stable/freqtrade/optimize/hyperopt_tools.py

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import io
import logging
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from copy import deepcopy
from datetime import datetime, timezone
from pathlib import Path
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from typing import Any, Dict, List, Optional
import numpy as np
import rapidjson
import tabulate
from colorama import Fore, Style
from pandas import isna, json_normalize
from freqtrade.constants import FTHYPT_FILEVERSION, USERPATH_STRATEGIES
from freqtrade.exceptions import OperationalException
from freqtrade.misc import deep_merge_dicts, round_coin_value, round_dict, safe_value_fallback2
logger = logging.getLogger(__name__)
NON_OPT_PARAM_APPENDIX = " # value loaded from strategy"
def hyperopt_serializer(x):
if isinstance(x, np.integer):
return int(x)
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if isinstance(x, np.bool_):
return bool(x)
return str(x)
class HyperoptTools():
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@staticmethod
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def get_strategy_filename(config: Dict, strategy_name: str) -> Optional[Path]:
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"""
Get Strategy-location (filename) from strategy_name
"""
from freqtrade.resolvers.strategy_resolver import StrategyResolver
directory = Path(config.get('strategy_path', config['user_data_dir'] / USERPATH_STRATEGIES))
strategy_objs = StrategyResolver.search_all_objects(directory, False)
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strategies = [s for s in strategy_objs if s['name'] == strategy_name]
if strategies:
strategy = strategies[0]
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return Path(strategy['location'])
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return None
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@staticmethod
def export_params(params, strategy_name: str, filename: Path):
"""
Generate files
"""
final_params = deepcopy(params['params_not_optimized'])
final_params = deep_merge_dicts(params['params_details'], final_params)
final_params = {
'strategy_name': strategy_name,
'params': final_params,
'ft_stratparam_v': 1,
'export_time': datetime.now(timezone.utc),
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}
logger.info(f"Dumping parameters to {filename}")
rapidjson.dump(final_params, filename.open('w'), indent=2,
default=hyperopt_serializer,
number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN
)
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@staticmethod
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def try_export_params(config: Dict[str, Any], strategy_name: str, params: Dict):
if params.get(FTHYPT_FILEVERSION, 1) >= 2 and not config.get('disableparamexport', False):
# Export parameters ...
fn = HyperoptTools.get_strategy_filename(config, strategy_name)
if fn:
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HyperoptTools.export_params(params, strategy_name, fn.with_suffix('.json'))
else:
logger.warning("Strategy not found, not exporting parameter file.")
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@staticmethod
def has_space(config: Dict[str, Any], space: str) -> bool:
"""
Tell if the space value is contained in the configuration
"""
# The 'trailing' space is not included in the 'default' set of spaces
if space == 'trailing':
return any(s in config['spaces'] for s in [space, 'all'])
else:
return any(s in config['spaces'] for s in [space, 'all', 'default'])
@staticmethod
def _read_results_pickle(results_file: Path) -> List:
"""
Read hyperopt results from pickle file
LEGACY method - new files are written as json and cannot be read with this method.
"""
from joblib import load
logger.info(f"Reading pickled epochs from '{results_file}'")
data = load(results_file)
return data
@staticmethod
def _read_results(results_file: Path) -> List:
"""
Read hyperopt results from file
"""
import rapidjson
logger.info(f"Reading epochs from '{results_file}'")
with results_file.open('r') as f:
data = [rapidjson.loads(line) for line in f]
return data
@staticmethod
def load_previous_results(results_file: Path) -> List:
"""
Load data for epochs from the file if we have one
"""
epochs: List = []
if results_file.is_file() and results_file.stat().st_size > 0:
if results_file.suffix == '.pickle':
epochs = HyperoptTools._read_results_pickle(results_file)
else:
epochs = HyperoptTools._read_results(results_file)
# Detection of some old format, without 'is_best' field saved
if epochs[0].get('is_best') is None:
raise OperationalException(
"The file with HyperoptTools results is incompatible with this version "
"of Freqtrade and cannot be loaded.")
logger.info(f"Loaded {len(epochs)} previous evaluations from disk.")
return epochs
@staticmethod
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def show_epoch_details(results, total_epochs: int, print_json: bool,
no_header: bool = False, header_str: str = None) -> None:
"""
Display details of the hyperopt result
"""
params = results.get('params_details', {})
non_optimized = results.get('params_not_optimized', {})
# Default header string
if header_str is None:
header_str = "Best result"
if not no_header:
explanation_str = HyperoptTools._format_explanation_string(results, total_epochs)
print(f"\n{header_str}:\n\n{explanation_str}\n")
if print_json:
result_dict: Dict = {}
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
HyperoptTools._params_update_for_json(result_dict, params, non_optimized, s)
print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
else:
HyperoptTools._params_pretty_print(params, 'buy', "Buy hyperspace params:",
non_optimized)
HyperoptTools._params_pretty_print(params, 'sell', "Sell hyperspace params:",
non_optimized)
HyperoptTools._params_pretty_print(params, 'roi', "ROI table:", non_optimized)
HyperoptTools._params_pretty_print(params, 'stoploss', "Stoploss:", non_optimized)
HyperoptTools._params_pretty_print(params, 'trailing', "Trailing stop:", non_optimized)
@staticmethod
def _params_update_for_json(result_dict, params, non_optimized, space: str) -> None:
if (space in params) or (space in non_optimized):
space_params = HyperoptTools._space_params(params, space)
space_non_optimized = HyperoptTools._space_params(non_optimized, space)
all_space_params = space_params
# Merge non optimized params if there are any
if len(space_non_optimized) > 0:
all_space_params = {**space_params, **space_non_optimized}
if space in ['buy', 'sell']:
result_dict.setdefault('params', {}).update(all_space_params)
elif space == 'roi':
# Convert keys in min_roi dict to strings because
# rapidjson cannot dump dicts with integer keys...
result_dict['minimal_roi'] = {str(k): v for k, v in all_space_params.items()}
else: # 'stoploss', 'trailing'
result_dict.update(all_space_params)
@staticmethod
def _params_pretty_print(params, space: str, header: str, non_optimized={}) -> None:
if space in params or space in non_optimized:
space_params = HyperoptTools._space_params(params, space, 5)
no_params = HyperoptTools._space_params(non_optimized, space, 5)
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appendix = ''
if not space_params and not no_params:
# No parameters - don't print
return
if not space_params:
# Not optimized parameters - append string
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appendix = NON_OPT_PARAM_APPENDIX
result = f"\n# {header}\n"
if space == "stoploss":
stoploss = safe_value_fallback2(space_params, no_params, space, space)
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result += (f"stoploss = {stoploss}{appendix}")
elif space == "roi":
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result = result[:-1] + f'{appendix}\n'
minimal_roi_result = rapidjson.dumps({
str(k): v for k, v in (space_params or no_params).items()
}, default=str, indent=4, number_mode=rapidjson.NM_NATIVE)
result += f"minimal_roi = {minimal_roi_result}"
elif space == "trailing":
for k, v in (space_params or no_params).items():
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result += f"{k} = {v}{appendix}\n"
else:
# Buy / sell parameters
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result += f"{space}_params = {HyperoptTools._pprint_dict(space_params, no_params)}"
result = result.replace("\n", "\n ")
print(result)
@staticmethod
def _space_params(params, space: str, r: int = None) -> Dict:
d = params.get(space)
if d:
# Round floats to `r` digits after the decimal point if requested
return round_dict(d, r) if r else d
return {}
@staticmethod
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def _pprint_dict(params, non_optimized, indent: int = 4):
"""
Pretty-print hyperopt results (based on 2 dicts - with add. comment)
"""
p = params.copy()
p.update(non_optimized)
result = '{\n'
for k, param in p.items():
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result += " " * indent + f'"{k}": '
result += f'"{param}",' if isinstance(param, str) else f'{param},'
if k in non_optimized:
result += NON_OPT_PARAM_APPENDIX
result += "\n"
result += '}'
return result
@staticmethod
def is_best_loss(results, current_best_loss: float) -> bool:
return bool(results['loss'] < current_best_loss)
@staticmethod
def format_results_explanation_string(results_metrics: Dict, stake_currency: str) -> str:
"""
Return the formatted results explanation in a string
"""
return (f"{results_metrics['total_trades']:6d} trades. "
f"{results_metrics['wins']}/{results_metrics['draws']}"
f"/{results_metrics['losses']} Wins/Draws/Losses. "
f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. "
f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. "
f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_currency} "
f"({results_metrics['profit_total'] * 100: 7.2f}%). "
f"Avg duration {results_metrics['holding_avg']} min."
