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Merge branch 'develop' into feat_readjust_entry

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This commit is contained in:
eSeR1805
2022-05-04 21:43:41 +03:00
parent dbecc097df b73f770955
commit 496bf84e3a
15 changed files with 314 additions and 139 deletions
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47
freqtrade/optimize/hyperopt_loss/hyperopt_loss_max_drawdown_relative.py Normal file
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@@ -0,0 +1,47 @@
"""
MaxDrawDownRelativeHyperOptLoss
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from typing import Dict
from pandas import DataFrame
from freqtrade.data.metrics import calculate_underwater
from freqtrade.optimize.hyperopt import IHyperOptLoss
class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation optimizes for max draw down and profit
Less max drawdown more profit -> Lower return value
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, config: Dict,
*args, **kwargs) -> float:
"""
Objective function.
Uses profit ratio weighted max_drawdown when drawdown is available.
Otherwise directly optimizes profit ratio.
"""
total_profit = results['profit_abs'].sum()
try:
drawdown_df = calculate_underwater(
results,
value_col='profit_abs',
starting_balance=config['dry_run_wallet']
)
max_drawdown = abs(min(drawdown_df['drawdown']))
relative_drawdown = max(drawdown_df['drawdown_relative'])
if max_drawdown == 0:
return -total_profit
return -total_profit / max_drawdown / relative_drawdown
except (Exception, ValueError):
return -total_profit

4
freqtrade/optimize/hyperopt_loss_interface.py
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@@ -19,11 +19,11 @@ class IHyperOptLoss(ABC):
@staticmethod
@abstractmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
def hyperopt_loss_function(*, results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime,
config: Dict, processed: Dict[str, DataFrame],
backtest_stats: Dict[str, Any],
*args, **kwargs) -> float:
**kwargs) -> float:
"""
Objective function, returns smaller number for better results
"""

37
freqtrade/optimize/optimize_reports.py
View File

@@ -498,9 +498,12 @@ def generate_strategy_stats(pairlist: List[str],
(drawdown_abs, drawdown_start, drawdown_end, high_val, low_val,
max_drawdown) = calculate_max_drawdown(
results, value_col='profit_abs', starting_balance=start_balance)
(_, _, _, _, _, max_relative_drawdown) = calculate_max_drawdown(
results, value_col='profit_abs', starting_balance=start_balance, relative=True)
strat_stats.update({
'max_drawdown': max_drawdown_legacy, # Deprecated - do not use
'max_drawdown_account': max_drawdown,
'max_relative_drawdown': max_relative_drawdown,
'max_drawdown_abs': drawdown_abs,
'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT),
'drawdown_start_ts': drawdown_start.timestamp() * 1000,
@@ -521,6 +524,7 @@ def generate_strategy_stats(pairlist: List[str],
strat_stats.update({
'max_drawdown': 0.0,
'max_drawdown_account': 0.0,
'max_relative_drawdown': 0.0,
'max_drawdown_abs': 0.0,
'max_drawdown_low': 0.0,
'max_drawdown_high': 0.0,
@@ -729,6 +733,26 @@ def text_table_add_metrics(strat_results: Dict) -> str:
strat_results['stake_currency'])),
] if strat_results.get('trade_count_short', 0) > 0 else []
drawdown_metrics = []
if 'max_relative_drawdown' in strat_results:
# Compatibility to show old hyperopt results
drawdown_metrics.append(
('Max % of account underwater', f"{strat_results['max_relative_drawdown']:.2%}")
)
drawdown_metrics.extend([
('Absolute Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}")
if 'max_drawdown_account' in strat_results else (
'Drawdown', f"{strat_results['max_drawdown']:.2%}"),
('Absolute Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
strat_results['stake_currency'])),
('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
strat_results['stake_currency'])),
('Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
strat_results['stake_currency'])),
('Drawdown Start', strat_results['drawdown_start']),
('Drawdown End', strat_results['drawdown_end']),
])
# Newly added fields should be ignored if they are missing in strat_results. hyperopt-show
# command stores these results and newer version of freqtrade must be able to handle old
# results with missing new fields.
@@ -784,18 +808,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
('Max balance', round_coin_value(strat_results['csum_max'],
strat_results['stake_currency'])),
# Compatibility to show old hyperopt results
('Drawdown (Account)', f"{strat_results['max_drawdown_account']:.2%}")
if 'max_drawdown_account' in strat_results else (
'Drawdown', f"{strat_results['max_drawdown']:.2%}"),
('Drawdown', round_coin_value(strat_results['max_drawdown_abs'],
strat_results['stake_currency'])),
('Drawdown high', round_coin_value(strat_results['max_drawdown_high'],
strat_results['stake_currency'])),
('Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
strat_results['stake_currency'])),
('Drawdown Start', strat_results['drawdown_start']),
('Drawdown End', strat_results['drawdown_end']),
*drawdown_metrics,
('Market change', f"{strat_results['market_change']:.2%}"),
]