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Use backtesting output for hyperopt results

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This commit is contained in:
Matthias
2021-04-28 22:33:58 +02:00
parent 545cba7fd8
commit 6aaaad29d7
2 changed files with 61 additions and 48 deletions
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68
freqtrade/optimize/hyperopt.py
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@@ -8,7 +8,7 @@ import locale
import logging
import random
import warnings
from datetime import datetime
from datetime import datetime, timezone
from math import ceil
from operator import itemgetter
from pathlib import Path
@@ -30,6 +30,8 @@ from freqtrade.optimize.hyperopt_auto import HyperOptAuto
from freqtrade.optimize.hyperopt_interface import IHyperOpt # noqa: F401
from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F401
from freqtrade.optimize.hyperopt_tools import HyperoptTools
from freqtrade.optimize.optimize_reports import generate_strategy_stats
from freqtrade.persistence.pairlock_middleware import PairLocks
from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver, HyperOptResolver
from freqtrade.strategy import IStrategy
@@ -79,9 +81,8 @@ class Hyperopt:
self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
strategy = str(self.config['strategy'])
self.results_file = (self.config['user_data_dir'] /
'hyperopt_results' /
f'strategy_{strategy}_hyperopt_results_{time_now}.pickle')
self.results_file: Path = (self.config['user_data_dir'] / 'hyperopt_results' /
f'strategy_{strategy}_hyperopt_results_{time_now}.pickle')
self.data_pickle_file = (self.config['user_data_dir'] /
'hyperopt_results' / 'hyperopt_tickerdata.pkl')
self.total_epochs = config.get('epochs', 0)
@@ -246,6 +247,7 @@ class Hyperopt:
Used Optimize function. Called once per epoch to optimize whatever is configured.
Keep this function as optimized as possible!
"""
backtest_start_time = datetime.now(timezone.utc)
params_dict = self._get_params_dict(raw_params)
params_details = self._get_params_details(params_dict)
@@ -284,19 +286,31 @@ class Hyperopt:
max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking,
enable_protections=self.config.get('enable_protections', False),
)
return self._get_results_dict(backtesting_results, min_date, max_date,
backtest_end_time = datetime.now(timezone.utc)
bt_result = {
'results': backtesting_results,
'config': self.backtesting.strategy.config,
'locks': PairLocks.get_all_locks(),
'final_balance': self.backtesting.wallets.get_total(
self.backtesting.strategy.config['stake_currency']),
'backtest_start_time': int(backtest_start_time.timestamp()),
'backtest_end_time': int(backtest_end_time.timestamp()),
}
return self._get_results_dict(bt_result, min_date, max_date,
params_dict, params_details,
processed=processed)
def _get_results_dict(self, backtesting_results, min_date, max_date,
params_dict, params_details, processed: Dict[str, DataFrame]):
results_metrics = self._calculate_results_metrics(backtesting_results)
results_explanation = self._format_results_explanation_string(results_metrics)
trade_count = results_metrics['trade_count']
total_profit = results_metrics['total_profit']
strat_stats = generate_strategy_stats(processed, '', backtesting_results,
min_date, max_date, market_change=0)
results_explanation = self._format_results_explanation_string(strat_stats)
trade_count = strat_stats['total_trades']
total_profit = strat_stats['profit_total']
# If this evaluation contains too short amount of trades to be
# interesting -- consider it as 'bad' (assigned max. loss value)
@@ -304,48 +318,32 @@ class Hyperopt:
# path. We do not want to optimize 'hodl' strategies.
loss: float = MAX_LOSS
if trade_count >= self.config['hyperopt_min_trades']:
loss = self.calculate_loss(results=backtesting_results, trade_count=trade_count,
loss = self.calculate_loss(results=backtesting_results['results'],
trade_count=trade_count,
min_date=min_date.datetime, max_date=max_date.datetime,
config=self.config, processed=processed)
return {
'loss': loss,
'params_dict': params_dict,
'params_details': params_details,
'results_metrics': results_metrics,
'results_metrics': strat_stats,
'results_explanation': results_explanation,
'total_profit': total_profit,
}
def _calculate_results_metrics(self, backtesting_results: DataFrame) -> Dict:
wins = len(backtesting_results[backtesting_results['profit_ratio'] > 0])
draws = len(backtesting_results[backtesting_results['profit_ratio'] == 0])
losses = len(backtesting_results[backtesting_results['profit_ratio'] < 0])
return {
'trade_count': len(backtesting_results.index),
'wins': wins,
'draws': draws,
'losses': losses,
'winsdrawslosses': f"{wins:>4} {draws:>4} {losses:>4}",
'avg_profit': backtesting_results['profit_ratio'].mean() * 100.0,
'median_profit': backtesting_results['profit_ratio'].median() * 100.0,
'total_profit': backtesting_results['profit_abs'].sum(),
'profit': backtesting_results['profit_ratio'].sum() * 100.0,
'duration': backtesting_results['trade_duration'].mean(),
}
def _format_results_explanation_string(self, results_metrics: Dict) -> str:
"""
Return the formatted results explanation in a string
"""
stake_cur = self.config['stake_currency']
return (f"{results_metrics['trade_count']:6d} trades. "
return (f"{results_metrics['total_trades']:6d} trades. "
f"{results_metrics['wins']}/{results_metrics['draws']}"
f"/{results_metrics['losses']} Wins/Draws/Losses. "
f"Avg profit {results_metrics['avg_profit']: 6.2f}%. "
f"Median profit {results_metrics['median_profit']: 6.2f}%. "
f"Total profit {results_metrics['total_profit']: 11.8f} {stake_cur} "
f"({results_metrics['profit']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). "
f"Avg duration {results_metrics['duration']:5.1f} min."
f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. "
f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. "
f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_cur} "
f"({results_metrics['profit_total']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). "
f"Avg duration {results_metrics['holding_avg']} min."
).encode(locale.getpreferredencoding(), 'replace').decode('utf-8')
def get_optimizer(self, dimensions: List[Dimension], cpu_count) -> Optimizer: