stable/freqtrade/optimize/hyperopt.py

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# pragma pylint: disable=too-many-instance-attributes, pointless-string-statement
"""
This module contains the hyperopt logic
"""
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import locale
import logging
import random
import warnings
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from datetime import datetime
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from math import ceil
from operator import itemgetter
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from pathlib import Path
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from typing import Any, Dict, List, Optional
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import progressbar
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from colorama import Fore, Style
from colorama import init as colorama_init
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from joblib import Parallel, cpu_count, delayed, dump, load, wrap_non_picklable_objects
from pandas import DataFrame
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from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN
from freqtrade.data.converter import trim_dataframe
from freqtrade.data.history import get_timerange
from freqtrade.misc import file_dump_json, plural
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from freqtrade.optimize.backtesting import Backtesting
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# Import IHyperOpt and IHyperOptLoss to allow unpickling classes from these modules
from freqtrade.optimize.hyperopt_auto import HyperOptAuto
from freqtrade.optimize.hyperopt_interface import IHyperOpt # noqa: F401
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from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F401
from freqtrade.optimize.hyperopt_tools import HyperoptTools
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from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver, HyperOptResolver
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from freqtrade.strategy import IStrategy
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# Suppress scikit-learn FutureWarnings from skopt
with warnings.catch_warnings():
warnings.filterwarnings("ignore", category=FutureWarning)
from skopt import Optimizer
from skopt.space import Dimension
progressbar.streams.wrap_stderr()
progressbar.streams.wrap_stdout()
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logger = logging.getLogger(__name__)
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INITIAL_POINTS = 30
# Keep no more than SKOPT_MODEL_QUEUE_SIZE models
# in the skopt model queue, to optimize memory consumption
SKOPT_MODEL_QUEUE_SIZE = 10
MAX_LOSS = 100000 # just a big enough number to be bad result in loss optimization
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class Hyperopt:
"""
Hyperopt class, this class contains all the logic to run a hyperopt simulation
To run a backtest:
hyperopt = Hyperopt(config)
hyperopt.start()
"""
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custom_hyperopt: IHyperOpt
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def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
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self.backtesting = Backtesting(self.config)
if not self.config.get('hyperopt'):
self.custom_hyperopt = HyperOptAuto(self.config)
else:
self.custom_hyperopt = HyperOptResolver.load_hyperopt(self.config)
self.custom_hyperopt.strategy = self.backtesting.strategy
self.custom_hyperoptloss = HyperOptLossResolver.load_hyperoptloss(self.config)
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self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
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time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
strategy = str(self.config['strategy'])
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self.results_file = (self.config['user_data_dir'] /
'hyperopt_results' /
f'strategy_{strategy}_hyperopt_results_{time_now}.pickle')
self.data_pickle_file = (self.config['user_data_dir'] /
'hyperopt_results' / 'hyperopt_tickerdata.pkl')
self.total_epochs = config.get('epochs', 0)
self.current_best_loss = 100
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self.clean_hyperopt()
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self.num_epochs_saved = 0
# Previous evaluations
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self.epochs: List = []
# Populate functions here (hasattr is slow so should not be run during "regular" operations)
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if hasattr(self.custom_hyperopt, 'populate_indicators'):
self.backtesting.strategy.advise_indicators = ( # type: ignore
self.custom_hyperopt.populate_indicators) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
self.backtesting.strategy.advise_buy = ( # type: ignore
self.custom_hyperopt.populate_buy_trend) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_sell_trend'):
self.backtesting.strategy.advise_sell = ( # type: ignore
self.custom_hyperopt.populate_sell_trend) # type: ignore
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# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
self.max_open_trades = self.config['max_open_trades']
else:
logger.debug('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
self.max_open_trades = 0
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self.position_stacking = self.config.get('position_stacking', False)
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if HyperoptTools.has_space(self.config, 'sell'):
# Make sure use_sell_signal is enabled
if 'ask_strategy' not in self.config:
self.config['ask_strategy'] = {}
self.config['ask_strategy']['use_sell_signal'] = True
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self.print_all = self.config.get('print_all', False)
self.hyperopt_table_header = 0
self.print_colorized = self.config.get('print_colorized', False)
self.print_json = self.config.get('print_json', False)
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@staticmethod
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def get_lock_filename(config: Dict[str, Any]) -> str:
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return str(config['user_data_dir'] / 'hyperopt.lock')
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def clean_hyperopt(self) -> None:
"""
Remove hyperopt pickle files to restart hyperopt.
