Add template for new-hyperopt command
This commit is contained in:
Matthias
parent
e492d47621
commit
8c2ff2f46e
|
|
@ -41,6 +41,8 @@ ARGS_CREATE_USERDIR = ["user_data_dir", "reset"]
|
|||
|
||||
ARGS_BUILD_STRATEGY = ["user_data_dir", "strategy"]
|
||||
|
||||
ARGS_BUILD_HYPEROPT = ["user_data_dir", "hyperopt"]
|
||||
|
||||
ARGS_DOWNLOAD_DATA = ["pairs", "pairs_file", "days", "download_trades", "exchange",
|
||||
"timeframes", "erase"]
|
||||
|
||||
|
|
@ -54,7 +56,7 @@ ARGS_PLOT_PROFIT = ["pairs", "timerange", "export", "exportfilename", "db_url",
|
|||
NO_CONF_REQURIED = ["download-data", "list-timeframes", "list-markets", "list-pairs",
|
||||
"plot-dataframe", "plot-profit"]
|
||||
|
||||
NO_CONF_ALLOWED = ["create-userdir", "list-exchanges", "new-strategy"]
|
||||
NO_CONF_ALLOWED = ["create-userdir", "list-exchanges","new-hyperopt", "new-strategy"]
|
||||
|
||||
|
||||
class Arguments:
|
||||
|
|
@ -119,7 +121,7 @@ class Arguments:
|
|||
from freqtrade.optimize import start_backtesting, start_hyperopt, start_edge
|
||||
from freqtrade.utils import (start_create_userdir, start_download_data,
|
||||
start_list_exchanges, start_list_markets,
|
||||
start_new_strategy,
|
||||
start_new_hyperopt, start_new_strategy,
|
||||
start_list_timeframes, start_trading)
|
||||
from freqtrade.plot.plot_utils import start_plot_dataframe, start_plot_profit
|
||||
|
||||
|
|
@ -167,6 +169,12 @@ class Arguments:
|
|||
build_strategy_cmd.set_defaults(func=start_new_strategy)
|
||||
self._build_args(optionlist=ARGS_BUILD_STRATEGY, parser=build_strategy_cmd)
|
||||
|
||||
# add new-hyperopt subcommand
|
||||
build_hyperopt_cmd = subparsers.add_parser('new-hyperopt',
|
||||
help="Create new hyperopt")
|
||||
build_hyperopt_cmd.set_defaults(func=start_new_hyperopt)
|
||||
self._build_args(optionlist=ARGS_BUILD_HYPEROPT, parser=build_hyperopt_cmd)
|
||||
|
||||
# Add list-exchanges subcommand
|
||||
list_exchanges_cmd = subparsers.add_parser(
|
||||
'list-exchanges',
|
||||
|
|
|
|||
|
|
@ -0,0 +1,154 @@
|
|||
# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
|
||||
|
||||
from functools import reduce
|
||||
from typing import Any, Callable, Dict, List
|
||||
|
||||
import numpy as np # noqa
|
||||
import talib.abstract as ta
|
||||
from pandas import DataFrame
|
||||
from skopt.space import Categorical, Dimension, Integer, Real # noqa
|
||||
|
||||
import freqtrade.vendor.qtpylib.indicators as qtpylib
|
||||
from freqtrade.optimize.hyperopt_interface import IHyperOpt
|
||||
|
||||
|
||||
class {{ hyperopt }}(IHyperOpt):
|
||||
"""
|
||||
This is a Hyperopt template to get you started.
|
||||
|
||||
More information in https://github.com/freqtrade/freqtrade/blob/develop/docs/hyperopt.md
|
||||
|
||||
You should:
|
||||
- Add any lib you need to build your hyperopt.
|
||||
|
||||
You must keep:
|
||||
- The prototypes for the methods: populate_indicators, indicator_space, buy_strategy_generator.
