From 83fd27e0311471b1bd2f33ecfc6a1a9b9eb1f641 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sat, 11 Nov 2017 08:32:35 +0200 Subject: [PATCH 01/12] add sar reversal as trigger --- freqtrade/tests/test_hyperopt.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index 50f3b94f4..d7e7cbe3f 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -50,6 +50,7 @@ def buy_strategy_generator(params): 'ao_cross_zero': (crossed_above(dataframe['ao'], 0.0)), 'ema5_cross_ema10': (crossed_above(dataframe['ema5'], dataframe['ema10'])), 'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])), + 'sar_reversal': (crossed_above(dataframe['close'], dataframe['sar'])), } conditions.append(triggers.get(params['trigger']['type'])) @@ -125,6 +126,7 @@ def test_hyperopt(backtest_conf, backdata, mocker): {'type': 'ao_cross_zero'}, {'type': 'ema5_cross_ema10'}, {'type': 'macd_cross_signal'}, + {'type': 'sar_reversal'}, ]), } trials = Trials() From 274972f7afc480b4e0adc28f0acf0e3df47d5fcf Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sat, 11 Nov 2017 09:26:05 +0200 Subject: [PATCH 02/12] make faststoch trigger use crossed_above helper --- freqtrade/tests/test_hyperopt.py | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index d7e7cbe3f..e000e6a5b 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -42,11 +42,10 @@ def buy_strategy_generator(params): prevsma = dataframe['sma'].shift(1) conditions.append(dataframe['sma'] > prevsma) - prev_fastd = dataframe['fastd'].shift(1) # TRIGGERS triggers = { 'lower_bb': dataframe['tema'] <= dataframe['blower'], - 'faststoch10': (dataframe['fastd'] >= 10) & (prev_fastd < 10), + 'faststoch10': (crossed_above(dataframe['fastd'], 10.0)), 'ao_cross_zero': (crossed_above(dataframe['ao'], 0.0)), 'ema5_cross_ema10': (crossed_above(dataframe['ema5'], dataframe['ema10'])), 'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])), From 3db13fae1390a57fc3434900adc8ff13b31d5760 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sat, 11 Nov 2017 09:35:04 +0200 Subject: [PATCH 03/12] add green_candle guard --- freqtrade/tests/test_hyperopt.py | 6 ++++++ 1 file changed, 6 insertions(+) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index e000e6a5b..fce55fb08 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -38,6 +38,8 @@ def buy_strategy_generator(params): conditions.append(dataframe['rsi'] < params['rsi']['value']) if params['over_sar']['enabled']: conditions.append(dataframe['close'] > dataframe['sar']) + if params['green_candle']['enabled']: + conditions.append(dataframe['close'] > dataframe['open']) if params['uptrend_sma']['enabled']: prevsma = dataframe['sma'].shift(1) conditions.append(dataframe['sma'] > prevsma) @@ -115,6 +117,10 @@ def test_hyperopt(backtest_conf, backdata, mocker): {'enabled': False}, {'enabled': True} ]), + 'over_sar': hp.choice('green_candle', [ + {'enabled': False}, + {'enabled': True} + ]), 'uptrend_sma': hp.choice('uptrend_sma', [ {'enabled': False}, {'enabled': True} From 906caf329b9b0a9687a6a75c53f42b8090525f64 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sat, 11 Nov 2017 10:05:09 +0200 Subject: [PATCH 04/12] remove two unused or poorly performing indicators --- freqtrade/analyze.py | 2 -- freqtrade/tests/test_hyperopt.py | 8 +------- 2 files changed, 1 insertion(+), 9 deletions(-) diff --git a/freqtrade/analyze.py b/freqtrade/analyze.py index 5c734b24e..e9ef9c290 100644 --- a/freqtrade/analyze.py +++ b/freqtrade/analyze.py @@ -39,9 +39,7 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame: dataframe['sma'] = ta.SMA(dataframe, timeperiod=40) dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9) dataframe['mfi'] = ta.MFI(dataframe) - dataframe['cci'] = ta.CCI(dataframe) dataframe['rsi'] = ta.RSI(dataframe) - dataframe['mom'] = ta.MOM(dataframe) dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5) dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10) dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index fce55fb08..40dd62607 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -32,8 +32,6 @@ def buy_strategy_generator(params): conditions.append(dataframe['fastd'] < params['fastd']['value']) if params['adx']['enabled']: conditions.append(dataframe['adx'] > params['adx']['value']) - if params['cci']['enabled']: - conditions.append(dataframe['cci'] < params['cci']['value']) if params['rsi']['enabled']: conditions.append(dataframe['rsi'] < params['rsi']['value']) if params['over_sar']['enabled']: @@ -99,11 +97,7 @@ def test_hyperopt(backtest_conf, backdata, mocker): ]), 'adx': hp.choice('adx', [ {'enabled': False}, - {'enabled': True, 'value': hp.uniform('adx-value', 10, 30)} - ]), - 'cci': hp.choice('cci', [ - {'enabled': False}, - {'enabled': True, 'value': hp.uniform('cci-value', -150, -100)} + {'enabled': True, 'value': hp.uniform('adx-value', 10, 50)} ]), 'rsi': hp.choice('rsi', [ {'enabled': False}, From a4284351e3d10e11bc95a79f8c9194ad1a5943fb Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sat, 11 Nov 2017 10:26:04 +0200 Subject: [PATCH 05/12] fix green_candle --- freqtrade/tests/test_hyperopt.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index 40dd62607..b1c546f34 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -111,7 +111,7 @@ def test_hyperopt(backtest_conf, backdata, mocker): {'enabled': False}, {'enabled': True} ]), - 'over_sar': hp.choice('green_candle', [ + 'green_candle': hp.choice('green_candle', [ {'enabled': False}, {'enabled': True} ]), From cf79b15651b55abab8cd8031aa7d67eb948bdf3d Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sat, 11 Nov 2017 11:50:10 +0200 Subject: [PATCH 06/12] use discrete values for filters --- freqtrade/tests/test_hyperopt.py | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index b1c546f34..d41f1a7ef 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -89,19 +89,19 @@ def test_hyperopt(backtest_conf, backdata, mocker): space = { 'mfi': hp.choice('mfi', [ {'enabled': False}, - {'enabled': True, 'value': hp.uniform('mfi-value', 5, 15)} + {'enabled': True, 'value': hp.quniform('mfi-value', 5, 15, 1)} ]), 'fastd': hp.choice('fastd', [ {'enabled': False}, - {'enabled': True, 'value': hp.uniform('fastd-value', 5, 40)} + {'enabled': True, 'value': hp.quniform('fastd-value', 5, 40, 1)} ]), 'adx': hp.choice('adx', [ {'enabled': False}, - {'enabled': True, 'value': hp.uniform('adx-value', 10, 50)} + {'enabled': True, 'value': hp.quniform('adx-value', 10, 50, 1)} ]), 'rsi': hp.choice('rsi', [ {'enabled': False}, - {'enabled': True, 'value': hp.uniform('rsi-value', 20, 30)} + {'enabled': True, 'value': hp.quniform('rsi-value', 20, 30, 1)} ]), 'uptrend_long_ema': hp.choice('uptrend_long_ema', [ {'enabled': False}, From 15b20b83faed9087089024aafcde267f5e5e3bbd Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 12 Nov 2017 08:30:58 +0200 Subject: [PATCH 07/12] optimize hyperopt objective function --- freqtrade/tests/test_hyperopt.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index d41f1a7ef..b501f35cc 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -15,7 +15,7 @@ from freqtrade.vendor.qtpylib.indicators import crossed_above 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 +TARGET_TRADES = 1300 def buy_strategy_generator(params): @@ -77,8 +77,8 @@ def test_hyperopt(backtest_conf, backdata, mocker): 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) + trade_loss = 1 - 0.4 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.2) + profit_loss = max(0, 1 - total_profit / 15000) # max profit 15000 return { 'loss': trade_loss + profit_loss, From 2963a90008723f3c2797915686e0f04663dbf9f0 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 12 Nov 2017 08:38:52 +0200 Subject: [PATCH 08/12] add stochastics trigger --- freqtrade/tests/test_hyperopt.py | 2 ++ 1 file changed, 2 insertions(+) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index b501f35cc..33fd1e69b 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -50,6 +50,7 @@ def buy_strategy_generator(params): 'ema5_cross_ema10': (crossed_above(dataframe['ema5'], dataframe['ema10'])), 'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])), 'sar_reversal': (crossed_above(dataframe['close'], dataframe['sar'])), + 'stochf_cross': (crossed_above(dataframe['fastk'], dataframe['fastd'])), } conditions.append(triggers.get(params['trigger']['type'])) @@ -126,6 +127,7 @@ def test_hyperopt(backtest_conf, backdata, mocker): {'type': 'ema5_cross_ema10'}, {'type': 'macd_cross_signal'}, {'type': 'sar_reversal'}, + {'type': 'stochf_cross'}, ]), } trials = Trials() From 13537e3ce4a477acf4d73276d5a4a6ceae16f48b Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 12 Nov 2017 08:45:32 +0200 Subject: [PATCH 09/12] add short ema guard to hyperopt --- freqtrade/tests/test_hyperopt.py | 6 ++++++ 1 file changed, 6 insertions(+) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index 33fd1e69b..d8d1a712a 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -26,6 +26,8 @@ def buy_strategy_generator(params): # GUARDS AND TRENDS if params['uptrend_long_ema']['enabled']: conditions.append(dataframe['ema50'] > dataframe['ema100']) + if params['uptrend_short_ema']['enabled']: + conditions.append(dataframe['ema5'] > dataframe['ema10']) if params['mfi']['enabled']: conditions.append(dataframe['mfi'] < params['mfi']['value']) if params['fastd']['enabled']: @@ -108,6 +110,10 @@ def test_hyperopt(backtest_conf, backdata, mocker): {'enabled': False}, {'enabled': True} ]), + 'uptrend_short_ema': hp.choice('uptrend_short_ema', [ + {'enabled': False}, + {'enabled': True} + ]), 'over_sar': hp.choice('over_sar', [ {'enabled': False}, {'enabled': True} From 660f01b51432b4d844cd45cdcdabfd16abc741c9 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 12 Nov 2017 09:13:54 +0200 Subject: [PATCH 10/12] add hilbert transform leadsine trigger --- freqtrade/analyze.py | 3 +++ freqtrade/tests/test_hyperopt.py | 2 ++ 2 files changed, 5 insertions(+) diff --git a/freqtrade/analyze.py b/freqtrade/analyze.py index e9ef9c290..3143abc1f 100644 --- a/freqtrade/analyze.py +++ b/freqtrade/analyze.py @@ -49,6 +49,9 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame: dataframe['macd'] = macd['macd'] dataframe['macdsignal'] = macd['macdsignal'] dataframe['macdhist'] = macd['macdhist'] + hilbert = ta.HT_SINE(dataframe) + dataframe['htsine'] = hilbert['sine'] + dataframe['htleadsine'] = hilbert['leadsine'] return dataframe diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index d8d1a712a..9e33829b9 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -53,6 +53,7 @@ def buy_strategy_generator(params): 'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])), 'sar_reversal': (crossed_above(dataframe['close'], dataframe['sar'])), 'stochf_cross': (crossed_above(dataframe['fastk'], dataframe['fastd'])), + 'ht_sine': (crossed_above(dataframe['htleadsine'], dataframe['htsine'])), } conditions.append(triggers.get(params['trigger']['type'])) @@ -134,6 +135,7 @@ def test_hyperopt(backtest_conf, backdata, mocker): {'type': 'macd_cross_signal'}, {'type': 'sar_reversal'}, {'type': 'stochf_cross'}, + {'type': 'ht_sine'}, ]), } trials = Trials() From 8e68c5358e52bcce91966f118d1ae4f4157ea284 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Sun, 12 Nov 2017 09:44:31 +0200 Subject: [PATCH 11/12] clean up prints during hyperopt --- freqtrade/tests/test_hyperopt.py | 12 +++++++----- 1 file changed, 7 insertions(+), 5 deletions(-) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index 9e33829b9..d90d90689 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -16,11 +16,10 @@ 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 = 1300 - +TOTAL_TRIES = 4 +current_tries = 0 def buy_strategy_generator(params): - print(params) - def populate_buy_trend(dataframe: DataFrame) -> DataFrame: conditions = [] # GUARDS AND TRENDS @@ -76,7 +75,6 @@ def test_hyperopt(backtest_conf, backdata, mocker): results = backtest(backtest_conf, backdata, mocker) result = format_results(results) - print(result) total_profit = results.profit.sum() * 1000 trade_count = len(results.index) @@ -84,6 +82,10 @@ def test_hyperopt(backtest_conf, backdata, mocker): trade_loss = 1 - 0.4 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.2) profit_loss = max(0, 1 - total_profit / 15000) # max profit 15000 + global current_tries + current_tries += 1 + print('{}/{}: {}'.format(current_tries, TOTAL_TRIES, result)) + return { 'loss': trade_loss + profit_loss, 'status': STATUS_OK, @@ -139,7 +141,7 @@ def test_hyperopt(backtest_conf, backdata, mocker): ]), } trials = Trials() - best = fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=4, trials=trials) + best = fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=TOTAL_TRIES, trials=trials) print('\n\n\n\n==================== HYPEROPT BACKTESTING REPORT ==============================') print('Best parameters {}'.format(best)) newlist = sorted(trials.results, key=itemgetter('loss')) From 0f0b10b6cc7f4f354021fbc4d26afab6beb4e908 Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Mon, 13 Nov 2017 07:28:56 +0200 Subject: [PATCH 12/12] adjust search spaces --- freqtrade/tests/test_hyperopt.py | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/freqtrade/tests/test_hyperopt.py b/freqtrade/tests/test_hyperopt.py index d90d90689..bece2edae 100644 --- a/freqtrade/tests/test_hyperopt.py +++ b/freqtrade/tests/test_hyperopt.py @@ -95,19 +95,19 @@ def test_hyperopt(backtest_conf, backdata, mocker): space = { 'mfi': hp.choice('mfi', [ {'enabled': False}, - {'enabled': True, 'value': hp.quniform('mfi-value', 5, 15, 1)} + {'enabled': True, 'value': hp.quniform('mfi-value', 5, 25, 1)} ]), 'fastd': hp.choice('fastd', [ {'enabled': False}, - {'enabled': True, 'value': hp.quniform('fastd-value', 5, 40, 1)} + {'enabled': True, 'value': hp.quniform('fastd-value', 10, 50, 1)} ]), 'adx': hp.choice('adx', [ {'enabled': False}, - {'enabled': True, 'value': hp.quniform('adx-value', 10, 50, 1)} + {'enabled': True, 'value': hp.quniform('adx-value', 15, 50, 1)} ]), 'rsi': hp.choice('rsi', [ {'enabled': False}, - {'enabled': True, 'value': hp.quniform('rsi-value', 20, 30, 1)} + {'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 1)} ]), 'uptrend_long_ema': hp.choice('uptrend_long_ema', [ {'enabled': False},