"""
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for f in [self.data_pickle_file, self.results_file]:
p = Path(f)
if p.is_file():
logger.info(f"Removing `{p}`.")
p.unlink()
def _get_params_dict(self, raw_params: List[Any]) -> Dict:
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dimensions: List[Dimension] = self.dimensions
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# Ensure the number of dimensions match
# the number of parameters in the list.
if len(raw_params) != len(dimensions):
raise ValueError('Mismatch in number of search-space dimensions.')
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# Return a dict where the keys are the names of the dimensions
# and the values are taken from the list of parameters.
return {d.name: v for d, v in zip(dimensions, raw_params)}
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def _save_results(self) -> None:
"""
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Save hyperopt results to file
"""
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num_epochs = len(self.epochs)
if num_epochs > self.num_epochs_saved:
logger.debug(f"Saving {num_epochs} {plural(num_epochs, 'epoch')}.")
dump(self.epochs, self.results_file)
self.num_epochs_saved = num_epochs
logger.debug(f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
f"saved to '{self.results_file}'.")
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# Store hyperopt filename
latest_filename = Path.joinpath(self.results_file.parent, LAST_BT_RESULT_FN)
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file_dump_json(latest_filename, {'latest_hyperopt': str(self.results_file.name)},
log=False)
def _get_params_details(self, params: Dict) -> Dict:
"""
Return the params for each space
"""
result: Dict = {}
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if HyperoptTools.has_space(self.config, 'buy'):
result['buy'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('buy')}
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if HyperoptTools.has_space(self.config, 'sell'):
result['sell'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('sell')}
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if HyperoptTools.has_space(self.config, 'roi'):
result['roi'] = self.custom_hyperopt.generate_roi_table(params)
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if HyperoptTools.has_space(self.config, 'stoploss'):
result['stoploss'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('stoploss')}
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if HyperoptTools.has_space(self.config, 'trailing'):
result['trailing'] = self.custom_hyperopt.generate_trailing_params(params)
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return result
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def print_results(self, results) -> None:
"""
Log results if it is better than any previous evaluation
TODO: this should be moved to HyperoptTools too
"""
is_best = results['is_best']
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if self.print_all or is_best:
print(
HyperoptTools.get_result_table(
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self.config, results, self.total_epochs,
self.print_all, self.print_colorized,
self.hyperopt_table_header
)
)
self.hyperopt_table_header = 2
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def hyperopt_space(self, space: Optional[str] = None) -> List[Dimension]:
"""
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Return the dimensions in the hyperoptimization space.
:param space: Defines hyperspace to return dimensions for.
If None, then the self.has_space() will be used to return dimensions
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for all hyperspaces used.
"""
spaces: List[Dimension] = []
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if space == 'buy' or (space is None and HyperoptTools.has_space(self.config, 'buy')):
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logger.debug("Hyperopt has 'buy' space")
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spaces += self.custom_hyperopt.indicator_space()
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if space == 'sell' or (space is None and HyperoptTools.has_space(self.config, 'sell')):
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logger.debug("Hyperopt has 'sell' space")
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spaces += self.custom_hyperopt.sell_indicator_space()
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if space == 'roi' or (space is None and HyperoptTools.has_space(self.config, 'roi')):
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logger.debug("Hyperopt has 'roi' space")
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spaces += self.custom_hyperopt.roi_space()
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if space == 'stoploss' or (space is None
and HyperoptTools.has_space(self.config, 'stoploss')):
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logger.debug("Hyperopt has 'stoploss' space")
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spaces += self.custom_hyperopt.stoploss_space()
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if space == 'trailing' or (space is None
and HyperoptTools.has_space(self.config, 'trailing')):
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logger.debug("Hyperopt has 'trailing' space")
spaces += self.custom_hyperopt.trailing_space()
return spaces
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def generate_optimizer(self, raw_params: List[Any], iteration=None) -> Dict:
"""
Used Optimize function. Called once per epoch to optimize whatever is configured.
Keep this function as optimized as possible!
"""
params_dict = self._get_params_dict(raw_params)
params_details = self._get_params_details(params_dict)
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if HyperoptTools.has_space(self.config, 'roi'):
self.backtesting.strategy.minimal_roi = ( # type: ignore
self.custom_hyperopt.generate_roi_table(params_dict))
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if HyperoptTools.has_space(self.config, 'buy'):
self.backtesting.strategy.advise_buy = ( # type: ignore
self.custom_hyperopt.buy_strategy_generator(params_dict))
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if HyperoptTools.has_space(self.config, 'sell'):
self.backtesting.strategy.advise_sell = ( # type: ignore
self.custom_hyperopt.sell_strategy_generator(params_dict))
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if HyperoptTools.has_space(self.config, 'stoploss'):
self.backtesting.strategy.stoploss = params_dict['stoploss']
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if HyperoptTools.has_space(self.config, 'trailing'):
d = self.custom_hyperopt.generate_trailing_params(params_dict)
self.backtesting.strategy.trailing_stop = d['trailing_stop']
self.backtesting.strategy.trailing_stop_positive = d['trailing_stop_positive']
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self.backtesting.strategy.trailing_stop_positive_offset = \
d['trailing_stop_positive_offset']
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self.backtesting.strategy.trailing_only_offset_is_reached = \
d['trailing_only_offset_is_reached']
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processed = load(self.data_pickle_file)
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min_date, max_date = get_timerange(processed)
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backtesting_results = self.backtesting.backtest(
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processed=processed,
start_date=min_date.datetime,
end_date=max_date.datetime,
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max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking,
enable_protections=self.config.get('enable_protections', False),
)
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return self._get_results_dict(backtesting_results, min_date, max_date,
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params_dict, params_details,
processed=processed)
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def _get_results_dict(self, backtesting_results, min_date, max_date,
params_dict, params_details, processed: Dict[str, DataFrame]):
results_metrics = self._calculate_results_metrics(backtesting_results)
results_explanation = self._format_results_explanation_string(results_metrics)
trade_count = results_metrics['trade_count']
total_profit = results_metrics['total_profit']
# If this evaluation contains too short amount of trades to be
# interesting -- consider it as 'bad' (assigned max. loss value)
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# in order to cast this hyperspace point away from optimization
# path. We do not want to optimize 'hodl' strategies.
loss: float = MAX_LOSS
if trade_count >= self.config['hyperopt_min_trades']:
loss = self.calculate_loss(results=backtesting_results, trade_count=trade_count,
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min_date=min_date.datetime, max_date=max_date.datetime,
config=self.config, processed=processed)
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return {
'loss': loss,
'params_dict': params_dict,
'params_details': params_details,
'results_metrics': results_metrics,
'results_explanation': results_explanation,
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'total_profit': total_profit,
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}
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def _calculate_results_metrics(self, backtesting_results: DataFrame) -> Dict:
wins = len(backtesting_results[backtesting_results['profit_ratio'] > 0])
draws = len(backtesting_results[backtesting_results['profit_ratio'] == 0])
losses = len(backtesting_results[backtesting_results['profit_ratio'] < 0])
return {
'trade_count': len(backtesting_results.index),
'wins': wins,
'draws': draws,
'losses': losses,
'winsdrawslosses': f"{wins:>4} {draws:>4} {losses:>4}",
'avg_profit': backtesting_results['profit_ratio'].mean() * 100.0,
'median_profit': backtesting_results['profit_ratio'].median() * 100.0,
'total_profit': backtesting_results['profit_abs'].sum(),
'profit': backtesting_results['profit_ratio'].sum() * 100.0,
'duration': backtesting_results['trade_duration'].mean(),
}
def _format_results_explanation_string(self, results_metrics: Dict) -> str:
"""
Return the formatted results explanation in a string
"""
stake_cur = self.config['stake_currency']
return (f"{results_metrics['trade_count']:6d} trades. "
f"{results_metrics['wins']}/{results_metrics['draws']}"
f"/{results_metrics['losses']} Wins/Draws/Losses. "
f"Avg profit {results_metrics['avg_profit']: 6.2f}%. "
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f"Median profit {results_metrics['median_profit']: 6.2f}%. "
f"Total profit {results_metrics['total_profit']: 11.8f} {stake_cur} "
f"({results_metrics['profit']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). "
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f"Avg duration {results_metrics['duration']:5.1f} min."
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).encode(locale.getpreferredencoding(), 'replace').decode('utf-8')
def get_optimizer(self, dimensions: List[Dimension], cpu_count) -> Optimizer:
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return Optimizer(
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dimensions,
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base_estimator="ET",
acq_optimizer="auto",
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n_initial_points=INITIAL_POINTS,
acq_optimizer_kwargs={'n_jobs': cpu_count},
random_state=self.random_state,
model_queue_size=SKOPT_MODEL_QUEUE_SIZE,
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)
def run_optimizer_parallel(self, parallel, asked, i) -> List:
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return parallel(delayed(
wrap_non_picklable_objects(self.generate_optimizer))(v, i) for v in asked)
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def _set_random_state(self, random_state: Optional[int]) -> int:
return random_state or random.randint(1, 2**16 - 1)
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def start(self) -> None:
self.random_state = self._set_random_state(self.config.get('hyperopt_random_state', None))
logger.info(f"Using optimizer random state: {self.random_state}")
self.hyperopt_table_header = -1
data, timerange = self.backtesting.load_bt_data()
logger.info("Dataload complete. Calculating indicators")
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preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data)
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# Trim startup period from analyzed dataframe
for pair, df in preprocessed.items():
preprocessed[pair] = trim_dataframe(df, timerange,
startup_candles=self.backtesting.required_startup)
min_date, max_date = get_timerange(preprocessed)
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logger.info(f'Hyperopting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(max_date - min_date).days} days)..')
dump(preprocessed, self.data_pickle_file)
# We don't need exchange instance anymore while running hyperopt
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self.backtesting.exchange.close()
self.backtesting.exchange._api = None # type: ignore
self.backtesting.exchange._api_async = None # type: ignore
# self.backtesting.exchange = None # type: ignore
self.backtesting.pairlists = None # type: ignore
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self.backtesting.strategy.dp = None # type: ignore
IStrategy.dp = None # type: ignore
cpus = cpu_count()
logger.info(f"Found {cpus} CPU cores. Let's make them scream!")
config_jobs = self.config.get('hyperopt_jobs', -1)
logger.info(f'Number of parallel jobs set as: {config_jobs}')
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self.dimensions: List[Dimension] = self.hyperopt_space()
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self.opt = self.get_optimizer(self.dimensions, config_jobs)
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if self.print_colorized:
colorama_init(autoreset=True)
try:
with Parallel(n_jobs=config_jobs) as parallel:
jobs = parallel._effective_n_jobs()
logger.info(f'Effective number of parallel workers used: {jobs}')
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# Define progressbar
if self.print_colorized:
widgets = [
' [Epoch ', progressbar.Counter(), ' of ', str(self.total_epochs),
' (', progressbar.Percentage(), ')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
fill_wrap=Fore.GREEN + '{}' + Fore.RESET,
marker_wrap=Style.BRIGHT + '{}' + Style.RESET_ALL,
)),
' [', progressbar.ETA(), ', ', progressbar.Timer(), ']',
]
else:
widgets = [
' [Epoch ', progressbar.Counter(), ' of ', str(self.total_epochs),
' (', progressbar.Percentage(), ')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
)),
' [', progressbar.ETA(), ', ', progressbar.Timer(), ']',
]
with progressbar.ProgressBar(
max_value=self.total_epochs, redirect_stdout=False, redirect_stderr=False,
widgets=widgets
) as pbar:
EVALS = ceil(self.total_epochs / jobs)
for i in range(EVALS):
# Correct the number of epochs to be processed for the last
# iteration (should not exceed self.total_epochs in total)
n_rest = (i + 1) * jobs - self.total_epochs
current_jobs = jobs - n_rest if n_rest > 0 else jobs
asked = self.opt.ask(n_points=current_jobs)
f_val = self.run_optimizer_parallel(parallel, asked, i)
self.opt.tell(asked, [v['loss'] for v in f_val])
# Calculate progressbar outputs
for j, val in enumerate(f_val):
# Use human-friendly indexes here (starting from 1)
current = i * jobs + j + 1
val['current_epoch'] = current
val['is_initial_point'] = current <= INITIAL_POINTS
logger.debug(f"Optimizer epoch evaluated: {val}")
is_best = HyperoptTools.is_best_loss(val, self.current_best_loss)
# This value is assigned here and not in the optimization method
# to keep proper order in the list of results. That's because
# evaluations can take different time. Here they are aligned in the
# order they will be shown to the user.
val['is_best'] = is_best
self.print_results(val)
if is_best:
self.current_best_loss = val['loss']
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self.epochs.append(val)
# Save results after each best epoch and every 100 epochs
if is_best or current % 100 == 0:
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self._save_results()
pbar.update(current)
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except KeyboardInterrupt:
print('User interrupted..')
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self._save_results()
logger.info(f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
f"saved to '{self.results_file}'.")
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if self.epochs:
sorted_epochs = sorted(self.epochs, key=itemgetter('loss'))
best_epoch = sorted_epochs[0]
HyperoptTools.print_epoch_details(best_epoch, self.total_epochs, self.print_json)
else:
# This is printed when Ctrl+C is pressed quickly, before first epochs have
# a chance to be evaluated.
print("No epochs evaluated yet, no best result.")