stable/freqtrade/optimize/hyperopt.py

326 lines
12 KiB
Python
Raw Normal View History

# pragma pylint: disable=too-many-instance-attributes, pointless-string-statement
"""
This module contains the hyperopt logic
"""
import logging
2019-01-06 13:47:38 +00:00
import multiprocessing
import os
import sys
2019-01-06 13:47:38 +00:00
from argparse import Namespace
from math import exp
from operator import itemgetter
2019-01-06 13:47:38 +00:00
from pathlib import Path
from pprint import pprint
from typing import Any, Dict, List
2018-11-14 19:25:43 +00:00
from joblib import Parallel, delayed, dump, load, wrap_non_picklable_objects
2019-01-06 13:47:38 +00:00
from pandas import DataFrame
2018-06-19 06:09:54 +00:00
from skopt import Optimizer
from skopt.space import Dimension
2018-06-18 19:40:36 +00:00
2018-03-17 21:44:47 +00:00
from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
2018-12-13 05:34:10 +00:00
from freqtrade.data.history import load_data
from freqtrade.optimize import get_timeframe
2018-03-02 15:22:00 +00:00
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.resolvers import HyperOptResolver
2018-03-25 19:37:14 +00:00
logger = logging.getLogger(__name__)
MAX_LOSS = 100000 # just a big enough number to be bad result in loss optimization
TICKERDATA_PICKLE = os.path.join('user_data', 'hyperopt_tickerdata.pkl')
2018-03-25 19:37:14 +00:00
class Hyperopt(Backtesting):
"""
Hyperopt class, this class contains all the logic to run a hyperopt simulation
To run a backtest:
hyperopt = Hyperopt(config)
hyperopt.start()
"""
def __init__(self, config: Dict[str, Any]) -> None:
super().__init__(config)
self.config = config
self.custom_hyperopt = HyperOptResolver(self.config).hyperopt
# set TARGET_TRADES to suit your number concurrent trades so its realistic
# to the number of days
self.target_trades = 600
self.total_tries = config.get('epochs', 0)
self.current_best_loss = 100
# max average trade duration in minutes
# if eval ends with higher value, we consider it a failed eval
self.max_accepted_trade_duration = 300
# this is expexted avg profit * expected trade count
# for example 3.5%, 1100 trades, self.expected_max_profit = 3.85
# check that the reported Σ% values do not exceed this!
self.expected_max_profit = 3.0
# Previous evaluations
self.trials_file = os.path.join('user_data', 'hyperopt_results.pickle')
2018-06-30 06:54:31 +00:00
self.trials: List = []
2018-06-19 06:09:54 +00:00
def get_args(self, params):
dimensions = self.hyperopt_space()
# Ensure the number of dimensions match
# the number of parameters in the list x.
if len(params) != len(dimensions):
2018-07-03 08:17:41 +00:00
raise ValueError('Mismatch in number of search-space dimensions. '
f'len(dimensions)=={len(dimensions)} and len(x)=={len(params)}')
2018-06-19 06:09:54 +00:00
# Create a dict where the keys are the names of the dimensions
# and the values are taken from the list of parameters x.
arg_dict = {dim.name: value for dim, value in zip(dimensions, params)}
return arg_dict
def save_trials(self) -> None:
"""
Save hyperopt trials to file
"""
if self.trials:
logger.info('Saving %d evaluations to \'%s\'', len(self.trials), self.trials_file)
2018-07-03 19:51:48 +00:00
dump(self.trials, self.trials_file)
def read_trials(self) -> List:
"""
Read hyperopt trials file
"""
2018-03-25 19:37:14 +00:00
logger.info('Reading Trials from \'%s\'', self.trials_file)
2018-07-03 19:51:48 +00:00
trials = load(self.trials_file)
os.remove(self.trials_file)
return trials
def log_trials_result(self) -> None:
"""
Display Best hyperopt result
"""
results = sorted(self.trials, key=itemgetter('loss'))
best_result = results[0]
logger.info(
2019-01-06 13:57:14 +00:00
'Best result:\n%s\nwith values:\n',
best_result['result']
)
2019-01-06 13:57:14 +00:00
pprint(best_result['params'], indent=4)
if 'roi_t1' in best_result['params']:
2019-01-06 13:57:14 +00:00
logger.info('ROI table:')
pprint(self.custom_hyperopt.generate_roi_table(best_result['params']), indent=4)
def log_results(self, results) -> None:
"""
