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Rename DefahltHyperoptLoss function to ShortTradeDurHyperOptLoss

This commit is contained in:
Matthias 2020-10-10 14:22:29 +02:00
parent 028dd8be3e
commit 23bad8fd9f
5 changed files with 18 additions and 14 deletions
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2
docs/bot-usage.md
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@ -353,7 +353,7 @@ optional arguments:
class (IHyperOptLoss). Different functions can
generate completely different results, since the
target for optimization is different. Built-in
Hyperopt-loss-functions are: DefaultHyperOptLoss,
Hyperopt-loss-functions are: ShortTradeDurHyperOptLoss,
OnlyProfitHyperOptLoss, SharpeHyperOptLoss,
SharpeHyperOptLossDaily, SortinoHyperOptLoss,
SortinoHyperOptLossDaily.

2
docs/hyperopt.md
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@ -221,7 +221,7 @@ This class should be in its own file within the `user_data/hyperopts/` directory
Currently, the following loss functions are builtin:
* `DefaultHyperOptLoss` (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
* `ShortTradeHyperOptLoss` (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
* `OnlyProfitHyperOptLoss` (which takes only amount of profit into consideration)
* `SharpeHyperOptLoss` (optimizes Sharpe Ratio calculated on trade returns relative to standard deviation)
* `SharpeHyperOptLossDaily` (optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation)

4
freqtrade/commands/cli_options.py
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@ -257,8 +257,8 @@ AVAILABLE_CLI_OPTIONS = {
help='Specify the class name of the hyperopt loss function class (IHyperOptLoss). '
'Different functions can generate completely different results, '
'since the target for optimization is different. Built-in Hyperopt-loss-functions are: '
'DefaultHyperOptLoss, OnlyProfitHyperOptLoss, SharpeHyperOptLoss, SharpeHyperOptLossDaily, '
'SortinoHyperOptLoss, SortinoHyperOptLossDaily.',
'ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss, SharpeHyperOptLoss, '
'SharpeHyperOptLossDaily, SortinoHyperOptLoss, SortinoHyperOptLossDaily.',
metavar='NAME',
),
"hyperoptexportfilename": Arg(

8
freqtrade/optimize/default_hyperopt_loss.py
View File

@ -1,5 +1,5 @@
"""
DefaultHyperOptLoss
ShortTradeDurHyperOptLoss
This module defines the default HyperoptLoss class which is being used for
Hyperoptimization.
"""
@ -26,7 +26,7 @@ EXPECTED_MAX_PROFIT = 3.0
MAX_ACCEPTED_TRADE_DURATION = 300
class DefaultHyperOptLoss(IHyperOptLoss):
class ShortTradeDurHyperOptLoss(IHyperOptLoss):
"""
Defines the default loss function for hyperopt
"""
@ -50,3 +50,7 @@ class DefaultHyperOptLoss(IHyperOptLoss):
duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
result = trade_loss + profit_loss + duration_loss
return result
# Create an alias for This to allow the legacy Method to work as well.
DefaultHyperOptLoss = ShortTradeDurHyperOptLoss

16
tests/optimize/test_hyperopt.py
View File

@ -17,7 +17,7 @@ from freqtrade import constants
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_hyperopt
from freqtrade.data.history import load_data
from freqtrade.exceptions import DependencyException, OperationalException
from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss
from freqtrade.optimize.default_hyperopt_loss import ShortTradeDurHyperOptLoss
from freqtrade.optimize.hyperopt import Hyperopt
from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver, HyperOptResolver
from freqtrade.state import RunMode
@ -33,7 +33,7 @@ def hyperopt_conf(default_conf):
hyperconf = deepcopy(default_conf)
hyperconf.update({
'hyperopt': 'DefaultHyperOpt',
'hyperopt_loss': 'DefaultHyperOptLoss',
'hyperopt_loss': 'ShortTradeDurHyperOptLoss',
'hyperopt_path': str(Path(__file__).parent / 'hyperopts'),
'epochs': 1,
'timerange': None,
@ -239,12 +239,12 @@ def test_hyperoptlossresolver_noname(default_conf):
def test_hyperoptlossresolver(mocker, default_conf) -> None:
hl = DefaultHyperOptLoss
hl = ShortTradeDurHyperOptLoss
mocker.patch(
'freqtrade.resolvers.hyperopt_resolver.HyperOptLossResolver.load_object',
MagicMock(return_value=hl)
)
default_conf.update({'hyperopt_loss': 'DefaultHyperoptLoss'})
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLossDaily'})
x = HyperOptLossResolver.load_hyperoptloss(default_conf)
assert hasattr(x, "hyperopt_loss_function")
@ -287,7 +287,7 @@ def test_start(mocker, hyperopt_conf, caplog) -> None:
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt-loss', 'DefaultHyperOptLoss',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
pargs = get_args(args)
@ -311,7 +311,7 @@ def test_start_no_data(mocker, hyperopt_conf) -> None:
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt-loss', 'DefaultHyperOptLoss',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
pargs = get_args(args)
@ -329,7 +329,7 @@ def test_start_filelock(mocker, hyperopt_conf, caplog) -> None:
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'DefaultHyperOpt',
'--hyperopt-loss', 'DefaultHyperOptLoss',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
pargs = get_args(args)
@ -384,7 +384,7 @@ def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> N
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'})
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLossDaily'})
hl = HyperOptLossResolver.load_hyperoptloss(default_conf)
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))