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Merge pull request #4844 from freqtrade/improve_hyper

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IntParameter should not calculate indicators if it's not being optimized
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Matthias 2021-05-01 17:36:29 +02:00 committed by GitHub
commit 3c9042c825
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5 changed files with 42 additions and 36 deletions
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44
freqtrade/optimize/hyperopt.py
View File

@ -114,7 +114,7 @@ class Hyperopt:
self.max_open_trades = 0
self.position_stacking = self.config.get('position_stacking', False)
if self.has_space('sell'):
if HyperoptTools.has_space(self.config, 'sell'):
# Make sure use_sell_signal is enabled
if 'ask_strategy' not in self.config:
self.config['ask_strategy'] = {}
@ -175,18 +175,18 @@ class Hyperopt:
"""
result: Dict = {}
if self.has_space('buy'):
if HyperoptTools.has_space(self.config, 'buy'):
result['buy'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('buy')}
if self.has_space('sell'):
if HyperoptTools.has_space(self.config, 'sell'):
result['sell'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('sell')}
if self.has_space('roi'):
if HyperoptTools.has_space(self.config, 'roi'):
result['roi'] = self.custom_hyperopt.generate_roi_table(params)
if self.has_space('stoploss'):
if HyperoptTools.has_space(self.config, 'stoploss'):
result['stoploss'] = {p.name: params.get(p.name)
for p in self.hyperopt_space('stoploss')}
if self.has_space('trailing'):
if HyperoptTools.has_space(self.config, 'trailing'):
result['trailing'] = self.custom_hyperopt.generate_trailing_params(params)
return result
@ -208,16 +208,6 @@ class Hyperopt:
)
self.hyperopt_table_header = 2
def has_space(self, space: str) -> bool:
"""
Tell if the space value is contained in the configuration
"""
# The 'trailing' space is not included in the 'default' set of spaces
if space == 'trailing':
return any(s in self.config['spaces'] for s in [space, 'all'])
else:
return any(s in self.config['spaces'] for s in [space, 'all', 'default'])
def hyperopt_space(self, space: Optional[str] = None) -> List[Dimension]:
"""
Return the dimensions in the hyperoptimization space.
@ -227,23 +217,25 @@ class Hyperopt:
"""
spaces: List[Dimension] = []
if space == 'buy' or (space is None and self.has_space('buy')):
if space == 'buy' or (space is None and HyperoptTools.has_space(self.config, 'buy')):
logger.debug("Hyperopt has 'buy' space")
spaces += self.custom_hyperopt.indicator_space()
if space == 'sell' or (space is None and self.has_space('sell')):
if space == 'sell' or (space is None and HyperoptTools.has_space(self.config, 'sell')):
logger.debug("Hyperopt has 'sell' space")
spaces += self.custom_hyperopt.sell_indicator_space()
if space == 'roi' or (space is None and self.has_space('roi')):
if space == 'roi' or (space is None and HyperoptTools.has_space(self.config, 'roi')):
logger.debug("Hyperopt has 'roi' space")
spaces += self.custom_hyperopt.roi_space()
if space == 'stoploss' or (space is None and self.has_space('stoploss')):
if space == 'stoploss' or (space is None
and HyperoptTools.has_space(self.config, 'stoploss')):
logger.debug("Hyperopt has 'stoploss' space")
spaces += self.custom_hyperopt.stoploss_space()
if space == 'trailing' or (space is None and self.has_space('trailing')):
if space == 'trailing' or (space is None
and HyperoptTools.has_space(self.config, 'trailing')):
logger.debug("Hyperopt has 'trailing' space")
spaces += self.custom_hyperopt.trailing_space()
@ -257,22 +249,22 @@ class Hyperopt:
params_dict = self._get_params_dict(raw_params)
params_details = self._get_params_details(params_dict)
if self.has_space('roi'):
if HyperoptTools.has_space(self.config, 'roi'):
self.backtesting.strategy.minimal_roi = ( # type: ignore
self.custom_hyperopt.generate_roi_table(params_dict))
if self.has_space('buy'):
if HyperoptTools.has_space(self.config, 'buy'):
self.backtesting.strategy.advise_buy = ( # type: ignore
self.custom_hyperopt.buy_strategy_generator(params_dict))
if self.has_space('sell'):
if HyperoptTools.has_space(self.config, 'sell'):
self.backtesting.strategy.advise_sell = ( # type: ignore
self.custom_hyperopt.sell_strategy_generator(params_dict))
if self.has_space('stoploss'):
if HyperoptTools.has_space(self.config, 'stoploss'):
self.backtesting.strategy.stoploss = params_dict['stoploss']
if self.has_space('trailing'):
if HyperoptTools.has_space(self.config, 'trailing'):
d = self.custom_hyperopt.generate_trailing_params(params_dict)
self.backtesting.strategy.trailing_stop = d['trailing_stop']
self.backtesting.strategy.trailing_stop_positive = d['trailing_stop_positive']

13
freqtrade/optimize/hyperopt_tools.py
View File

@ -4,7 +4,7 @@ import logging
from collections import OrderedDict
from pathlib import Path
from pprint import pformat
from typing import Dict, List
from typing import Any, Dict, List
import rapidjson
import tabulate
@ -21,6 +21,17 @@ logger = logging.getLogger(__name__)
class HyperoptTools():
@staticmethod
def has_space(config: Dict[str, Any], space: str) -> bool:
"""
Tell if the space value is contained in the configuration
"""
# The 'trailing' space is not included in the 'default' set of spaces
if space == 'trailing':
return any(s in config['spaces'] for s in [space, 'all'])
else:
return any(s in config['spaces'] for s in [space, 'all', 'default'])
@staticmethod
def _read_results(results_file: Path) -> List:
"""

11
freqtrade/strategy/hyper.py
View File

@ -7,6 +7,8 @@ from abc import ABC, abstractmethod
from contextlib import suppress
from typing import Any, Dict, Iterator, Optional, Sequence, Tuple, Union
from freqtrade.optimize.hyperopt_tools import HyperoptTools
with suppress(ImportError):
from skopt.space import Integer, Real, Categorical
@ -26,7 +28,7 @@ class BaseParameter(ABC):
category: Optional[str]
default: Any
value: Any
hyperopt: bool = False
in_space: bool = False
def __init__(self, *, default: Any, space: Optional[str] = None,
optimize: bool = True, load: bool = True, **kwargs):
@ -131,7 +133,7 @@ class IntParameter(NumericParameter):
Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
calculating 100ds of indicators.
"""
if self.hyperopt:
if self.in_space and self.optimize:
# Scikit-optimize ranges are "inclusive", while python's "range" is exclusive
return range(self.low, self.high + 1)
else:
@ -247,6 +249,7 @@ class HyperStrategyMixin(object):
"""
Initialize hyperoptable strategy mixin.
"""
self.config = config
self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT)
def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]:
@ -284,8 +287,8 @@ class HyperStrategyMixin(object):
if not params:
logger.info(f"No params for {space} found, using default values.")
for attr_name, attr in self.enumerate_parameters():
attr.hyperopt = hyperopt
for attr_name, attr in self.enumerate_parameters(space):
attr.in_space = hyperopt and HyperoptTools.has_space(self.config, space)
if params and attr_name in params:
if attr.load:
attr.value = params[attr_name]

8
tests/optimize/test_hyperopt.py
View File

@ -503,10 +503,10 @@ def test_format_results(hyperopt):
(['default', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
])
def test_has_space(hyperopt, spaces, expected_results):
def test_has_space(hyperopt_conf, spaces, expected_results):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
hyperopt.config.update({'spaces': spaces})
assert hyperopt.has_space(s) == expected_results[s]
hyperopt_conf.update({'spaces': spaces})
assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s]
def test_populate_indicators(hyperopt, testdatadir) -> None:
@ -1108,7 +1108,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.buy_rsi.hyperopt is True
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)

2
tests/strategy/test_interface.py
View File

@ -636,7 +636,7 @@ def test_hyperopt_parameters():
assert len(list(intpar.range)) == 1
# Range contains ONLY the default / value.
assert list(intpar.range) == [intpar.value]
intpar.hyperopt = True
intpar.in_space = True
assert len(list(intpar.range)) == 6
assert list(intpar.range) == [0, 1, 2, 3, 4, 5]