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Removed shorting from tests/optimize/hyperopts/default_hyperopt.py and created another tests/optimize/hyperopts/short_hyperopt.py with long and shorting

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This commit is contained in:
Sam Germain 2021-08-23 00:18:56 -06:00
parent 61ad38500a
commit 317a454c0e
3 changed files with 291 additions and 100 deletions
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104
tests/optimize/hyperopts/default_hyperopt.py
View File

@ -54,57 +54,38 @@ class DefaultHyperOpt(IHyperOpt):
"""
Buy strategy Hyperopt will build and use.
"""
long_conditions = []
short_conditions = []
conditions = []
# GUARDS AND TRENDS
if 'mfi-enabled' in params and params['mfi-enabled']:
long_conditions.append(dataframe['mfi'] < params['mfi-value'])
short_conditions.append(dataframe['mfi'] > params['short-mfi-value'])
conditions.append(dataframe['mfi'] < params['mfi-value'])
if 'fastd-enabled' in params and params['fastd-enabled']:
long_conditions.append(dataframe['fastd'] < params['fastd-value'])
short_conditions.append(dataframe['fastd'] > params['short-fastd-value'])
conditions.append(dataframe['fastd'] < params['fastd-value'])
if 'adx-enabled' in params and params['adx-enabled']:
long_conditions.append(dataframe['adx'] > params['adx-value'])
short_conditions.append(dataframe['adx'] < params['short-adx-value'])
conditions.append(dataframe['adx'] > params['adx-value'])
if 'rsi-enabled' in params and params['rsi-enabled']:
long_conditions.append(dataframe['rsi'] < params['rsi-value'])
short_conditions.append(dataframe['rsi'] > params['short-rsi-value'])
conditions.append(dataframe['rsi'] < params['rsi-value'])
# TRIGGERS
if 'trigger' in params:
if params['trigger'] == 'boll':
long_conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
short_conditions.append(dataframe['close'] > dataframe['bb_upperband'])
conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
if params['trigger'] == 'macd_cross_signal':
long_conditions.append(qtpylib.crossed_above(
dataframe['macd'],
dataframe['macdsignal']
))
short_conditions.append(qtpylib.crossed_below(
conditions.append(qtpylib.crossed_above(
dataframe['macd'],
dataframe['macdsignal']
))
if params['trigger'] == 'sar_reversal':
long_conditions.append(qtpylib.crossed_above(
dataframe['close'],
dataframe['sar']
))
short_conditions.append(qtpylib.crossed_below(
conditions.append(qtpylib.crossed_above(
dataframe['close'],
dataframe['sar']
))
if long_conditions:
if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, long_conditions),
reduce(lambda x, y: x & y, conditions),
'buy'] = 1
if short_conditions:
dataframe.loc[
reduce(lambda x, y: x & y, short_conditions),
'enter_short'] = 1
return dataframe
return populate_buy_trend
@ -119,10 +100,6 @@ class DefaultHyperOpt(IHyperOpt):
Integer(15, 45, name='fastd-value'),
Integer(20, 50, name='adx-value'),
Integer(20, 40, name='rsi-value'),
Integer(75, 90, name='short-mfi-value'),
Integer(55, 85, name='short-fastd-value'),
Integer(50, 80, name='short-adx-value'),
Integer(60, 80, name='short-rsi-value'),
Categorical([True, False], name='mfi-enabled'),
Categorical([True, False], name='fastd-enabled'),
Categorical([True, False], name='adx-enabled'),
@ -139,57 +116,38 @@ class DefaultHyperOpt(IHyperOpt):
"""
Sell strategy Hyperopt will build and use.