|
||||
|
||||
The roi_space, generate_roi_table, stoploss_space methods are no longer required to be
|
||||
copied in every custom hyperopt. However, you may override them if you need the
|
||||
'roi' and the 'stoploss' spaces that differ from the defaults offered by Freqtrade.
|
||||
Sample implementation of these methods can be found in
|
||||
https://github.com/freqtrade/freqtrade/blob/develop/user_data/hyperopts/sample_hyperopt_advanced.py
|
||||
"""
|
||||
|
||||
@staticmethod
|
||||
def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
|
||||
"""
|
||||
Define the buy strategy parameters to be used by Hyperopt.
|
||||
"""
|
||||
def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
"""
|
||||
Buy strategy Hyperopt will build and use.
|
||||
"""
|
||||
conditions = []
|
||||
|
||||
# GUARDS AND TRENDS
|
||||
if 'mfi-enabled' in params and params['mfi-enabled']:
|
||||
conditions.append(dataframe['mfi'] < params['mfi-value'])
|
||||
if 'fastd-enabled' in params and params['fastd-enabled']:
|
||||
conditions.append(dataframe['fastd'] < params['fastd-value'])
|
||||
if 'adx-enabled' in params and params['adx-enabled']:
|
||||
conditions.append(dataframe['adx'] > params['adx-value'])
|
||||
if 'rsi-enabled' in params and params['rsi-enabled']:
|
||||
conditions.append(dataframe['rsi'] < params['rsi-value'])
|
||||
|
||||
# TRIGGERS
|
||||
if 'trigger' in params:
|
||||
if params['trigger'] == 'bb_lower':
|
||||
conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
|
||||
if params['trigger'] == 'macd_cross_signal':
|
||||
conditions.append(qtpylib.crossed_above(
|
||||
dataframe['macd'], dataframe['macdsignal']
|
||||
))
|
||||
if params['trigger'] == 'sar_reversal':
|
||||
conditions.append(qtpylib.crossed_above(
|
||||
dataframe['close'], dataframe['sar']
|
||||
))
|
||||
|
||||
if conditions:
|
||||
dataframe.loc[
|
||||
reduce(lambda x, y: x & y, conditions),
|
||||
'buy'] = 1
|
||||
|
||||
return dataframe
|
||||
|
||||
return populate_buy_trend
|
||||
|
||||
@staticmethod
|
||||
def indicator_space() -> List[Dimension]:
|
||||
"""
|
||||
Define your Hyperopt space for searching buy strategy parameters.
|
||||
"""
|
||||
return [
|
||||
Integer(10, 25, name='mfi-value'),
|
||||
Integer(15, 45, name='fastd-value'),
|
||||
Integer(20, 50, name='adx-value'),
|
||||
Integer(20, 40, name='rsi-value'),
|
||||
Categorical([True, False], name='mfi-enabled'),
|
||||
Categorical([True, False], name='fastd-enabled'),
|
||||
Categorical([True, False], name='adx-enabled'),
|
||||
Categorical([True, False], name='rsi-enabled'),
|
||||
Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger')
|
||||
]
|
||||
|
||||
@staticmethod
|
||||
def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
|
||||
"""
|
||||
Define the sell strategy parameters to be used by Hyperopt.
|
||||
"""
|
||||
def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
"""
|
||||
Sell strategy Hyperopt will build and use.
