Merge pull request #2220 from hroff-1902/hyperopt-simplified-interface
Allow simplified hyperopt interface
This commit is contained in:
Matthias
GitHub
commit
6ff83abb61
@ -11,6 +11,7 @@ from typing import Dict, Any, Callable, List
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from pandas import DataFrame
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from skopt.space import Dimension, Integer, Real
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from freqtrade import OperationalException
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.misc import round_dict
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@ -18,6 +19,13 @@ from freqtrade.misc import round_dict
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logger = logging.getLogger(__name__)
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def _format_exception_message(method: str, space: str) -> str:
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return (f"The '{space}' space is included into the hyperoptimization "
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f"but {method}() method is not found in your "
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f"custom Hyperopt class. You should either implement this "
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f"method or remove the '{space}' space from hyperoptimization.")
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class IHyperOpt(ABC):
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"""
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Interface for freqtrade hyperopts
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@ -38,32 +46,32 @@ class IHyperOpt(ABC):
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"""
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@staticmethod
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@abstractmethod
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def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
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"""
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Create a buy strategy generator.
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"""
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raise OperationalException(_format_exception_message('buy_strategy_generator', 'buy'))
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@staticmethod
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@abstractmethod
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def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
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"""
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Create a sell strategy generator.
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"""
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raise OperationalException(_format_exception_message('sell_strategy_generator', 'sell'))
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@staticmethod
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@abstractmethod
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def indicator_space() -> List[Dimension]:
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"""
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Create an indicator space.
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"""
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raise OperationalException(_format_exception_message('indicator_space', 'buy'))
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@staticmethod
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@abstractmethod
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def sell_indicator_space() -> List[Dimension]:
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"""
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Create a sell indicator space.
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"""
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raise OperationalException(_format_exception_message('sell_indicator_space', 'sell'))
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@staticmethod
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def generate_roi_table(params: Dict) -> Dict[int, float]:
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@ -694,3 +694,200 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) ->
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assert dumper.called
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# Should be called twice, once for tickerdata, once to save evaluations
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assert dumper.call_count == 2
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def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys) -> None:
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dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
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mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
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mocker.patch(
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'freqtrade.optimize.hyperopt.get_timeframe',
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MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
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)
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parallel = mocker.patch(
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'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
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MagicMock(return_value=[{
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'loss': 1, 'results_explanation': 'foo result', 'params': {'stoploss': 0.0}}])
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)
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patch_exchange(mocker)
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default_conf.update({'config': 'config.json.example',
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'epochs': 1,
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'timerange': None,
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'spaces': 'roi stoploss',
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'hyperopt_jobs': 1, })
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hyperopt = Hyperopt(default_conf)
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hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
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hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
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del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
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del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
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del hyperopt.custom_hyperopt.__class__.indicator_space
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del hyperopt.custom_hyperopt.__class__.sell_indicator_space
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hyperopt.start()
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parallel.assert_called_once()
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out, err = capsys.readouterr()
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assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
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assert dumper.called
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# Should be called twice, once for tickerdata, once to save evaluations
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assert dumper.call_count == 2
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assert hasattr(hyperopt.backtesting, "advise_sell")
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assert hasattr(hyperopt.backtesting, "advise_buy")
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assert hasattr(hyperopt, "max_open_trades")
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assert hyperopt.max_open_trades == default_conf['max_open_trades']
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assert hasattr(hyperopt, "position_stacking")
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def test_simplified_interface_all_failed(mocker, default_conf, caplog, capsys) -> None:
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mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
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mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
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mocker.patch(
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'freqtrade.optimize.hyperopt.get_timeframe',
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MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
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)
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patch_exchange(mocker)
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default_conf.update({'config': 'config.json.example',
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'epochs': 1,
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'timerange': None,
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'spaces': 'all',
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'hyperopt_jobs': 1, })
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hyperopt = Hyperopt(default_conf)
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hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
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hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
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del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
