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Merge pull request #7258 from freqtrade/feat/hyp_optinal_indicator

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Add flag to move hyperopt populate_indicators to epoch
This commit is contained in:
Matthias
2022-08-27 09:21:16 +02:00
committed by GitHub
parent 2b70c3d0c0 c3e74e6e8d
commit 6686489c06
10 changed files with 105 additions and 22 deletions
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2
freqtrade/commands/arguments.py
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@@ -34,7 +34,7 @@ ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
"print_colorized", "print_json", "hyperopt_jobs",
"hyperopt_random_state", "hyperopt_min_trades",
"hyperopt_loss", "disableparamexport",
"hyperopt_ignore_missing_space"]
"hyperopt_ignore_missing_space", "analyze_per_epoch"]
ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]

7
freqtrade/commands/cli_options.py
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@@ -255,6 +255,13 @@ AVAILABLE_CLI_OPTIONS = {
nargs='+',
default='default',
),
"analyze_per_epoch": Arg(
'--analyze-per-epoch',
help='Run populate_indicators once per epoch.',
action='store_true',
default=False,
),
"print_all": Arg(
'--print-all',
help='Print all results, not only the best ones.',

3
freqtrade/configuration/configuration.py
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@@ -302,6 +302,9 @@ class Configuration:
self._args_to_config(config, argname='spaces',
logstring='Parameter -s/--spaces detected: {}')
self._args_to_config(config, argname='analyze_per_epoch',
logstring='Parameter --analyze-per-epoch detected.')
self._args_to_config(config, argname='print_all',
logstring='Parameter --print-all detected ...')

1
freqtrade/enums/__init__.py
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@@ -3,6 +3,7 @@ from freqtrade.enums.backteststate import BacktestState
from freqtrade.enums.candletype import CandleType
from freqtrade.enums.exitchecktuple import ExitCheckTuple
from freqtrade.enums.exittype import ExitType
from freqtrade.enums.hyperoptstate import HyperoptState
from freqtrade.enums.marginmode import MarginMode
from freqtrade.enums.ordertypevalue import OrderTypeValues
from freqtrade.enums.rpcmessagetype import RPCMessageType

12
freqtrade/enums/hyperoptstate.py Normal file
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@@ -0,0 +1,12 @@
from enum import Enum
class HyperoptState(Enum):
""" Hyperopt states """
STARTUP = 1
DATALOAD = 2
INDICATORS = 3
OPTIMIZE = 4
def __str__(self):
return f"{self.name.lower()}"

46
freqtrade/optimize/hyperopt.py
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@@ -24,13 +24,15 @@ from pandas import DataFrame
from freqtrade.constants import DATETIME_PRINT_FORMAT, FTHYPT_FILEVERSION, LAST_BT_RESULT_FN
from freqtrade.data.converter import trim_dataframes
from freqtrade.data.history import get_timerange
from freqtrade.enums import HyperoptState
from freqtrade.exceptions import OperationalException
from freqtrade.misc import deep_merge_dicts, file_dump_json, plural
from freqtrade.optimize.backtesting import Backtesting
# Import IHyperOpt and IHyperOptLoss to allow unpickling classes from these modules
from freqtrade.optimize.hyperopt_auto import HyperOptAuto
from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss
from freqtrade.optimize.hyperopt_tools import HyperoptTools, hyperopt_serializer
from freqtrade.optimize.hyperopt_tools import (HyperoptStateContainer, HyperoptTools,
hyperopt_serializer)
from freqtrade.optimize.optimize_reports import generate_strategy_stats
from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver
@@ -74,10 +76,14 @@ class Hyperopt:
self.dimensions: List[Dimension] = []
self.config = config
self.min_date: datetime
self.max_date: datetime
self.backtesting = Backtesting(self.config)
self.pairlist = self.backtesting.pairlists.whitelist
self.custom_hyperopt: HyperOptAuto
self.analyze_per_epoch = self.config.get('analyze_per_epoch', False)
HyperoptStateContainer.set_state(HyperoptState.STARTUP)
if not self.config.get('hyperopt'):
self.custom_hyperopt = HyperOptAuto(self.config)
@@ -290,6 +296,7 @@ class Hyperopt:
Called once per epoch to optimize whatever is configured.
Keep this function as optimized as possible!
"""
HyperoptStateContainer.set_state(HyperoptState.OPTIMIZE)
backtest_start_time = datetime.now(timezone.utc)
params_dict = self._get_params_dict(self.dimensions, raw_params)
@@ -321,6 +328,10 @@ class Hyperopt:
with self.data_pickle_file.open('rb') as f:
processed = load(f, mmap_mode='r')
if self.analyze_per_epoch:
# Data is not yet analyzed, rerun populate_indicators.
processed = self.advise_and_trim(processed)
bt_results = self.backtesting.backtest(
processed=processed,
start_date=self.min_date,
@@ -406,22 +417,33 @@ class Hyperopt:
def _set_random_state(self, random_state: Optional[int]) -> int:
return random_state or random.randint(1, 2**16 - 1)
def prepare_hyperopt_data(self) -> None:
data, timerange = self.backtesting.load_bt_data()
self.backtesting.load_bt_data_detail()
logger.info("Dataload complete. Calculating indicators")
def advise_and_trim(self, data: Dict[str, DataFrame]) -> Dict[str, DataFrame]:
preprocessed = self.backtesting.strategy.advise_all_indicators(data)
# Trim startup period from analyzed dataframe to get correct dates for output.
processed = trim_dataframes(preprocessed, timerange, self.backtesting.required_startup)
processed = trim_dataframes(preprocessed, self.timerange, self.backtesting.required_startup)
self.min_date, self.max_date = get_timerange(processed)
return processed
logger.info(f'Hyperopting with data from {self.min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {self.max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(self.max_date - self.min_date).days} days)..')
# Store non-trimmed data - will be trimmed after signal generation.
dump(preprocessed, self.data_pickle_file)
def prepare_hyperopt_data(self) -> None:
HyperoptStateContainer.set_state(HyperoptState.DATALOAD)
data, self.timerange = self.backtesting.load_bt_data()
self.backtesting.load_bt_data_detail()
logger.info("Dataload complete. Calculating indicators")
if not self.analyze_per_epoch:
HyperoptStateContainer.set_state(HyperoptState.INDICATORS)
preprocessed = self.advise_and_trim(data)
logger.info(f'Hyperopting with data from '
f'{self.min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {self.max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(self.max_date - self.min_date).days} days)..')
# Store non-trimmed data - will be trimmed after signal generation.
dump(preprocessed, self.data_pickle_file)
else:
dump(data, self.data_pickle_file)
def get_asked_points(self, n_points: int) -> Tuple[List[List[Any]], List[bool]]:
"""

