adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

changed variable names to be more unique, started work on unit tests

Browse Source
This commit is contained in:
werkkrew 2021-03-13 11:29:55 -05:00
parent 5939729e03
commit 39ffcecffa
7 changed files with 114 additions and 76 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

48
docs/configuration.md
View File

@ -264,60 +264,60 @@ There are 3 different types of dynamic ROI algorithms available, `linear`, `expo
Exapmple Linear Config: Exapmple Linear Config:
```json ```json
"dynamic_roi": { "dynamic_roi": {
"enabled": true, "dynamic_roi_enabled": true,
"type": "linear", "dynamic_roi_type": "linear",
"decay-time": 720, "dynamic_roi_time": 720,
"start": 0.10, "dynamic_roi_start": 0.10,
"end": 0 "dynamic_roi_end": 0
} }
``` ```
Exapmple Linear Config for strategy: Exapmple Linear Config for strategy:
```python ```python
dynamic_roi = { dynamic_roi = {
'enabled': True, 'dynamic_roi_enabled': True,
'type': 'linear', 'dynamic_roi_type': 'linear',
'decay-time': 720, 'dynamic_roi_time': 720,
'start': 0.10, 'dynamic_roi_start': 0.10,
'end': 0 'dynamic_roi_end': 0
} }
``` ```
Exapmple Exponential Config: Exapmple Exponential Config:
```json ```json
"dynamic_roi": { "dynamic_roi": {
"enabled": true, "dynamic_roi_enabled": true,
"type": "exponential", "dynamic_roi_type": "exponential",
"decay-rate": 0.015, "dynamic_roi_rate": 0.015,
"start": 0.10, "dynamic_roi_start": 0.10,
"end": 0 "dynamic_roi_end": 0
} }
``` ```
Example Exponential Config for strategy: Example Exponential Config for strategy:
```python ```python
dynamic_roi = { dynamic_roi = {
'enabled': True, 'dynamic_roi_enabled': True,
'type': 'exponential', 'dynamic_roi_type': 'exponential',
'decay-rate': 0.015, 'dynamic_roi_rate': 0.015,
'start': 0.10, 'dynamic_roi_start': 0.10,
'end': 0 'dynamic_roi_end': 0
} }
``` ```
Example Connect Config: Example Connect Config:
```json ```json
"dynamic_roi": { "dynamic_roi": {
"enabled": true, "dynamic_roi_enabled": true,
"type": "connect" "dynamic_roi_type": "connect"
} }
``` ```
Example Connect Config for strategy: Example Connect Config for strategy:
```python ```python
dynamic_roi = { dynamic_roi = {
'enabled': True, 'dynamic_roi_enabled': True,
'type': 'connect' 'dynamic_roi_type': 'connect'
} }
``` ```

