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Merge pull request #2024 from freqtrade/custom_hyperopt_loss

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Custom hyperopt loss function (and sharpe-ratio)
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Matthias
2019-07-20 12:48:26 +02:00
committed by GitHub
parent 4d0cf9ec8e fa8904978b
commit 790838d897
14 changed files with 541 additions and 101 deletions
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docs/bot-usage.md
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@@ -199,19 +199,22 @@ to find optimal parameter values for your stategy.
```
usage: freqtrade hyperopt [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE]
[--max_open_trades MAX_OPEN_TRADES]
[--stake_amount STAKE_AMOUNT] [-r]
[--customhyperopt NAME] [--eps] [--dmmp] [-e INT]
[-s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]]
[--print-all] [-j JOBS]
[--max_open_trades INT]
[--stake_amount STAKE_AMOUNT] [-r]
[--customhyperopt NAME] [--eps] [-e INT]
[-s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]]
[--dmmp] [--print-all] [-j JOBS]
[--random-state INT] [--min-trades INT] [--continue]
[--hyperopt-loss NAME]
optional arguments:
-h, --help show this help message and exit
-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.
--max_open_trades MAX_OPEN_TRADES
--max_open_trades INT
Specify max_open_trades to use.
--stake_amount STAKE_AMOUNT
Specify stake_amount.
@@ -221,18 +224,18 @@ optional arguments:
run your optimization commands with up-to-date data.
--customhyperopt NAME
Specify hyperopt class name (default:
DefaultHyperOpts).
`DefaultHyperOpts`).
--eps, --enable-position-stacking
Allow buying the same pair multiple times (position
stacking).
-e INT, --epochs INT Specify number of epochs (default: 100).
-s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...], --spaces {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]
Specify which parameters to hyperopt. Space-separated
list. Default: `all`.
--dmmp, --disable-max-market-positions
Disable applying `max_open_trades` during backtest
(same as setting `max_open_trades` to a very high
number).
-e INT, --epochs INT Specify number of epochs (default: 100).
-s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...], --spaces {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]
Specify which parameters to hyperopt. Space separate
list. Default: all.
--print-all Print all results, not only the best ones.
-j JOBS, --job-workers JOBS
The number of concurrently running jobs for
@@ -240,6 +243,19 @@ optional arguments:
(default), all CPUs are used, for -2, all CPUs but one
are used, etc. If 1 is given, no parallel computing
code is used at all.
--random-state INT Set random state to some positive integer for
reproducible hyperopt results.
--min-trades INT Set minimal desired number of trades for evaluations
in the hyperopt optimization path (default: 1).
--continue Continue hyperopt from previous runs. By default,
temporary files will be removed and hyperopt will
start from scratch.
--hyperopt-loss NAME
Specify the class name of the hyperopt loss function
class (IHyperOptLoss). Different functions can
generate completely different results, since the
target for optimization is different. (default:
`DefaultHyperOptLoss`).
```
## Edge commands