10
freqtrade/optimize/hyperopt_tools.py
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@@ -13,6 +13,7 @@ from colorama import Fore, Style
from pandas import isna, json_normalize
from freqtrade.constants import FTHYPT_FILEVERSION, USERPATH_STRATEGIES
from freqtrade.enums import HyperoptState
from freqtrade.exceptions import OperationalException
from freqtrade.misc import deep_merge_dicts, round_coin_value, round_dict, safe_value_fallback2
from freqtrade.optimize.hyperopt_epoch_filters import hyperopt_filter_epochs
@@ -32,6 +33,15 @@ def hyperopt_serializer(x):
return str(x)
class HyperoptStateContainer():
""" Singleton class to track state of hyperopt"""
state: HyperoptState = HyperoptState.OPTIMIZE
@classmethod
def set_state(cls, value: HyperoptState):
cls.state = value
class HyperoptTools():
@staticmethod

16
freqtrade/strategy/parameters.py
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@@ -7,6 +7,9 @@ from abc import ABC, abstractmethod
from contextlib import suppress
from typing import Any, Optional, Sequence, Union
from freqtrade.enums.hyperoptstate import HyperoptState
from freqtrade.optimize.hyperopt_tools import HyperoptStateContainer
with suppress(ImportError):
from skopt.space import Integer, Real, Categorical
@@ -57,6 +60,13 @@ class BaseParameter(ABC):
Get-space - will be used by Hyperopt to get the hyperopt Space
"""
def can_optimize(self):
return (
self.in_space
and self.optimize
and HyperoptStateContainer.state != HyperoptState.OPTIMIZE
)
class NumericParameter(BaseParameter):
""" Internal parameter used for Numeric purposes """
@@ -133,7 +143,7 @@ class IntParameter(NumericParameter):
Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
calculating 100ds of indicators.
"""
if self.in_space and self.optimize:
if self.can_optimize():
# Scikit-optimize ranges are "inclusive", while python's "range" is exclusive
return range(self.low, self.high + 1)
else:
@@ -212,7 +222,7 @@ class DecimalParameter(NumericParameter):
Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
calculating 100ds of indicators.
"""
if self.in_space and self.optimize:
if self.can_optimize():
low = int(self.low * pow(10, self._decimals))
high = int(self.high * pow(10, self._decimals)) + 1
return [round(n * pow(0.1, self._decimals), self._decimals) for n in range(low, high)]
@@ -261,7 +271,7 @@ class CategoricalParameter(BaseParameter):
Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid
calculating 100ds of indicators.
"""
if self.in_space and self.optimize:
if self.can_optimize():
return self.opt_range
else:
return [self.value]