"""
exit_long_conditions = []
exit_short_conditions = []
conditions = []
# GUARDS AND TRENDS
if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']:
exit_long_conditions.append(dataframe['mfi'] > params['sell-mfi-value'])
exit_short_conditions.append(dataframe['mfi'] < params['exit-short-mfi-value'])
conditions.append(dataframe['mfi'] > params['sell-mfi-value'])
if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
exit_long_conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
exit_short_conditions.append(dataframe['fastd'] < params['exit-short-fastd-value'])
conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
exit_long_conditions.append(dataframe['adx'] < params['sell-adx-value'])
exit_short_conditions.append(dataframe['adx'] > params['exit-short-adx-value'])
conditions.append(dataframe['adx'] < params['sell-adx-value'])
if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
exit_long_conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
exit_short_conditions.append(dataframe['rsi'] < params['exit-short-rsi-value'])
conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
# TRIGGERS
if 'sell-trigger' in params:
if params['sell-trigger'] == 'sell-boll':
exit_long_conditions.append(dataframe['close'] > dataframe['bb_upperband'])
exit_short_conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
conditions.append(dataframe['close'] > dataframe['bb_upperband'])
if params['sell-trigger'] == 'sell-macd_cross_signal':
exit_long_conditions.append(qtpylib.crossed_above(
dataframe['macdsignal'],
dataframe['macd']
))
exit_short_conditions.append(qtpylib.crossed_below(
conditions.append(qtpylib.crossed_above(
dataframe['macdsignal'],
dataframe['macd']
))
if params['sell-trigger'] == 'sell-sar_reversal':
exit_long_conditions.append(qtpylib.crossed_above(
dataframe['sar'],
dataframe['close']
))
exit_short_conditions.append(qtpylib.crossed_below(
conditions.append(qtpylib.crossed_above(
dataframe['sar'],
dataframe['close']
))
if exit_long_conditions:
if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, exit_long_conditions),
reduce(lambda x, y: x & y, conditions),
'sell'] = 1
if exit_short_conditions:
dataframe.loc[
reduce(lambda x, y: x & y, exit_short_conditions),
'exit-short'] = 1
return dataframe
return populate_sell_trend
@ -204,10 +162,6 @@ class DefaultHyperOpt(IHyperOpt):
Integer(50, 100, name='sell-fastd-value'),
Integer(50, 100, name='sell-adx-value'),
Integer(60, 100, name='sell-rsi-value'),
Integer(1, 25, name='exit-short-mfi-value'),
Integer(1, 50, name='exit-short-fastd-value'),
Integer(1, 50, name='exit-short-adx-value'),
Integer(1, 40, name='exit-short-rsi-value'),
Categorical([True, False], name='sell-mfi-enabled'),
Categorical([True, False], name='sell-fastd-enabled'),
Categorical([True, False], name='sell-adx-enabled'),
@ -233,15 +187,6 @@ class DefaultHyperOpt(IHyperOpt):
),
'buy'] = 1
dataframe.loc[
(
(dataframe['close'] > dataframe['bb_upperband']) &
(dataframe['mfi'] < 84) &
(dataframe['adx'] > 75) &
(dataframe['rsi'] < 79)
),
'enter_short'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
@ -259,13 +204,4 @@ class DefaultHyperOpt(IHyperOpt):
),
'sell'] = 1
dataframe.loc[
(
(qtpylib.crossed_below(
dataframe['macdsignal'], dataframe['macd']
)) &
(dataframe['fastd'] < 46)
),
'exit_short'] = 1
return dataframe

271
tests/optimize/hyperopts/short_hyperopt.py Normal file
View File

@ -0,0 +1,271 @@
# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
from functools import reduce
from typing import Any, Callable, Dict, List
import talib.abstract as ta
from pandas import DataFrame
from skopt.space import Categorical, Dimension, Integer
import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.optimize.hyperopt_interface import IHyperOpt
class DefaultHyperOpt(IHyperOpt):
"""
Default hyperopt provided by the Freqtrade bot.
You can override it with your own Hyperopt
"""
@staticmethod
def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Add several indicators needed for buy and sell strategies defined below.
"""
# ADX
dataframe['adx'] = ta.ADX(dataframe)
# MACD
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
# MFI
dataframe['mfi'] = ta.MFI(dataframe)
# RSI
dataframe['rsi'] = ta.RSI(dataframe)
# Stochastic Fast
stoch_fast = ta.STOCHF(dataframe)
dataframe['fastd'] = stoch_fast['fastd']
# Minus-DI
dataframe['minus_di'] = ta.MINUS_DI(dataframe)
# Bollinger bands
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_upperband'] = bollinger['upper']
# SAR
dataframe['sar'] = ta.SAR(dataframe)
return dataframe
@staticmethod
def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the buy strategy parameters to be used by Hyperopt.
"""
def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Buy strategy Hyperopt will build and use.
"""
long_conditions = []
short_conditions = []
# GUARDS AND TRENDS
if 'mfi-enabled' in params and params['mfi-enabled']:
long_conditions.append(dataframe['mfi'] < params['mfi-value'])
short_conditions.append(dataframe['mfi'] > params['short-mfi-value'])
if 'fastd-enabled' in params and params['fastd-enabled']:
long_conditions.append(dataframe['fastd'] < params['fastd-value'])
short_conditions.append(dataframe['fastd'] > params['short-fastd-value'])
if 'adx-enabled' in params and params['adx-enabled']:
long_conditions.append(dataframe['adx'] > params['adx-value'])
short_conditions.append(dataframe['adx'] < params['short-adx-value'])
if 'rsi-enabled' in params and params['rsi-enabled']:
long_conditions.append(dataframe['rsi'] < params['rsi-value'])
short_conditions.append(dataframe['rsi'] > params['short-rsi-value'])
# TRIGGERS
if 'trigger' in params:
if params['trigger'] == 'boll':
long_conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
short_conditions.append(dataframe['close'] > dataframe['bb_upperband'])
if params['trigger'] == 'macd_cross_signal':
long_conditions.append(qtpylib.crossed_above(
dataframe['macd'],
dataframe['macdsignal']
))
short_conditions.append(qtpylib.crossed_below(
dataframe['macd'],
dataframe['macdsignal']
))
if params['trigger'] == 'sar_reversal':
long_conditions.append(qtpylib.crossed_above(
dataframe['close'],
dataframe['sar']
))
short_conditions.append(qtpylib.crossed_below(
dataframe['close'],
dataframe['sar']
))
if long_conditions:
dataframe.loc[
reduce(lambda x, y: x & y, long_conditions),
'buy'] = 1
if short_conditions:
dataframe.loc[
reduce(lambda x, y: x & y, short_conditions),
'enter_short'] = 1
return dataframe
return populate_buy_trend
@staticmethod
def indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching buy strategy parameters.
"""
return [
Integer(10, 25, name='mfi-value'),
Integer(15, 45, name='fastd-value'),
Integer(20, 50, name='adx-value'),
Integer(20, 40, name='rsi-value'),
Integer(75, 90, name='short-mfi-value'),
Integer(55, 85, name='short-fastd-value'),
Integer(50, 80, name='short-adx-value'),
Integer(60, 80, name='short-rsi-value'),
Categorical([True, False], name='mfi-enabled'),
Categorical([True, False], name='fastd-enabled'),
Categorical([True, False], name='adx-enabled'),
Categorical([True, False], name='rsi-enabled'),
Categorical(['boll', 'macd_cross_signal', 'sar_reversal'], name='trigger')
]
@staticmethod
def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the sell strategy parameters to be used by Hyperopt.
"""
def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Sell strategy Hyperopt will build and use.
"""
exit_long_conditions = []
exit_short_conditions = []
# GUARDS AND TRENDS
if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']:
exit_long_conditions.append(dataframe['mfi'] > params['sell-mfi-value'])
exit_short_conditions.append(dataframe['mfi'] < params['exit-short-mfi-value'])
if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
exit_long_conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
exit_short_conditions.append(dataframe['fastd'] < params['exit-short-fastd-value'])
if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
exit_long_conditions.append(dataframe['adx'] < params['sell-adx-value'])
exit_short_conditions.append(dataframe['adx'] > params['exit-short-adx-value'])
if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
exit_long_conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
exit_short_conditions.append(dataframe['rsi'] < params['exit-short-rsi-value'])
# TRIGGERS
if 'sell-trigger' in params:
if params['sell-trigger'] == 'sell-boll':
exit_long_conditions.append(dataframe['close'] > dataframe['bb_upperband'])
exit_short_conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
if params['sell-trigger'] == 'sell-macd_cross_signal':
exit_long_conditions.append(qtpylib.crossed_above(
dataframe['macdsignal'],
dataframe['macd']
))
exit_short_conditions.append(qtpylib.crossed_below(
dataframe['macdsignal'],
dataframe['macd']
))
if params['sell-trigger'] == 'sell-sar_reversal':
exit_long_conditions.append(qtpylib.crossed_above(
dataframe['sar'],
dataframe['close']
))
exit_short_conditions.append(qtpylib.crossed_below(
dataframe['sar'],
dataframe['close']
))
if exit_long_conditions:
dataframe.loc[
reduce(lambda x, y: x & y, exit_long_conditions),
'sell'] = 1
if exit_short_conditions:
dataframe.loc[
reduce(lambda x, y: x & y, exit_short_conditions),
'exit-short'] = 1
return dataframe
return populate_sell_trend
@staticmethod
def sell_indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching sell strategy parameters.
"""
return [
Integer(75, 100, name='sell-mfi-value'),
Integer(50, 100, name='sell-fastd-value'),
Integer(50, 100, name='sell-adx-value'),
Integer(60, 100, name='sell-rsi-value'),
Integer(1, 25, name='exit-short-mfi-value'),
Integer(1, 50, name='exit-short-fastd-value'),
Integer(1, 50, name='exit-short-adx-value'),
Integer(1, 40, name='exit-short-rsi-value'),
Categorical([True, False], name='sell-mfi-enabled'),
Categorical([True, False], name='sell-fastd-enabled'),
Categorical([True, False], name='sell-adx-enabled'),
Categorical([True, False], name='sell-rsi-enabled'),
Categorical(['sell-boll',
'sell-macd_cross_signal',
'sell-sar_reversal'],
name='sell-trigger')
]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of same method from strategy.
Must align to populate_indicators in this file.
Only used when --spaces does not include buy space.
"""
dataframe.loc[
(
(dataframe['close'] < dataframe['bb_lowerband']) &
(dataframe['mfi'] < 16) &
(dataframe['adx'] > 25) &
(dataframe['rsi'] < 21)
),
'buy'] = 1
dataframe.loc[
(
(dataframe['close'] > dataframe['bb_upperband']) &
(dataframe['mfi'] < 84) &
(dataframe['adx'] > 75) &
(dataframe['rsi'] < 79)
),
'enter_short'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of same method from strategy.
Must align to populate_indicators in this file.
Only used when --spaces does not include sell space.
"""
dataframe.loc[
(
(qtpylib.crossed_above(
dataframe['macdsignal'], dataframe['macd']
)) &
(dataframe['fastd'] > 54)
),
'sell'] = 1
dataframe.loc[
(
(qtpylib.crossed_below(
dataframe['macdsignal'], dataframe['macd']
)) &
(dataframe['fastd'] < 46)
),
'exit_short'] = 1
return dataframe

16
tests/optimize/test_hyperopt.py
View File

@ -542,10 +542,6 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'fastd-value': 35,
'mfi-value': 0,
'rsi-value': 0,
'short-adx-value': 100,
'short-fastd-value': 65,
'short-mfi-value': 100,
'short-rsi-value': 100,
'adx-enabled': False,
'fastd-enabled': True,
'mfi-enabled': False,
@ -555,10 +551,6 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'sell-fastd-value': 75,
'sell-mfi-value': 0,
'sell-rsi-value': 0,
'exit-short-adx-value': 100,
'exit-short-fastd-value': 25,
'exit-short-mfi-value': 100,
'exit-short-rsi-value': 100,
'sell-adx-enabled': False,
'sell-fastd-enabled': True,
'sell-mfi-enabled': False,
@ -585,16 +577,12 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
),
'params_details': {'buy': {'adx-enabled': False,
'adx-value': 0,
'short-adx-value': 100,
'fastd-enabled': True,
'fastd-value': 35,
'short-fastd-value': 65,
'mfi-enabled': False,
'mfi-value': 0,
'short-mfi-value': 100,
'rsi-enabled': False,
'rsi-value': 0,
'short-rsi-value': 100,
'trigger': 'macd_cross_signal'},
'roi': {"0": 0.12000000000000001,
"20.0": 0.02,
@ -603,16 +591,12 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'protection': {},
'sell': {'sell-adx-enabled': False,
'sell-adx-value': 0,
'exit-short-adx-value': 100,
'sell-fastd-enabled': True,
'sell-fastd-value': 75,
'exit-short-fastd-value': 25,
'sell-mfi-enabled': False,
'sell-mfi-value': 0,
'exit-short-mfi-value': 100,
'sell-rsi-enabled': False,
'sell-rsi-value': 0,
'exit-short-rsi-value': 100,
'sell-trigger': 'macd_cross_signal'},
'stoploss': {'stoploss': -0.4},
'trailing': {'trailing_only_offset_is_reached': False,