stable/freqtrade/templates/base_hyperopt.py.j2

# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement

from functools import reduce
from typing import Any, Callable, Dict, List

from pandas import DataFrame
import pandas as pd  # noqa
import numpy as np  # noqa
from skopt.space import Categorical, Dimension, Integer, Real  # noqa

from freqtrade.optimize.hyperopt_interface import IHyperOpt

# --------------------------------
# Add your lib to import here
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib


class {{ hyperopt }}(IHyperOpt):
    """
    This is a Hyperopt template to get you started.

    More information in https://github.com/freqtrade/freqtrade/blob/develop/docs/hyperopt.md

    You should:
    - Add any lib you need to build your hyperopt.

    You must keep:
    - The prototypes for the methods: populate_indicators, indicator_space, buy_strategy_generator.

    The roi_space, generate_roi_table, stoploss_space methods are no longer required to be
    copied in every custom hyperopt. However, you may override them if you need the
    'roi' and the 'stoploss' spaces that differ from the defaults offered by Freqtrade.
    Sample implementation of these methods can be found in
    https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt_advanced.py
    """

    @staticmethod
    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, metadata: dict) -> DataFrame:
            """
            Buy strategy Hyperopt will build and use.
            """
            conditions = []

            # GUARDS AND TRENDS
            if 'mfi-enabled' in params and params['mfi-enabled']:
                conditions.append(dataframe['mfi'] < params['mfi-value'])
            if 'fastd-enabled' in params and params['fastd-enabled']:
                conditions.append(dataframe['fastd'] < params['fastd-value'])
            if 'adx-enabled' in params and params['adx-enabled']:
                conditions.append(dataframe['adx'] > params['adx-value'])
            if 'rsi-enabled' in params and params['rsi-enabled']:
                conditions.append(dataframe['rsi'] < params['rsi-value'])

            # TRIGGERS
            if 'trigger' in params:
                if params['trigger'] == 'bb_lower':
                    conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
                if params['trigger'] == 'macd_cross_signal':
                    conditions.append(qtpylib.crossed_above(
                        dataframe['macd'], dataframe['macdsignal']
                    ))
                if params['trigger'] == 'sar_reversal':
                    conditions.append(qtpylib.crossed_above(
                        dataframe['close'], dataframe['sar']
                    ))

            if conditions:
                dataframe.loc[
                    reduce(lambda x, y: x & y, conditions),
                    'buy'] = 1

            return dataframe

        return populate_buy_trend

    @staticmethod
    def indicator_space() -> List[Dimension]:
        """
        Define your Hyperopt space for searching buy strategy parameters.
        """
        return [
            Integer(10, 25, name='mfi-value'),
            Integer(15, 45, name='fastd-value'),
            Integer(20, 50, name='adx-value'),
            Integer(20, 40, name='rsi-value'),
            Categorical([True, False], name='mfi-enabled'),
            Categorical([True, False], name='fastd-enabled'),
            Categorical([True, False], name='adx-enabled'),
            Categorical([True, False], name='rsi-enabled'),
            Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger')
        ]

    @staticmethod
    def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
        """
        Define the sell strategy parameters to be used by Hyperopt.
        """
        def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
            """
            Sell strategy Hyperopt will build and use.
            """
            conditions = []

            # GUARDS AND TRENDS
            if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']:
                conditions.append(dataframe['mfi'] > params['sell-mfi-value'])
            if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
                conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
            if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
                conditions.append(dataframe['adx'] < params['sell-adx-value'])
            if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
                conditions.append(dataframe['rsi'] > params['sell-rsi-value'])

            # TRIGGERS
            if 'sell-trigger' in params:
                if params['sell-trigger'] == 'sell-bb_upper':
                    conditions.append(dataframe['close'] > dataframe['bb_upperband'])
                if params['sell-trigger'] == 'sell-macd_cross_signal':
                    conditions.append(qtpylib.crossed_above(
                        dataframe['macdsignal'], dataframe['macd']
                    ))
                if params['sell-trigger'] == 'sell-sar_reversal':
                    conditions.append(qtpylib.crossed_above(
                        dataframe['sar'], dataframe['close']
                    ))

            if conditions:
                dataframe.loc[
                    reduce(lambda x, y: x & y, conditions),
                    'sell'] = 1

            return dataframe

        return populate_sell_trend

    @staticmethod
    def sell_indicator_space() -> List[Dimension]:
        """
        Define your Hyperopt space for searching sell strategy parameters.
        """
        return [
            Integer(75, 100, name='sell-mfi-value'),
            Integer(50, 100, name='sell-fastd-value'),
            Integer(50, 100, name='sell-adx-value'),
            Integer(60, 100, name='sell-rsi-value'),
            Categorical([True, False], name='sell-mfi-enabled'),
            Categorical([True, False], name='sell-fastd-enabled'),
            Categorical([True, False], name='sell-adx-enabled'),
            Categorical([True, False], name='sell-rsi-enabled'),
            Categorical(['sell-bb_upper',
                         'sell-macd_cross_signal',
                         'sell-sar_reversal'], name='sell-trigger')
        ]