Log results if it is better than any previous evaluation
"""
if results['loss'] < self.current_best_loss:
current = results['current_tries']
total = results['total_tries']
res = results['result']
loss = results['loss']
self.current_best_loss = results['loss']
log_msg = f'\n{current:5d}/{total}: {res}. Loss {loss:.5f}'
print(log_msg)
else:
print('.', end='')
sys.stdout.flush()
def calculate_loss(self, total_profit: float, trade_count: int, trade_duration: float) -> float:
"""
Objective function, returns smaller number for more optimal results
"""
trade_loss = 1 - 0.25 * exp(-(trade_count - self.target_trades) ** 2 / 10 ** 5.8)
profit_loss = max(0, 1 - total_profit / self.expected_max_profit)
duration_loss = 0.4 * min(trade_duration / self.max_accepted_trade_duration, 1)
result = trade_loss + profit_loss + duration_loss
return result
2018-03-17 21:43:36 +00:00
def has_space(self, space: str) -> bool:
"""
Tell if a space value is contained in the configuration
"""
if space in self.config['spaces'] or 'all' in self.config['spaces']:
return True
return False
def hyperopt_space(self) -> List[Dimension]:
"""
Return the space to use during Hyperopt
"""
spaces: List[Dimension] = []
if self.has_space('buy'):
2018-11-07 18:46:04 +00:00
spaces += self.custom_hyperopt.indicator_space()
2019-01-06 09:16:30 +00:00
if self.has_space('sell'):
spaces += self.custom_hyperopt.sell_indicator_space()
# Make sure experimental is enabled
if 'experimental' not in self.config:
self.config['experimental'] = {}
2019-01-06 09:16:30 +00:00
self.config['experimental']['use_sell_signal'] = True
if self.has_space('roi'):
2018-11-07 18:46:04 +00:00
spaces += self.custom_hyperopt.roi_space()
if self.has_space('stoploss'):
2018-11-07 18:46:04 +00:00
spaces += self.custom_hyperopt.stoploss_space()
return spaces
2017-12-26 08:08:10 +00:00
2018-11-07 18:46:04 +00:00
def generate_optimizer(self, _params: Dict) -> Dict:
params = self.get_args(_params)
if self.has_space('roi'):
2018-11-07 18:46:04 +00:00
self.strategy.minimal_roi = self.custom_hyperopt.generate_roi_table(params)
if self.has_space('buy'):
2018-11-07 18:46:04 +00:00
self.advise_buy = self.custom_hyperopt.buy_strategy_generator(params)
elif hasattr(self.custom_hyperopt, 'populate_buy_trend'):
2019-01-06 13:57:14 +00:00
self.advise_buy = self.custom_hyperopt.populate_buy_trend # type: ignore
2019-01-06 09:16:30 +00:00
if self.has_space('sell'):
self.advise_sell = self.custom_hyperopt.sell_strategy_generator(params)
elif hasattr(self.custom_hyperopt, 'populate_sell_trend'):
2019-01-06 13:57:14 +00:00
self.advise_sell = self.custom_hyperopt.populate_sell_trend # type: ignore
2019-01-06 09:16:30 +00:00
if self.has_space('stoploss'):
self.strategy.stoploss = params['stoploss']
processed = load(TICKERDATA_PICKLE)
2018-11-04 12:43:09 +00:00
min_date, max_date = get_timeframe(processed)
results = self.backtest(
{
'stake_amount': self.config['stake_amount'],
'processed': processed,
'position_stacking': self.config.get('position_stacking', True),
2018-10-16 17:35:16 +00:00
'start_date': min_date,
'end_date': max_date,
}
)
result_explanation = self.format_results(results)
total_profit = results.profit_percent.sum()
trade_count = len(results.index)
trade_duration = results.trade_duration.mean()
if trade_count == 0:
return {
'loss': MAX_LOSS,
'params': params,
'result': result_explanation,
}
loss = self.calculate_loss(total_profit, trade_count, trade_duration)
2018-06-19 18:57:42 +00:00
return {
'loss': loss,
'params': params,
2018-06-19 18:57:42 +00:00
'result': result_explanation,
}
def format_results(self, results: DataFrame) -> str:
"""
Return the format result in a string
"""
trades = len(results.index)
avg_profit = results.profit_percent.mean() * 100.0
total_profit = results.profit_abs.sum()
stake_cur = self.config['stake_currency']
profit = results.profit_percent.sum()
duration = results.trade_duration.mean()
return (f'{trades:6d} trades. Avg profit {avg_profit: 5.2f}%. '
f'Total profit {total_profit: 11.8f} {stake_cur} '
f'({profit:.4f}Σ%). Avg duration {duration:5.1f} mins.')
