stable/freqtrade/optimize/hyperopt.py

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# pragma pylint: disable=missing-docstring,W0212,W0603
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import json
import logging
import os
import pickle
import signal
import sys
from functools import reduce
from math import exp
from operator import itemgetter
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from typing import Dict, Any, Callable
import numpy
import talib.abstract as ta
from hyperopt import STATUS_FAIL, STATUS_OK, Trials, fmin, hp, space_eval, tpe
from hyperopt.mongoexp import MongoTrials
from pandas import DataFrame
import freqtrade.vendor.qtpylib.indicators as qtpylib
# Monkey patch config
from freqtrade import main # noqa; noqa
from freqtrade import exchange, misc, optimize
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from freqtrade.exchange import Bittrex
from freqtrade.misc import load_config
from freqtrade.optimize import backtesting
from freqtrade.optimize.backtesting import backtest
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from freqtrade.strategy.strategy import Strategy
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from user_data.hyperopt_conf import hyperopt_optimize_conf
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# Remove noisy log messages
logging.getLogger('hyperopt.mongoexp').setLevel(logging.WARNING)
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logging.getLogger('hyperopt.tpe').setLevel(logging.WARNING)
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logger = logging.getLogger(__name__)
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# set TARGET_TRADES to suit your number concurrent trades so its realistic to the number of days
TARGET_TRADES = 600
TOTAL_TRIES = 0
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_CURRENT_TRIES = 0
CURRENT_BEST_LOSS = 100
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# max average trade duration in minutes
# if eval ends with higher value, we consider it a failed eval
MAX_ACCEPTED_TRADE_DURATION = 300
# this is expexted avg profit * expected trade count
# for example 3.5%, 1100 trades, EXPECTED_MAX_PROFIT = 3.85
# check that the reported Σ% values do not exceed this!
EXPECTED_MAX_PROFIT = 3.0
# Configuration and data used by hyperopt
PROCESSED = None # optimize.preprocess(optimize.load_data())
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OPTIMIZE_CONFIG = hyperopt_optimize_conf()
# Hyperopt Trials
TRIALS_FILE = os.path.join('user_data', 'hyperopt_trials.pickle')
TRIALS = Trials()
main._CONF = OPTIMIZE_CONFIG
def populate_indicators(dataframe: DataFrame) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame
"""
dataframe['adx'] = ta.ADX(dataframe)
dataframe['ao'] = qtpylib.awesome_oscillator(dataframe)
dataframe['cci'] = ta.CCI(dataframe)
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
dataframe['macdhist'] = macd['macdhist']
dataframe['mfi'] = ta.MFI(dataframe)
dataframe['minus_dm'] = ta.MINUS_DM(dataframe)
dataframe['minus_di'] = ta.MINUS_DI(dataframe)
dataframe['plus_dm'] = ta.PLUS_DM(dataframe)
dataframe['plus_di'] = ta.PLUS_DI(dataframe)
dataframe['roc'] = ta.ROC(dataframe)
dataframe['rsi'] = ta.RSI(dataframe)
# Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy)
rsi = 0.1 * (dataframe['rsi'] - 50)
dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1)
# Inverse Fisher transform on RSI normalized, value [0.0, 100.0] (https://goo.gl/2JGGoy)
dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1)
# Stoch
stoch = ta.STOCH(dataframe)
dataframe['slowd'] = stoch['slowd']
dataframe['slowk'] = stoch['slowk']
# Stoch fast
stoch_fast = ta.STOCHF(dataframe)
dataframe['fastd'] = stoch_fast['fastd']
dataframe['fastk'] = stoch_fast['fastk']
# Stoch RSI
stoch_rsi = ta.STOCHRSI(dataframe)
dataframe['fastd_rsi'] = stoch_rsi['fastd']
dataframe['fastk_rsi'] = stoch_rsi['fastk']
# Bollinger bands
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_middleband'] = bollinger['mid']
dataframe['bb_upperband'] = bollinger['upper']
# EMA - Exponential Moving Average
dataframe['ema3'] = ta.EMA(dataframe, timeperiod=3)
dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100)
# SAR Parabolic
dataframe['sar'] = ta.SAR(dataframe)
# SMA - Simple Moving Average
dataframe['sma'] = ta.SMA(dataframe, timeperiod=40)
# TEMA - Triple Exponential Moving Average
dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
# Hilbert Transform Indicator - SineWave
hilbert = ta.HT_SINE(dataframe)
dataframe['htsine'] = hilbert['sine']
dataframe['htleadsine'] = hilbert['leadsine']
# Pattern Recognition - Bullish candlestick patterns
# ------------------------------------
"""
# Hammer: values [0, 100]
dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe)
# Inverted Hammer: values [0, 100]
dataframe['CDLINVERTEDHAMMER'] = ta.CDLINVERTEDHAMMER(dataframe)
# Dragonfly Doji: values [0, 100]
dataframe['CDLDRAGONFLYDOJI'] = ta.CDLDRAGONFLYDOJI(dataframe)
# Piercing Line: values [0, 100]
dataframe['CDLPIERCING'] = ta.CDLPIERCING(dataframe) # values [0, 100]
# Morningstar: values [0, 100]
dataframe['CDLMORNINGSTAR'] = ta.CDLMORNINGSTAR(dataframe) # values [0, 100]
# Three White Soldiers: values [0, 100]
dataframe['CDL3WHITESOLDIERS'] = ta.CDL3WHITESOLDIERS(dataframe) # values [0, 100]
"""
# Pattern Recognition - Bearish candlestick patterns
# ------------------------------------
"""
# Hanging Man: values [0, 100]
dataframe['CDLHANGINGMAN'] = ta.CDLHANGINGMAN(dataframe)
# Shooting Star: values [0, 100]
dataframe['CDLSHOOTINGSTAR'] = ta.CDLSHOOTINGSTAR(dataframe)
# Gravestone Doji: values [0, 100]
dataframe['CDLGRAVESTONEDOJI'] = ta.CDLGRAVESTONEDOJI(dataframe)
# Dark Cloud Cover: values [0, 100]
dataframe['CDLDARKCLOUDCOVER'] = ta.CDLDARKCLOUDCOVER(dataframe)
# Evening Doji Star: values [0, 100]
dataframe['CDLEVENINGDOJISTAR'] = ta.CDLEVENINGDOJISTAR(dataframe)
# Evening Star: values [0, 100]
dataframe['CDLEVENINGSTAR'] = ta.CDLEVENINGSTAR(dataframe)
"""
# Pattern Recognition - Bullish/Bearish candlestick patterns
# ------------------------------------
"""
# Three Line Strike: values [0, -100, 100]
dataframe['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(dataframe)
# Spinning Top: values [0, -100, 100]
dataframe['CDLSPINNINGTOP'] = ta.CDLSPINNINGTOP(dataframe) # values [0, -100, 100]
# Engulfing: values [0, -100, 100]
dataframe['CDLENGULFING'] = ta.CDLENGULFING(dataframe) # values [0, -100, 100]
# Harami: values [0, -100, 100]
dataframe['CDLHARAMI'] = ta.CDLHARAMI(dataframe) # values [0, -100, 100]
# Three Outside Up/Down: values [0, -100, 100]
dataframe['CDL3OUTSIDE'] = ta.CDL3OUTSIDE(dataframe) # values [0, -100, 100]
# Three Inside Up/Down: values [0, -100, 100]
dataframe['CDL3INSIDE'] = ta.CDL3INSIDE(dataframe) # values [0, -100, 100]
"""
# Chart type
# ------------------------------------
# Heikinashi stategy
heikinashi = qtpylib.heikinashi(dataframe)
dataframe['ha_open'] = heikinashi['open']
dataframe['ha_close'] = heikinashi['close']
dataframe['ha_high'] = heikinashi['high']
dataframe['ha_low'] = heikinashi['low']
return dataframe
def save_trials(trials, trials_path=TRIALS_FILE):
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"""Save hyperopt trials to file"""
logger.info('Saving Trials to \'{}\''.format(trials_path))
pickle.dump(trials, open(trials_path, 'wb'))
def read_trials(trials_path=TRIALS_FILE):
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"""Read hyperopt trials file"""
logger.info('Reading Trials from \'{}\''.format(trials_path))
trials = pickle.load(open(trials_path, 'rb'))
os.remove(trials_path)
return trials
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def log_trials_result(trials):
vals = json.dumps(trials.best_trial['misc']['vals'], indent=4)
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results = trials.best_trial['result']['result']
logger.info('Best result:\n%s\nwith values:\n%s', results, vals)
def log_results(results):
""" log results if it is better than any previous evaluation """