12
docs/hyperopt.md
View File

@ -625,12 +625,12 @@ Best result:
# Dynamic ROI table: # Dynamic ROI table:
dynamic_roi = { dynamic_roi = {
'decay-rate': 0.02356, 'dynamic_roi_rate': 0.02356,
'decay-time': 909, 'dynamic_roi_time': 909,
'enabled': True, 'dynamic_roi_enabled': True,
'end': 0.002, 'dynamic_roi_end': 0.002,
'start': 0.07778, 'dynamic_roi_start': 0.07778,
'type': 'connect' 'dynamic_roi_type': 'connect'
} }
``` ```

12
freqtrade/constants.py
View File

@ -129,12 +129,12 @@ CONF_SCHEMA = {
'dynamic_roi': { 'dynamic_roi': {
'type': 'object', 'type': 'object',
'properties': { 'properties': {
'enabled': {'type': 'boolean'}, 'dynamic_roi_enabled': {'type': 'boolean'},
'type': {'type': 'string', 'enum': DYNAMIC_ROI_TYPES}, 'dynamic_roi_type': {'type': 'string', 'enum': DYNAMIC_ROI_TYPES},
'decay-rate': {'type': 'number', 'minimum': 0.0001, 'maximum': 0.9}, 'dynamic_roi_rate': {'type': 'number', 'minimum': 0.0001, 'maximum': 0.9},
'decay-time': {'type': 'integer', 'minimum': 1}, 'dynamic_roi_time': {'type': 'integer', 'minimum': 1},
'start': {'type': 'number', 'minimum': 0.0, 'maximum': 1.0}, 'dynamic_roi_start': {'type': 'number', 'minimum': 0.0, 'maximum': 1.0},
'end': {'type': 'number', 'minimum': 0.0} 'dynamic_roi_end': {'type': 'number', 'minimum': 0.0}
} }
}, },
'amount_reserve_percent': {'type': 'number', 'minimum': 0.0, 'maximum': 0.5}, 'amount_reserve_percent': {'type': 'number', 'minimum': 0.0, 'maximum': 0.5},

24
freqtrade/optimize/hyperopt_interface.py
View File

@ -222,12 +222,12 @@ class IHyperOpt(ABC):
Create a dynamic_roi table. Create a dynamic_roi table.
""" """
dynamic_roi_table = { dynamic_roi_table = {
'enabled': params['enabled'], 'dynamic_roi_enabled': params['enabled'],
'type': params['type'], 'dynamic_roi_type': params['type'],
'decay-rate': params['decay-rate'], 'dynamic_roi_rate': params['decay-rate'],
'decay-time': params['decay-time'], 'dynamic_roi_time': params['decay-time'],
'start': params['start'], 'dynamic_roi_start': params['start'],
'end': params['end'] 'dynamic_roi_end': params['end']
} }
return dynamic_roi_table return dynamic_roi_table
@ -240,12 +240,12 @@ class IHyperOpt(ABC):
You may override it in your custom Hyperopt class. You may override it in your custom Hyperopt class.
""" """
return [ return [
Categorical([True, False], name='enabled'), Categorical([True, False], name='dynamic_roi_enabled'),
Categorical(['linear', 'exponential', 'connect'], name='type'), Categorical(['linear', 'exponential', 'connect'], name='dynamic_roi_type'),
Real(0.001, 0.03, name='decay-rate'), Real(0.001, 0.03, name='dynamic_roi_rate'),
Integer(180, 1440, name='decay-time'), Integer(180, 1440, name='dynamic_roi_time'),
Real(0.05, 0.25, name='start'), Real(0.05, 0.25, name='dynamic_roi_start'),
Real(0, 0.005, name='end') Real(0, 0.005, name='dynamic_roi_end')
] ]

15
freqtrade/strategy/interface.py
View File

@ -636,17 +636,18 @@ class IStrategy(ABC):
""" """
dynamic_roi = self.dynamic_roi dynamic_roi = self.dynamic_roi
minimal_roi = self.minimal_roi minimal_roi = self.minimal_roi
start, end = dynamic_roi['dynamic_roi_start'], dynamic_roi['dynamic_roi_end']
# if the dynamic_roi dict is defined and enabled, use it, otherwise fallback to default functionality # if the dynamic_roi dict is defined and enabled, use it, otherwise fallback to default functionality
if dynamic_roi and dynamic_roi['enabled']: if dynamic_roi and dynamic_roi['dynamic_roi_enabled']:
# linear decay: f(t) = start - (rate * t) # linear decay: f(t) = start - (rate * t)
if dynamic_roi['type'] == 'linear': if dynamic_roi['dynamic_roi_type'] == 'linear':
rate = (dynamic_roi['start'] - dynamic_roi['end']) / dynamic_roi['decay-time'] rate = (start - end) / dynamic_roi['dynamic_roi_time']
min_roi = max(dynamic_roi['end'], dynamic_roi['start'] - (rate * trade_dur)) min_roi = max(end, start - (rate * trade_dur))
# exponential decay: f(t) = start * e^(-rate*t) # exponential decay: f(t) = start * e^(-rate*t)
elif dynamic_roi['type'] == 'exponential': elif dynamic_roi['dynamic_roi_type'] == 'exponential':
min_roi = max(dynamic_roi['end'], dynamic_roi['start'] * np.exp(-dynamic_roi['decay-rate']*trade_dur)) min_roi = max(end, start * np.exp(-dynamic_roi['dynamic_roi_rate']*trade_dur))
elif dynamic_roi['type'] == 'connect': elif dynamic_roi['dynamic_roi_type'] == 'connect':
# connect the points in the defined table with lines # connect the points in the defined table with lines
past_roi = list(filter(lambda x: x <= trade_dur, minimal_roi.keys())) past_roi = list(filter(lambda x: x <= trade_dur, minimal_roi.keys()))
next_roi = list(filter(lambda x: x > trade_dur, minimal_roi.keys())) next_roi = list(filter(lambda x: x > trade_dur, minimal_roi.keys()))

12
freqtrade/templates/sample_hyperopt_advanced.py
View File

@ -280,12 +280,12 @@ class AdvancedSampleHyperOpt(IHyperOpt):
the ranges for decay-rate, decay-time, start, or end. the ranges for decay-rate, decay-time, start, or end.
""" """
return [ return [
