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consider making zero trades a failed hyperopt eval

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This commit is contained in:
Janne Sinivirta 2017-12-24 20:27:30 +02:00
parent 40f5a62d54
commit 5e433e9518
1 changed files with 8 additions and 10 deletions
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18
freqtrade/optimize/hyperopt.py
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@ -8,7 +8,7 @@ from functools import reduce
from math import exp
from operator import itemgetter
from hyperopt import fmin, tpe, hp, Trials, STATUS_OK
from hyperopt import fmin, tpe, hp, Trials, STATUS_OK, STATUS_FAIL
from hyperopt.mongoexp import MongoTrials
from pandas import DataFrame
import numpy as np
@ -127,6 +127,12 @@ def optimizer(params):
total_profit = results.profit_percent.sum()
trade_count = len(results.index)
if trade_count == 0:
return {
'status': STATUS_FAIL,
'loss': float('inf')
}
trade_loss = 1 - 0.35 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.2)
profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
@ -165,10 +171,6 @@ def format_results(results: DataFrame):
)
def filter_nan(result, filter_key):
return [r for r in result if not np.isnan(r[filter_key])]
def buy_strategy_generator(params):
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
@ -244,9 +246,5 @@ def start(args):
best = fmin(fn=optimizer, space=SPACE, algo=tpe.suggest, max_evals=TOTAL_TRIES, trials=trials)
logger.info('Best parameters:\n%s', json.dumps(best, indent=4))
filt_res = filter_nan(trials.results, 'total_profit')
filt_res = filter_nan(filt_res, 'avg_profit')
results = sorted(filt_res, key=itemgetter('loss'))
results = sorted(trials.results, key=itemgetter('loss'))
logger.info('Best Result:\n%s', results[0]['result'])