Merge pull request #3091 from yazeed/min-max-objective

--min-objective and --max-objective for hyperopt-list
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Matthias 2020-08-12 14:05:05 +02:00 committed by GitHub
commit 7cf3e15e54
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6 changed files with 123 additions and 31 deletions

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@ -432,9 +432,9 @@ usage: freqtrade hyperopt-list [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--max-trades INT] [--min-avg-time FLOAT] [--max-trades INT] [--min-avg-time FLOAT]
[--max-avg-time FLOAT] [--min-avg-profit FLOAT] [--max-avg-time FLOAT] [--min-avg-profit FLOAT]
[--max-avg-profit FLOAT] [--max-avg-profit FLOAT]
[--min-total-profit FLOAT] [--min-total-profit FLOAT] [--max-total-profit FLOAT]
[--max-total-profit FLOAT] [--no-color] [--min-objective FLOAT] [--max-objective FLOAT]
[--print-json] [--no-details] [--no-color] [--print-json] [--no-details]
[--export-csv FILE] [--export-csv FILE]
optional arguments: optional arguments:
@ -453,6 +453,10 @@ optional arguments:
Select epochs on above total profit. Select epochs on above total profit.
--max-total-profit FLOAT --max-total-profit FLOAT
Select epochs on below total profit. Select epochs on below total profit.
--min-objective FLOAT
Select epochs on above objective (- is added by default).
--max-objective FLOAT
Select epochs on below objective (- is added by default).
--no-color Disable colorization of hyperopt results. May be --no-color Disable colorization of hyperopt results. May be
useful if you are redirecting output to a file. useful if you are redirecting output to a file.
--print-json Print best result detailization in JSON format. --print-json Print best result detailization in JSON format.

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@ -73,6 +73,7 @@ ARGS_HYPEROPT_LIST = ["hyperopt_list_best", "hyperopt_list_profitable",
"hyperopt_list_min_avg_time", "hyperopt_list_max_avg_time", "hyperopt_list_min_avg_time", "hyperopt_list_max_avg_time",
"hyperopt_list_min_avg_profit", "hyperopt_list_max_avg_profit", "hyperopt_list_min_avg_profit", "hyperopt_list_max_avg_profit",
"hyperopt_list_min_total_profit", "hyperopt_list_max_total_profit", "hyperopt_list_min_total_profit", "hyperopt_list_max_total_profit",
"hyperopt_list_min_objective", "hyperopt_list_max_objective",
"print_colorized", "print_json", "hyperopt_list_no_details", "print_colorized", "print_json", "hyperopt_list_no_details",
"export_csv"] "export_csv"]

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@ -455,37 +455,49 @@ AVAILABLE_CLI_OPTIONS = {
), ),
"hyperopt_list_min_avg_time": Arg( "hyperopt_list_min_avg_time": Arg(
'--min-avg-time', '--min-avg-time',
help='Select epochs on above average time.', help='Select epochs above average time.',
type=float, type=float,
metavar='FLOAT', metavar='FLOAT',
), ),
"hyperopt_list_max_avg_time": Arg( "hyperopt_list_max_avg_time": Arg(
'--max-avg-time', '--max-avg-time',
help='Select epochs on under average time.', help='Select epochs below average time.',
type=float, type=float,
metavar='FLOAT', metavar='FLOAT',
), ),
"hyperopt_list_min_avg_profit": Arg( "hyperopt_list_min_avg_profit": Arg(
'--min-avg-profit', '--min-avg-profit',
help='Select epochs on above average profit.', help='Select epochs above average profit.',
type=float, type=float,
metavar='FLOAT', metavar='FLOAT',
), ),
"hyperopt_list_max_avg_profit": Arg( "hyperopt_list_max_avg_profit": Arg(
'--max-avg-profit', '--max-avg-profit',
help='Select epochs on below average profit.', help='Select epochs below average profit.',
type=float, type=float,
metavar='FLOAT', metavar='FLOAT',
), ),
"hyperopt_list_min_total_profit": Arg( "hyperopt_list_min_total_profit": Arg(
'--min-total-profit', '--min-total-profit',
help='Select epochs on above total profit.', help='Select epochs above total profit.',
type=float, type=float,
metavar='FLOAT', metavar='FLOAT',
), ),
"hyperopt_list_max_total_profit": Arg( "hyperopt_list_max_total_profit": Arg(
'--max-total-profit', '--max-total-profit',
help='Select epochs on below total profit.', help='Select epochs below total profit.',
type=float,
metavar='FLOAT',
),
"hyperopt_list_min_objective": Arg(
'--min-objective',
help='Select epochs above objective.',
type=float,
metavar='FLOAT',
),
"hyperopt_list_max_objective": Arg(
'--max-objective',
help='Select epochs below objective.',
type=float, type=float,
metavar='FLOAT', metavar='FLOAT',
), ),

