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Merge pull request #83 from gcarq/better-hyperopt-objective

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Better hyperopt objective
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Michael Egger 2017-10-29 14:13:44 +01:00 committed by GitHub
commit a948142ef5
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2 changed files with 32 additions and 21 deletions
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10
freqtrade/tests/test_backtesting.py
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@ -13,17 +13,17 @@ from freqtrade.persistence import Trade
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
def print_results(results):
print('Made {} buys. Average profit {:.2f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
def format_results(results):
return 'Made {} buys. Average profit {:.2f}%. Total profit was {:.3f}. Average duration {:.1f} mins.'.format(
len(results.index),
results.profit.mean() * 100.0,
results.profit.sum(),
results.duration.mean() * 5
))
)
def print_pair_results(pair, results):
print('For currency {}:'.format(pair))
print_results(results[results.currency == pair])
print(format_results(results[results.currency == pair]))
@pytest.fixture
def pairs():
@ -77,4 +77,4 @@ def test_backtest(conf, pairs, mocker, report=True):
print('====================== BACKTESTING REPORT ================================')
[print_pair_results(pair, results) for pair in pairs]
print('TOTAL OVER ALL TRADES:')
print_results(results)
print(format_results(results))

43
freqtrade/tests/test_hyperopt.py
View File

@ -1,24 +1,23 @@
# pragma pylint: disable=missing-docstring
import json
from operator import itemgetter
import logging
import os
from functools import reduce
from math import exp
import pytest
import arrow
from pandas import DataFrame
from qtpylib.indicators import crossed_above
from hyperopt import fmin, tpe, hp
from hyperopt import fmin, tpe, hp, Trials, STATUS_OK
from freqtrade.analyze import analyze_ticker
from freqtrade.main import should_sell
from freqtrade.persistence import Trade
from freqtrade.tests.test_backtesting import backtest, print_results
from freqtrade.tests.test_backtesting import backtest, format_results
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
# set TARGET_TRADES to suit your number concurrent trades so its realistic to 20days of data
TARGET_TRADES = 1200
@pytest.fixture
def pairs():
return ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay',
@ -83,13 +82,20 @@ def test_hyperopt(conf, pairs, mocker):
mocker.patch('freqtrade.analyze.populate_buy_trend', side_effect=buy_strategy)
results = backtest(conf, pairs, mocker)
print_results(results)
result = format_results(results)
print(result)
# set the value below to suit your number concurrent trades so its realistic to 20days of data
TARGET_TRADES = 1200
if results.profit.sum() == 0 or results.profit.mean() == 0:
return 49999999999 # avoid division by zero, return huge value to discard result
return abs(len(results.index) - 1200.1) / (results.profit.sum() ** 2) * results.duration.mean() # the smaller the better
total_profit = results.profit.sum() * 1000
trade_count = len(results.index)
trade_loss = 1 - 0.8 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5)
profit_loss = exp(-total_profit**3 / 10**11)
return {
'loss': trade_loss + profit_loss,
'status': STATUS_OK,
'result': result
}
space = {
'mfi': hp.choice('mfi', [
@ -130,4 +136,9 @@ def test_hyperopt(conf, pairs, mocker):
{'type': 'ao_cross_zero'}
]),
}
print('Best parameters {}'.format(fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=40)))
trials = Trials()
best = fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=40, trials=trials)
print('\n\n\n\n====================== HYPEROPT BACKTESTING REPORT ================================')
print('Best parameters {}'.format(best))
newlist = sorted(trials.results, key=itemgetter('loss'))
print('Result: {}'.format(newlist[0]['result']))