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Merge pull request #2024 from freqtrade/custom_hyperopt_loss

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Custom hyperopt loss function (and sharpe-ratio)
This commit is contained in:
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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136
freqtrade/tests/optimize/test_hyperopt.py
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@@ -2,20 +2,25 @@
import os
from datetime import datetime
from unittest.mock import MagicMock
from filelock import Timeout
import pandas as pd
import pytest
from arrow import Arrow
from filelock import Timeout
from freqtrade import DependencyException
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.data.history import load_tickerdata_file
from freqtrade.optimize.default_hyperopt import DefaultHyperOpts
from freqtrade.optimize.hyperopt import Hyperopt, HYPEROPT_LOCKFILE
from freqtrade.optimize import setup_configuration, start_hyperopt
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver
from freqtrade.optimize.default_hyperopt import DefaultHyperOpts
from freqtrade.optimize.default_hyperopt_loss import DefaultHyperOptLoss
from freqtrade.optimize.hyperopt import (HYPEROPT_LOCKFILE, TICKERDATA_PICKLE,
Hyperopt)
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver, HyperOptLossResolver
from freqtrade.state import RunMode
from freqtrade.tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
from freqtrade.strategy.interface import SellType
from freqtrade.tests.conftest import (get_args, log_has, log_has_re,
patch_exchange,
patched_configuration_load_config_file)
@@ -25,6 +30,21 @@ def hyperopt(default_conf, mocker):
return Hyperopt(default_conf)
@pytest.fixture(scope='function')
def hyperopt_results():
return pd.DataFrame(
{
'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
'profit_percent': [0.1, 0.2, 0.3],
'profit_abs': [0.2, 0.4, 0.5],
'trade_duration': [10, 30, 10],
'profit': [2, 0, 0],
'loss': [0, 0, 1],
'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS]
}
)
# Functions for recurrent object patching
def create_trials(mocker, hyperopt) -> None:
"""
@@ -166,6 +186,18 @@ def test_hyperoptresolver(mocker, default_conf, caplog) -> None:
assert hasattr(x, "ticker_interval")
def test_hyperoptlossresolver(mocker, default_conf, caplog) -> None:
hl = DefaultHyperOptLoss
mocker.patch(
'freqtrade.resolvers.hyperopt_resolver.HyperOptLossResolver._load_hyperoptloss',
MagicMock(return_value=hl)
)
x = HyperOptResolver(default_conf, ).hyperopt
assert hasattr(x, "populate_indicators")
assert hasattr(x, "ticker_interval")
def test_start(mocker, default_conf, caplog) -> None:
start_mock = MagicMock()
patched_configuration_load_config_file(mocker, default_conf)
@@ -254,26 +286,54 @@ def test_start_filelock(mocker, default_conf, caplog) -> None:
)
def test_loss_calculation_prefer_correct_trade_count(hyperopt) -> None:
correct = hyperopt.calculate_loss(1, hyperopt.target_trades, 20)
over = hyperopt.calculate_loss(1, hyperopt.target_trades + 100, 20)
under = hyperopt.calculate_loss(1, hyperopt.target_trades - 100, 20)
def test_loss_calculation_prefer_correct_trade_count(default_conf, hyperopt_results) -> None:
hl = HyperOptLossResolver(default_conf).hyperoptloss
correct = hl.hyperopt_loss_function(hyperopt_results, 600)
over = hl.hyperopt_loss_function(hyperopt_results, 600 + 100)
under = hl.hyperopt_loss_function(hyperopt_results, 600 - 100)
assert over > correct
assert under > correct
def test_loss_calculation_prefer_shorter_trades(hyperopt) -> None:
shorter = hyperopt.calculate_loss(1, 100, 20)
longer = hyperopt.calculate_loss(1, 100, 30)
def test_loss_calculation_prefer_shorter_trades(default_conf, hyperopt_results) -> None:
resultsb = hyperopt_results.copy()
resultsb['trade_duration'][1] = 20
hl = HyperOptLossResolver(default_conf).hyperoptloss
longer = hl.hyperopt_loss_function(hyperopt_results, 100)
shorter = hl.hyperopt_loss_function(resultsb, 100)
assert shorter < longer
def test_loss_calculation_has_limited_profit(hyperopt) -> None:
correct = hyperopt.calculate_loss(hyperopt.expected_max_profit, hyperopt.target_trades, 20)
over = hyperopt.calculate_loss(hyperopt.expected_max_profit * 2, hyperopt.target_trades, 20)
under = hyperopt.calculate_loss(hyperopt.expected_max_profit / 2, hyperopt.target_trades, 20)
assert over == correct
def test_loss_calculation_has_limited_profit(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
hl = HyperOptLossResolver(default_conf).hyperoptloss
correct = hl.hyperopt_loss_function(hyperopt_results, 600)
over = hl.hyperopt_loss_function(results_over, 600)
under = hl.hyperopt_loss_function(results_under, 600)
assert over < correct
assert under > correct
def test_sharpe_loss_prefers_higher_profits(default_conf, hyperopt_results) -> None:
results_over = hyperopt_results.copy()
results_over['profit_percent'] = hyperopt_results['profit_percent'] * 2
results_under = hyperopt_results.copy()
results_under['profit_percent'] = hyperopt_results['profit_percent'] / 2
default_conf.update({'hyperopt_loss': 'SharpeHyperOptLoss'})
hl = HyperOptLossResolver(default_conf).hyperoptloss
correct = hl.hyperopt_loss_function(hyperopt_results, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
over = hl.hyperopt_loss_function(results_over, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
under = hl.hyperopt_loss_function(results_under, len(hyperopt_results),
datetime(2019, 1, 1), datetime(2019, 5, 1))
assert over < correct
assert under > correct
@@ -371,6 +431,11 @@ def test_start_calls_optimizer(mocker, default_conf, caplog) -> None:
assert dumper.called
# Should be called twice, once for tickerdata, once to save evaluations
assert dumper.call_count == 2
assert hasattr(hyperopt, "advise_sell")
assert hasattr(hyperopt, "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_format_results(hyperopt):
@@ -468,7 +533,7 @@ def test_generate_optimizer(mocker, default_conf) -> None:
)
mocker.patch(
'freqtrade.optimize.hyperopt.get_timeframe',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
MagicMock(return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13)))
)
patch_exchange(mocker)
mocker.patch('freqtrade.optimize.hyperopt.load', MagicMock())
@@ -510,3 +575,36 @@ def test_generate_optimizer(mocker, default_conf) -> None:
hyperopt = Hyperopt(default_conf)
generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values()))
assert generate_optimizer_value == response_expected
def test_clean_hyperopt(mocker, default_conf, caplog):
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
'epochs': 1,
'timerange': None,
'spaces': 'all',
'hyperopt_jobs': 1,
})
mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock())
Hyperopt(default_conf)
assert unlinkmock.call_count == 2
assert log_has(f"Removing `{TICKERDATA_PICKLE}`.", caplog.record_tuples)
def test_continue_hyperopt(mocker, default_conf, caplog):
patch_exchange(mocker)
default_conf.update({'config': 'config.json.example',
'epochs': 1,
'timerange': None,
'spaces': 'all',
'hyperopt_jobs': 1,
'hyperopt_continue': True
})
mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock())
Hyperopt(default_conf)
assert unlinkmock.call_count == 0
assert log_has(f"Continuing on previous hyperopt results.", caplog.record_tuples)