finished extract-strategy prototype and improved custom-hyperopt(build-hyperopt before)
This commit is contained in:
Bo van Hasselt
parent
dfa6f67e43
commit
1fe63f3583
@ -12,7 +12,7 @@ from freqtrade.commands.data_commands import (start_convert_data, start_download
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start_list_data)
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from freqtrade.commands.deploy_commands import (start_create_userdir, start_install_ui,
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start_new_hyperopt, start_new_strategy)
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from freqtrade.commands.automation_commands import start_build_hyperopt
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from freqtrade.commands.automation_commands import (start_custom_hyperopt, start_extract_strategy)
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from freqtrade.commands.hyperopt_commands import start_hyperopt_list, start_hyperopt_show
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from freqtrade.commands.list_commands import (start_list_exchanges, start_list_hyperopts,
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start_list_markets, start_list_strategies,
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@ -55,8 +55,11 @@ ARGS_BUILD_STRATEGY = ["user_data_dir", "strategy", "template"]
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ARGS_BUILD_HYPEROPT = ["user_data_dir", "hyperopt", "template"]
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# Automation
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ARGS_BUILD_CUSTOM_HYPEROPT = ["buy_indicators", "sell_indicators", "hyperopt"]
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ARGS_EXTRACT_STRATEGY = ["strategy", "extract_name"]
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ARGS_CONVERT_DATA = ["pairs", "format_from", "format_to", "erase"]
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ARGS_CONVERT_DATA_OHLCV = ARGS_CONVERT_DATA + ["timeframes"]
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@ -175,7 +178,7 @@ class Arguments:
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start_list_data, start_list_exchanges, start_list_hyperopts,
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start_list_markets, start_list_strategies,
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start_list_timeframes, start_new_config, start_new_hyperopt,
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start_build_hyperopt,
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start_custom_hyperopt, start_extract_strategy,
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start_new_strategy, start_plot_dataframe, start_plot_profit,
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start_show_trades, start_test_pairlist, start_trading)
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@ -211,11 +214,17 @@ class Arguments:
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self._build_args(optionlist=ARGS_BUILD_HYPEROPT, parser=build_hyperopt_cmd)
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# add build-hyperopt subcommand
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build_custom_hyperopt_cmd = subparsers.add_parser('build-hyperopt',
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build_custom_hyperopt_cmd = subparsers.add_parser('custom-hyperopt',
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help="Build a custom hyperopt")
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build_custom_hyperopt_cmd.set_defaults(func=start_build_hyperopt)
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build_custom_hyperopt_cmd.set_defaults(func=start_custom_hyperopt)
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self._build_args(optionlist=ARGS_BUILD_CUSTOM_HYPEROPT, parser=build_custom_hyperopt_cmd)
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# add build-hyperopt subcommand
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extract_strategy_cmd = subparsers.add_parser('extract-strategy',
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help="Extract data dictionaries for build-hyperopt from strategy")
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extract_strategy_cmd.set_defaults(func=start_extract_strategy)
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self._build_args(optionlist=ARGS_EXTRACT_STRATEGY, parser=extract_strategy_cmd)
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# add new-strategy subcommand
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build_strategy_cmd = subparsers.add_parser('new-strategy',
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help="Create new strategy")
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@ -3,7 +3,11 @@ import logging
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from pathlib import Path
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from typing import Any, Dict
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from freqtrade.constants import USERPATH_HYPEROPTS
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from freqtrade.constants import (USERPATH_HYPEROPTS,
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USERPATH_STRATEGIES,
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POSSIBLE_GUARDS,
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POSSIBLE_TRIGGERS,
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POSSIBLE_AIMS)
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from freqtrade.exceptions import OperationalException
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from freqtrade.state import RunMode
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from freqtrade.configuration import setup_utils_configuration
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@ -12,23 +16,116 @@ from freqtrade.misc import render_template
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logger = logging.getLogger(__name__)
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# ---------------------------------------------------extract-strategy------------------------------------------------------
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def extract_dicts(strategypath: Path):
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# store the file in a list for reference
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stored_file = []
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with open(strategypath) as file:
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for line in file:
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stored_file.append(line)
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# find the start and end of buy trend
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for position, line in enumerate(stored_file):
