Merge pull request #2492 from hroff-1902/hyperopt-trailing-space

Add trailing stoploss hyperspace

tests/optimize/test_hyperopt.py

@@ -27,7 +27,7 @@ from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
 @pytest.fixture(scope='function')
 def hyperopt(default_conf, mocker):
     default_conf.update({
-        'spaces': ['all'],
+        'spaces': ['default'],
         'hyperopt': 'DefaultHyperOpt',
     })
     patch_exchange(mocker)
@@ -113,7 +113,7 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo
         '--enable-position-stacking',
         '--disable-max-market-positions',
         '--epochs', '1000',
-        '--spaces', 'all',
+        '--spaces', 'default',
         '--print-all'
     ]
 
@@ -440,7 +440,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
                          'hyperopt': 'DefaultHyperOpt',
                          'epochs': 1,
                          'timerange': None,
-                         'spaces': 'all',
+                         'spaces': 'default',
                          'hyperopt_jobs': 1, })
 
     hyperopt = Hyperopt(default_conf)
@@ -489,14 +489,38 @@ def test_format_results(hyperopt):
     assert result.find('Total profit 1.00000000 EUR')
 
 
-def test_has_space(hyperopt):
-    hyperopt.config.update({'spaces': ['buy', 'roi']})
-    assert hyperopt.has_space('roi')
-    assert hyperopt.has_space('buy')
-    assert not hyperopt.has_space('stoploss')
-
-    hyperopt.config.update({'spaces': ['all']})
-    assert hyperopt.has_space('buy')
+@pytest.mark.parametrize("spaces, expected_results", [
+    (['buy'],
+     {'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}),
+    (['sell'],
+     {'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}),
+    (['roi'],
+     {'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
+    (['stoploss'],
+     {'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}),
+    (['trailing'],
+     {'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}),
+    (['buy', 'sell', 'roi', 'stoploss'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
+    (['buy', 'sell', 'roi', 'stoploss', 'trailing'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['buy', 'roi'],
+     {'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
+    (['all'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['default'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
+    (['default', 'trailing'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['all', 'buy'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['default', 'buy'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
+])
+def test_has_space(hyperopt, spaces, expected_results):
+    for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
+        hyperopt.config.update({'spaces': spaces})
+        assert hyperopt.has_space(s) == expected_results[s]
 
 
 def test_populate_indicators(hyperopt, testdatadir) -> None:
@@ -591,6 +615,10 @@ def test_generate_optimizer(mocker, default_conf) -> None:
         'roi_p2': 0.01,
         'roi_p3': 0.1,
         'stoploss': -0.4,
+        'trailing_stop': True,
+        'trailing_stop_positive': 0.02,
+        'trailing_stop_positive_offset': 0.1,
+        'trailing_only_offset_is_reached': False,
     }
     response_expected = {
         'loss': 1.9840569076926293,
@@ -613,7 +641,7 @@ def test_clean_hyperopt(mocker, default_conf, caplog):
                          'hyperopt': 'DefaultHyperOpt',
                          'epochs': 1,
                          'timerange': None,
-                         'spaces': 'all',
+                         'spaces': 'default',
                          'hyperopt_jobs': 1,
                          })
     mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
@@ -630,7 +658,7 @@ def test_continue_hyperopt(mocker, default_conf, caplog):
                          'hyperopt': 'DefaultHyperOpt',
                          'epochs': 1,
                          'timerange': None,
-                         'spaces': 'all',
+                         'spaces': 'default',
                          'hyperopt_jobs': 1,
                          'hyperopt_continue': True
                          })
@@ -674,6 +702,45 @@ def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None:
 
     parallel.assert_called_once()
 
+    out, err = capsys.readouterr()
+    assert '{"params":{"mfi-value":null,"fastd-value":null,"adx-value":null,"rsi-value":null,"mfi-enabled":null,"fastd-enabled":null,"adx-enabled":null,"rsi-enabled":null,"trigger":null,"sell-mfi-value":null,"sell-fastd-value":null,"sell-adx-value":null,"sell-rsi-value":null,"sell-mfi-enabled":null,"sell-fastd-enabled":null,"sell-adx-enabled":null,"sell-rsi-enabled":null,"sell-trigger":null},"minimal_roi":{},"stoploss":null,"trailing_stop":null,"trailing_stop_positive":null,"trailing_stop_positive_offset":null,"trailing_only_offset_is_reached":null}' in out  # noqa: E501
+    assert dumper.called
+    # Should be called twice, once for tickerdata, once to save evaluations
+    assert dumper.call_count == 2
+
+
+def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None:
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
+                 MagicMock(return_value=(MagicMock(), None)))
+    mocker.patch(
+        'freqtrade.optimize.hyperopt.get_timeframe',
+        MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
+    )
+
+    parallel = mocker.patch(
+        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {}}])
+    )
+    patch_exchange(mocker)
+
+    default_conf.update({'config': 'config.json.example',
+                         'hyperopt': 'DefaultHyperOpt',
+                         'epochs': 1,
+                         'timerange': None,
+                         'spaces': 'default',
+                         'hyperopt_jobs': 1,
+                         'print_json': True,
+                         })
+
+    hyperopt = Hyperopt(default_conf)
+    hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
+    hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
+
+    hyperopt.start()
+
+    parallel.assert_called_once()
+
     out, err = capsys.readouterr()
     assert '{"params":{"mfi-value":null,"fastd-value":null,"adx-value":null,"rsi-value":null,"mfi-enabled":null,"fastd-enabled":null,"adx-enabled":null,"rsi-enabled":null,"trigger":null,"sell-mfi-value":null,"sell-fastd-value":null,"sell-adx-value":null,"sell-rsi-value":null,"sell-mfi-enabled":null,"sell-fastd-enabled":null,"sell-adx-enabled":null,"sell-rsi-enabled":null,"sell-trigger":null},"minimal_roi":{},"stoploss":null}' in out  # noqa: E501
     assert dumper.called