)
@staticmethod
def _format_explanation_string(results, total_epochs) -> str:
return (("*" if results['is_initial_point'] else " ") +
f"{results['current_epoch']:5d}/{total_epochs}: " +
f"{results['results_explanation']} " +
f"Objective: {results['loss']:.5f}")
@staticmethod
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def prepare_trials_columns(trials, legacy_mode: bool, has_drawdown: bool) -> str:
trials['Best'] = ''
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if 'results_metrics.winsdrawslosses' not in trials.columns:
# Ensure compatibility with older versions of hyperopt results
trials['results_metrics.winsdrawslosses'] = 'N/A'
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if not has_drawdown:
# Ensure compatibility with older versions of hyperopt results
trials['results_metrics.max_drawdown_abs'] = None
trials['results_metrics.max_drawdown'] = None
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if not legacy_mode:
# New mode, using backtest result for metrics
trials['results_metrics.winsdrawslosses'] = trials.apply(
lambda x: f"{x['results_metrics.wins']} {x['results_metrics.draws']:>4} "
f"{x['results_metrics.losses']:>4}", axis=1)
trials = trials[['Best', 'current_epoch', 'results_metrics.total_trades',
'results_metrics.winsdrawslosses',
'results_metrics.profit_mean', 'results_metrics.profit_total_abs',
'results_metrics.profit_total', 'results_metrics.holding_avg',
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'results_metrics.max_drawdown', 'results_metrics.max_drawdown_abs',
'loss', 'is_initial_point', 'is_best']]
else:
# Legacy mode
trials = trials[['Best', 'current_epoch', 'results_metrics.trade_count',
'results_metrics.winsdrawslosses', 'results_metrics.avg_profit',
'results_metrics.total_profit', 'results_metrics.profit',
'results_metrics.duration', 'results_metrics.max_drawdown',
'results_metrics.max_drawdown_abs', 'loss', 'is_initial_point',
'is_best']]
trials.columns = ['Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
'Total profit', 'Profit', 'Avg duration', 'Max Drawdown',
'max_drawdown_abs', 'Objective', 'is_initial_point', 'is_best']
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return trials
@staticmethod
def get_result_table(config: dict, results: list, total_epochs: int, highlight_best: bool,
print_colorized: bool, remove_header: int) -> str:
"""
Log result table
"""
if not results:
return ''
tabulate.PRESERVE_WHITESPACE = True
trials = json_normalize(results, max_level=1)
legacy_mode = 'results_metrics.total_trades' not in trials
has_drawdown = 'results_metrics.max_drawdown_abs' in trials.columns
trials = HyperoptTools.prepare_trials_columns(trials, legacy_mode, has_drawdown)
trials['is_profit'] = False
trials.loc[trials['is_initial_point'], 'Best'] = '* '
trials.loc[trials['is_best'], 'Best'] = 'Best'
trials.loc[trials['is_initial_point'] & trials['is_best'], 'Best'] = '* Best'
trials.loc[trials['Total profit'] > 0, 'is_profit'] = True
trials['Trades'] = trials['Trades'].astype(str)
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perc_multi = 1 if legacy_mode else 100
trials['Epoch'] = trials['Epoch'].apply(
lambda x: '{}/{}'.format(str(x).rjust(len(str(total_epochs)), ' '), total_epochs)
)
trials['Avg profit'] = trials['Avg profit'].apply(
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lambda x: f'{x * perc_multi:,.2f}%'.rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ')
)
trials['Avg duration'] = trials['Avg duration'].apply(
lambda x: f'{x:,.1f} m'.rjust(7, ' ') if isinstance(x, float) else f"{x}"
if not isna(x) else "--".rjust(7, ' ')
)
trials['Objective'] = trials['Objective'].apply(
lambda x: f'{x:,.5f}'.rjust(8, ' ') if x != 100000 else "N/A".rjust(8, ' ')
)
stake_currency = config['stake_currency']
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if has_drawdown:
trials['Max Drawdown'] = trials.apply(
lambda x: '{} {}'.format(
round_coin_value(x['max_drawdown_abs'], stake_currency),
'({:,.2f}%)'.format(x['Max Drawdown'] * perc_multi).rjust(10, ' ')
).rjust(25 + len(stake_currency))
if x['Max Drawdown'] != 0.0 else '--'.rjust(25 + len(stake_currency)),
axis=1
)
else:
trials = trials.drop(columns=['Max Drawdown'])
