Merge 86f10b3c8e into 89b9a8cb1f

freqtrade/commands/arguments.py

@@ -18,15 +18,16 @@ ARGS_TRADE = ["db_url", "sd_notify", "dry_run"]
 ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange",
                         "max_open_trades", "stake_amount", "fee"]
 
-ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
+ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + [
-                                        "strategy_list", "export", "exportfilename"]
+    "position_stacking", "use_max_market_positions", "strategy_list", "export", "exportfilename"
+]
 
-ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
+ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + [
-                                        "position_stacking", "epochs", "spaces",
+    "hyperopt", "hyperopt_path", "position_stacking", "epochs", "spaces",
-                                        "use_max_market_positions", "print_all",
+    "use_max_market_positions", "print_all", "print_colorized", "print_json", "hyperopt_jobs",
-                                        "print_colorized", "print_json", "hyperopt_jobs",
+    "hyperopt_random_state", "hyperopt_min_trades", "hyperopt_continue", "hyperopt_loss", "effort",
-                                        "hyperopt_random_state", "hyperopt_min_trades",
+    "mode", "n_points", "lie_strat"
-                                        "hyperopt_continue", "hyperopt_loss"]
+]
 
 ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]
 

freqtrade/commands/cli_options.py

@@ -195,6 +195,36 @@ AVAILABLE_CLI_OPTIONS = {
         metavar='INT',
         default=constants.HYPEROPT_EPOCH,
     ),
+    "effort": Arg(
+        '--effort',
+        help=('The higher the number, the longer will be the search if'
+              'no epochs are defined (default: %(default)d).'),
+        type=float,
+        metavar='FLOAT',
+        default=constants.HYPEROPT_EFFORT,
+    ),
+    "mode": Arg(
+        '--mode',
+        help='Switches hyperopt to use one optimizer per job, use it'
+             'when backtesting iterations are cheap (default: %(default)s).',
+        metavar='NAME',
+        default=constants.HYPEROPT_MODE),
+    "n_points": Arg(
+        '--n-points',
+        help='Controls how many points to ask to the optimizer '
+             'increase if cpu usage of each core '
+             'appears low (default: %(default)d).',
+        type=int,
+        metavar='INT',
+        default=constants.HYPEROPT_N_POINTS
+        ),
+    "lie_strat": Arg(
+        '--lie-strat',
+        help='Sets the strategy that the optimizer uses to lie '
+             'when asking for more than one point, '
+             'no effect if n_point is one (default: %(default)s).',
+        default=constants.HYPEROPT_LIE_STRAT
+        ),
     "spaces": Arg(
         '--spaces',
         help='Specify which parameters to hyperopt. Space-separated list.',

freqtrade/commands/optimize_commands.py

@@ -59,6 +59,7 @@ def start_hyperopt(args: Dict[str, Any]) -> None:
     try:
         from filelock import FileLock, Timeout
         from freqtrade.optimize.hyperopt import Hyperopt
+        from freqtrade.optimize import hyperopt_backend as backend
     except ImportError as e:
         raise OperationalException(
             f"{e}. Please ensure that the hyperopt dependencies are installed.") from e
@@ -77,8 +78,8 @@ def start_hyperopt(args: Dict[str, Any]) -> None:
             logging.getLogger('filelock').setLevel(logging.WARNING)
 
             # Initialize backtesting object
-            hyperopt = Hyperopt(config)
+            backend.hyperopt = Hyperopt(config)
-            hyperopt.start()
+            backend.hyperopt.start()
 
     except Timeout:
         logger.info("Another running instance of freqtrade Hyperopt detected.")

freqtrade/configuration/configuration.py

@@ -265,10 +265,22 @@ class Configuration:
 
         self._args_to_config(config, argname='epochs',
                              logstring='Parameter --epochs detected ... '
-                             'Will run Hyperopt with for {} epochs ...'
+                             'Will run Hyperopt with for {} epochs ...')
-                             )
+        self._args_to_config(config,
-
+                             argname='effort',
-        self._args_to_config(config, argname='spaces',
+                             logstring='Parameter --effort detected ... '
+                             'Parameter --effort detected: {}')
+        self._args_to_config(config,
+                             argname='mode',
+                             logstring='Hyperopt will run in {} mode ...')
+        self._args_to_config(config,
+                             argname='explore',
+                             logstring='Acquisition strategy set to random {}...')
+        self._args_to_config(config,
+                             argname='n_points',
+                             logstring='Optimizers will be asked for {} points...')
+        self._args_to_config(config,
+                             argname='spaces',
                              logstring='Parameter -s/--spaces detected: {}')
 
         self._args_to_config(config, argname='print_all',

freqtrade/constants.py

@@ -9,7 +9,11 @@ from typing import List, Tuple
 DEFAULT_CONFIG = 'config.json'
 DEFAULT_EXCHANGE = 'bittrex'
 PROCESS_THROTTLE_SECS = 5    # sec
-HYPEROPT_EPOCH = 100  # epochs
+HYPEROPT_EPOCH = 0    # epochs
+HYPEROPT_EFFORT = 0.    # tune max epoch count
+HYPEROPT_N_POINTS = 1    # tune iterations between estimations
+HYPEROPT_MODE = 'single'
+HYPEROPT_LIE_STRAT = 'default'
 RETRY_TIMEOUT = 30    # sec
 DEFAULT_HYPEROPT_LOSS = 'DefaultHyperOptLoss'
 DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'

freqtrade/optimize/hyperopt_backend.py

@@ -0,0 +1,18 @@
+from typing import Any, Dict, List, Tuple
+from queue import Queue
+from multiprocessing.managers import SyncManager
+
+hyperopt: Any = None
+manager: SyncManager
+# stores the optimizers in multi opt mode
+optimizers: Queue
+# stores the results to share between optimizers
+# in the form of key = Tuple[Xi], value = Tuple[float, int]
+# where float is the loss and int is a decreasing counter of optimizers
+# that have registered the result
+results_shared: Dict[Tuple, Tuple]
+# in single mode the results_list is used to pass the results to the optimizer
+# to fit new models
+results_list: List
+# results_batch stores keeps results per batch that are eventually logged and stored
+results_batch: Queue

tests/optimize/test_hyperopt.py

@@ -482,6 +482,7 @@ def test_no_log_if_loss_does_not_improve(hyperopt, caplog) -> None:
 def test_save_results_saves_epochs(mocker, hyperopt, testdatadir, caplog) -> None:
     epochs = create_results(mocker, hyperopt, testdatadir)
     mock_dump = mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None)
+    mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.save_opts')
     results_file = testdatadir / 'optimize' / 'ut_results.pickle'
 
     caplog.set_level(logging.DEBUG)
@@ -529,7 +530,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
     )
 
     parallel = mocker.patch(
-        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        'freqtrade.optimize.hyperopt.Hyperopt.run_backtest_parallel',
         MagicMock(return_value=[{
             'loss': 1, 'results_explanation': 'foo result',
             'params': {'buy': {}, 'sell': {}, 'roi': {}, 'stoploss': 0.0},
@@ -564,8 +565,11 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
+    # Should be called 3 times, from:
-    assert dumper.call_count == 2
+    # 1  tickerdata
+    # 1 save_trials
+    # 1 save_opts
+    assert dumper.call_count == 3
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")
@@ -686,8 +690,9 @@ def test_buy_strategy_generator(hyperopt, testdatadir) -> None:
     assert 1 in result['buy']
 
 
-def test_generate_optimizer(mocker, default_conf) -> None:
+def test_backtest_params(mocker, default_conf) -> None:
-    default_conf.update({'config': 'config.json.example',
+    default_conf.update({
+        'config': 'config.json.example',
         'hyperopt': 'DefaultHyperOpt',
         'timerange': None,
         'spaces': 'all',
@@ -792,8 +797,8 @@ def test_generate_optimizer(mocker, default_conf) -> None:
 
     hyperopt = Hyperopt(default_conf)
     hyperopt.dimensions = hyperopt.hyperopt_space()
-    generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values()))
+    backtest_params_value = hyperopt.backtest_params(list(optimizer_param.values()))
-    assert generate_optimizer_value == response_expected
+    assert backtest_params_value == response_expected
 
 
 def test_clean_hyperopt(mocker, default_conf, caplog):
@@ -809,7 +814,8 @@ def test_clean_hyperopt(mocker, default_conf, caplog):
     unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock())
     h = Hyperopt(default_conf)
 
-    assert unlinkmock.call_count == 2
+    # once for tickerdata, once for trials, once for optimizers (list)
+    assert unlinkmock.call_count == 3
     assert log_has(f"Removing `{h.data_pickle_file}`.", caplog)
 
