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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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32
freqtrade/optimize/hyperopt.py
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@@ -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({