Categorical([True, False], name='enabled'), Categorical([True, False], name='dynamic_roi_enabled'),
Categorical(['linear', 'exponential', 'connect'], name='type'), Categorical(['linear', 'exponential', 'connect'], name='dynamic_roi_type'),
Real(0.001, 0.03, name='decay-rate'), Real(0.001, 0.03, name='dynamic_roi_rate'),
Integer(180, 1440, name='decay-time'), Integer(180, 1440, name='dynamic_roi_time'),
Real(0.05, 0.25, name='start'), Real(0.05, 0.25, name='dynamic_roi_start'),
Real(0, 0.005, name='end') Real(0, 0.005, name='dynamic_roi_end')
] ]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

67
tests/optimize/test_hyperopt.py
View File

@ -473,34 +473,59 @@ def test_format_results(hyperopt):
@pytest.mark.parametrize("spaces, expected_results", [ @pytest.mark.parametrize("spaces, expected_results", [
(['buy'], (['buy'],
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}), {'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'dynamic-roi': False}),
(['sell'], (['sell'],
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}), {'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False,
'dynamic-roi': False}),
(['roi'], (['roi'],
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}), {'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'dynamic-roi': False}),
(['stoploss'], (['stoploss'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}), {'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False,
'dynamic-roi': False}),
(['trailing'], (['trailing'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}), {'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True,
'dynamic-roi': False}),
(['dynamic-roi'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'dynamic-roi': True}),
(['buy', 'sell', 'roi', 'stoploss'], (['buy', 'sell', 'roi', 'stoploss'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}), {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'dynamic-roi': False}),
(['buy', 'sell', 'roi', 'stoploss', 'trailing'], (['buy', 'sell', 'roi', 'stoploss', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'dynamic-roi': False}),
(['buy', 'sell', 'roi', 'stoploss', 'trailing', 'dynamic-roi'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'dynamic-roi': True}),
(['buy', 'roi'], (['buy', 'roi'],
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}), {'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'dynamic-roi': False}),
(['buy', 'roi', 'dynamic-roi'],
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'dynamic-roi': True}),
(['roi', 'dynamic-roi'],
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'dynamic-roi': True}),
(['all'], (['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'dynamic-roi': True}),
(['default'], (['default'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}), {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'dynamic-roi': False}),
(['default', 'trailing'], (['default', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'dynamic-roi': False}),
(['all', 'buy'], (['all', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}), {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'dynamic-roi': True}),
(['default', 'buy'], (['default', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}), {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'dynamic-roi': False}),
]) ])
def test_has_space(hyperopt, spaces, expected_results): def test_has_space(hyperopt, spaces, expected_results):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']: for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'dynamic-roi']:
hyperopt.config.update({'spaces': spaces}) hyperopt.config.update({'spaces': spaces})
assert hyperopt.has_space(s) == expected_results[s] assert hyperopt.has_space(s) == expected_results[s]
@ -620,6 +645,12 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'trailing_stop_positive': 0.02, 'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset_p1': 0.05, 'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False, 'trailing_only_offset_is_reached': False,
'dynamic_roi_enabled': False,
'dynamic_roi_type': 'linear',
'dynamic_roi_rate': 0.015,
'dynamic_roi_time': 720,
'dynamic_roi_start': 0.10,
'dynamic_roi_end': 0
} }
response_expected = { response_expected = {
'loss': 1.9840569076926293, 'loss': 1.9840569076926293,
@ -654,7 +685,13 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'trailing': {'trailing_only_offset_is_reached': False, 'trailing': {'trailing_only_offset_is_reached': False,
'trailing_stop': True, 'trailing_stop': True,
'trailing_stop_positive': 0.02, 'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.07}}, 'trailing_stop_positive_offset': 0.07},
'dynamic_roi': {'dynamic_roi_enabled': False,
'dynamic_roi_type': 'linear',
'dynamic_roi_rate': 0.015,
'dynamic_roi_time': 720,
'dynamic_roi_start': 0.10,
'dynamic_roi_end': 0}},
'params_dict': optimizer_param, 'params_dict': optimizer_param,
'results_metrics': {'avg_profit': 2.3117, 'results_metrics': {'avg_profit': 2.3117,
'draws': 0, 'draws': 0,