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

tests/optimize/hyperopts/default_hyperopt.py

@@ -54,57 +54,38 @@ class DefaultHyperOpt(IHyperOpt):
             """
             Buy strategy Hyperopt will build and use.
             """
-            long_conditions = []
+            conditions = []
-            short_conditions = []
 
             # GUARDS AND TRENDS
             if 'mfi-enabled' in params and params['mfi-enabled']:
-                long_conditions.append(dataframe['mfi'] < params['mfi-value'])
+                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'])
+                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'])
+                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'])
+                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'])
+                    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(
+                    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(
+                    conditions.append(qtpylib.crossed_above(
-                        dataframe['close'],
-                        dataframe['sar']
-                    ))
-                    short_conditions.append(qtpylib.crossed_below(
                         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 = []
+            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'])
+                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'])
+                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'])
+                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'])
+                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'])
+                    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(
+                    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(
+                    conditions.append(qtpylib.crossed_above(
-                        dataframe['sar'],
-                        dataframe['close']
-                    ))
-                    exit_short_conditions.append(qtpylib.crossed_below(
                         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

tests/optimize/hyperopts/short_hyperopt.py

@@ -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

tests/optimize/test_hyperopt.py

@@ -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,