From 544e0da6c2c84cc918978dce0146089b011744f4 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 3 Aug 2021 07:10:04 +0200 Subject: [PATCH] Add protection parameter space --- freqtrade/commands/cli_options.py | 2 +- freqtrade/optimize/hyperopt.py | 17 +++++++++++++++-- freqtrade/optimize/hyperopt_auto.py | 3 +++ freqtrade/optimize/hyperopt_interface.py | 7 +++++++ freqtrade/strategy/hyper.py | 16 +++++++++++----- 5 files changed, 37 insertions(+), 8 deletions(-) diff --git a/freqtrade/commands/cli_options.py b/freqtrade/commands/cli_options.py index f56a2bf18..215ed3f6e 100644 --- a/freqtrade/commands/cli_options.py +++ b/freqtrade/commands/cli_options.py @@ -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', ), diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index a69e5a5a2..18ed66b4a 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -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)) diff --git a/freqtrade/optimize/hyperopt_auto.py b/freqtrade/optimize/hyperopt_auto.py index f86204406..03f7dd21e 100644 --- a/freqtrade/optimize/hyperopt_auto.py +++ b/freqtrade/optimize/hyperopt_auto.py @@ -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) diff --git a/freqtrade/optimize/hyperopt_interface.py b/freqtrade/optimize/hyperopt_interface.py index 889854cad..500798627 100644 --- a/freqtrade/optimize/hyperopt_interface.py +++ b/freqtrade/optimize/hyperopt_interface.py @@ -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. diff --git a/freqtrade/strategy/hyper.py b/freqtrade/strategy/hyper.py index b067e19d5..e143dda7e 100644 --- a/freqtrade/strategy/hyper.py +++ b/freqtrade/strategy/hyper.py @@ -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: