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 sys
import pickle
import signal
import os
from math import exp
from operator import itemgetter
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from hyperopt import STATUS_FAIL, STATUS_OK, Trials, fmin, space_eval, tpe
from hyperopt.mongoexp import MongoTrials
from pandas import DataFrame
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from freqtrade import main, misc # noqa
from freqtrade import exchange, optimize
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from freqtrade.exchange import Bittrex
from freqtrade.misc import load_config
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__)
# set TARGET_TRADES to suit your number concurrent trades so its realistic to 20days of data
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
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TRIALS_FILE = os.path.join('freqtrade', 'optimize', 'hyperopt_trials.pickle')
TRIALS = Trials()
# Monkey patch config
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from freqtrade import main # noqa
main._CONF = OPTIMIZE_CONFIG
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)
duration_loss = 0.7 + 0.3 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
return trade_loss + profit_loss + duration_loss
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def optimizer(params):
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global _CURRENT_TRIES
from freqtrade.optimize import backtesting
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strategy = Strategy()
backtesting.populate_buy_trend = strategy.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() * 5
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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# 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,
ticker_interval=args.ticker_interval,
timerange=timerange)
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,
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space=strategy.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(
strategy.hyperopt_space(),
best_parameters
)
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logger.info('Best parameters:\n%s', json.dumps(best_parameters, indent=4))
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)