stable/freqtrade/strategy/hyper.py

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"""
IHyperStrategy interface, hyperoptable Parameter class.
This module defines a base class for auto-hyperoptable strategies.
"""
import logging
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from abc import ABC, abstractmethod
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from contextlib import suppress
from pathlib import Path
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from typing import Any, Dict, Iterator, List, Optional, Sequence, Tuple, Union
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from freqtrade.misc import deep_merge_dicts, json_load
from freqtrade.optimize.hyperopt_tools import HyperoptTools
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with suppress(ImportError):
from skopt.space import Integer, Real, Categorical
from freqtrade.optimize.space import SKDecimal
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from freqtrade.enums import RunMode
from freqtrade.exceptions import OperationalException
logger = logging.getLogger(__name__)
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# TODO-lev: This file
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class BaseParameter(ABC):
"""
Defines a parameter that can be optimized by hyperopt.
"""
category: Optional[str]
default: Any
value: Any
in_space: bool = False
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name: str
def __init__(self, *, default: Any, space: Optional[str] = None,
optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable parameter.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
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parameter field
name is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.(Integer|Real|Categorical).
"""
if 'name' in kwargs:
raise OperationalException(
'Name is determined by parameter field name and can not be specified manually.')
self.category = space
self._space_params = kwargs
self.value = default
self.optimize = optimize
self.load = load
def __repr__(self):
return f'{self.__class__.__name__}({self.value})'
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@abstractmethod
def get_space(self, name: str) -> Union['Integer', 'Real', 'SKDecimal', 'Categorical']:
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"""
Get-space - will be used by Hyperopt to get the hyperopt Space
"""
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class NumericParameter(BaseParameter):
""" Internal parameter used for Numeric purposes """
float_or_int = Union[int, float]
default: float_or_int
value: float_or_int
def __init__(self, low: Union[float_or_int, Sequence[float_or_int]],
high: Optional[float_or_int] = None, *, default: float_or_int,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable numeric parameter.
Cannot be instantiated, but provides the validation for other numeric parameters
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:param low: Lower end (inclusive) of optimization space or [low, high].
:param high: Upper end (inclusive) of optimization space.
Must be none of entire range is passed first parameter.
:param default: A default value.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
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parameter fieldname is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.*.
"""
if high is not None and isinstance(low, Sequence):
raise OperationalException(f'{self.__class__.__name__} space invalid.')
if high is None or isinstance(low, Sequence):
if not isinstance(low, Sequence) or len(low) != 2:
raise OperationalException(f'{self.__class__.__name__} space must be [low, high]')
self.low, self.high = low
else:
self.low = low
self.high = high
super().__init__(default=default, space=space, optimize=optimize,
load=load, **kwargs)
class IntParameter(NumericParameter):
default: int
value: int
def __init__(self, low: Union[int, Sequence[int]], high: Optional[int] = None, *, default: int,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable integer parameter.
:param low: Lower end (inclusive) of optimization space or [low, high].
:param high: Upper end (inclusive) of optimization space.
Must be none of entire range is passed first parameter.
:param default: A default value.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
parameter fieldname is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Integer.
"""
super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
load=load, **kwargs)
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def get_space(self, name: str) -> 'Integer':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return Integer(low=self.low, high=self.high, name=name, **self._space_params)
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@property
def range(self):
"""
Get each value in this space as list.
Returns a List from low to high (inclusive) in Hyperopt mode.
Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
calculating 100ds of indicators.
"""
if self.in_space and self.optimize:
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# Scikit-optimize ranges are "inclusive", while python's "range" is exclusive
return range(self.low, self.high + 1)
else:
return range(self.value, self.value + 1)
class RealParameter(NumericParameter):
default: float
value: float
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def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
default: float, space: Optional[str] = None, optimize: bool = True,
load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable floating point parameter with unlimited precision.
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:param low: Lower end (inclusive) of optimization space or [low, high].
:param high: Upper end (inclusive) of optimization space.
Must be none if entire range is passed first parameter.
:param default: A default value.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
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parameter fieldname is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Real.
"""
super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
load=load, **kwargs)
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def get_space(self, name: str) -> 'Real':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return Real(low=self.low, high=self.high, name=name, **self._space_params)
class DecimalParameter(NumericParameter):
default: float
value: float
def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
default: float, decimals: int = 3, space: Optional[str] = None,
optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable decimal parameter with a limited precision.
:param low: Lower end (inclusive) of optimization space or [low, high].
:param high: Upper end (inclusive) of optimization space.
Must be none if entire range is passed first parameter.
:param default: A default value.
:param decimals: A number of decimals after floating point to be included in testing.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
parameter fieldname is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Integer.
"""
self._decimals = decimals
default = round(default, self._decimals)
super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
load=load, **kwargs)
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def get_space(self, name: str) -> 'SKDecimal':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return SKDecimal(low=self.low, high=self.high, decimals=self._decimals, name=name,
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**self._space_params)
@property
def range(self):
"""
Get each value in this space as list.
Returns a List from low to high (inclusive) in Hyperopt mode.
Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
calculating 100ds of indicators.
"""
if self.in_space and self.optimize:
low = int(self.low * pow(10, self._decimals))
high = int(self.high * pow(10, self._decimals)) + 1
return [round(n * pow(0.1, self._decimals), self._decimals) for n in range(low, high)]
else:
return [self.value]
class CategoricalParameter(BaseParameter):
default: Any
value: Any
opt_range: Sequence[Any]
def __init__(self, categories: Sequence[Any], *, default: Optional[Any] = None,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable parameter.
:param categories: Optimization space, [a, b, ...].
