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Add protection parameter space

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This commit is contained in:
Matthias 2021-08-03 07:10:04 +02:00
parent 800b2eeaf0
commit 544e0da6c2
5 changed files with 37 additions and 8 deletions
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2
freqtrade/commands/cli_options.py
View File

@ -218,7 +218,7 @@ AVAILABLE_CLI_OPTIONS = {
"spaces": Arg(
'--spaces',
help='Specify which parameters to hyperopt. Space-separated list.',
choices=['all', 'buy', 'sell', 'roi', 'stoploss', 'trailing', 'default'],
choices=['all', 'buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection', 'default'],
nargs='+',
default='default',
),

17
freqtrade/optimize/hyperopt.py
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@ -66,6 +66,7 @@ class Hyperopt:
def __init__(self, config: Dict[str, Any]) -> None:
self.buy_space: List[Dimension] = []
self.sell_space: List[Dimension] = []
self.protection_space: List[Dimension] = []
self.roi_space: List[Dimension] = []
self.stoploss_space: List[Dimension] = []
self.trailing_space: List[Dimension] = []
@ -191,6 +192,8 @@ class Hyperopt:
result['buy'] = {p.name: params.get(p.name) for p in self.buy_space}
if HyperoptTools.has_space(self.config, 'sell'):
result['sell'] = {p.name: params.get(p.name) for p in self.sell_space}
if HyperoptTools.has_space(self.config, 'protection'):
result['protection'] = {p.name: params.get(p.name) for p in self.protection_space}
if HyperoptTools.has_space(self.config, 'roi'):
result['roi'] = {str(k): v for k, v in
self.custom_hyperopt.generate_roi_table(params).items()}
@ -241,6 +244,10 @@ class Hyperopt:
"""
Assign the dimensions in the hyperoptimization space.
"""
if self.auto_hyperopt and HyperoptTools.has_space(self.config, 'protection'):
# Protections can only be optimized when using the Parameter interface
logger.debug("Hyperopt has 'protection' space")
self.protection_space = self.custom_hyperopt.protection_space()
if HyperoptTools.has_space(self.config, 'buy'):
logger.debug("Hyperopt has 'buy' space")
@ -261,8 +268,8 @@ class Hyperopt:
if HyperoptTools.has_space(self.config, 'trailing'):
logger.debug("Hyperopt has 'trailing' space")
self.trailing_space = self.custom_hyperopt.trailing_space()
self.dimensions = (self.buy_space + self.sell_space + self.roi_space +
self.stoploss_space + self.trailing_space)
self.dimensions = (self.buy_space + self.sell_space + self.protection_space
+ self.roi_space + self.stoploss_space + self.trailing_space)
def generate_optimizer(self, raw_params: List[Any], iteration=None) -> Dict:
"""
@ -282,6 +289,12 @@ class Hyperopt:
self.backtesting.strategy.advise_sell = ( # type: ignore
self.custom_hyperopt.sell_strategy_generator(params_dict))
if HyperoptTools.has_space(self.config, 'protection'):
for attr_name, attr in self.backtesting.strategy.enumerate_parameters('protection'):
if attr.optimize:
# noinspection PyProtectedMember
attr.value = params_dict[attr_name]
if HyperoptTools.has_space(self.config, 'roi'):
self.backtesting.strategy.minimal_roi = ( # type: ignore
self.custom_hyperopt.generate_roi_table(params_dict))

3
freqtrade/optimize/hyperopt_auto.py
View File

@ -73,6 +73,9 @@ class HyperOptAuto(IHyperOpt):
def sell_indicator_space(self) -> List['Dimension']:
return self._get_indicator_space('sell', 'sell_indicator_space')
def protection_space(self) -> List['Dimension']:
return self._get_indicator_space('protection', 'indicator_space')
def generate_roi_table(self, params: Dict) -> Dict[int, float]:
return self._get_func('generate_roi_table')(params)

7
freqtrade/optimize/hyperopt_interface.py
View File

@ -57,6 +57,13 @@ class IHyperOpt(ABC):
"""
raise OperationalException(_format_exception_message('sell_strategy_generator', 'sell'))
def protection_space(self) -> List[Dimension]:
"""
Create a protection space.
Only supported by the Parameter interface.
"""
raise OperationalException(_format_exception_message('indicator_space', 'protection'))
def indicator_space(self) -> List[Dimension]:
"""
Create an indicator space.

16
freqtrade/strategy/hyper.py
View File

@ -283,6 +283,7 @@ class HyperStrategyMixin(object):
self.config = config
self.ft_buy_params: List[BaseParameter] = []
self.ft_sell_params: List[BaseParameter] = []
self.ft_protection_params: List[BaseParameter] = []
self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT)
@ -292,11 +293,11 @@ class HyperStrategyMixin(object):
:param category:
:return:
"""
if category not in ('buy', 'sell', None):
raise OperationalException('Category must be one of: "buy", "sell", None.')
if category not in ('buy', 'sell', 'protection', None):
raise OperationalException('Category must be one of: "buy", "sell", "protection", None.')
if category is None:
params = self.ft_buy_params + self.ft_sell_params
params = self.ft_buy_params + self.ft_sell_params + self.ft_protection_params
else:
params = getattr(self, f"ft_{category}_params")
@ -324,9 +325,10 @@ class HyperStrategyMixin(object):
params: Dict = {
'buy': list(cls.detect_parameters('buy')),
'sell': list(cls.detect_parameters('sell')),
'protection': list(cls.detect_parameters('protection')),
}
params.update({
'count': len(params['buy'] + params['sell'])
'count': len(params['buy'] + params['sell'] + params['protection'])
})
return params
@ -340,9 +342,12 @@ class HyperStrategyMixin(object):
self._ft_params_from_file = params
buy_params = deep_merge_dicts(params.get('buy', {}), getattr(self, 'buy_params', {}))
sell_params = deep_merge_dicts(params.get('sell', {}), getattr(self, 'sell_params', {}))
protection_params = deep_merge_dicts(params.get('protection', {}),
getattr(self, 'protection_params', {}))
self._load_params(buy_params, 'buy', hyperopt)
self._load_params(sell_params, 'sell', hyperopt)
self._load_params(protection_params, 'protection', hyperopt)
def load_params_from_file(self) -> Dict:
filename_str = getattr(self, '__file__', '')
@ -397,7 +402,8 @@ class HyperStrategyMixin(object):
"""
params = {
'buy': {},
'sell': {}
'sell': {},
'protection': {},
}
for name, p in self.enumerate_parameters():
if not p.optimize or not p.in_space: