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

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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
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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:
```json
"dynamic_roi": {
"enabled": true,
"type": "linear",
"decay-time": 720,
"start": 0.10,
"end": 0
"dynamic_roi_enabled": true,
"dynamic_roi_type": "linear",
"dynamic_roi_time": 720,
"dynamic_roi_start": 0.10,
"dynamic_roi_end": 0
}
```
Exapmple Linear Config for strategy:
```python
dynamic_roi = {
'enabled': True,
'type': 'linear',
'decay-time': 720,
'start': 0.10,
'end': 0
'dynamic_roi_enabled': True,
'dynamic_roi_type': 'linear',
'dynamic_roi_time': 720,
'dynamic_roi_start': 0.10,
'dynamic_roi_end': 0
}
```
Exapmple Exponential Config:
```json
"dynamic_roi": {
"enabled": true,
"type": "exponential",
"decay-rate": 0.015,
"start": 0.10,
"end": 0
"dynamic_roi_enabled": true,
"dynamic_roi_type": "exponential",
"dynamic_roi_rate": 0.015,
"dynamic_roi_start": 0.10,
"dynamic_roi_end": 0
}
```
Example Exponential Config for strategy:
```python
dynamic_roi = {
'enabled': True,
'type': 'exponential',
'decay-rate': 0.015,
'start': 0.10,
'end': 0
'dynamic_roi_enabled': True,
'dynamic_roi_type': 'exponential',
'dynamic_roi_rate': 0.015,
'dynamic_roi_start': 0.10,
'dynamic_roi_end': 0
}
```
Example Connect Config:
```json
"dynamic_roi": {
"enabled": true,
"type": "connect"
"dynamic_roi_enabled": true,
"dynamic_roi_type": "connect"
}
```
Example Connect Config for strategy:
```python
dynamic_roi = {
'enabled': True,
'type': 'connect'
'dynamic_roi_enabled': True,
'dynamic_roi_type': 'connect'
}
```

12
docs/hyperopt.md
View File

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

12
freqtrade/constants.py
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@ -129,12 +129,12 @@ CONF_SCHEMA = {
'dynamic_roi': {
'type': 'object',
'properties': {
'enabled': {'type': 'boolean'},
'type': {'type': 'string', 'enum': DYNAMIC_ROI_TYPES},
'decay-rate': {'type': 'number', 'minimum': 0.0001, 'maximum': 0.9},
'decay-time': {'type': 'integer', 'minimum': 1},
'start': {'type': 'number', 'minimum': 0.0, 'maximum': 1.0},
'end': {'type': 'number', 'minimum': 0.0}
'dynamic_roi_enabled': {'type': 'boolean'},
'dynamic_roi_type': {'type': 'string', 'enum': DYNAMIC_ROI_TYPES},
'dynamic_roi_rate': {'type': 'number', 'minimum': 0.0001, 'maximum': 0.9},
'dynamic_roi_time': {'type': 'integer', 'minimum': 1},
'dynamic_roi_start': {'type': 'number', 'minimum': 0.0, 'maximum': 1.0},
'dynamic_roi_end': {'type': 'number', 'minimum': 0.0}
}
},
'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.
"""
dynamic_roi_table = {
'enabled': params['enabled'],
'type': params['type'],
'decay-rate': params['decay-rate'],
'decay-time': params['decay-time'],
'start': params['start'],
'end': params['end']
'dynamic_roi_enabled': params['enabled'],
'dynamic_roi_type': params['type'],
'dynamic_roi_rate': params['decay-rate'],
'dynamic_roi_time': params['decay-time'],
'dynamic_roi_start': params['start'],
'dynamic_roi_end': params['end']
}
return dynamic_roi_table
@ -240,12 +240,12 @@ class IHyperOpt(ABC):
You may override it in your custom Hyperopt class.
"""
return [
Categorical([True, False], name='enabled'),
Categorical(['linear', 'exponential', 'connect'], name='type'),
Real(0.001, 0.03, name='decay-rate'),
Integer(180, 1440, name='decay-time'),
Real(0.05, 0.25, name='start'),
Real(0, 0.005, name='end')
Categorical([True, False], name='dynamic_roi_enabled'),
Categorical(['linear', 'exponential', 'connect'], name='dynamic_roi_type'),
Real(0.001, 0.03, name='dynamic_roi_rate'),
Integer(180, 1440, name='dynamic_roi_time'),
Real(0.05, 0.25, name='dynamic_roi_start'),
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
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 dynamic_roi and dynamic_roi['enabled']:
if dynamic_roi and dynamic_roi['dynamic_roi_enabled']:
# linear decay: f(t) = start - (rate * t)
if dynamic_roi['type'] == 'linear':
rate = (dynamic_roi['start'] - dynamic_roi['end']) / dynamic_roi['decay-time']
min_roi = max(dynamic_roi['end'], dynamic_roi['start'] - (rate * trade_dur))
if dynamic_roi['dynamic_roi_type'] == 'linear':
rate = (start - end) / dynamic_roi['dynamic_roi_time']
min_roi = max(end, start - (rate * trade_dur))
# exponential decay: f(t) = start * e^(-rate*t)
elif dynamic_roi['type'] == 'exponential':
min_roi = max(dynamic_roi['end'], dynamic_roi['start'] * np.exp(-dynamic_roi['decay-rate']*trade_dur))
elif dynamic_roi['type'] == 'connect':
elif dynamic_roi['dynamic_roi_type'] == 'exponential':
min_roi = max(end, start * np.exp(-dynamic_roi['dynamic_roi_rate']*trade_dur))
elif dynamic_roi['dynamic_roi_type'] == 'connect':
# connect the points in the defined table with lines
past_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.
"""
return [
Categorical([True, False], name='enabled'),
Categorical(['linear', 'exponential', 'connect'], name='type'),
Real(0.001, 0.03, name='decay-rate'),
Integer(180, 1440, name='decay-time'),
Real(0.05, 0.25, name='start'),
Real(0, 0.005, name='end')
Categorical([True, False], name='dynamic_roi_enabled'),
Categorical(['linear', 'exponential', 'connect'], name='dynamic_roi_type'),
Real(0.001, 0.03, name='dynamic_roi_rate'),
Integer(180, 1440, name='dynamic_roi_time'),
Real(0.05, 0.25, name='dynamic_roi_start'),
Real(0, 0.005, name='dynamic_roi_end')
]
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", [
(['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'],
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}),
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False,
'dynamic-roi': False}),
(['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'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}),
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False,
'dynamic-roi': False}),
(['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': 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': 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': 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'],
{'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': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'dynamic-roi': False}),
(['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'],
{'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'],
{'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):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'dynamic-roi']:
hyperopt.config.update({'spaces': spaces})
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_offset_p1': 0.05,
'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 = {
'loss': 1.9840569076926293,
@ -654,7 +685,13 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'trailing': {'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'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,
'results_metrics': {'avg_profit': 2.3117,
'draws': 0,