Merge pull request #4844 from freqtrade/improve_hyper

IntParameter should not calculate indicators if it's not being optimized

freqtrade/optimize/hyperopt.py

@@ -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']

freqtrade/optimize/hyperopt_tools.py

@@ -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:
         """

freqtrade/strategy/hyper.py

@@ -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():
+        for attr_name, attr in self.enumerate_parameters(space):
-            attr.hyperopt = hyperopt
+            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]

tests/optimize/test_hyperopt.py

@@ -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})
+        hyperopt_conf.update({'spaces': spaces})
-        assert hyperopt.has_space(s) == expected_results[s]
+        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)

tests/strategy/test_interface.py

@@ -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]