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Fixed max_open_trades update from hyperopt

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Fixed max_open_trades update from hyperopt + removed max_open_trades as a param to backtesting + refactoring
This commit is contained in:
Antonio Della Fortuna
2023-01-08 12:39:39 +01:00
parent 8c3ac56bc5
commit 464cb4761c
7 changed files with 132 additions and 52 deletions
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2
freqtrade/commands/cli_options.py
View File

@@ -252,7 +252,7 @@ AVAILABLE_CLI_OPTIONS = {
'--spaces',
help='Specify which parameters to hyperopt. Space-separated list.',
choices=['all', 'buy', 'sell', 'roi', 'stoploss',
'trailing', 'protection', 'default', 'trades'],
'trailing', 'protection', 'trades', 'default'],
nargs='+',
default='default',
),

26
freqtrade/optimize/backtesting.py
View File

@@ -920,8 +920,9 @@ class Backtesting:
trade.close(exit_row[OPEN_IDX], show_msg=False)
LocalTrade.close_bt_trade(trade)
def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
def trade_slot_available(self, open_trade_count: int) -> bool:
# Always allow trades when max_open_trades is enabled.
max_open_trades = self.config['max_open_trades']
if max_open_trades <= 0 or open_trade_count < max_open_trades:
return True
# Rejected trade
@@ -1051,7 +1052,6 @@ class Backtesting:
def backtest_loop(
self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
max_open_trades: int,
open_trade_count_start: int, is_first: bool = True) -> int:
"""
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@@ -1075,7 +1075,7 @@ class Backtesting:
if (
(self._position_stacking or len(LocalTrade.bt_trades_open_pp[pair]) == 0)
and is_first
and self.trade_slot_available(max_open_trades, open_trade_count_start)
and self.trade_slot_available(open_trade_count_start)
and current_time != end_date
and trade_dir is not None
and not PairLocks.is_pair_locked(pair, row[DATE_IDX], trade_dir)
@@ -1122,8 +1122,7 @@ class Backtesting:
return open_trade_count_start
def backtest(self, processed: Dict,
start_date: datetime, end_date: datetime,
max_open_trades: int = 0) -> Dict[str, Any]:
start_date: datetime, end_date: datetime) -> Dict[str, Any]:
"""
Implement backtesting functionality
@@ -1135,7 +1134,6 @@ class Backtesting:
optimize memory usage!
:param start_date: backtesting timerange start datetime
:param end_date: backtesting timerange end datetime
:param max_open_trades: maximum number of concurrent trades, <= 0 means unlimited
:return: DataFrame with trades (results of backtesting)
"""
self.prepare_backtest(self.enable_protections)
@@ -1176,7 +1174,7 @@ class Backtesting:
if len(detail_data) == 0:
# Fall back to "regular" data if no detail data was found for this candle
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades,
row, pair, current_time, end_date,
open_trade_count_start)
continue
detail_data.loc[:, 'enter_long'] = row[LONG_IDX]
@@ -1189,13 +1187,13 @@ class Backtesting:
current_time_det = current_time
for det_row in detail_data[HEADERS].values.tolist():
open_trade_count_start = self.backtest_loop(
det_row, pair, current_time_det, end_date, max_open_trades,
det_row, pair, current_time_det, end_date,
open_trade_count_start, is_first)
current_time_det += timedelta(minutes=self.timeframe_detail_min)
is_first = False
else:
open_trade_count_start = self.backtest_loop(
row, pair, current_time, end_date, max_open_trades, open_trade_count_start)
row, pair, current_time, end_date, open_trade_count_start)
# Move time one configured time_interval ahead.
self.progress.increment()
@@ -1227,14 +1225,11 @@ class Backtesting:
self._set_strategy(strat)
# Use max_open_trades in backtesting, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
# Must come from strategy config, as the strategy may modify this setting.
max_open_trades = self.strategy.config['max_open_trades'] \
if self.strategy.config['max_open_trades'] != float('inf') else -1
else:
if not self.config.get('use_max_market_positions', True):
logger.info(
'Ignoring max_open_trades (--disable-max-market-positions was used) ...')
max_open_trades = 0
self.strategy.max_open_trades = -1
self.config.update({'max_open_trades': float('inf')})
# need to reprocess data every time to populate signals
preprocessed = self.strategy.advise_all_indicators(data)
@@ -1257,7 +1252,6 @@ class Backtesting:
processed=preprocessed,
start_date=min_date,
end_date=max_date,
max_open_trades=max_open_trades,
)
backtest_end_time = datetime.now(timezone.utc)
results.update({

32
freqtrade/optimize/hyperopt.py
View File

@@ -118,14 +118,10 @@ class Hyperopt:
self.current_best_epoch: Optional[Dict[str, Any]] = None
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
self.max_open_trades = self.config['max_open_trades'] \
if self.config['max_open_trades'] != float('inf') else -1
else:
if not self.config.get('use_max_market_positions', True):
logger.debug('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
self.max_open_trades = 0
print("Strategy max open trades", self.max_open_trades)
self.backtesting.strategy.max_open_trades = -1
config.update({'max_open_trades': float('inf')})
if HyperoptTools.has_space(self.config, 'sell'):
# Make sure use_exit_signal is enabled
@@ -214,7 +210,8 @@ class Hyperopt:
if HyperoptTools.has_space(self.config, 'trailing'):
result['trailing'] = self.custom_hyperopt.generate_trailing_params(params)
if HyperoptTools.has_space(self.config, 'trades'):
result['max_open_trades'] = {p.name: params.get(p.name) for p in self.trades_space}
result['max_open_trades'] = {
'max_open_trades': self.backtesting.strategy.max_open_trades}
return result
@@ -342,7 +339,21 @@ class Hyperopt:
d['trailing_only_offset_is_reached']
if HyperoptTools.has_space(self.config, 'trades'):
self.max_open_trades = params_dict['max_open_trades']
if self.config["stake_amount"] == "unlimited" and \
(params_dict['max_open_trades'] == -1 or params_dict['max_open_trades'] == 0):
# Ignore unlimited max open trades if stake amount is unlimited
params_dict.update({'max_open_trades': self.config['max_open_trades']})
updated_config_max_open_trades = int(params_dict['max_open_trades']) \
if (params_dict['max_open_trades'] != -1
and params_dict['max_open_trades'] != 0) else float('inf')
updated_strategy_max_open_trades = int(updated_config_max_open_trades) \
if updated_config_max_open_trades != float('inf') else -1
self.config.update({'max_open_trades': updated_config_max_open_trades})
self.backtesting.strategy.max_open_trades = updated_strategy_max_open_trades
with self.data_pickle_file.open('rb') as f:
processed = load(f, mmap_mode='r')
@@ -353,8 +364,7 @@ class Hyperopt:
bt_results = self.backtesting.backtest(
processed=processed,
start_date=self.min_date,
end_date=self.max_date,
max_open_trades=self.max_open_trades,
end_date=self.max_date
)
backtest_end_time = datetime.now(timezone.utc)
bt_results.update({