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del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
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del hyperopt.custom_hyperopt.__class__.indicator_space
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del hyperopt.custom_hyperopt.__class__.sell_indicator_space
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with pytest.raises(OperationalException, match=r"The 'buy' space is included into *"):
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hyperopt.start()
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def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
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dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
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mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
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mocker.patch(
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'freqtrade.optimize.hyperopt.get_timeframe',
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MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
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)
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parallel = mocker.patch(
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'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
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MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {}}])
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)
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patch_exchange(mocker)
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default_conf.update({'config': 'config.json.example',
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'epochs': 1,
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'timerange': None,
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'spaces': 'buy',
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'hyperopt_jobs': 1, })
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hyperopt = Hyperopt(default_conf)
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hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
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hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
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# TODO: sell_strategy_generator() is actually not called because
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# run_optimizer_parallel() is mocked
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del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
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del hyperopt.custom_hyperopt.__class__.sell_indicator_space
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hyperopt.start()
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parallel.assert_called_once()
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out, err = capsys.readouterr()
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assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
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assert dumper.called
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# Should be called twice, once for tickerdata, once to save evaluations
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assert dumper.call_count == 2
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assert hasattr(hyperopt.backtesting, "advise_sell")
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assert hasattr(hyperopt.backtesting, "advise_buy")
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assert hasattr(hyperopt, "max_open_trades")
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assert hyperopt.max_open_trades == default_conf['max_open_trades']
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assert hasattr(hyperopt, "position_stacking")
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def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None:
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dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
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mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
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mocker.patch(
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'freqtrade.optimize.hyperopt.get_timeframe',
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MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
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)
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parallel = mocker.patch(
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'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
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MagicMock(return_value=[{'loss': 1, 'results_explanation': 'foo result', 'params': {}}])
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)
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patch_exchange(mocker)
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default_conf.update({'config': 'config.json.example',
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'epochs': 1,
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'timerange': None,
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'spaces': 'sell',
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'hyperopt_jobs': 1, })
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hyperopt = Hyperopt(default_conf)
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hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
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hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
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# TODO: buy_strategy_generator() is actually not called because
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# run_optimizer_parallel() is mocked
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del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
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del hyperopt.custom_hyperopt.__class__.indicator_space
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hyperopt.start()
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parallel.assert_called_once()
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out, err = capsys.readouterr()
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assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
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assert dumper.called
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# Should be called twice, once for tickerdata, once to save evaluations
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assert dumper.call_count == 2
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assert hasattr(hyperopt.backtesting, "advise_sell")
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assert hasattr(hyperopt.backtesting, "advise_buy")
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assert hasattr(hyperopt, "max_open_trades")
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assert hyperopt.max_open_trades == default_conf['max_open_trades']
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assert hasattr(hyperopt, "position_stacking")
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@pytest.mark.parametrize("method,space", [
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('buy_strategy_generator', 'buy'),
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('indicator_space', 'buy'),
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('sell_strategy_generator', 'sell'),
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('sell_indicator_space', 'sell'),
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])
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def test_simplified_interface_failed(mocker, default_conf, caplog, capsys, method, space) -> None:
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mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
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mocker.patch('freqtrade.optimize.hyperopt.load_data', MagicMock())
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mocker.patch(
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'freqtrade.optimize.hyperopt.get_timeframe',
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MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
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)
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patch_exchange(mocker)
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default_conf.update({'config': 'config.json.example',
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'epochs': 1,
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'timerange': None,
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'spaces': space,
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'hyperopt_jobs': 1, })
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hyperopt = Hyperopt(default_conf)
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hyperopt.backtesting.strategy.tickerdata_to_dataframe = MagicMock()
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hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
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delattr(hyperopt.custom_hyperopt.__class__, method)
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with pytest.raises(OperationalException, match=f"The '{space}' space is included into *"):
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hyperopt.start()
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