adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #4740 from freqtrade/decimal_stoploss_Hyperopt

Browse Source 
stoploss and roi skdecimal spaces hyperopt
This commit is contained in:
Matthias
2021-04-16 19:46:07 +02:00
committed by GitHub
parent ccd4ef905e e6936ae135
commit 9f2b6ee9a5
8 changed files with 70 additions and 29 deletions
Download Patch File Download Diff File Expand all files Collapse all files

22
freqtrade/optimize/hyperopt_interface.py
View File

@@ -7,11 +7,12 @@ import math
from abc import ABC
from typing import Any, Callable, Dict, List
from skopt.space import Categorical, Dimension, Integer, Real
from skopt.space import Categorical, Dimension, Integer
from freqtrade.exceptions import OperationalException
from freqtrade.exchange import timeframe_to_minutes
from freqtrade.misc import round_dict
from freqtrade.optimize.space import SKDecimal
from freqtrade.strategy import IStrategy
@@ -139,7 +140,7 @@ class IHyperOpt(ABC):
'roi_p2': roi_limits['roi_p2_min'],
'roi_p3': roi_limits['roi_p3_min'],
}
logger.info(f"Min roi table: {round_dict(self.generate_roi_table(p), 5)}")
logger.info(f"Min roi table: {round_dict(self.generate_roi_table(p), 3)}")
p = {
'roi_t1': roi_limits['roi_t1_max'],
'roi_t2': roi_limits['roi_t2_max'],
@@ -148,15 +149,18 @@ class IHyperOpt(ABC):
'roi_p2': roi_limits['roi_p2_max'],
'roi_p3': roi_limits['roi_p3_max'],
}
logger.info(f"Max roi table: {round_dict(self.generate_roi_table(p), 5)}")
logger.info(f"Max roi table: {round_dict(self.generate_roi_table(p), 3)}")
return [
Integer(roi_limits['roi_t1_min'], roi_limits['roi_t1_max'], name='roi_t1'),
Integer(roi_limits['roi_t2_min'], roi_limits['roi_t2_max'], name='roi_t2'),
Integer(roi_limits['roi_t3_min'], roi_limits['roi_t3_max'], name='roi_t3'),
Real(roi_limits['roi_p1_min'], roi_limits['roi_p1_max'], name='roi_p1'),
Real(roi_limits['roi_p2_min'], roi_limits['roi_p2_max'], name='roi_p2'),
Real(roi_limits['roi_p3_min'], roi_limits['roi_p3_max'], name='roi_p3'),
SKDecimal(roi_limits['roi_p1_min'], roi_limits['roi_p1_max'], decimals=3,
name='roi_p1'),
SKDecimal(roi_limits['roi_p2_min'], roi_limits['roi_p2_max'], decimals=3,
name='roi_p2'),
SKDecimal(roi_limits['roi_p3_min'], roi_limits['roi_p3_max'], decimals=3,
name='roi_p3'),
]
def stoploss_space(self) -> List[Dimension]:
@@ -167,7 +171,7 @@ class IHyperOpt(ABC):
You may override it in your custom Hyperopt class.
"""
return [
Real(-0.35, -0.02, name='stoploss'),
SKDecimal(-0.35, -0.02, decimals=3, name='stoploss'),
]
def generate_trailing_params(self, params: Dict) -> Dict:
@@ -197,14 +201,14 @@ class IHyperOpt(ABC):
# other 'trailing' hyperspace parameters.
Categorical([True], name='trailing_stop'),
Real(0.01, 0.35, name='trailing_stop_positive'),
SKDecimal(0.01, 0.35, decimals=3, name='trailing_stop_positive'),
# 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive',
# so this intermediate parameter is used as the value of the difference between
# them. The value of the 'trailing_stop_positive_offset' is constructed in the
# generate_trailing_params() method.
# This is similar to the hyperspace dimensions used for constructing the ROI tables.
Real(0.001, 0.1, name='trailing_stop_positive_offset_p1'),
SKDecimal(0.001, 0.1, decimals=3, name='trailing_stop_positive_offset_p1'),
Categorical([True, False], name='trailing_only_offset_is_reached'),
]

4
freqtrade/optimize/space/__init__.py Normal file
View File

@@ -0,0 +1,4 @@
# flake8: noqa: F401
from skopt.space import Categorical, Dimension, Integer, Real
from .decimalspace import SKDecimal

5
freqtrade/optimize/decimalspace.py → freqtrade/optimize/space/decimalspace.py
View File

@@ -9,8 +9,9 @@ class SKDecimal(Integer):
self.decimals = decimals
_low = int(low * pow(10, self.decimals))
_high = int(high * pow(10, self.decimals))
self.low_orig = low
self.high_orig = high
# trunc to precision to avoid points out of space
self.low_orig = round(_low * pow(0.1, self.decimals), self.decimals)
self.high_orig = round(_high * pow(0.1, self.decimals), self.decimals)
super().__init__(_low, _high, prior, base, transform, name, dtype)

2
freqtrade/strategy/hyper.py
View File

@@ -10,7 +10,7 @@ from typing import Any, Iterator, Optional, Sequence, Tuple, Union
with suppress(ImportError):
from skopt.space import Integer, Real, Categorical
from freqtrade.optimize.decimalspace import SKDecimal
from freqtrade.optimize.space import SKDecimal
from freqtrade.exceptions import OperationalException

14
freqtrade/templates/sample_hyperopt_advanced.py
View File

@@ -7,7 +7,7 @@ from typing import Any, Callable, Dict, List
import numpy as np # noqa
import pandas as pd # noqa
from pandas import DataFrame
from skopt.space import Categorical, Dimension, Integer, Real # noqa
from freqtrade.optimize.space import Categorical, Dimension, Integer, SKDecimal, Real # noqa
from freqtrade.optimize.hyperopt_interface import IHyperOpt
@@ -223,9 +223,9 @@ class AdvancedSampleHyperOpt(IHyperOpt):
Integer(10, 120, name='roi_t1'),
Integer(10, 60, name='roi_t2'),
Integer(10, 40, name='roi_t3'),
Real(0.01, 0.04, name='roi_p1'),
Real(0.01, 0.07, name='roi_p2'),
Real(0.01, 0.20, name='roi_p3'),
SKDecimal(0.01, 0.04, decimals=3, name='roi_p1'),
SKDecimal(0.01, 0.07, decimals=3, name='roi_p2'),
SKDecimal(0.01, 0.20, decimals=3, name='roi_p3'),
]
@staticmethod
@@ -237,7 +237,7 @@ class AdvancedSampleHyperOpt(IHyperOpt):
'stoploss' optimization hyperspace.
"""
return [
Real(-0.35, -0.02, name='stoploss'),
SKDecimal(-0.35, -0.02, decimals=3, name='stoploss'),
]
@staticmethod
@@ -256,14 +256,14 @@ class AdvancedSampleHyperOpt(IHyperOpt):
# other 'trailing' hyperspace parameters.
Categorical([True], name='trailing_stop'),
Real(0.01, 0.35, name='trailing_stop_positive'),
SKDecimal(0.01, 0.35, decimals=3, name='trailing_stop_positive'),
# 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive',
# so this intermediate parameter is used as the value of the difference between
# them. The value of the 'trailing_stop_positive_offset' is constructed in the
# generate_trailing_params() method.
# This is similar to the hyperspace dimensions used for constructing the ROI tables.
Real(0.001, 0.1, name='trailing_stop_positive_offset_p1'),
SKDecimal(0.001, 0.1, decimals=3, name='trailing_stop_positive_offset_p1'),
Categorical([True, False], name='trailing_only_offset_is_reached'),
]