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Merge pull request #5360 from freqtrade/hyperopt_protections

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Hyperopt protections and Boolean parameter
This commit is contained in:
Matthias
2021-08-07 09:42:05 +02:00
committed by GitHub
parent 66de30f042 ad0e4a8567
commit 6532aba765
19 changed files with 316 additions and 98 deletions
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2
freqtrade/commands/cli_options.py
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@@ -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',
),

3
freqtrade/configuration/deprecated_settings.py
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@@ -110,3 +110,6 @@ def process_temporary_deprecated_settings(config: Dict[str, Any]) -> None:
"Please remove 'ticker_interval' from your configuration to continue operating."
)
config['timeframe'] = config['ticker_interval']
if 'protections' in config:
logger.warning("DEPRECATED: Setting 'protections' in the configuration is deprecated.")

3
freqtrade/optimize/backtesting.py
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@@ -146,6 +146,8 @@ class Backtesting:
# since a "perfect" stoploss-sell is assumed anyway
# And the regular "stoploss" function would not apply to that case
self.strategy.order_types['stoploss_on_exchange'] = False
def _load_protections(self, strategy: IStrategy):
if self.config.get('enable_protections', False):
conf = self.config
if hasattr(strategy, 'protections'):
@@ -194,6 +196,7 @@ class Backtesting:
Trade.reset_trades()
self.rejected_trades = 0
self.dataprovider.clear_cache()
self._load_protections(self.strategy)
def check_abort(self):
"""

19
freqtrade/optimize/hyperopt.py
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@@ -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 +244,12 @@ 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")
# Enable Protections if protection space is selected.
self.config['enable_protections'] = True
self.protection_space = self.custom_hyperopt.protection_space()
if HyperoptTools.has_space(self.config, 'buy'):
logger.debug("Hyperopt has 'buy' space")
@@ -261,8 +270,8 @@ 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 +291,12 @@ 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))

3
freqtrade/optimize/hyperopt_auto.py
View File

@@ -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)

7
freqtrade/optimize/hyperopt_interface.py
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@@ -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.

8
freqtrade/optimize/hyperopt_tools.py
View File

@@ -82,8 +82,8 @@ class HyperoptTools():
"""
Tell if the space value is contained in the configuration
"""
# The 'trailing' space is not included in the 'default' set of spaces
if space == 'trailing':
# 'trailing' and 'protection spaces are not included in the 'default' set of spaces
if space in ('trailing', 'protection'):
return any(s in config['spaces'] for s in [space, 'all'])
else:
return any(s in config['spaces'] for s in [space, 'all', 'default'])
@@ -149,7 +149,7 @@ class HyperoptTools():
if print_json:
result_dict: Dict = {}
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
for s in ['buy', 'sell', 'protection', 'roi', 'stoploss', 'trailing']:
HyperoptTools._params_update_for_json(result_dict, params, non_optimized, s)
print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
@@ -158,6 +158,8 @@ class HyperoptTools():
non_optimized)
HyperoptTools._params_pretty_print(params, 'sell', "Sell hyperspace params:",
non_optimized)
HyperoptTools._params_pretty_print(params, 'protection',
"Protection hyperspace params:", non_optimized)
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)

9
freqtrade/plugins/protections/iprotection.py
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@@ -25,19 +25,22 @@ class IProtection(LoggingMixin, ABC):
def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None:
self._config = config
self._protection_config = protection_config
self._stop_duration_candles: Optional[int] = None
self._lookback_period_candles: Optional[int] = None
tf_in_min = timeframe_to_minutes(config['timeframe'])
if 'stop_duration_candles' in protection_config:
self._stop_duration_candles = protection_config.get('stop_duration_candles', 1)
self._stop_duration_candles = int(protection_config.get('stop_duration_candles', 1))
self._stop_duration = (tf_in_min * self._stop_duration_candles)
else:
self._stop_duration_candles = None
self._stop_duration = protection_config.get('stop_duration', 60)
if 'lookback_period_candles' in protection_config:
self._lookback_period_candles = protection_config.get('lookback_period_candles', 1)
self._lookback_period_candles = int(protection_config.get('lookback_period_candles', 1))
self._lookback_period = tf_in_min * self._lookback_period_candles
else:
self._lookback_period_candles = None
self._lookback_period = protection_config.get('lookback_period', 60)
self._lookback_period = int(protection_config.get('lookback_period', 60))
LoggingMixin.__init__(self, logger)

2
freqtrade/resolvers/strategy_resolver.py
View File

@@ -119,7 +119,7 @@ class StrategyResolver(IResolver):
- default (if not None)
"""
if (attribute in config
and not isinstance(getattr(type(strategy), 'my_property', None), property)):
and not isinstance(getattr(type(strategy), attribute, None), property)):
# Ensure Properties are not overwritten
setattr(strategy, attribute, config[attribute])
logger.info("Override strategy '%s' with value in config file: %s.",

4
freqtrade/strategy/__init__.py
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@@ -1,7 +1,7 @@
# flake8: noqa: F401
from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date,
timeframe_to_prev_date, timeframe_to_seconds)
from freqtrade.strategy.hyper import (CategoricalParameter, DecimalParameter, IntParameter,
RealParameter)
from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter,
IntParameter, RealParameter)
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy.strategy_helper import merge_informative_pair, stoploss_from_open

39
freqtrade/strategy/hyper.py
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@@ -270,6 +270,28 @@ class CategoricalParameter(BaseParameter):
return [self.value]
class BooleanParameter(CategoricalParameter):
def __init__(self, *, default: Optional[Any] = None,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
"""
Initialize hyperopt-optimizable Boolean Parameter.
It's a shortcut to `CategoricalParameter([True, False])`.
:param default: A default value. If not specified, first item from specified space will be
used.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
parameter field
name is prefixed with 'buy_' or 'sell_'.
:param optimize: Include parameter in hyperopt optimizations.
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Categorical.
"""
categories = [True, False]
super().__init__(categories=categories, default=default, space=space, optimize=optimize,
load=load, **kwargs)
class HyperStrategyMixin(object):
"""
A helper base class which allows HyperOptAuto class to reuse implementations of buy/sell
@@ -283,6 +305,7 @@ 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 +315,12 @@ 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 +348,10 @@ 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 +365,12 @@ 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 +425,8 @@ class HyperStrategyMixin(object):
"""
params = {
'buy': {},
'sell': {}
'sell': {},
'protection': {},
}
for name, p in self.enumerate_parameters():
if not p.optimize or not p.in_space:

4
freqtrade/templates/base_strategy.py.j2
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@@ -6,8 +6,8 @@ import numpy as np # noqa
import pandas as pd # noqa
from pandas import DataFrame
from freqtrade.strategy import IStrategy
from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter
from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter,
IStrategy, IntParameter)
# --------------------------------
# Add your lib to import here

4
freqtrade/templates/sample_strategy.py
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@@ -6,8 +6,8 @@ import numpy as np # noqa
import pandas as pd # noqa
from pandas import DataFrame
from freqtrade.strategy import IStrategy
from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter
from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter,
IStrategy, IntParameter)
# --------------------------------
# Add your lib to import here