '_')
and attr.category is not None and attr.category != category):
raise OperationalException(
f'Inconclusive parameter name {attr_name}, category: {attr.category}.')
if (category is None or category == attr.category or
(attr_name.startswith(category + '_') and attr.category is None)):
yield attr_name, attr
def _load_params(self, params: dict) -> None:
"""
Set optimizeable parameter values.
:param params: Dictionary with new parameter values.
"""
if not params:
return
for attr_name, attr in self.enumerate_parameters():
if attr_name in params:
if attr.load:
attr.value = params[attr_name]
logger.info(f'Strategy Parameter: {attr_name} = {attr.value}')
else:
logger.warning(f'Parameter "{attr_name}" exists, but is disabled. '
f'Default value "{attr.value}" used.')