Merge pull request #2220 from hroff-1902/hyperopt-simplified-interface

Allow simplified hyperopt interface

freqtrade/optimize/hyperopt_interface.py

@@ -11,6 +11,7 @@ from typing import Dict, Any, Callable, List
 from pandas import DataFrame
 from skopt.space import Dimension, Integer, Real
 
+from freqtrade import OperationalException
 from freqtrade.exchange import timeframe_to_minutes
 from freqtrade.misc import round_dict
 
@@ -18,6 +19,13 @@ from freqtrade.misc import round_dict
 logger = logging.getLogger(__name__)
 
 
+def _format_exception_message(method: str, space: str) -> str:
+    return (f"The '{space}' space is included into the hyperoptimization "
+            f"but {method}() method is not found in your "
+            f"custom Hyperopt class. You should either implement this "
+            f"method or remove the '{space}' space from hyperoptimization.")
+
+
 class IHyperOpt(ABC):
     """
     Interface for freqtrade hyperopts
@@ -38,32 +46,32 @@ class IHyperOpt(ABC):
         """
 
     @staticmethod
-    @abstractmethod
     def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
         """
         Create a buy strategy generator.
         """
+        raise OperationalException(_format_exception_message('buy_strategy_generator', 'buy'))
 
     @staticmethod
-    @abstractmethod
     def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
         """
         Create a sell strategy generator.
         """
+        raise OperationalException(_format_exception_message('sell_strategy_generator', 'sell'))
 
     @staticmethod
-    @abstractmethod
     def indicator_space() -> List[Dimension]:
         """
         Create an indicator space.
         """
+        raise OperationalException(_format_exception_message('indicator_space', 'buy'))
 
     @staticmethod
-    @abstractmethod
     def sell_indicator_space() -> List[Dimension]:
         """
         Create a sell indicator space.
         """
+        raise OperationalException(_format_exception_message('sell_indicator_space', 'sell'))
 
     @staticmethod
     def generate_roi_table(params: Dict) -> Dict[int, float]:

freqtrade/tests/optimize/test_hyperopt.py

@@ -694,3 +694,200 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) ->
     assert dumper.called
     # Should be called twice, once for tickerdata, once to save evaluations
     assert dumper.call_count == 2
+
+
+def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys) -> None:
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
+    mocker.patch(
+        'freqtrade.optimize.hyperopt.get_timeframe',
+        MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
+    )
+
+    parallel = mocker.patch(
+        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        MagicMock(return_value=[{
+            'loss': 1, 'results_explanation': 'foo result', 'params': {'stoploss': 0.0}}])
+    )
+    patch_exchange(mocker)
+
+    default_conf.update({'config': 'config.json.example',
+                         'epochs': 1,
+                         'timerange': None,
+                         'spaces': 'roi stoploss',
+                         'hyperopt_jobs': 1, })
+
+    hyperopt = Hyperopt(default_conf)
+    hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
+    hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
+
+    del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
+    del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
+    del hyperopt.custom_hyperopt.__class__.indicator_space
+    del hyperopt.custom_hyperopt.__class__.sell_indicator_space
+
+    hyperopt.start()
+
+    parallel.assert_called_once()
+
+    out, err = capsys.readouterr()
+    assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
+    assert dumper.called
+    # Should be called twice, once for tickerdata, once to save evaluations
+    assert dumper.call_count == 2
+    assert hasattr(hyperopt.backtesting, "advise_sell")
+    assert hasattr(hyperopt.backtesting, "advise_buy")
+    assert hasattr(hyperopt, "max_open_trades")
+    assert hyperopt.max_open_trades == default_conf['max_open_trades']
+    assert hasattr(hyperopt, "position_stacking")
+
+
+def test_simplified_interface_all_failed(mocker, default_conf, caplog, capsys) -> None:
+    mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
+    mocker.patch(
+        'freqtrade.optimize.hyperopt.get_timeframe',
+        MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
+    )
+
+    patch_exchange(mocker)
+
+    default_conf.update({'config': 'config.json.example',
+                         'epochs': 1,
+                         'timerange': None,
+                         'spaces': 'all',
+                         'hyperopt_jobs': 1, })
+
+    hyperopt = Hyperopt(default_conf)
+    hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
+    hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
+
+    del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
+    del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
+    del hyperopt.custom_hyperopt.__class__.indicator_space
+    del hyperopt.custom_hyperopt.__class__.sell_indicator_space
+
+    with pytest.raises(OperationalException, match=r"The 'buy' space is included into *"):
+        hyperopt.start()
+
+
+def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
+    mocker.patch(
+        'freqtrade.optimize.hyperopt.get_timeframe',
+        MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
+    )
+
+    parallel = mocker.patch(
+        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {}}])
+    )
+    patch_exchange(mocker)
+
+    default_conf.update({'config': 'config.json.example',
+                         'epochs': 1,
+                         'timerange': None,
+                         'spaces': 'buy',
+                         'hyperopt_jobs': 1, })
+
+    hyperopt = Hyperopt(default_conf)
+    hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
+    hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
+
+    # TODO: sell_strategy_generator() is actually not called because
+    # run_optimizer_parallel() is mocked
+    del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
+    del hyperopt.custom_hyperopt.__class__.sell_indicator_space
+
+    hyperopt.start()
+
+    parallel.assert_called_once()
+
+    out, err = capsys.readouterr()
+    assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
+    assert dumper.called
+    # Should be called twice, once for tickerdata, once to save evaluations
+    assert dumper.call_count == 2
+    assert hasattr(hyperopt.backtesting, "advise_sell")
+    assert hasattr(hyperopt.backtesting, "advise_buy")
+    assert hasattr(hyperopt, "max_open_trades")
+    assert hyperopt.max_open_trades == default_conf['max_open_trades']
+    assert hasattr(hyperopt, "position_stacking")
+
+
+def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None:
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
+    mocker.patch(
+        'freqtrade.optimize.hyperopt.get_timeframe',
+        MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
+    )
+
+    parallel = mocker.patch(
+        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {}}])
+    )
+    patch_exchange(mocker)
+
+    default_conf.update({'config': 'config.json.example',
+                         'epochs': 1,
+                         'timerange': None,
+                         'spaces': 'sell',
+                         'hyperopt_jobs': 1, })
+
+    hyperopt = Hyperopt(default_conf)
+    hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
+    hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
+
+    # TODO: buy_strategy_generator() is actually not called because
+    # run_optimizer_parallel() is mocked
+    del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
+    del hyperopt.custom_hyperopt.__class__.indicator_space
+
+    hyperopt.start()
+
+    parallel.assert_called_once()
+
+    out, err = capsys.readouterr()
+    assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
+    assert dumper.called
+    # Should be called twice, once for tickerdata, once to save evaluations
+    assert dumper.call_count == 2
+    assert hasattr(hyperopt.backtesting, "advise_sell")
+    assert hasattr(hyperopt.backtesting, "advise_buy")
+    assert hasattr(hyperopt, "max_open_trades")
+    assert hyperopt.max_open_trades == default_conf['max_open_trades']
+    assert hasattr(hyperopt, "position_stacking")
+
+
+@pytest.mark.parametrize("method,space", [
+    ('buy_strategy_generator', 'buy'),
+    ('indicator_space', 'buy'),
+    ('sell_strategy_generator', 'sell'),
+    ('sell_indicator_space', 'sell'),
+])
+def test_simplified_interface_failed(mocker, default_conf, caplog, capsys, method, space) -> None:
+    mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
+    mocker.patch(
+        'freqtrade.optimize.hyperopt.get_timeframe',
+        MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
+    )
+
+    patch_exchange(mocker)
+
+    default_conf.update({'config': 'config.json.example',
+                         'epochs': 1,
+                         'timerange': None,
+                         'spaces': space,
+                         'hyperopt_jobs': 1, })
+
+    hyperopt = Hyperopt(default_conf)
+    hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
+    hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
+
+    delattr(hyperopt.custom_hyperopt.__class__, method)
+
+    with pytest.raises(OperationalException, match=f"The '{space}' space is included into *"):
+        hyperopt.start()