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@ -35,7 +35,9 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None:
'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None), 'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None),
'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None), 'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None),
'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None), 'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None),
'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None) 'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None),
'filter_min_objective': config.get('hyperopt_list_min_objective', None),
'filter_max_objective': config.get('hyperopt_list_max_objective', None),
} }
results_file = (config['user_data_dir'] / results_file = (config['user_data_dir'] /
@ -45,7 +47,7 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None:
epochs = Hyperopt.load_previous_results(results_file) epochs = Hyperopt.load_previous_results(results_file)
total_epochs = len(epochs) total_epochs = len(epochs)
epochs = _hyperopt_filter_epochs(epochs, filteroptions) epochs = hyperopt_filter_epochs(epochs, filteroptions)
if print_colorized: if print_colorized:
colorama_init(autoreset=True) colorama_init(autoreset=True)
@ -92,14 +94,16 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None), 'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None),
'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None), 'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None),
'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None), 'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None),
'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None) 'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None),
'filter_min_objective': config.get('hyperopt_list_min_objective', None),
'filter_max_objective': config.get('hyperopt_list_max_objective', None)
} }
# Previous evaluations # Previous evaluations
epochs = Hyperopt.load_previous_results(results_file) epochs = Hyperopt.load_previous_results(results_file)
total_epochs = len(epochs) total_epochs = len(epochs)
epochs = _hyperopt_filter_epochs(epochs, filteroptions) epochs = hyperopt_filter_epochs(epochs, filteroptions)
filtered_epochs = len(epochs) filtered_epochs = len(epochs)
if n > filtered_epochs: if n > filtered_epochs:
@ -119,7 +123,7 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
header_str="Epoch details") header_str="Epoch details")
def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List: def hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
""" """
Filter our items from the list of hyperopt results Filter our items from the list of hyperopt results
""" """
@ -127,6 +131,24 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
epochs = [x for x in epochs if x['is_best']] epochs = [x for x in epochs if x['is_best']]
if filteroptions['only_profitable']: if filteroptions['only_profitable']:
epochs = [x for x in epochs if x['results_metrics']['profit'] > 0] epochs = [x for x in epochs if x['results_metrics']['profit'] > 0]
epochs = _hyperopt_filter_epochs_trade_count(epochs, filteroptions)
epochs = _hyperopt_filter_epochs_duration(epochs, filteroptions)
epochs = _hyperopt_filter_epochs_profit(epochs, filteroptions)
epochs = _hyperopt_filter_epochs_objective(epochs, filteroptions)
logger.info(f"{len(epochs)} " +
("best " if filteroptions['only_best'] else "") +
("profitable " if filteroptions['only_profitable'] else "") +
"epochs found.")
return epochs
def _hyperopt_filter_epochs_trade_count(epochs: List, filteroptions: dict) -> List:
if filteroptions['filter_min_trades'] > 0: if filteroptions['filter_min_trades'] > 0:
epochs = [ epochs = [
x for x in epochs x for x in epochs
@ -137,6 +159,11 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
x for x in epochs x for x in epochs
if x['results_metrics']['trade_count'] < filteroptions['filter_max_trades'] if x['results_metrics']['trade_count'] < filteroptions['filter_max_trades']
] ]
return epochs
def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List:
if filteroptions['filter_min_avg_time'] is not None: if filteroptions['filter_min_avg_time'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [ epochs = [
@ -149,6 +176,12 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
x for x in epochs x for x in epochs
if x['results_metrics']['duration'] < filteroptions['filter_max_avg_time'] if x['results_metrics']['duration'] < filteroptions['filter_max_avg_time']
] ]
return epochs
def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List:
if filteroptions['filter_min_avg_profit'] is not None: if filteroptions['filter_min_avg_profit'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [ epochs = [
@ -173,10 +206,18 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
x for x in epochs x for x in epochs
if x['results_metrics']['profit'] < filteroptions['filter_max_total_profit'] if x['results_metrics']['profit'] < filteroptions['filter_max_total_profit']
] ]
return epochs
logger.info(f"{len(epochs)} " +
("best " if filteroptions['only_best'] else "") + def _hyperopt_filter_epochs_objective(epochs: List, filteroptions: dict) -> List:
("profitable " if filteroptions['only_profitable'] else "") +
"epochs found.") if filteroptions['filter_min_objective'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [x for x in epochs if x['loss'] < filteroptions['filter_min_objective']]
if filteroptions['filter_max_objective'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [x for x in epochs if x['loss'] > filteroptions['filter_max_objective']]
return epochs return epochs