global CURRENT_BEST_LOSS
if results['loss'] < CURRENT_BEST_LOSS:
CURRENT_BEST_LOSS = results['loss']
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logger.info('{:5d}/{}: {}. Loss {:.5f}'.format(
results['current_tries'],
results['total_tries'],
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results['result'],
results['loss']))
else:
print('.', end='')
sys.stdout.flush()
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def calculate_loss(total_profit: float, trade_count: int, trade_duration: float):
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""" objective function, returns smaller number for more optimal results """
trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
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profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
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duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
return trade_loss + profit_loss + duration_loss
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def generate_roi_table(params) -> Dict[str, float]:
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roi_table = {}
roi_table["0"] = params['roi_p1'] + params['roi_p2'] + params['roi_p3']
roi_table[str(params['roi_t3'])] = params['roi_p1'] + params['roi_p2']
roi_table[str(params['roi_t3'] + params['roi_t2'])] = params['roi_p1']
roi_table[str(params['roi_t3'] + params['roi_t2'] + params['roi_t1'])] = 0
return roi_table
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def roi_space() -> Dict[str, Any]:
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return {
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'roi_t1': hp.quniform('roi_t1', 10, 120, 20),
'roi_t2': hp.quniform('roi_t2', 10, 60, 15),
'roi_t3': hp.quniform('roi_t3', 10, 40, 10),
'roi_p1': hp.quniform('roi_p1', 0.01, 0.04, 0.01),
'roi_p2': hp.quniform('roi_p2', 0.01, 0.07, 0.01),
'roi_p3': hp.quniform('roi_p3', 0.01, 0.20, 0.01),
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}
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def stoploss_space() -> Dict[str, Any]:
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return {
'stoploss': hp.quniform('stoploss', -0.5, -0.02, 0.02),
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}
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def indicator_space() -> Dict[str, Any]:
"""
Define your Hyperopt space for searching strategy parameters
"""
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return {
'macd_below_zero': hp.choice('macd_below_zero', [
{'enabled': False},
{'enabled': True}
]),
'mfi': hp.choice('mfi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('mfi-value', 10, 25, 5)}
]),
'fastd': hp.choice('fastd', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('fastd-value', 15, 45, 5)}
]),
'adx': hp.choice('adx', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('adx-value', 20, 50, 5)}
]),
'rsi': hp.choice('rsi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 5)}
]),
'uptrend_long_ema': hp.choice('uptrend_long_ema', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_short_ema': hp.choice('uptrend_short_ema', [
{'enabled': False},
{'enabled': True}
]),
'over_sar': hp.choice('over_sar', [
{'enabled': False},
{'enabled': True}
]),
'green_candle': hp.choice('green_candle', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_sma': hp.choice('uptrend_sma', [
{'enabled': False},
{'enabled': True}
]),
'trigger': hp.choice('trigger', [
{'type': 'lower_bb'},
{'type': 'lower_bb_tema'},
{'type': 'faststoch10'},
{'type': 'ao_cross_zero'},
{'type': 'ema3_cross_ema10'},
{'type': 'macd_cross_signal'},
{'type': 'sar_reversal'},
{'type': 'ht_sine'},
{'type': 'heiken_reversal_bull'},
{'type': 'di_cross'},
]),
}
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def hyperopt_space() -> Dict[str, Any]:
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return {**indicator_space(), **roi_space(), **stoploss_space()}
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def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the buy strategy parameters to be used by hyperopt
"""
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if 'uptrend_long_ema' in params and params['uptrend_long_ema']['enabled']:
conditions.append(dataframe['ema50'] > dataframe['ema100'])
if 'macd_below_zero' in params and params['macd_below_zero']['enabled']:
conditions.append(dataframe['macd'] < 0)
if 'uptrend_short_ema' in params and params['uptrend_short_ema']['enabled']:
conditions.append(dataframe['ema5'] > dataframe['ema10'])
if 'mfi' in params and params['mfi']['enabled']:
conditions.append(dataframe['mfi'] < params['mfi']['value'])
if 'fastd' in params and params['fastd']['enabled']:
conditions.append(dataframe['fastd'] < params['fastd']['value'])
if 'adx' in params and params['adx']['enabled']:
conditions.append(dataframe['adx'] > params['adx']['value'])
if 'rsi' in params and params['rsi']['enabled']:
conditions.append(dataframe['rsi'] < params['rsi']['value'])
if 'over_sar' in params and params['over_sar']['enabled']:
conditions.append(dataframe['close'] > dataframe['sar'])
if 'green_candle' in params and params['green_candle']['enabled']:
conditions.append(dataframe['close'] > dataframe['open'])
if 'uptrend_sma' in params and params['uptrend_sma']['enabled']:
prevsma = dataframe['sma'].shift(1)
conditions.append(dataframe['sma'] > prevsma)
# TRIGGERS
triggers = {
'lower_bb': (
dataframe['close'] < dataframe['bb_lowerband']
),
'lower_bb_tema': (
dataframe['tema'] < dataframe['bb_lowerband']
),
'faststoch10': (qtpylib.crossed_above(
dataframe['fastd'], 10.0
)),
'ao_cross_zero': (qtpylib.crossed_above(
dataframe['ao'], 0.0
)),
'ema3_cross_ema10': (qtpylib.crossed_above(
dataframe['ema3'], dataframe['ema10']
)),
'macd_cross_signal': (qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal']
)),
'sar_reversal': (qtpylib.crossed_above(
dataframe['close'], dataframe['sar']
)),
'ht_sine': (qtpylib.crossed_above(
dataframe['htleadsine'], dataframe['htsine']
)),
'heiken_reversal_bull': (
(qtpylib.crossed_above(dataframe['ha_close'], dataframe['ha_open'])) &
(dataframe['ha_low'] == dataframe['ha_open'])
),
'di_cross': (qtpylib.crossed_above(
dataframe['plus_di'], dataframe['minus_di']
)),
}
conditions.append(triggers.get(params['trigger']['type']))
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy'] = 1
return dataframe
return populate_buy_trend
def optimizer(params):
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global _CURRENT_TRIES
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if 'roi_t1' in params:
strategy = Strategy()
strategy.minimal_roi = generate_roi_table(params)
backtesting.populate_buy_trend = buy_strategy_generator(params)
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results = backtest({'stake_amount': OPTIMIZE_CONFIG['stake_amount'],
'processed': PROCESSED,
'stoploss': params['stoploss']})
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result_explanation = format_results(results)
total_profit = results.profit_percent.sum()
trade_count = len(results.index)
trade_duration = results.duration.mean()
if trade_count == 0 or trade_duration > MAX_ACCEPTED_TRADE_DURATION:
print('.', end='')
return {
'status': STATUS_FAIL,
'loss': float('inf')
}
loss = calculate_loss(total_profit, trade_count, trade_duration)
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_CURRENT_TRIES += 1
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log_results({
'loss': loss,
'current_tries': _CURRENT_TRIES,
'total_tries': TOTAL_TRIES,
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'result': result_explanation,
})
return {
'loss': loss,
'status': STATUS_OK,
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'result': result_explanation,
}
def format_results(results: DataFrame):
return ('{:6d} trades. Avg profit {: 5.2f}%. '
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'Total profit {: 11.8f} BTC ({:.4f}Σ%). Avg duration {:5.1f} mins.').format(
len(results.index),
results.profit_percent.mean() * 100.0,
results.profit_BTC.sum(),
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results.profit_percent.sum(),
results.duration.mean() * 5,
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)
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def start(args):
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global TOTAL_TRIES, PROCESSED, TRIALS, _CURRENT_TRIES
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TOTAL_TRIES = args.epochs
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exchange._API = Bittrex({'key': '', 'secret': ''})
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# Initialize logger
logging.basicConfig(
level=args.loglevel,
format='\n%(message)s',
)
logger.info('Using config: %s ...', args.config)
config = load_config(args.config)
pairs = config['exchange']['pair_whitelist']
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# If -i/--ticker-interval is use we override the configuration parameter
# (that will override the strategy configuration)
if args.ticker_interval:
config.update({'ticker_interval': args.ticker_interval})
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# init the strategy to use
config.update({'strategy': args.strategy})
strategy = Strategy()
strategy.init(config)
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timerange = misc.parse_timerange(args.timerange)
data = optimize.load_data(args.datadir, pairs=pairs,
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ticker_interval=strategy.ticker_interval,
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timerange=timerange)
optimize.populate_indicators = populate_indicators
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PROCESSED = optimize.tickerdata_to_dataframe(data)
if args.mongodb:
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logger.info('Using mongodb ...')
logger.info('Start scripts/start-mongodb.sh and start-hyperopt-worker.sh manually!')
db_name = 'freqtrade_hyperopt'
TRIALS = MongoTrials('mongo://127.0.0.1:1234/{}/jobs'.format(db_name), exp_key='exp1')
else:
logger.info('Preparing Trials..')
signal.signal(signal.SIGINT, signal_handler)
# read trials file if we have one
if os.path.exists(TRIALS_FILE):
TRIALS = read_trials()
_CURRENT_TRIES = len(TRIALS.results)
TOTAL_TRIES = TOTAL_TRIES + _CURRENT_TRIES
logger.info(
'Continuing with trials. Current: {}, Total: {}'
.format(_CURRENT_TRIES, TOTAL_TRIES))
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try:
best_parameters = fmin(
fn=optimizer,
space=hyperopt_space(),
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algo=tpe.suggest,
max_evals=TOTAL_TRIES,
trials=TRIALS
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)
results = sorted(TRIALS.results, key=itemgetter('loss'))
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best_result = results[0]['result']
except ValueError:
best_parameters = {}
best_result = 'Sorry, Hyperopt was not able to find good parameters. Please ' \
'try with more epochs (param: -e).'
# Improve best parameter logging display
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if best_parameters:
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best_parameters = space_eval(
hyperopt_space(),
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best_parameters
)
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logger.info('Best parameters:\n%s', json.dumps(best_parameters, indent=4))
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if 'roi_t1' in best_parameters:
logger.info('ROI table:\n%s', generate_roi_table(best_parameters))
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logger.info('Best Result:\n%s', best_result)
# Store trials result to file to resume next time
save_trials(TRIALS)
def signal_handler(sig, frame):
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"""Hyperopt SIGINT handler"""
logger.info('Hyperopt received {}'.format(signal.Signals(sig).name))
save_trials(TRIALS)
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log_trials_result(TRIALS)
sys.exit(0)