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Merge pull request #87 from gcarq/more_triggers 

More triggers and guards to hyperopt
This commit is contained in:
Michael Egger 2017-10-30 14:43:18 +01:00 committed by GitHub
parent 4c2dea83c5 d066817d0b
commit 05111edd04
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GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 26 additions and 13 deletions
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11
freqtrade/analyze.py
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@ -43,8 +43,17 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame:
dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
dataframe['mfi'] = ta.MFI(dataframe)
dataframe['cci'] = ta.CCI(dataframe)
dataframe['rsi'] = ta.RSI(dataframe)
dataframe['mom'] = ta.MOM(dataframe)
dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100)
dataframe['ao'] = awesome_oscillator(dataframe)
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
dataframe['macdhist'] = macd['macdhist']
return dataframe

28
freqtrade/tests/test_hyperopt.py
View File

@ -40,10 +40,8 @@ def buy_strategy_generator(params):
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if params['below_sma']['enabled']:
conditions.append(dataframe['close'] < dataframe['sma'])
if params['over_sma']['enabled']:
conditions.append(dataframe['close'] > dataframe['sma'])
if params['uptrend_long_ema']['enabled']:
conditions.append(dataframe['ema50'] > dataframe['ema100'])
if params['mfi']['enabled']:
conditions.append(dataframe['mfi'] < params['mfi']['value'])
if params['fastd']['enabled']:
@ -52,6 +50,8 @@ def buy_strategy_generator(params):
conditions.append(dataframe['adx'] > params['adx']['value'])
if params['cci']['enabled']:
conditions.append(dataframe['cci'] < params['cci']['value'])
if params['rsi']['enabled']:
conditions.append(dataframe['rsi'] < params['rsi']['value'])
if params['over_sar']['enabled']:
conditions.append(dataframe['close'] > dataframe['sar'])
if params['uptrend_sma']['enabled']:
@ -64,6 +64,8 @@ def buy_strategy_generator(params):
'lower_bb': dataframe['tema'] <= dataframe['blower'],
'faststoch10': (dataframe['fastd'] >= 10) & (prev_fastd < 10),
'ao_cross_zero': (crossed_above(dataframe['ao'], 0.0)),
'ema5_cross_ema10': (crossed_above(dataframe['ema5'], dataframe['ema10'])),
'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])),
}
conditions.append(triggers.get(params['trigger']['type']))
@ -100,25 +102,25 @@ def test_hyperopt(conf, pairs, mocker):
space = {
'mfi': hp.choice('mfi', [
{'enabled': False},
{'enabled': True, 'value': hp.uniform('mfi-value', 2, 40)}
{'enabled': True, 'value': hp.uniform('mfi-value', 5, 15)}
]),
'fastd': hp.choice('fastd', [
{'enabled': False},
{'enabled': True, 'value': hp.uniform('fastd-value', 2, 40)}
{'enabled': True, 'value': hp.uniform('fastd-value', 5, 40)}
]),
'adx': hp.choice('adx', [
{'enabled': False},
{'enabled': True, 'value': hp.uniform('adx-value', 2, 40)}
{'enabled': True, 'value': hp.uniform('adx-value', 10, 30)}
]),
'cci': hp.choice('cci', [
{'enabled': False},
{'enabled': True, 'value': hp.uniform('cci-value', -200, -100)}
{'enabled': True, 'value': hp.uniform('cci-value', -150, -100)}
]),
'below_sma': hp.choice('below_sma', [
'rsi': hp.choice('rsi', [
{'enabled': False},
{'enabled': True}
{'enabled': True, 'value': hp.uniform('rsi-value', 20, 30)}
]),
'over_sma': hp.choice('over_sma', [
'uptrend_long_ema': hp.choice('uptrend_long_ema', [
{'enabled': False},
{'enabled': True}
]),
@ -133,7 +135,9 @@ def test_hyperopt(conf, pairs, mocker):
'trigger': hp.choice('trigger', [
{'type': 'lower_bb'},
{'type': 'faststoch10'},
{'type': 'ao_cross_zero'}
{'type': 'ao_cross_zero'},
{'type': 'ema5_cross_ema10'},
{'type': 'macd_cross_signal'},
]),
}
trials = Trials()