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Calculate market-change in hyperopt 

closes #7532
This commit is contained in:
Matthias 2022-10-04 08:37:07 +00:00
parent bc6729f724
commit 016e438468
2 changed files with 13 additions and 1 deletions
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7
freqtrade/optimize/hyperopt.py
View File

@ -24,6 +24,7 @@ from pandas import DataFrame
from freqtrade.constants import DATETIME_PRINT_FORMAT, FTHYPT_FILEVERSION, LAST_BT_RESULT_FN, Config
from freqtrade.data.converter import trim_dataframes
from freqtrade.data.history import get_timerange
from freqtrade.data.metrics import calculate_market_change
from freqtrade.enums import HyperoptState
from freqtrade.exceptions import OperationalException
from freqtrade.misc import deep_merge_dicts, file_dump_json, plural
@ -111,6 +112,7 @@ class Hyperopt:
self.clean_hyperopt()
self.market_change = 0
self.num_epochs_saved = 0
self.current_best_epoch: Optional[Dict[str, Any]] = None
@ -357,7 +359,7 @@ class Hyperopt:
strat_stats = generate_strategy_stats(
self.pairlist, self.backtesting.strategy.get_strategy_name(),
backtesting_results, min_date, max_date, market_change=0
backtesting_results, min_date, max_date, market_change=self.market_change
)
results_explanation = HyperoptTools.format_results_explanation_string(
strat_stats, self.config['stake_currency'])
@ -425,6 +427,9 @@ class Hyperopt:
# Trim startup period from analyzed dataframe to get correct dates for output.
trimmed = trim_dataframes(preprocessed, self.timerange, self.backtesting.required_startup)
self.min_date, self.max_date = get_timerange(trimmed)
if not self.market_change:
self.market_change = calculate_market_change(trimmed, 'close')
# Real trimming will happen as part of backtesting.
return preprocessed

7
tests/optimize/test_hyperopt.py
View File

@ -297,6 +297,7 @@ def test_params_no_optimize_details(hyperopt) -> None:
def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
@ -530,6 +531,7 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
@ -581,6 +583,7 @@ def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
@ -622,6 +625,7 @@ def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None:
def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
@ -663,6 +667,7 @@ def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
@ -736,6 +741,7 @@ def test_simplified_interface_all_failed(mocker, hyperopt_conf, caplog) -> None:
def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
@ -778,6 +784,7 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))