trials = trials.drop(columns=['max_drawdown_abs'])
trials['Profit'] = trials.apply(
lambda x: '{} {}'.format(
round_coin_value(x['Total profit'], stake_currency),
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'({:,.2f}%)'.format(x['Profit'] * perc_multi).rjust(10, ' ')
).rjust(25+len(stake_currency))
if x['Total profit'] != 0.0 else '--'.rjust(25+len(stake_currency)),
axis=1
)
trials = trials.drop(columns=['Total profit'])
if print_colorized:
for i in range(len(trials)):
if trials.loc[i]['is_profit']:
for j in range(len(trials.loc[i])-3):
trials.iat[i, j] = "{}{}{}".format(Fore.GREEN,
str(trials.loc[i][j]), Fore.RESET)
if trials.loc[i]['is_best'] and highlight_best:
for j in range(len(trials.loc[i])-3):
trials.iat[i, j] = "{}{}{}".format(Style.BRIGHT,
str(trials.loc[i][j]), Style.RESET_ALL)
trials = trials.drop(columns=['is_initial_point', 'is_best', 'is_profit'])
if remove_header > 0:
table = tabulate.tabulate(
trials.to_dict(orient='list'), tablefmt='orgtbl',
headers='keys', stralign="right"
)
table = table.split("\n", remove_header)[remove_header]
elif remove_header < 0:
table = tabulate.tabulate(
trials.to_dict(orient='list'), tablefmt='psql',
headers='keys', stralign="right"
)
table = "\n".join(table.split("\n")[0:remove_header])
else:
table = tabulate.tabulate(
trials.to_dict(orient='list'), tablefmt='psql',
headers='keys', stralign="right"
)
return table
@staticmethod
def export_csv_file(config: dict, results: list, total_epochs: int, highlight_best: bool,
csv_file: str) -> None:
"""
Log result to csv-file
"""
if not results:
return
# Verification for overwrite
if Path(csv_file).is_file():
logger.error(f"CSV file already exists: {csv_file}")
return
try:
io.open(csv_file, 'w+').close()
except IOError:
logger.error(f"Failed to create CSV file: {csv_file}")
return
trials = json_normalize(results, max_level=1)
trials['Best'] = ''
trials['Stake currency'] = config['stake_currency']
if 'results_metrics.total_trades' in trials:
base_metrics = ['Best', 'current_epoch', 'results_metrics.total_trades',
'results_metrics.profit_mean', 'results_metrics.profit_median',
'results_metrics.profit_total',
'Stake currency',
'results_metrics.profit_total_abs', 'results_metrics.holding_avg',
'loss', 'is_initial_point', 'is_best']
perc_multi = 100
else:
perc_multi = 1
base_metrics = ['Best', 'current_epoch', 'results_metrics.trade_count',
'results_metrics.avg_profit', 'results_metrics.median_profit',
'results_metrics.total_profit',
'Stake currency', 'results_metrics.profit', 'results_metrics.duration',
'loss', 'is_initial_point', 'is_best']
param_metrics = [("params_dict."+param) for param in results[0]['params_dict'].keys()]
trials = trials[base_metrics + param_metrics]
base_columns = ['Best', 'Epoch', 'Trades', 'Avg profit', 'Median profit', 'Total profit',
'Stake currency', 'Profit', 'Avg duration', 'Objective',
'is_initial_point', 'is_best']
param_columns = list(results[0]['params_dict'].keys())
trials.columns = base_columns + param_columns
trials['is_profit'] = False
trials.loc[trials['is_initial_point'], 'Best'] = '*'
trials.loc[trials['is_best'], 'Best'] = 'Best'
trials.loc[trials['is_initial_point'] & trials['is_best'], 'Best'] = '* Best'
trials.loc[trials['Total profit'] > 0, 'is_profit'] = True
trials['Epoch'] = trials['Epoch'].astype(str)
trials['Trades'] = trials['Trades'].astype(str)
trials['Median profit'] = trials['Median profit'] * perc_multi
trials['Total profit'] = trials['Total profit'].apply(
lambda x: f'{x:,.8f}' if x != 0.0 else ""
)
trials['Profit'] = trials['Profit'].apply(
lambda x: f'{x:,.2f}' if not isna(x) else ""
)
trials['Avg profit'] = trials['Avg profit'].apply(
lambda x: f'{x * perc_multi:,.2f}%' if not isna(x) else ""
)
if perc_multi == 1:
trials['Avg duration'] = trials['Avg duration'].apply(
lambda x: f'{x:,.1f} m' if isinstance(
x, float) else f"{x.total_seconds() // 60:,.1f} m" if not isna(x) else ""
)
trials['Objective'] = trials['Objective'].apply(
lambda x: f'{x:,.5f}' if x != 100000 else ""
)
trials = trials.drop(columns=['is_initial_point', 'is_best', 'is_profit'])
trials.to_csv(csv_file, index=False, header=True, mode='w', encoding='UTF-8')
logger.info(f"CSV file created: {csv_file}")