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Added support for max_open_trades hyperopting

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This commit is contained in:
Antonio Della Fortuna
2023-01-04 10:34:44 +01:00
parent cd4faa9c59
commit 5fd85368a9
20 changed files with 155 additions and 36 deletions
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7
freqtrade/optimize/backtesting.py
View File

@@ -920,7 +920,7 @@ class Backtesting:
trade.close(exit_row[OPEN_IDX], show_msg=False)
LocalTrade.close_bt_trade(trade)
def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
def trade_slot_available(self, max_open_trades: int | float, open_trade_count: int) -> bool:
# Always allow trades when max_open_trades is enabled.
if max_open_trades <= 0 or open_trade_count < max_open_trades:
return True
@@ -1051,7 +1051,8 @@ class Backtesting:
def backtest_loop(
self, row: Tuple, pair: str, current_time: datetime, end_date: datetime,
max_open_trades: int, open_trade_count_start: int, is_first: bool = True) -> int:
max_open_trades: int | float,
open_trade_count_start: int, is_first: bool = True) -> int:
"""
NOTE: This method is used by Hyperopt at each iteration. Please keep it optimized.
@@ -1122,7 +1123,7 @@ class Backtesting:
def backtest(self, processed: Dict,
start_date: datetime, end_date: datetime,
max_open_trades: int = 0) -> Dict[str, Any]:
max_open_trades: int | float = 0) -> Dict[str, Any]:
"""
Implement backtesting functionality

15
freqtrade/optimize/hyperopt.py
View File

@@ -74,6 +74,7 @@ class Hyperopt:
self.roi_space: List[Dimension] = []
self.stoploss_space: List[Dimension] = []
self.trailing_space: List[Dimension] = []
self.trades_space: List[Dimension] = []
self.dimensions: List[Dimension] = []
self.config = config
@@ -209,6 +210,8 @@ class Hyperopt:
result['stoploss'] = {p.name: params.get(p.name) for p in self.stoploss_space}
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}
return result
@@ -229,6 +232,8 @@ class Hyperopt:
'trailing_stop_positive_offset': strategy.trailing_stop_positive_offset,
'trailing_only_offset_is_reached': strategy.trailing_only_offset_is_reached,
}
if not HyperoptTools.has_space(self.config, 'trades'):
result['max_open_trades'] = {'max_open_trades': strategy.max_open_trades}
return result
def print_results(self, results) -> None:
@@ -280,8 +285,13 @@ class Hyperopt:
logger.debug("Hyperopt has 'trailing' space")
self.trailing_space = self.custom_hyperopt.trailing_space()
if HyperoptTools.has_space(self.config, 'trades'):
logger.debug("Hyperopt has 'trades' space")
self.trades_space = self.custom_hyperopt.trades_space()
self.dimensions = (self.buy_space + self.sell_space + self.protection_space
+ self.roi_space + self.stoploss_space + self.trailing_space)
+ self.roi_space + self.stoploss_space + self.trailing_space
+ self.trades_space)
def assign_params(self, params_dict: Dict, category: str) -> None:
"""
@@ -328,6 +338,9 @@ class Hyperopt:
self.backtesting.strategy.trailing_only_offset_is_reached = \
d['trailing_only_offset_is_reached']
if HyperoptTools.has_space(self.config, 'trades'):
self.max_open_trades = params_dict['max_open_trades']
with self.data_pickle_file.open('rb') as f:
processed = load(f, mmap_mode='r')
if self.analyze_per_epoch:

3
freqtrade/optimize/hyperopt_auto.py
View File

@@ -91,5 +91,8 @@ class HyperOptAuto(IHyperOpt):
def trailing_space(self) -> List['Dimension']:
return self._get_func('trailing_space')()
def trades_space(self) -> List['Dimension']:
return self._get_func('trades_space')()
def generate_estimator(self, dimensions: List['Dimension'], **kwargs) -> EstimatorType:
return self._get_func('generate_estimator')(dimensions=dimensions, **kwargs)

10
freqtrade/optimize/hyperopt_interface.py
View File

@@ -191,6 +191,16 @@ class IHyperOpt(ABC):
Categorical([True, False], name='trailing_only_offset_is_reached'),
]
def trades_space(self) -> List[Dimension]:
"""
Create a max open trades space.
You may override it in your custom Hyperopt class.
"""
return [
Integer(1, 10, name='max_open_trades'),
]
# This is needed for proper unpickling the class attribute timeframe
# which is set to the actual value by the resolver.
# Why do I still need such shamanic mantras in modern python?

11
freqtrade/optimize/hyperopt_tools.py
View File

@@ -96,7 +96,7 @@ class HyperoptTools():
Tell if the space value is contained in the configuration
"""
# 'trailing' and 'protection spaces are not included in the 'default' set of spaces
if space in ('trailing', 'protection'):
if space in ('trailing', 'protection', 'trades'):
return any(s in config['spaces'] for s in [space, 'all'])
else:
return any(s in config['spaces'] for s in [space, 'all', 'default'])
@@ -187,7 +187,8 @@ class HyperoptTools():
if print_json:
result_dict: Dict = {}
for s in ['buy', 'sell', 'protection', 'roi', 'stoploss', 'trailing']:
for s in ['buy', 'sell', 'protection',
'roi', 'stoploss', 'trailing', 'max_open_trades']:
HyperoptTools._params_update_for_json(result_dict, params, non_optimized, s)
print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
@@ -201,6 +202,8 @@ class HyperoptTools():
HyperoptTools._params_pretty_print(params, 'roi', "ROI table:", non_optimized)
HyperoptTools._params_pretty_print(params, 'stoploss', "Stoploss:", non_optimized)
HyperoptTools._params_pretty_print(params, 'trailing', "Trailing stop:", non_optimized)
HyperoptTools._params_pretty_print(
params, 'max_open_trades', "Max Open Trades:", non_optimized)
@staticmethod
def _params_update_for_json(result_dict, params, non_optimized, space: str) -> None:
@@ -239,7 +242,9 @@ class HyperoptTools():
if space == "stoploss":
stoploss = safe_value_fallback2(space_params, no_params, space, space)
result += (f"stoploss = {stoploss}{appendix}")
elif space == "max_open_trades":
max_open_trades = safe_value_fallback2(space_params, no_params, space, space)
result += (f"max_open_trades = {max_open_trades}{appendix}")
elif space == "roi":
result = result[:-1] + f'{appendix}\n'
minimal_roi_result = rapidjson.dumps({

2
freqtrade/optimize/optimize_reports.py
View File

@@ -190,7 +190,7 @@ def generate_tag_metrics(tag_type: str,
return []
def generate_exit_reason_stats(max_open_trades: int, results: DataFrame) -> List[Dict]:
def generate_exit_reason_stats(max_open_trades: int | float, results: DataFrame) -> List[Dict]:
"""
Generate small table outlining Backtest results
:param max_open_trades: Max_open_trades parameter