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if "populate_buy_trend(" in line:
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start_buy_number = position
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elif "populate_sell_trend(" in line:
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end_buy_number = position
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# list the numbers between the start and end of buy trend
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buy_lines = []
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for i in range(start_buy_number, end_buy_number):
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buy_lines.append(i)
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# populate the indicators dictionaries with indicators attached to the line they are on
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buyindicators = {}
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sellindicators = {}
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for position, line in enumerate(stored_file):
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# check the lines in buy trend for indicator and add them
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if position in buy_lines and "(dataframe['" in line:
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# use split twice to remove the context around the indicator
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back_of_line = line.split("(dataframe['", 1)[1]
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buyindicator = back_of_line.split("'] ", 1)[0]
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buyindicators[buyindicator] = position
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# check the lines in sell trend for indicator and add them
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elif position > end_buy_number and "(dataframe['" in line:
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# use split twice to remove the context around the indicator
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back_of_line = line.split("(dataframe['", 1)[1]
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sellindicator = back_of_line.split("'] ", 1)[0]
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sellindicators[sellindicator] = position
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# build the final buy dictionary
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buy_dict = {}
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for indicator in buyindicators:
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# find the corrosponding aim
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for position, line in enumerate(stored_file):
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if position == buyindicators[indicator]:
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# use split twice to remove the context around the indicator
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back_of_line = line.split(f"(dataframe['{indicator}'] ", 1)[1]
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aim = back_of_line.split()[0]
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buy_dict[indicator] = aim
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# build the final sell dictionary
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sell_dict = {}
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for indicator in sellindicators:
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# find the corrosponding aim
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for position, line in enumerate(stored_file):
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if position == sellindicators[indicator]:
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# use split twice to remove the context around the indicator
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back_of_line = line.split(f"(dataframe['{indicator}'] ", 1)[1]
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aim = back_of_line.split()[0]
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sell_dict[indicator] = aim
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# put the final dicts into a tuple
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final_dicts = (buy_dict, sell_dict)
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return final_dicts
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#-------------------------build-hyperopt-----------------------------
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def start_extract_strategy(args: Dict[str, Any]) -> None:
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"""
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Check if the right subcommands where passed and start extracting the strategy data
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"""
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config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
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# check if all required options are filled in
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if not 'strategy' in args or not args['strategy']:
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raise OperationalException("`extract-strategy` requires --strategy to be set.")
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else:
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# if the name is not specified use (strategy)_extract
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if not 'extract_name' in args or not args['extract_name']:
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args['extract_name'] = args['strategy'] + "_extract"
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new_path = config['user_data_dir'] / USERPATH_STRATEGIES / (args['extract_name'] + '.txt')
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if new_path.exists():
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raise OperationalException(f"`{new_path}` already exists. "
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"Please choose another name.")
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# the path of the chosen strategy
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strategy_path = config['user_data_dir'] / USERPATH_STRATEGIES / (args['strategy'] + '.py')
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# extract the buy and sell indicators as dicts
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extracted_dicts = str(extract_dicts(strategy_path))
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# save the dicts in a file
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logger.info(f"Writing custom hyperopt to `{new_path}`.")
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new_path.write_text(extracted_dicts)
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# --------------------------------------------------custom-hyperopt------------------------------------------------------
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'''
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TODO
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-make the code below more dynamic with a large list of indicators and aims
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-buy_space integer values variation based on aim(later deep learning)
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-add --mode , see notes
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-when making the strategy reading tool, make sure that the populate indicators gets copied to here
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-Custom stoploss and roi
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-cli option to read extracted strategies files (--extraction)
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'''
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POSSIBLE_GUARDS = ["rsi", "mfi", "fastd"]
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POSSIBLE_TRIGGERS = ["bb_lowerband", "bb_upperband"]
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POSSIBLE_VALUES = {"above": ">", "below": "<"}
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def build_hyperopt_buyelements(buy_indicators: Dict[str, str]):
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def custom_hyperopt_buyelements(buy_indicators: Dict[str, str]):
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"""
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Build the arguments with the placefillers for the buygenerator
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"""
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@ -41,13 +138,13 @@ def build_hyperopt_buyelements(buy_indicators: Dict[str, str]):
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if not indicator in POSSIBLE_GUARDS and not indicator in POSSIBLE_TRIGGERS:
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raise OperationalException(
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f"`{indicator}` is not part of the available indicators. The current options are {POSSIBLE_GUARDS + POSSIBLE_TRIGGERS}.")
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elif not buy_indicators[indicator] in POSSIBLE_VALUES:
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elif not buy_indicators[indicator] in POSSIBLE_AIMS:
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raise OperationalException(
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f"`{buy_indicators[indicator]}` is not part of the available indicator options. The current options are {POSSIBLE_VALUES}.")
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f"`{buy_indicators[indicator]}` is not part of the available indicator options. The current options are {POSSIBLE_AIMS}.")
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# If the indicator is a guard
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elif indicator in POSSIBLE_GUARDS:
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# get the symbol corrosponding to the value
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aim = POSSIBLE_VALUES[buy_indicators[indicator]]
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aim = POSSIBLE_AIMS[buy_indicators[indicator]]
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# add the guard to its argument
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buy_guards += f"if '{indicator}-enabled' in params and params['{indicator}-enabled']: conditions.append(dataframe['{indicator}'] {aim} params['{indicator}-value'])"
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@ -57,13 +154,13 @@ def build_hyperopt_buyelements(buy_indicators: Dict[str, str]):
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# If the indicator is a trigger
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elif indicator in POSSIBLE_TRIGGERS:
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# get the symbol corrosponding to the value
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aim = POSSIBLE_VALUES[buy_indicators[indicator]]
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aim = POSSIBLE_AIMS[buy_indicators[indicator]]
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# add the trigger to its argument
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buy_triggers += f"if params['trigger'] == '{indicator}': conditions.append(dataframe['{indicator}'] {aim} dataframe['close'])"
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# Final line of indicator space makes all triggers
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buy_space += "Categorical(["
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# adding all triggers to the list
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@ -78,7 +175,7 @@ def build_hyperopt_buyelements(buy_indicators: Dict[str, str]):
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return {"buy_guards": buy_guards, "buy_triggers": buy_triggers, "buy_space": buy_space}
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def build_hyperopt_sellelements(sell_indicators: Dict[str, str]):
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def custom_hyperopt_sellelements(sell_indicators: Dict[str, str]):
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"""
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Build the arguments with the placefillers for the sellgenerator
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"""
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@ -91,13 +188,13 @@ def build_hyperopt_sellelements(sell_indicators: Dict[str, str]):
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if not indicator in POSSIBLE_GUARDS and not indicator in POSSIBLE_TRIGGERS:
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raise OperationalException(
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f"`{indicator}` is not part of the available indicators. The current options are {POSSIBLE_GUARDS + POSSIBLE_TRIGGERS}.")
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elif not sell_indicators[indicator] in POSSIBLE_VALUES:
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elif not sell_indicators[indicator] in POSSIBLE_AIMS:
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raise OperationalException(
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f"`{sell_indicators[indicator]}` is not part of the available indicator options. The current options are {POSSIBLE_VALUES}.")
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f"`{sell_indicators[indicator]}` is not part of the available indicator options. The current options are {POSSIBLE_AIMS}.")
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# If indicator is a guard
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elif indicator in POSSIBLE_GUARDS:
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# get the symbol corrosponding to the value
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aim = POSSIBLE_VALUES[sell_indicators[indicator]]
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aim = POSSIBLE_AIMS[sell_indicators[indicator]]
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# add the guard to its argument
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sell_guards += f"if '{indicator}-enabled' in params and params['sell-{indicator}-enabled']: conditions.append(dataframe['{indicator}'] {aim} params['sell-{indicator}-value'])"
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@ -107,7 +204,7 @@ def build_hyperopt_sellelements(sell_indicators: Dict[str, str]):
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# If the indicator is a trigger
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elif indicator in POSSIBLE_TRIGGERS:
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# get the symbol corrosponding to the value
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aim = POSSIBLE_VALUES[sell_indicators[indicator]]
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aim = POSSIBLE_AIMS[sell_indicators[indicator]]
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# add the trigger to its argument
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sell_triggers += f"if params['sell-trigger'] == 'sell-{indicator}': conditions.append(dataframe['{indicator}'] {aim} dataframe['close'])"
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@ -134,8 +231,8 @@ def deploy_custom_hyperopt(hyperopt_name: str, hyperopt_path: Path, buy_indicato
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"""
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# Build the arguments for the buy and sell generators
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buy_args = build_hyperopt_buyelements(buy_indicators)
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sell_args = build_hyperopt_sellelements(sell_indicators)
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buy_args = custom_hyperopt_buyelements(buy_indicators)
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sell_args = custom_hyperopt_sellelements(sell_indicators)
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# Build the final template
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strategy_text = render_template(templatefile='base_hyperopt.py.j2',
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@ -152,19 +249,18 @@ def deploy_custom_hyperopt(hyperopt_name: str, hyperopt_path: Path, buy_indicato
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hyperopt_path.write_text(strategy_text)
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def start_build_hyperopt(args: Dict[str, Any]) -> None:
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def start_custom_hyperopt(args: Dict[str, Any]) -> None:
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"""
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Check if the right subcommands where passed and start building the hyperopt
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"""
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config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
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# check what the name of the hyperopt should
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if not 'hyperopt' in args or not args['hyperopt']:
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raise OperationalException("`build-hyperopt` requires --hyperopt to be set.")
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raise OperationalException("`custom-hyperopt` requires --hyperopt to be set.")
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elif not 'buy_indicators' in args or not args['buy_indicators']:
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raise OperationalException("`build-hyperopt` requires --buy-indicators to be set.")
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raise OperationalException("`custom-hyperopt` requires --buy-indicators to be set.")
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elif not 'sell_indicators' in args or not args['sell_indicators']:
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raise OperationalException("`build-hyperopt` requires --sell-indicators to be set.")
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raise OperationalException("`custom-hyperopt` requires --sell-indicators to be set.")
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else:
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if args['hyperopt'] == 'DefaultHyperopt':
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raise OperationalException("DefaultHyperopt is not allowed as name.")
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@ -179,3 +275,5 @@ def start_build_hyperopt(args: Dict[str, Any]) -> None:
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deploy_custom_hyperopt(args['hyperopt'], new_path,
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buy_indicators, sell_indicators)
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# --------------------------------------------------build-hyperopt------------------------------------------------------
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@ -288,6 +288,11 @@ AVAILABLE_CLI_OPTIONS = {
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'Example: --sell-indicators `{"rsi":"above","bb_lowerband":"below"}`',
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metavar='DICT',
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),
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"extract_name": Arg(
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'--extract-name',
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help='Specify the name of the file to which the data should be extracted. ',
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metavar='FILENAME',
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),
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# List exchanges
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"print_one_column": Arg(
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'-1', '--one-column',
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@ -383,3 +383,19 @@ ListPairsWithTimeframes = List[PairWithTimeframe]
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# Type for trades list
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TradeList = List[List]
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#Build-hyperopt options
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POSSIBLE_GUARDS = [
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"rsi",
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"mfi",
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"fastd"
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]
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POSSIBLE_TRIGGERS = [
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"bb_lowerband",
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"bb_upperband"
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]
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POSSIBLE_AIMS = {
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"above": ">",
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"below": "<",
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"equal": "=="
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}
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