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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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14
tests/optimize/test_hyperopt.py
View File

@@ -292,6 +292,8 @@ def test_params_no_optimize_details(hyperopt) -> None:
assert res['roi']['0'] == 0.04
assert "stoploss" in res
assert res['stoploss']['stoploss'] == -0.1
assert "max_open_trades" in res
assert res['max_open_trades']['max_open_trades'] == 1
def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
@@ -474,6 +476,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False,
'max_open_trades': 3,
}
response_expected = {
'loss': 1.9147239021396234,
@@ -499,7 +502,9 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
'trailing': {'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.07}},
'trailing_stop_positive_offset': 0.07},
'max_open_trades': {'max_open_trades': 3}
},
'params_dict': optimizer_param,
'params_not_optimized': {'buy': {}, 'protection': {}, 'sell': {}},
'results_metrics': ANY,
@@ -548,7 +553,8 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
'buy': {'mfi-value': None},
'sell': {'sell-mfi-value': None},
'roi': {}, 'stoploss': {'stoploss': None},
'trailing': {'trailing_stop': None}
'trailing': {'trailing_stop': None},
'max_open_trades': {'max_open_trades': None}
},
'results_metrics': generate_result_metrics(),
}])
@@ -571,7 +577,7 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
out, err = capsys.readouterr()
result_str = (
'{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi"'
':{},"stoploss":null,"trailing_stop":null}'
':{},"stoploss":null,"trailing_stop":null,"max_open_trades":null}'
)
assert result_str in out # noqa: E501
# Should be called for historical candle data
@@ -874,6 +880,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
assert hyperopt.backtesting.strategy.sell_rsi.value == 74
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30
assert hyperopt.max_open_trades == 1
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)
# Range from 0 - 50 (inclusive)
@@ -884,6 +891,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value != 30
assert hyperopt.backtesting.strategy.buy_rsi.value != 35
assert hyperopt.backtesting.strategy.sell_rsi.value != 74
assert hyperopt.max_open_trades != 1
hyperopt.custom_hyperopt.generate_estimator = lambda *args, **kwargs: 'ET1'
with pytest.raises(OperationalException, match="Estimator ET1 not supported."):

52
tests/optimize/test_hyperopt_tools.py
View File

@@ -66,52 +66,58 @@ def test_load_previous_results2(mocker, testdatadir, caplog) -> None:
@pytest.mark.parametrize("spaces, expected_results", [
(['buy'],
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['sell'],
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['roi'],
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['stoploss'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['trailing'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True,
'protection': False}),
'protection': False, 'trades': False}),
(['buy', 'sell', 'roi', 'stoploss'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['buy', 'sell', 'roi', 'stoploss', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
'protection': False, 'trades': False}),
(['buy', 'roi'],
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
'protection': True, 'trades': True}),
(['default'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['default', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
'protection': False, 'trades': False}),
(['all', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
'protection': True, 'trades': True}),
(['default', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
'protection': False, 'trades': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
'protection': True, 'trades': True}),
(['protection'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': True}),
'protection': True, 'trades': False}),
(['trades'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False, 'trades': True}),
(['default', 'trades'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False, 'trades': True}),
])
def test_has_space(hyperopt_conf, spaces, expected_results):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection']:
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection', 'trades']:
hyperopt_conf.update({'spaces': spaces})
assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s]
@@ -193,6 +199,9 @@ def test_export_params(tmpdir):
"346": 0.08499,
"507": 0.049,
"1595": 0
},
"max_open_trades": {
"max_open_trades": 5
}
},
"params_not_optimized": {
@@ -219,6 +228,7 @@ def test_export_params(tmpdir):
assert "roi" in content["params"]
assert "stoploss" in content["params"]
assert "trailing" in content["params"]
assert "max_open_trades" in content["params"]
def test_try_export_params(default_conf, tmpdir, caplog, mocker):
@@ -297,6 +307,9 @@ def test_params_print(capsys):
"trailing_stop_positive_offset": 0.1,
"trailing_only_offset_is_reached": True
},
"max_open_trades": {
"max_open_trades": 5
}
}
HyperoptTools._params_pretty_print(params, 'buy', 'No header', non_optimized)
@@ -327,6 +340,13 @@ def test_params_print(capsys):
assert re.search('trailing_stop_positive_offset = 0.1 # value loaded.*\n', captured.out)
assert re.search('trailing_only_offset_is_reached = True # value loaded.*\n', captured.out)
HyperoptTools._params_pretty_print(
params, 'max_open_trades', "Max Open Trades:", non_optimized)
captured = capsys.readouterr()
assert re.search("# Max Open Trades:", captured.out)
assert re.search('max_open_trades = 5 # value loaded.*\n', captured.out)
def test_hyperopt_serializer():