 
@@ -841,7 +847,7 @@ def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None:
     )
 
     parallel = mocker.patch(
-        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        'freqtrade.optimize.hyperopt.Hyperopt.run_backtest_parallel',
         MagicMock(return_value=[{
             'loss': 1, 'results_explanation': 'foo result', 'params': {},
             'params_details': {
@@ -886,8 +892,11 @@ def test_print_json_spaces_all(mocker, default_conf, caplog, capsys) -> None:
     )
     assert result_str in out  # noqa: E501
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
+    # Should be called 3 times from:
-    assert dumper.call_count == 2
+    # 1 tickerdata
+    # 1 save_trials
+    # 1 save_opts
+    assert dumper.call_count == 3
 
 
 def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None:
@@ -900,7 +909,7 @@ def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None
     )
 
     parallel = mocker.patch(
-        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        'freqtrade.optimize.hyperopt.Hyperopt.run_backtest_parallel',
         MagicMock(return_value=[{
             'loss': 1, 'results_explanation': 'foo result', 'params': {},
             'params_details': {
@@ -940,8 +949,11 @@ def test_print_json_spaces_default(mocker, default_conf, caplog, capsys) -> None
     out, err = capsys.readouterr()
     assert '{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi":{},"stoploss":null}' in out  # noqa: E501
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
+    # Should be called three times, from:
-    assert dumper.call_count == 2
+    # 1 tickerdata
+    # 1 save_trials
+    # 1 save_opts
+    assert dumper.call_count == 3
 
 
 def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) -> None:
@@ -954,7 +966,7 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) ->
     )
 
     parallel = mocker.patch(
-        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        'freqtrade.optimize.hyperopt.Hyperopt.run_backtest_parallel',
         MagicMock(return_value=[{
             'loss': 1, 'results_explanation': 'foo result', 'params': {},
             'params_details': {'roi': {}, 'stoploss': {'stoploss': None}},
@@ -990,8 +1002,11 @@ def test_print_json_spaces_roi_stoploss(mocker, default_conf, caplog, capsys) ->
     out, err = capsys.readouterr()
     assert '{"minimal_roi":{},"stoploss":null}' in out
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
+    # Should be called three times from:
-    assert dumper.call_count == 2
+    # 1 for tickerdata
+    # 1 for save_trials
+    # 1 for save_opts
+    assert dumper.call_count == 3
 
 
 def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys) -> None:
@@ -1004,7 +1019,7 @@ def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys)
     )
 
     parallel = mocker.patch(
-        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        'freqtrade.optimize.hyperopt.Hyperopt.run_backtest_parallel',
         MagicMock(return_value=[{
             'loss': 1, 'results_explanation': 'foo result', 'params': {'stoploss': 0.0},
             'results_metrics':
@@ -1042,8 +1057,11 @@ def test_simplified_interface_roi_stoploss(mocker, default_conf, caplog, capsys)
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
+    # Should be called three times, from:
-    assert dumper.call_count == 2
+    # 1 for tickerdata
+    # 1 for save_trials
+    # 1 for save_opts
+    assert dumper.call_count == 3
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")
@@ -1092,7 +1110,7 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
     )
 
     parallel = mocker.patch(
-        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        'freqtrade.optimize.hyperopt.Hyperopt.run_backtest_parallel',
         MagicMock(return_value=[{
             'loss': 1, 'results_explanation': 'foo result', 'params': {},
             'results_metrics':
@@ -1119,7 +1137,7 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
     hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
 
     # TODO: sell_strategy_generator() is actually not called because
-    # run_optimizer_parallel() is mocked
+    # run_backtest_parallel() is mocked
     del hyperopt.custom_hyperopt.__class__.sell_strategy_generator
     del hyperopt.custom_hyperopt.__class__.sell_indicator_space
 
@@ -1130,8 +1148,11 @@ def test_simplified_interface_buy(mocker, default_conf, caplog, capsys) -> None:
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
+    # Should be called three times, from:
-    assert dumper.call_count == 2
+    # 1 tickerdata
+    # 1 save_trials
+    # 1 save_opts
+    assert dumper.call_count == 3
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")
@@ -1149,7 +1170,7 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None
     )
 
     parallel = mocker.patch(
-        'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
+        'freqtrade.optimize.hyperopt.Hyperopt.run_backtest_parallel',
         MagicMock(return_value=[{
             'loss': 1, 'results_explanation': 'foo result', 'params': {},
             'results_metrics':
@@ -1176,7 +1197,7 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None
     hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
 
     # TODO: buy_strategy_generator() is actually not called because
-    # run_optimizer_parallel() is mocked
+    # run_backtest_parallel() is mocked
     del hyperopt.custom_hyperopt.__class__.buy_strategy_generator
     del hyperopt.custom_hyperopt.__class__.indicator_space
 
@@ -1187,8 +1208,11 @@ def test_simplified_interface_sell(mocker, default_conf, caplog, capsys) -> None
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
+    # Should be called three times, from:
-    assert dumper.call_count == 2
+    # 1 tickerdata
+    # 1 save_trials
+    # 1 save_opt  s
+    assert dumper.call_count == 3
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")