Allow loading custom hyperopt loss functions

freqtrade/configuration/arguments.py

@@ -230,6 +230,14 @@ AVAILABLE_CLI_OPTIONS = {
         default=False,
         action='store_true',
     ),
+    "loss_function": Arg(
+        '--loss-function',
+        help='Define the loss-function to use for hyperopt.'
+        'Possibilities are `legacy`, and `custom` (providing a custom loss-function).'
+        'Default: `%(default)s`.',
+        choices=['legacy', 'custom'],
+        default='legacy',
+    ),
     # List exchanges
     "print_one_column": Arg(
         '-1', '--one-column',
@@ -317,7 +325,7 @@ ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_pos
 ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "position_stacking", "epochs", "spaces",
                                         "use_max_market_positions", "print_all", "hyperopt_jobs",
                                         "hyperopt_random_state", "hyperopt_min_trades",
-                                        "hyperopt_clean_state"]
+                                        "hyperopt_clean_state", "loss_function"]
 
 ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]
 

freqtrade/configuration/configuration.py

@@ -284,9 +284,13 @@ class Configuration(object):
 
         self._args_to_config(config, argname='hyperopt_min_trades',
                              logstring='Parameter --min-trades detected: {}')
+
         self._args_to_config(config, argname='hyperopt_clean_state',
                              logstring='Removing hyperopt temp files')
 
+        self._args_to_config(config, argname='loss_function',
+                             logstring='Using loss function: {}')
+
         return config
 
     def _load_plot_config(self, config: Dict[str, Any]) -> Dict[str, Any]:

freqtrade/optimize/default_hyperopt.py

@@ -1,16 +1,30 @@
 # pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
 
+from functools import reduce
+from math import exp
+from typing import Any, Callable, Dict, List
+from datetime import datetime
+
 import talib.abstract as ta
 from pandas import DataFrame
-from typing import Dict, Any, Callable, List
-from functools import reduce
-
 from skopt.space import Categorical, Dimension, Integer, Real
 
 import freqtrade.vendor.qtpylib.indicators as qtpylib
 from freqtrade.optimize.hyperopt_interface import IHyperOpt
 
-class_name = 'DefaultHyperOpts'
+# set TARGET_TRADES to suit your number concurrent trades so its realistic
+# to the number of days
+TARGET_TRADES = 600
+# This is assumed to be expected avg profit * expected trade count.
+# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
+# self.expected_max_profit = 3.85
+# Check that the reported Σ% values do not exceed this!
+# Note, this is ratio. 3.85 stated above means 385Σ%.
+EXPECTED_MAX_PROFIT = 3.0
+
+# max average trade duration in minutes
+# if eval ends with higher value, we consider it a failed eval
+MAX_ACCEPTED_TRADE_DURATION = 300
 
 
 class DefaultHyperOpts(IHyperOpt):
@@ -19,6 +33,21 @@ class DefaultHyperOpts(IHyperOpt):
     You can override it with your own hyperopt
     """
 
+    @staticmethod
+    def hyperopt_loss_custom(results: DataFrame, trade_count: int,
+                             min_date: datetime, max_date: datetime, *args, **kwargs) -> float:
+        """
+        Objective function, returns smaller number for more optimal results
+        """
+        total_profit = results.profit_percent.sum()
+        trade_duration = results.trade_duration.mean()
+
+        trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
+        profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
+        duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
+        result = trade_loss + profit_loss + duration_loss
+        return result
+
     @staticmethod
     def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame:
         dataframe['adx'] = ta.ADX(dataframe)

freqtrade/optimize/hyperopt.py

@@ -7,7 +7,7 @@ This module contains the hyperopt logic
 import logging
 import os
 import sys
-from math import exp
+
 from operator import itemgetter
 from pathlib import Path
 from pprint import pprint
@@ -22,6 +22,7 @@ from freqtrade.configuration import Arguments
 from freqtrade.data.history import load_data, get_timeframe
 from freqtrade.optimize.backtesting import Backtesting
 from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver
+from freqtrade.optimize.hyperopt_loss import hyperopt_loss_legacy
 
 
 logger = logging.getLogger(__name__)
@@ -69,6 +70,20 @@ class Hyperopt(Backtesting):
         self.trials_file = TRIALSDATA_PICKLE
         self.trials: List = []
 
