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Merge pull request #1615 from freqtrade/fix/hyperopt_peram

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Update documentation for --customhyperopt
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Misagh 2019-03-05 09:40:05 +01:00 committed by GitHub
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39
README.md
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@ -68,39 +68,38 @@ For any other type of installation please refer to [Installation doc](https://ww
### Bot commands ### Bot commands
``` ```
usage: main.py [-h] [-v] [--version] [-c PATH] [-d PATH] [-s NAME] usage: freqtrade [-h] [-v] [--version] [-c PATH] [-d PATH] [-s NAME]
[--strategy-path PATH] [--customhyperopt NAME] [--strategy-path PATH] [--dynamic-whitelist [INT]]
[--dynamic-whitelist [INT]] [--db-url PATH] [--db-url PATH]
{backtesting,edge,hyperopt} ... {backtesting,edge,hyperopt} ...
Free, open source crypto trading bot Free, open source crypto trading bot
positional arguments: positional arguments:
{backtesting,edge,hyperopt} {backtesting,edge,hyperopt}
backtesting backtesting module backtesting Backtesting module.
edge edge module edge Edge module.
hyperopt hyperopt module hyperopt Hyperopt module.
optional arguments: optional arguments:
-h, --help show this help message and exit -h, --help show this help message and exit
-v, --verbose verbose mode (-vv for more, -vvv to get all messages) -v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
--version show program\'s version number and exit --version show program's version number and exit
-c PATH, --config PATH -c PATH, --config PATH
specify configuration file (default: config.json) Specify configuration file (default: None). Multiple
--config options may be used.
-d PATH, --datadir PATH -d PATH, --datadir PATH
path to backtest data Path to backtest data.
-s NAME, --strategy NAME -s NAME, --strategy NAME
specify strategy class name (default: DefaultStrategy) Specify strategy class name (default:
--strategy-path PATH specify additional strategy lookup path DefaultStrategy).
--customhyperopt NAME --strategy-path PATH Specify additional strategy lookup path.
specify hyperopt class name (default:
DefaultHyperOpts)
--dynamic-whitelist [INT] --dynamic-whitelist [INT]
dynamically generate and update whitelist based on 24h Dynamically generate and update whitelist based on 24h
BaseVolume (default: 20) DEPRECATED. BaseVolume (default: 20). DEPRECATED.
--db-url PATH Override trades database URL, this is useful if --db-url PATH Override trades database URL, this is useful if
dry_run is enabled or in custom deployments (default: dry_run is enabled or in custom deployments (default:
None) None).
``` ```
### Telegram RPC commands ### Telegram RPC commands
@ -195,4 +194,4 @@ To run this bot we recommend you a cloud instance with a minimum of:
- [git](https://git-scm.com/book/en/v2/Getting-Started-Installing-Git) - [git](https://git-scm.com/book/en/v2/Getting-Started-Installing-Git)
- [TA-Lib](https://mrjbq7.github.io/ta-lib/install.html) - [TA-Lib](https://mrjbq7.github.io/ta-lib/install.html)
- [virtualenv](https://virtualenv.pypa.io/en/stable/installation/) (Recommended) - [virtualenv](https://virtualenv.pypa.io/en/stable/installation/) (Recommended)
- [Docker](https://www.docker.com/products/docker) (Recommended) - [Docker](https://www.docker.com/products/docker) (Recommended)

101
docs/bot-usage.md
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@ -6,39 +6,39 @@ This page explains the different parameters of the bot and how to run it.
## Bot commands ## Bot commands
``` ```
usage: main.py [-h] [-v] [--version] [-c PATH] [-d PATH] [-s NAME] usage: freqtrade [-h] [-v] [--version] [-c PATH] [-d PATH] [-s NAME]
[--strategy-path PATH] [--customhyperopt NAME] [--strategy-path PATH] [--dynamic-whitelist [INT]]
[--dynamic-whitelist [INT]] [--db-url PATH] [--db-url PATH]
{backtesting,edge,hyperopt} ... {backtesting,edge,hyperopt} ...
Free, open source crypto trading bot Free, open source crypto trading bot
positional arguments: positional arguments:
{backtesting,edge,hyperopt} {backtesting,edge,hyperopt}
backtesting backtesting module backtesting Backtesting module.
edge edge module edge Edge module.
hyperopt hyperopt module hyperopt Hyperopt module.
optional arguments: optional arguments:
-h, --help show this help message and exit -h, --help show this help message and exit
-v, --verbose verbose mode (-vv for more, -vvv to get all messages) -v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
--version show program\'s version number and exit --version show program's version number and exit
-c PATH, --config PATH -c PATH, --config PATH
specify configuration file (default: config.json) Specify configuration file (default: None). Multiple
--config options may be used.
-d PATH, --datadir PATH -d PATH, --datadir PATH
path to backtest data Path to backtest data.
-s NAME, --strategy NAME -s NAME, --strategy NAME
specify strategy class name (default: DefaultStrategy) Specify strategy class name (default:
--strategy-path PATH specify additional strategy lookup path DefaultStrategy).
--customhyperopt NAME --strategy-path PATH Specify additional strategy lookup path.
specify hyperopt class name (default:
DefaultHyperOpts)
--dynamic-whitelist [INT] --dynamic-whitelist [INT]
dynamically generate and update whitelist based on 24h Dynamically generate and update whitelist based on 24h
BaseVolume (default: 20) DEPRECATED. BaseVolume (default: 20). DEPRECATED.
--db-url PATH Override trades database URL, this is useful if --db-url PATH Override trades database URL, this is useful if
dry_run is enabled or in custom deployments (default: dry_run is enabled or in custom deployments (default:
None) None).
``` ```
### How to use a different configuration file? ### How to use a different configuration file?
@ -159,27 +159,27 @@ python3 ./freqtrade/main.py -c config.json --db-url sqlite:///tradesv3.dry_run.s
Backtesting also uses the config specified via `-c/--config`. Backtesting also uses the config specified via `-c/--config`.
``` ```
usage: main.py backtesting [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE] usage: freqtrade backtesting [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE]
[--eps] [--dmmp] [-l] [-r] [--eps] [--dmmp] [-l] [-r]
[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]] [--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
[--export EXPORT] [--export-filename PATH] [--export EXPORT] [--export-filename PATH]
optional arguments: optional arguments:
-h, --help show this help message and exit -h, --help show this help message and exit
-i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
specify ticker interval (1m, 5m, 30m, 1h, 1d) Specify ticker interval (1m, 5m, 30m, 1h, 1d).
--timerange TIMERANGE --timerange TIMERANGE
specify what timerange of data to use. Specify what timerange of data to use.
--eps, --enable-position-stacking --eps, --enable-position-stacking
Allow buying the same pair multiple times (position Allow buying the same pair multiple times (position
stacking) stacking).
--dmmp, --disable-max-market-positions --dmmp, --disable-max-market-positions
Disable applying `max_open_trades` during backtest Disable applying `max_open_trades` during backtest
(same as setting `max_open_trades` to a very high (same as setting `max_open_trades` to a very high
number) number).
-l, --live using live data -l, --live Use live data.
-r, --refresh-pairs-cached -r, --refresh-pairs-cached
refresh the pairs files in tests/testdata with the Refresh the pairs files in tests/testdata with the
latest data from the exchange. Use it if you want to latest data from the exchange. Use it if you want to
run your backtesting with up-to-date data. run your backtesting with up-to-date data.
--strategy-list STRATEGY_LIST [STRATEGY_LIST ...] --strategy-list STRATEGY_LIST [STRATEGY_LIST ...]
@ -189,7 +189,7 @@ optional arguments:
this together with --export trades, the strategy-name this together with --export trades, the strategy-name
is injected into the filename (so backtest-data.json is injected into the filename (so backtest-data.json
becomes backtest-data-DefaultStrategy.json becomes backtest-data-DefaultStrategy.json
--export EXPORT export backtest results, argument are: trades Example --export EXPORT Export backtest results, argument are: trades. Example
--export=trades --export=trades
--export-filename PATH --export-filename PATH
Save backtest results to this filename requires Save backtest results to this filename requires
@ -219,29 +219,30 @@ To optimize your strategy, you can use hyperopt parameter hyperoptimization
to find optimal parameter values for your stategy. to find optimal parameter values for your stategy.
``` ```
usage: freqtrade hyperopt [-h] [-i TICKER_INTERVAL] [--eps] [--dmmp] usage: freqtrade hyperopt [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE]
[--timerange TIMERANGE] [-e INT] [--customhyperopt NAME] [--eps] [--dmmp] [-e INT]
[-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]] [-s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]]
optional arguments: optional arguments:
-h, --help show this help message and exit -h, --help show this help message and exit
-i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
specify ticker interval (1m, 5m, 30m, 1h, 1d) Specify ticker interval (1m, 5m, 30m, 1h, 1d).
--timerange TIMERANGE
Specify what timerange of data to use.
--customhyperopt NAME
Specify hyperopt class name (default:
DefaultHyperOpts).
--eps, --enable-position-stacking --eps, --enable-position-stacking
Allow buying the same pair multiple times (position Allow buying the same pair multiple times (position
stacking) stacking).
--dmmp, --disable-max-market-positions --dmmp, --disable-max-market-positions
Disable applying `max_open_trades` during backtest Disable applying `max_open_trades` during backtest
(same as setting `max_open_trades` to a very high (same as setting `max_open_trades` to a very high
number) number).
--timerange TIMERANGE -e INT, --epochs INT Specify number of epochs (default: 100).
specify what timerange of data to use. -s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...], --spaces {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]
--hyperopt PATH specify hyperopt file (default:
freqtrade/optimize/default_hyperopt.py)
-e INT, --epochs INT specify number of epochs (default: 100)
-s {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...], --spaces {all,buy,roi,stoploss} [{all,buy,roi,stoploss} ...]
Specify which parameters to hyperopt. Space separate Specify which parameters to hyperopt. Space separate
list. Default: all list. Default: all.
``` ```
@ -250,22 +251,22 @@ optional arguments:
To know your trade expectacny and winrate against historical data, you can use Edge. To know your trade expectacny and winrate against historical data, you can use Edge.
``` ```
usage: main.py edge [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE] [-r] usage: freqtrade edge [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE] [-r]
[--stoplosses STOPLOSS_RANGE] [--stoplosses STOPLOSS_RANGE]
optional arguments: optional arguments:
-h, --help show this help message and exit -h, --help show this help message and exit
-i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL -i TICKER_INTERVAL, --ticker-interval TICKER_INTERVAL
specify ticker interval (1m, 5m, 30m, 1h, 1d) Specify ticker interval (1m, 5m, 30m, 1h, 1d).
--timerange TIMERANGE --timerange TIMERANGE
specify what timerange of data to use. Specify what timerange of data to use.
-r, --refresh-pairs-cached -r, --refresh-pairs-cached
refresh the pairs files in tests/testdata with the Refresh the pairs files in tests/testdata with the
latest data from the exchange. Use it if you want to latest data from the exchange. Use it if you want to
run your edge with up-to-date data. run your edge with up-to-date data.
--stoplosses STOPLOSS_RANGE --stoplosses STOPLOSS_RANGE
defines a range of stoploss against which edge will Defines a range of stoploss against which edge will
assess the strategythe format is "min,max,step" assess the strategy the format is "min,max,step"
(without any space).example: (without any space).example:
--stoplosses=-0.01,-0.1,-0.001 --stoplosses=-0.01,-0.1,-0.001
``` ```

11
docs/hyperopt.md
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@ -152,7 +152,7 @@ Because hyperopt tries a lot of combinations to find the best parameters it will
We strongly recommend to use `screen` or `tmux` to prevent any connection loss. We strongly recommend to use `screen` or `tmux` to prevent any connection loss.
```bash ```bash
python3 ./freqtrade/main.py --hyperopt <hyperoptname> -c config.json hyperopt -e 5000 --spaces all python3 ./freqtrade/main.py -c config.json hyperopt --customhyperopt <hyperoptname> -e 5000 --spaces all
``` ```
Use `<hyperoptname>` as the name of the custom hyperopt used. Use `<hyperoptname>` as the name of the custom hyperopt used.
@ -285,8 +285,13 @@ This would translate to the following ROI table:
### Validate backtest result ### Validate backtest result
Once the optimized strategy has been implemented into your strategy, you should backtest this strategy to make sure everything is working as expected. Once the optimized strategy has been implemented into your strategy, you should backtest this strategy to make sure everything is working as expected.
To archive the same results (number of trades, ...) than during hyperopt, please use the command line flag `--disable-max-market-positions`. To archive the same results (number of trades, ...) than during hyperopt, please use the command line flags `--disable-max-market-positions` and `--enable-position-stacking` for backtesting.
This setting is the default for hyperopt for speed reasons. You can overwrite this in the configuration by setting `"position_stacking"=false` or by changing the relevant line in your hyperopt file [here](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/optimize/hyperopt.py#L283).
This configuration is the default in hyperopt for performance reasons.
You can overwrite position stacking in the configuration by explicitly setting `"position_stacking"=false` or by changing the relevant line in your hyperopt file [here](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/optimize/hyperopt.py#L191).
Enabling the market-position for hyperopt is currently not possible.
!!! Note: !!! Note:
Dry/live runs will **NOT** use position stacking - therefore it does make sense to also validate the strategy without this as it's closer to reality. Dry/live runs will **NOT** use position stacking - therefore it does make sense to also validate the strategy without this as it's closer to reality.

16
freqtrade/arguments.py
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@ -108,14 +108,6 @@ class Arguments(object):
type=str, type=str,
metavar='PATH', metavar='PATH',
) )
self.parser.add_argument(
'--customhyperopt',
help='Specify hyperopt class name (default: %(default)s).',
dest='hyperopt',
default=constants.DEFAULT_HYPEROPT,
type=str,
metavar='NAME',
)
self.parser.add_argument( self.parser.add_argument(
'--dynamic-whitelist', '--dynamic-whitelist',
help='Dynamically generate and update whitelist' help='Dynamically generate and update whitelist'
@ -248,6 +240,14 @@ class Arguments(object):
""" """
Parses given arguments for Hyperopt scripts. Parses given arguments for Hyperopt scripts.
""" """
parser.add_argument(
'--customhyperopt',
help='Specify hyperopt class name (default: %(default)s).',
dest='hyperopt',
default=constants.DEFAULT_HYPEROPT,
type=str,
metavar='NAME',
)
parser.add_argument( parser.add_argument(
'--eps', '--enable-position-stacking', '--eps', '--enable-position-stacking',
help='Allow buying the same pair multiple times (position stacking).', help='Allow buying the same pair multiple times (position stacking).',

8
freqtrade/configuration.py
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@ -67,9 +67,6 @@ class Configuration(object):
if self.args.strategy_path: if self.args.strategy_path:
config.update({'strategy_path': self.args.strategy_path}) config.update({'strategy_path': self.args.strategy_path})
# Add the hyperopt file to use
config.update({'hyperopt': self.args.hyperopt})
# Load Common configuration # Load Common configuration
config = self._load_common_config(config) config = self._load_common_config(config)
@ -276,6 +273,11 @@ class Configuration(object):
Extract information for sys.argv and load Hyperopt configuration Extract information for sys.argv and load Hyperopt configuration
:return: configuration as dictionary :return: configuration as dictionary
""" """
if "hyperopt" in self.args:
# Add the hyperopt file to use
config.update({'hyperopt': self.args.hyperopt})
# If --epochs is used we add it to the configuration # If --epochs is used we add it to the configuration
if 'epochs' in self.args and self.args.epochs: if 'epochs' in self.args and self.args.epochs:
config.update({'epochs': self.args.epochs}) config.update({'epochs': self.args.epochs})