:param default: A default value. If not specified, first item from specified space will be
used.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
parameter field
name is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Categorical.
"""
if len(categories) < 2:
raise OperationalException(
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'CategoricalParameter space must be [a, b, ...] (at least two parameters)')
self.opt_range = categories
super().__init__(default=default, space=space, optimize=optimize,
load=load, **kwargs)
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def get_space(self, name: str) -> 'Categorical':
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return Categorical(self.opt_range, name=name, **self._space_params)
@property
def range(self):
"""
Get each value in this space as list.
Returns a List of categories in Hyperopt mode.
Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
calculating 100ds of indicators.
"""
if self.in_space and self.optimize:
return self.opt_range
else:
return [self.value]
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class BooleanParameter(CategoricalParameter):
def __init__(self, *, default: Optional[Any] = None,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable Boolean Parameter.
It's a shortcut to `CategoricalParameter([True, False])`.
:param default: A default value. If not specified, first item from specified space will be
used.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
parameter field
name is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Categorical.
"""
categories = [True, False]
super().__init__(categories=categories, default=default, space=space, optimize=optimize,
load=load, **kwargs)
class HyperStrategyMixin(object):
"""
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A helper base class which allows HyperOptAuto class to reuse implementations of buy/sell
strategy logic.
"""
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def __init__(self, config: Dict[str, Any], *args, **kwargs):
"""
Initialize hyperoptable strategy mixin.
"""
self.config = config
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self.ft_buy_params: List[BaseParameter] = []
self.ft_sell_params: List[BaseParameter] = []
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self.ft_protection_params: List[BaseParameter] = []
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self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT)
def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]:
"""
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Find all optimizable parameters and return (name, attr) iterator.
:param category:
:return:
"""
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if category not in ('buy', 'sell', 'protection', None):
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raise OperationalException(
'Category must be one of: "buy", "sell", "protection", None.')
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if category is None:
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params = self.ft_buy_params + self.ft_sell_params + self.ft_protection_params
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else:
params = getattr(self, f"ft_{category}_params")
for par in params:
yield par.name, par
@classmethod
def detect_parameters(cls, category: str) -> Iterator[Tuple[str, BaseParameter]]:
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""" Detect all parameters for 'category' """
for attr_name in dir(cls):
if not attr_name.startswith('__'): # Ignore internals, not strictly necessary.
attr = getattr(cls, attr_name)
if issubclass(attr.__class__, BaseParameter):
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if (attr_name.startswith(category + '_')
and attr.category is not None and attr.category != category):
raise OperationalException(
f'Inconclusive parameter name {attr_name}, category: {attr.category}.')
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if (category == attr.category or
(attr_name.startswith(category + '_') and attr.category is None)):
yield attr_name, attr
@classmethod
def detect_all_parameters(cls) -> Dict:
""" Detect all parameters and return them as a list"""
params: Dict = {
'buy': list(cls.detect_parameters('buy')),
'sell': list(cls.detect_parameters('sell')),
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'protection': list(cls.detect_parameters('protection')),
}
params.update({
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'count': len(params['buy'] + params['sell'] + params['protection'])
})
return params
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def _load_hyper_params(self, hyperopt: bool = False) -> None:
"""
Load Hyperoptable parameters
"""
params = self.load_params_from_file()
params = params.get('params', {})
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self._ft_params_from_file = params
buy_params = deep_merge_dicts(params.get('buy', {}), getattr(self, 'buy_params', {}))
sell_params = deep_merge_dicts(params.get('sell', {}), getattr(self, 'sell_params', {}))
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protection_params = deep_merge_dicts(params.get('protection', {}),
getattr(self, 'protection_params', {}))
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self._load_params(buy_params, 'buy', hyperopt)
self._load_params(sell_params, 'sell', hyperopt)
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self._load_params(protection_params, 'protection', hyperopt)
def load_params_from_file(self) -> Dict:
filename_str = getattr(self, '__file__', '')
if not filename_str:
return {}
filename = Path(filename_str).with_suffix('.json')
if filename.is_file():
logger.info(f"Loading parameters from file {filename}")
try:
params = json_load(filename.open('r'))
if params.get('strategy_name') != self.__class__.__name__:
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raise OperationalException('Invalid parameter file provided.')
return params
except ValueError:
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logger.warning("Invalid parameter file format.")
return {}
logger.info("Found no parameter file.")
return {}
def _load_params(self, params: Dict, space: str, hyperopt: bool = False) -> None:
"""
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Set optimizable parameter values.
:param params: Dictionary with new parameter values.
"""
if not params:
logger.info(f"No params for {space} found, using default values.")
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param_container: List[BaseParameter] = getattr(self, f"ft_{space}_params")
for attr_name, attr in self.detect_parameters(space):
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attr.name = attr_name
attr.in_space = hyperopt and HyperoptTools.has_space(self.config, space)
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if not attr.category:
attr.category = space
param_container.append(attr)
if params and attr_name in params:
if attr.load:
attr.value = params[attr_name]
logger.info(f'Strategy Parameter: {attr_name} = {attr.value}')
else:
logger.warning(f'Parameter "{attr_name}" exists, but is disabled. '
f'Default value "{attr.value}" used.')
else:
logger.info(f'Strategy Parameter(default): {attr_name} = {attr.value}')
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def get_no_optimize_params(self):
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"""
Returns list of Parameters that are not part of the current optimize job
"""
params = {
'buy': {},
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'sell': {},
'protection': {},
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}
for name, p in self.enumerate_parameters():
if not p.optimize or not p.in_space:
params[p.category][name] = p.value
return params