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@ -334,6 +334,12 @@ class Configuration:
self._args_to_config(config, argname='hyperopt_list_max_total_profit', self._args_to_config(config, argname='hyperopt_list_max_total_profit',
logstring='Parameter --max-total-profit detected: {}') logstring='Parameter --max-total-profit detected: {}')
self._args_to_config(config, argname='hyperopt_list_min_objective',
logstring='Parameter --min-objective detected: {}')
self._args_to_config(config, argname='hyperopt_list_max_objective',
logstring='Parameter --max-objective detected: {}')
self._args_to_config(config, argname='hyperopt_list_no_details', self._args_to_config(config, argname='hyperopt_list_no_details',
logstring='Parameter --no-details detected: {}') logstring='Parameter --no-details detected: {}')

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@ -736,7 +736,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--no-details" "--no-details",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -749,7 +749,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--best", "--best",
"--no-details" "--no-details",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -763,7 +763,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--profitable", "--profitable",
"--no-details" "--no-details",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -776,7 +776,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
" 11/12", " 12/12"]) " 11/12", " 12/12"])
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--profitable" "--profitable",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -792,7 +792,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
"hyperopt-list", "hyperopt-list",
"--no-details", "--no-details",
"--no-color", "--no-color",
"--min-trades", "20" "--min-trades", "20",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -806,7 +806,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
"hyperopt-list", "hyperopt-list",
"--profitable", "--profitable",
"--no-details", "--no-details",
"--max-trades", "20" "--max-trades", "20",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -821,7 +821,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
"hyperopt-list", "hyperopt-list",
"--profitable", "--profitable",
"--no-details", "--no-details",
"--min-avg-profit", "0.11" "--min-avg-profit", "0.11",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -835,7 +835,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--no-details", "--no-details",
"--max-avg-profit", "0.10" "--max-avg-profit", "0.10",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -849,7 +849,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--no-details", "--no-details",
"--min-total-profit", "0.4" "--min-total-profit", "0.4",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -863,7 +863,35 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--no-details", "--no-details",
"--max-total-profit", "0.4" "--max-total-profit", "0.4",
]
pargs = get_args(args)
pargs['config'] = None
start_hyperopt_list(pargs)
captured = capsys.readouterr()
assert all(x in captured.out
for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12",
" 9/12", " 11/12"])
assert all(x not in captured.out
for x in [" 4/12", " 10/12", " 12/12"])
args = [
"hyperopt-list",
"--no-details",
"--min-objective", "0.1",
]
pargs = get_args(args)
pargs['config'] = None
start_hyperopt_list(pargs)
captured = capsys.readouterr()
assert all(x in captured.out
for x in [" 10/12"])
assert all(x not in captured.out
for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12",
" 9/12", " 11/12", " 12/12"])
args = [
"hyperopt-list",
"--no-details",
"--max-objective", "0.1",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -878,7 +906,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
"hyperopt-list", "hyperopt-list",
"--profitable", "--profitable",
"--no-details", "--no-details",
"--min-avg-time", "2000" "--min-avg-time", "2000",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -892,7 +920,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--no-details", "--no-details",
"--max-avg-time", "1500" "--max-avg-time", "1500",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None
@ -906,7 +934,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
args = [ args = [
"hyperopt-list", "hyperopt-list",
"--no-details", "--no-details",
"--export-csv", "test_file.csv" "--export-csv", "test_file.csv",
] ]
pargs = get_args(args) pargs = get_args(args)
pargs['config'] = None pargs['config'] = None