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Add sell signal hyperopt

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This commit is contained in:
Matthias 2019-01-06 10:16:30 +01:00
parent b731973c7a
commit 68ba1e1f37
5 changed files with 144 additions and 2 deletions
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2
freqtrade/arguments.py
View File

@ -272,7 +272,7 @@ class Arguments(object):
'-s', '--spaces',
help='Specify which parameters to hyperopt. Space separate list. \
Default: %(default)s',
choices=['all', 'buy', 'roi', 'stoploss'],
choices=['all', 'buy', 'sell', 'roi', 'stoploss'],
default='all',
nargs='+',
dest='spaces',

61
freqtrade/optimize/default_hyperopt.py
View File

@ -93,6 +93,67 @@ class DefaultHyperOpts(IHyperOpt):
Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger')
]
@staticmethod
def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the sell strategy parameters to be used by hyperopt
"""
def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Sell strategy Hyperopt will build and use
"""
# print(params)
conditions = []
# GUARDS AND TRENDS
if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']:
conditions.append(dataframe['mfi'] > params['sell-mfi-value'])
if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
conditions.append(dataframe['adx'] > params['sell-adx-value'])
if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
# TRIGGERS
if 'sell-trigger' in params:
if params['sell-trigger'] == 'sell-bb_lower':
conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
if params['sell-trigger'] == 'sell-macd_cross_signal':
conditions.append(qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal']
))
if params['sell-trigger'] == 'sell-sar_reversal':
conditions.append(qtpylib.crossed_above(
dataframe['close'], dataframe['sar']
))
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'sell'] = 1
return dataframe
return populate_sell_trend
@staticmethod
def sell_indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching sell strategy parameters
"""
return [
Integer(75, 100, name='sell-mfi-value'),
Integer(50, 100, name='sell-fastd-value'),
Integer(50, 100, name='sell-adx-value'),
Integer(60, 100, name='sell-rsi-value'),
Categorical([True, False], name='sell-mfi-enabled'),
Categorical([True, False], name='sell-fastd-enabled'),
Categorical([True, False], name='sell-adx-enabled'),
Categorical([True, False], name='sell-rsi-enabled'),
Categorical(['sell-bb_lower',
'sell-macd_cross_signal',
'sell-sar_reversal'], name='sell-trigger')
]
@staticmethod
def generate_roi_table(params: Dict) -> Dict[int, float]:
"""

8
freqtrade/optimize/hyperopt.py
View File

@ -151,6 +151,9 @@ class Hyperopt(Backtesting):
spaces: List[Dimension] = []
if self.has_space('buy'):
spaces += self.custom_hyperopt.indicator_space()
if self.has_space('sell'):
spaces += self.custom_hyperopt.sell_indicator_space()
self.config['experimental']['use_sell_signal'] = True
if self.has_space('roi'):
spaces += self.custom_hyperopt.roi_space()
if self.has_space('stoploss'):
@ -165,6 +168,9 @@ class Hyperopt(Backtesting):
if self.has_space('buy'):
self.advise_buy = self.custom_hyperopt.buy_strategy_generator(params)
if self.has_space('sell'):
self.advise_sell = self.custom_hyperopt.sell_strategy_generator(params)
if self.has_space('stoploss'):
self.strategy.stoploss = params['stoploss']
@ -247,7 +253,7 @@ class Hyperopt(Backtesting):
timerange=timerange
)
if self.has_space('buy'):
if self.has_space('buy') or self.has_space('sell'):
self.strategy.advise_indicators = \
self.custom_hyperopt.populate_indicators # type: ignore
dump(self.strategy.tickerdata_to_dataframe(data), TICKERDATA_PICKLE)

14
freqtrade/optimize/hyperopt_interface.py
View File

@ -37,6 +37,13 @@ class IHyperOpt(ABC):
Create a buy strategy generator
"""
@staticmethod
@abstractmethod
def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Create a sell strategy generator
"""
@staticmethod
@abstractmethod
def indicator_space() -> List[Dimension]:
@ -44,6 +51,13 @@ class IHyperOpt(ABC):
Create an indicator space
"""
@staticmethod
@abstractmethod
def sell_indicator_space() -> List[Dimension]:
"""
Create a sell indicator space
"""
@staticmethod
@abstractmethod
def generate_roi_table(params: Dict) -> Dict[int, float]:

61
user_data/hyperopts/sample_hyperopt.py
View File

@ -102,6 +102,67 @@ class SampleHyperOpts(IHyperOpt):
Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger')
]
@staticmethod
def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the sell strategy parameters to be used by hyperopt
"""
def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Sell strategy Hyperopt will build and use
"""
# print(params)
conditions = []
# GUARDS AND TRENDS
if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']:
conditions.append(dataframe['mfi'] > params['sell-mfi-value'])
if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
conditions.append(dataframe['adx'] > params['sell-adx-value'])
if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
# TRIGGERS
if 'sell-trigger' in params:
if params['sell-trigger'] == 'sell-bb_lower':
conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
if params['sell-trigger'] == 'sell-macd_cross_signal':
conditions.append(qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal']
))
if params['sell-trigger'] == 'sell-sar_reversal':
conditions.append(qtpylib.crossed_above(
dataframe['close'], dataframe['sar']
))
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'sell'] = 1
return dataframe
return populate_sell_trend
@staticmethod
def sell_indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching sell strategy parameters
"""
return [
Integer(75, 100, name='sell-mfi-value'),
Integer(50, 100, name='sell-fastd-value'),
Integer(50, 100, name='sell-adx-value'),
Integer(60, 100, name='sell-rsi-value'),
Categorical([True, False], name='sell-mfi-enabled'),
Categorical([True, False], name='sell-fastd-enabled'),
Categorical([True, False], name='sell-adx-enabled'),
Categorical([True, False], name='sell-rsi-enabled'),
Categorical(['sell-bb_lower',
'sell-macd_cross_signal',
'sell-sar_reversal'], name='sell-trigger')
]
@staticmethod
def generate_roi_table(params: Dict) -> Dict[int, float]:
"""