adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Added support for max_open_trades hyperopting

Browse Source
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
Download Patch File Download Diff File Expand all files Collapse all files

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."):