+        # Assign loss function
+        if self.config['loss_function'] == 'legacy':
+            self.calculate_loss = hyperopt_loss_legacy
+        elif (self.config['loss_function'] == 'custom' and
+              hasattr(self.custom_hyperopt, 'hyperopt_loss_custom')):
+            self.calculate_loss = self.custom_hyperopt.hyperopt_loss_custom
+
+        # Implement fallback to avoid odd crashes when custom-hyperopt fails to load.
+        # TODO: Maybe this should just stop hyperopt completely?
+        if not hasattr(self.custom_hyperopt, 'hyperopt_loss_custom'):
+            logger.warning("Could not load hyperopt configuration. "
+                           "Falling back to legacy configuration.")
+            self.calculate_loss = hyperopt_loss_legacy
+
         # Populate functions here (hasattr is slow so should not be run during "regular" operations)
         if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
             self.advise_buy = self.custom_hyperopt.populate_buy_trend  # type: ignore
@@ -160,16 +175,6 @@ class Hyperopt(Backtesting):
             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
-
     def has_space(self, space: str) -> bool:
         """
         Tell if a space value is contained in the configuration
@@ -231,9 +236,7 @@ class Hyperopt(Backtesting):
         )
         result_explanation = self.format_results(results)
 
-        total_profit = results.profit_percent.sum()
         trade_count = len(results.index)
-        trade_duration = results.trade_duration.mean()
 
         # If this evaluation contains too short amount of trades to be
         # interesting -- consider it as 'bad' (assigned max. loss value)
@@ -246,7 +249,8 @@ class Hyperopt(Backtesting):
                 'result': result_explanation,
             }
 
-        loss = self.calculate_loss(total_profit, trade_count, trade_duration)
+        loss = self.calculate_loss(results=results, trade_count=trade_count,
+                                   min_date=min_date.datetime, max_date=max_date.datetime)
 
         return {
             'loss': loss,

freqtrade/optimize/hyperopt_loss.py

@@ -0,0 +1,37 @@
+from math import exp
+from pandas import DataFrame
+
+# Define some constants:
+
+# set TARGET_TRADES to suit your number concurrent trades so its realistic
+# to the number of days
+TARGET_TRADES = 600
+# This is assumed to be expected avg profit * expected trade count.
+# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
+# self.expected_max_profit = 3.85
+# Check that the reported Σ% values do not exceed this!
+# Note, this is ratio. 3.85 stated above means 385Σ%.
+EXPECTED_MAX_PROFIT = 3.0
+
+# max average trade duration in minutes
+# if eval ends with higher value, we consider it a failed eval
+MAX_ACCEPTED_TRADE_DURATION = 300
+
+
+def hyperopt_loss_legacy(results: DataFrame, trade_count: int,
+                         *args, **kwargs) -> float:
+    """
+    Objective function, returns smaller number for better results
+    This is the legacy algorithm (used until now in freqtrade).
+    Weights are distributed as follows:
+    * 0.4 to trade duration
+    * 0.25: Avoiding trade loss
+    """
+    total_profit = results.profit_percent.sum()
+    trade_duration = results.trade_duration.mean()
+
+    trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
+    profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
+    duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
+    result = trade_loss + profit_loss + duration_loss
+    return result

user_data/hyperopts/sample_hyperopt.py

@@ -1,17 +1,31 @@
 # pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
 
+from functools import reduce
+from math import exp
+from typing import Any, Callable, Dict, List
+from datetime import datetime
+
+import numpy as np# noqa F401
 import talib.abstract as ta
 from pandas import DataFrame
-from typing import Dict, Any, Callable, List
-from functools import reduce
-
-import numpy
 from skopt.space import Categorical, Dimension, Integer, Real
 
 import freqtrade.vendor.qtpylib.indicators as qtpylib
 from freqtrade.optimize.hyperopt_interface import IHyperOpt
 
-class_name = 'SampleHyperOpts'
+# set TARGET_TRADES to suit your number concurrent trades so its realistic
+# to the number of days
+TARGET_TRADES = 600
+# This is assumed to be expected avg profit * expected trade count.
+# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
+# self.expected_max_profit = 3.85
+# Check that the reported Σ% values do not exceed this!
+# Note, this is ratio. 3.85 stated above means 385Σ%.
+EXPECTED_MAX_PROFIT = 3.0
+
+# max average trade duration in minutes
+# if eval ends with higher value, we consider it a failed eval
+MAX_ACCEPTED_TRADE_DURATION = 300
 
 
 # This class is a sample. Feel free to customize it.
@@ -28,6 +42,21 @@ class SampleHyperOpts(IHyperOpt):
     roi_space, generate_roi_table, stoploss_space
     """
 
+    @staticmethod
+    def hyperopt_loss_custom(results: DataFrame, trade_count: int,
+                             min_date: datetime, max_date: datetime, *args, **kwargs) -> float:
+        """
+        Objective function, returns smaller number for more optimal results
+        """
+        total_profit = results.profit_percent.sum()
+        trade_duration = results.trade_duration.mean()
+
+        trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
+        profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
+        duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
+        result = trade_loss + profit_loss + duration_loss
+        return result
+
     @staticmethod
     def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame:
         dataframe['adx'] = ta.ADX(dataframe)