|
||||
"""
|
||||
conditions = []
|
||||
|
||||
# GUARDS AND TRENDS
|
||||
if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']:
|
||||
conditions.append(dataframe['mfi'] > params['sell-mfi-value'])
|
||||
if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
|
||||
conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
|
||||
if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
|
||||
conditions.append(dataframe['adx'] < params['sell-adx-value'])
|
||||
if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
|
||||
conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
|
||||
|
||||
# TRIGGERS
|
||||
if 'sell-trigger' in params:
|
||||
if params['sell-trigger'] == 'sell-bb_upper':
|
||||
conditions.append(dataframe['close'] > dataframe['bb_upperband'])
|
||||
if params['sell-trigger'] == 'sell-macd_cross_signal':
|
||||
conditions.append(qtpylib.crossed_above(
|
||||
dataframe['macdsignal'], dataframe['macd']
|
||||
))
|
||||
if params['sell-trigger'] == 'sell-sar_reversal':
|
||||
conditions.append(qtpylib.crossed_above(
|
||||
dataframe['sar'], dataframe['close']
|
||||
))
|
||||
|
||||
if conditions:
|
||||
dataframe.loc[
|
||||
reduce(lambda x, y: x & y, conditions),
|
||||
'sell'] = 1
|
||||
|
||||
return dataframe
|
||||
|
||||
return populate_sell_trend
|
||||
|
||||
@staticmethod
|
||||
def sell_indicator_space() -> List[Dimension]:
|
||||
"""
|
||||
Define your Hyperopt space for searching sell strategy parameters.
|
||||
"""
|
||||
return [
|
||||
Integer(75, 100, name='sell-mfi-value'),
|
||||
Integer(50, 100, name='sell-fastd-value'),
|
||||
Integer(50, 100, name='sell-adx-value'),
|
||||
Integer(60, 100, name='sell-rsi-value'),
|
||||
Categorical([True, False], name='sell-mfi-enabled'),
|
||||
Categorical([True, False], name='sell-fastd-enabled'),
|
||||
Categorical([True, False], name='sell-adx-enabled'),
|
||||
Categorical([True, False], name='sell-rsi-enabled'),
|
||||
Categorical(['sell-bb_upper',
|
||||
'sell-macd_cross_signal',
|
||||
'sell-sar_reversal'], name='sell-trigger')
|
||||
]
|
||||
|
|
@ -14,7 +14,7 @@ from freqtrade.configuration import (Configuration, TimeRange,
|
|||
remove_credentials)
|
||||
from freqtrade.configuration.directory_operations import (copy_sample_files,
|
||||
create_userdata_dir)
|
||||
from freqtrade.constants import DEFAULT_STRATEGY
|
||||
from freqtrade.constants import DEFAULT_HYPEROPT, DEFAULT_STRATEGY
|
||||
from freqtrade.data.history import (convert_trades_to_ohlcv,
|
||||
refresh_backtest_ohlcv_data,
|
||||
refresh_backtest_trades_data)
|
||||
|
|
@ -115,6 +115,30 @@ def start_new_strategy(args: Dict[str, Any]) -> None:
|
|||
sys.exit(1)
|
||||
|
||||
|
||||
def start_new_hyperopt(args: Dict[str, Any]) -> None:
|
||||
|
||||
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
|
||||
|
||||
if "hyperopt" in args and args["hyperopt"]:
|
||||
if args["hyperopt"] == DEFAULT_HYPEROPT:
|
||||
raise OperationalException("DefaultHyperOpt is not allowed as name.")
|
||||
|
||||
new_path = config['user_data_dir'] / "hyperopts" / (args["hyperopt"] + ".py")
|
||||
|
||||
if new_path.exists():
|
||||
raise OperationalException(f"`{new_path}` already exists. "
|
||||
"Please choose another Strategy Name.")
|
||||
|
||||
strategy_text = render_template(template='base_hyperopt.py.j2',
|
||||
arguments={"hyperopt": args["hyperopt"]})
|
||||
|
||||
logger.info(f"Writing hyperopt to `{new_path}`.")
|
||||
new_path.write_text(strategy_text)
|
||||
else:
|
||||
logger.warning("`new-hyperopt` requires --hyperopt to be set.")
|
||||
sys.exit(1)
|
||||
|
||||
|
||||
def start_download_data(args: Dict[str, Any]) -> None:
|
||||
"""
|
||||
Download data (former download_backtest_data.py script)
|
||||
|
|
|
|||
Loading…
Reference in New Issue