2018-07-03 08:46:56 +00:00
def get_optimizer(self, cpu_count) -> Optimizer:
2018-06-24 12:27:53 +00:00
return Optimizer(
self.hyperopt_space(),
base_estimator="ET",
acq_optimizer="auto",
n_initial_points=30,
2018-07-03 08:46:56 +00:00
acq_optimizer_kwargs={'n_jobs': cpu_count}
2018-06-24 12:27:53 +00:00
)
def run_optimizer_parallel(self, parallel, asked) -> List:
2018-11-20 16:43:49 +00:00
return parallel(delayed(
wrap_non_picklable_objects(self.generate_optimizer))(v) for v in asked)
2018-06-24 12:27:53 +00:00
def load_previous_results(self):
""" read trials file if we have one """
if os.path.exists(self.trials_file) and os.path.getsize(self.trials_file) > 0:
self.trials = self.read_trials()
logger.info(
'Loaded %d previous evaluations from disk.',
len(self.trials)
)
2018-03-17 21:43:36 +00:00
def start(self) -> None:
2018-06-02 11:59:35 +00:00
timerange = Arguments.parse_timerange(None if self.config.get(
2018-06-02 11:43:51 +00:00
'timerange') is None else str(self.config.get('timerange')))
2018-06-05 21:34:26 +00:00
data = load_data(
2018-12-15 13:10:45 +00:00
datadir=Path(self.config['datadir']) if self.config.get('datadir') else None,
pairs=self.config['exchange']['pair_whitelist'],
ticker_interval=self.ticker_interval,
timerange=timerange
)
2019-01-06 09:16:30 +00:00
if self.has_space('buy') or self.has_space('sell'):
2018-11-20 16:43:49 +00:00
self.strategy.advise_indicators = \
self.custom_hyperopt.populate_indicators # type: ignore
dump(self.strategy.tickerdata_to_dataframe(data), TICKERDATA_PICKLE)
2018-06-30 06:54:31 +00:00
self.exchange = None # type: ignore
self.load_previous_results()
2018-06-21 11:59:36 +00:00
cpus = multiprocessing.cpu_count()
2018-07-03 08:46:56 +00:00
logger.info(f'Found {cpus} CPU cores. Let\'s make them scream!')
2018-06-21 11:59:36 +00:00
2018-07-03 08:46:56 +00:00
opt = self.get_optimizer(cpus)
2018-07-17 04:22:59 +00:00
EVALS = max(self.total_tries // cpus, 1)
try:
2018-07-03 08:46:56 +00:00
with Parallel(n_jobs=cpus) as parallel:
2018-07-03 18:54:32 +00:00
for i in range(EVALS):
asked = opt.ask(n_points=cpus)
2018-06-24 12:27:53 +00:00
f_val = self.run_optimizer_parallel(parallel, asked)
opt.tell(asked, [i['loss'] for i in f_val])
self.trials += f_val
for j in range(cpus):
2018-06-24 12:27:53 +00:00
self.log_results({
'loss': f_val[j]['loss'],
'current_tries': i * cpus + j,
'total_tries': self.total_tries,
'result': f_val[j]['result'],
})
except KeyboardInterrupt:
print('User interrupted..')
self.save_trials()
self.log_trials_result()
2018-03-17 21:43:36 +00:00
def start(args: Namespace) -> None:
"""
Start Backtesting script
:param args: Cli args from Arguments()
:return: None
"""
# Remove noisy log messages
logging.getLogger('hyperopt.tpe').setLevel(logging.WARNING)
# Initialize configuration
2018-03-02 15:22:00 +00:00
# Monkey patch the configuration with hyperopt_conf.py
configuration = Configuration(args)
2018-03-25 19:41:25 +00:00
logger.info('Starting freqtrade in Hyperopt mode')
2018-06-15 07:45:19 +00:00
config = configuration.load_config()
2018-03-25 19:41:25 +00:00
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
if config.get('strategy') and config.get('strategy') != 'DefaultStrategy':
logger.error("Please don't use --strategy for hyperopt.")
logger.error(
"Read the documentation at "
"https://github.com/freqtrade/freqtrade/blob/develop/docs/hyperopt.md "
"to understand how to configure hyperopt.")
raise ValueError("--strategy configured but not supported for hyperopt")
# Initialize backtesting object
hyperopt = Hyperopt(config)
hyperopt.start()