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

--min-objective and --max-objective for hyperopt-list

docs/utils.md

@@ -432,9 +432,9 @@ usage: freqtrade hyperopt-list [-h] [-v] [--logfile FILE] [-V] [-c PATH]
                                [--max-trades INT] [--min-avg-time FLOAT]
                                [--max-avg-time FLOAT] [--min-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]
 
 optional arguments:
@@ -453,6 +453,10 @@ optional arguments:
                         Select epochs on above total profit.
   --max-total-profit FLOAT
                         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
                         useful if you are redirecting output to a file.
   --print-json          Print best result detailization in JSON format.

freqtrade/commands/arguments.py

@@ -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_profit", "hyperopt_list_max_avg_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",
                       "export_csv"]
 

freqtrade/commands/cli_options.py

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

freqtrade/commands/hyperopt_commands.py

@@ -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_max_avg_profit': config.get('hyperopt_list_max_avg_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'] /
@@ -45,7 +47,7 @@ def start_hyperopt_list(args: Dict[str, Any]) -> None:
     epochs = Hyperopt.load_previous_results(results_file)
     total_epochs = len(epochs)
 
-    epochs = _hyperopt_filter_epochs(epochs, filteroptions)
+    epochs = hyperopt_filter_epochs(epochs, filteroptions)
 
     if print_colorized:
         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_max_avg_profit': config.get('hyperopt_list_max_avg_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
     epochs = Hyperopt.load_previous_results(results_file)
     total_epochs = len(epochs)
 
-    epochs = _hyperopt_filter_epochs(epochs, filteroptions)
+    epochs = hyperopt_filter_epochs(epochs, filteroptions)
     filtered_epochs = len(epochs)
 
     if n > filtered_epochs:
@@ -119,7 +123,7 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None:
                                      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
     """
@@ -127,6 +131,24 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
         epochs = [x for x in epochs if x['is_best']]
     if filteroptions['only_profitable']:
         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:
         epochs = [
             x for x in epochs
@@ -137,6 +159,11 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
             x for x in epochs
             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:
         epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
         epochs = [
@@ -149,6 +176,12 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
             x for x in epochs
             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:
         epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
         epochs = [
@@ -173,10 +206,18 @@ def _hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
             x for x in epochs
             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

freqtrade/configuration/configuration.py

@@ -334,6 +334,12 @@ class Configuration:
         self._args_to_config(config, argname='hyperopt_list_max_total_profit',
                              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',
                              logstring='Parameter --no-details detected: {}')
 

tests/commands/test_commands.py

@@ -736,7 +736,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
 
     args = [
         "hyperopt-list",
-        "--no-details"
+        "--no-details",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -749,7 +749,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
     args = [
         "hyperopt-list",
         "--best",
-        "--no-details"
+        "--no-details",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -763,7 +763,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
     args = [
         "hyperopt-list",
         "--profitable",
-        "--no-details"
+        "--no-details",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -776,7 +776,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
                          " 11/12", " 12/12"])
     args = [
         "hyperopt-list",
-        "--profitable"
+        "--profitable",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -792,7 +792,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
         "hyperopt-list",
         "--no-details",
         "--no-color",
-        "--min-trades", "20"
+        "--min-trades", "20",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -806,7 +806,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
         "hyperopt-list",
         "--profitable",
         "--no-details",
-        "--max-trades", "20"
+        "--max-trades", "20",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -821,7 +821,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
         "hyperopt-list",
         "--profitable",
         "--no-details",
-        "--min-avg-profit", "0.11"
+        "--min-avg-profit", "0.11",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -835,7 +835,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
     args = [
         "hyperopt-list",
         "--no-details",
-        "--max-avg-profit", "0.10"
+        "--max-avg-profit", "0.10",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -849,7 +849,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
     args = [
         "hyperopt-list",
         "--no-details",
-        "--min-total-profit", "0.4"
+        "--min-total-profit", "0.4",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -863,7 +863,35 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
     args = [
         "hyperopt-list",
         "--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['config'] = None
@@ -878,7 +906,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
         "hyperopt-list",
         "--profitable",
         "--no-details",
-        "--min-avg-time", "2000"
+        "--min-avg-time", "2000",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -892,7 +920,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
     args = [
         "hyperopt-list",
         "--no-details",
-        "--max-avg-time", "1500"
+        "--max-avg-time", "1500",
     ]
     pargs = get_args(args)
     pargs['config'] = None
@@ -906,7 +934,7 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results):
     args = [
         "hyperopt-list",
         "--no-details",
-        "--export-csv", "test_file.csv"
+        "--export-csv", "test_file.csv",
     ]
     pargs = get_args(args)
     pargs['config'] = None