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Merge branch 'develop' into feat/short

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This commit is contained in:
Matthias
2021-10-30 19:45:19 +02:00
parent 4966619f1d c34b8a95d7
commit c094ac5762
22 changed files with 367 additions and 179 deletions
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11
freqtrade/constants.py
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@@ -25,6 +25,7 @@ ORDERTIF_POSSIBILITIES = ['gtc', 'fok', 'ioc']
HYPEROPT_LOSS_BUILTIN = ['ShortTradeDurHyperOptLoss', 'OnlyProfitHyperOptLoss',
'SharpeHyperOptLoss', 'SharpeHyperOptLossDaily',
'SortinoHyperOptLoss', 'SortinoHyperOptLossDaily',
'CalmarHyperOptLoss',
'MaxDrawDownHyperOptLoss']
AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'OffsetFilter', 'PerformanceFilter',
@@ -55,7 +56,6 @@ ENV_VAR_PREFIX = 'FREQTRADE__'
NON_OPEN_EXCHANGE_STATES = ('cancelled', 'canceled', 'closed', 'expired')
# Define decimals per coin for outputs
# Only used for outputs.
DECIMAL_PER_COIN_FALLBACK = 3 # Should be low to avoid listing all possible FIAT's
@@ -69,7 +69,6 @@ DUST_PER_COIN = {
'ETH': 0.01
}
# Source files with destination directories within user-directory
USER_DATA_FILES = {
'sample_strategy.py': USERPATH_STRATEGIES,
@@ -355,13 +354,13 @@ CONF_SCHEMA = {
},
'dataformat_ohlcv': {
'type': 'string',
'enum': AVAILABLE_DATAHANDLERS,
'default': 'json'
'enum': AVAILABLE_DATAHANDLERS,
'default': 'json'
},
'dataformat_trades': {
'type': 'string',
'enum': AVAILABLE_DATAHANDLERS,
'default': 'jsongz'
'enum': AVAILABLE_DATAHANDLERS,
'default': 'jsongz'
}
},
'definitions': {

64
freqtrade/optimize/hyperopt_loss_calmar.py Normal file
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@@ -0,0 +1,64 @@
"""
CalmarHyperOptLoss
This module defines the alternative HyperOptLoss class which can be used for
Hyperoptimization.
"""
from datetime import datetime
from math import sqrt as msqrt
from typing import Any, Dict
from pandas import DataFrame
from freqtrade.data.btanalysis import calculate_max_drawdown
from freqtrade.optimize.hyperopt import IHyperOptLoss
class CalmarHyperOptLoss(IHyperOptLoss):
"""
Defines the loss function for hyperopt.
This implementation uses the Calmar Ratio calculation.
"""
@staticmethod
def hyperopt_loss_function(
results: DataFrame,
trade_count: int,
min_date: datetime,
max_date: datetime,
config: Dict,
processed: Dict[str, DataFrame],
backtest_stats: Dict[str, Any],
*args,
**kwargs
) -> float:
"""
Objective function, returns smaller number for more optimal results.
Uses Calmar Ratio calculation.
"""
total_profit = backtest_stats["profit_total"]
days_period = (max_date - min_date).days
# adding slippage of 0.1% per trade
total_profit = total_profit - 0.0005
expected_returns_mean = total_profit.sum() / days_period * 100
# calculate max drawdown
try:
_, _, _, high_val, low_val = calculate_max_drawdown(
results, value_col="profit_abs"
)
max_drawdown = (high_val - low_val) / high_val
except ValueError:
max_drawdown = 0
if max_drawdown != 0:
calmar_ratio = expected_returns_mean / max_drawdown * msqrt(365)
else:
# Define high (negative) calmar ratio to be clear that this is NOT optimal.
calmar_ratio = -20.0
# print(expected_returns_mean, max_drawdown, calmar_ratio)
return -calmar_ratio

10
freqtrade/optimize/hyperopt_tools.py
View File

@@ -1,4 +1,3 @@
import io
import logging
from copy import deepcopy
@@ -64,10 +63,11 @@ class HyperoptTools():
'export_time': datetime.now(timezone.utc),
}
logger.info(f"Dumping parameters to {filename}")
rapidjson.dump(final_params, filename.open('w'), indent=2,
default=hyperopt_serializer,
number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN
)
with filename.open('w') as f:
rapidjson.dump(final_params, f, indent=2,
default=hyperopt_serializer,
number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN
)
@staticmethod
def try_export_params(config: Dict[str, Any], strategy_name: str, params: Dict):

18
freqtrade/optimize/space/decimalspace.py
View File

@@ -7,11 +7,15 @@ class SKDecimal(Integer):
def __init__(self, low, high, decimals=3, prior="uniform", base=10, transform=None,
name=None, dtype=np.int64):
self.decimals = decimals
_low = int(low * pow(10, self.decimals))
_high = int(high * pow(10, self.decimals))
self.pow_dot_one = pow(0.1, self.decimals)
self.pow_ten = pow(10, self.decimals)
_low = int(low * self.pow_ten)
_high = int(high * self.pow_ten)
# 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)
self.low_orig = round(_low * self.pow_dot_one, self.decimals)
self.high_orig = round(_high * self.pow_dot_one, self.decimals)
super().__init__(_low, _high, prior, base, transform, name, dtype)
@@ -25,9 +29,9 @@ class SKDecimal(Integer):
return self.low_orig <= point <= self.high_orig
def transform(self, Xt):
aa = [int(x * pow(10, self.decimals)) for x in Xt]
return super().transform(aa)
return super().transform([int(v * self.pow_ten) for v in Xt])
def inverse_transform(self, Xt):
res = super().inverse_transform(Xt)
return [round(x * pow(0.1, self.decimals), self.decimals) for x in res]
# equivalent to [round(x * pow(0.1, self.decimals), self.decimals) for x in res]
return [int(v) / self.pow_ten for v in res]

3
freqtrade/persistence/models.py
View File

@@ -1123,7 +1123,7 @@ class PairLock(_DECL_BASE):
lock_time = self.lock_time.strftime(DATETIME_PRINT_FORMAT)
lock_end_time = self.lock_end_time.strftime(DATETIME_PRINT_FORMAT)
return (f'PairLock(id={self.id}, pair={self.pair}, lock_time={lock_time}, '
f'lock_end_time={lock_end_time})')
f'lock_end_time={lock_end_time}, reason={self.reason}, active={self.active})')
@staticmethod
def query_pair_locks(pair: Optional[str], now: datetime) -> Query:
@@ -1132,7 +1132,6 @@ class PairLock(_DECL_BASE):
:param pair: Pair to check for. Returns all current locks if pair is empty
:param now: Datetime object (generated via datetime.now(timezone.utc)).
"""
filters = [PairLock.lock_end_time > now,
# Only active locks
PairLock.active.is_(True), ]

34
freqtrade/persistence/pairlock_middleware.py
View File

@@ -103,6 +103,36 @@ class PairLocks():
if PairLocks.use_db:
PairLock.query.session.commit()
@staticmethod
def unlock_reason(reason: str, now: Optional[datetime] = None) -> None:
"""
Release all locks for this reason.
:param reason: Which reason to unlock
:param now: Datetime object (generated via datetime.now(timezone.utc)).
defaults to datetime.now(timezone.utc)
"""
if not now:
now = datetime.now(timezone.utc)
if PairLocks.use_db:
# used in live modes
logger.info(f"Releasing all locks with reason '{reason}':")
filters = [PairLock.lock_end_time > now,
PairLock.active.is_(True),
PairLock.reason == reason
]
locks = PairLock.query.filter(*filters)
for lock in locks:
logger.info(f"Releasing lock for {lock.pair} with reason '{reason}'.")
lock.active = False
PairLock.query.session.commit()
else:
# used in backtesting mode; don't show log messages for speed
locks = PairLocks.get_pair_locks(None)
for lock in locks:
if lock.reason == reason:
lock.active = False
@staticmethod
def is_global_lock(now: Optional[datetime] = None) -> bool:
"""
@@ -128,7 +158,9 @@ class PairLocks():
@staticmethod
def get_all_locks() -> List[PairLock]:
"""
Return all locks, also locks with expired end date
"""
if PairLocks.use_db:
return PairLock.query.all()
else:

4
freqtrade/resolvers/iresolver.py
View File

@@ -91,7 +91,7 @@ class IResolver:
logger.debug(f"Searching for {cls.object_type.__name__} {object_name} in '{directory}'")
for entry in directory.iterdir():
# Only consider python files
if not str(entry).endswith('.py'):
if entry.suffix != '.py':
logger.debug('Ignoring %s', entry)
continue
if entry.is_symlink() and not entry.is_file():
@@ -169,7 +169,7 @@ class IResolver:
objects = []
for entry in directory.iterdir():
# Only consider python files
if not str(entry).endswith('.py'):
if entry.suffix != '.py':
logger.debug('Ignoring %s', entry)
continue
module_path = entry.resolve()

18
freqtrade/resolvers/strategy_resolver.py
View File

@@ -56,17 +56,21 @@ class StrategyResolver(IResolver):
if strategy._ft_params_from_file:
# Set parameters from Hyperopt results file
params = strategy._ft_params_from_file
strategy.minimal_roi = params.get('roi', strategy.minimal_roi)
strategy.minimal_roi = params.get('roi', getattr(strategy, 'minimal_roi', {}))
strategy.stoploss = params.get('stoploss', {}).get('stoploss', strategy.stoploss)
strategy.stoploss = params.get('stoploss', {}).get(
'stoploss', getattr(strategy, 'stoploss', -0.1))
trailing = params.get('trailing', {})
strategy.trailing_stop = trailing.get('trailing_stop', strategy.trailing_stop)
strategy.trailing_stop_positive = trailing.get('trailing_stop_positive',
strategy.trailing_stop_positive)
strategy.trailing_stop = trailing.get(
'trailing_stop', getattr(strategy, 'trailing_stop', False))
strategy.trailing_stop_positive = trailing.get(
'trailing_stop_positive', getattr(strategy, 'trailing_stop_positive', None))
strategy.trailing_stop_positive_offset = trailing.get(
'trailing_stop_positive_offset', strategy.trailing_stop_positive_offset)
'trailing_stop_positive_offset',
getattr(strategy, 'trailing_stop_positive_offset', 0))
strategy.trailing_only_offset_is_reached = trailing.get(
'trailing_only_offset_is_reached', strategy.trailing_only_offset_is_reached)
'trailing_only_offset_is_reached',
getattr(strategy, 'trailing_only_offset_is_reached', 0.0))
# Set attributes
# Check if we need to override configuration

3
freqtrade/rpc/telegram.py
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@@ -1033,7 +1033,8 @@ class Telegram(RPCHandler):
:return: None
"""
forcebuy_text = ("*/forcebuy <pair> [<rate>]:* `Instantly buys the given pair. "
"Optionally takes a rate at which to buy.` \n")
"Optionally takes a rate at which to buy "
"(only applies to limit orders).` \n")
message = ("*/start:* `Starts the trader`\n"
"*/stop:* `Stops the trader`\n"
"*/status <trade_id>|[table]:* `Lists all open trades`\n"

3
freqtrade/strategy/hyper.py
View File

@@ -381,7 +381,8 @@ class HyperStrategyMixin(object):
if filename.is_file():
logger.info(f"Loading parameters from file {filename}")
try:
params = json_load(filename.open('r'))
with filename.open('r') as f:
params = json_load(f)
if params.get('strategy_name') != self.__class__.__name__:
raise OperationalException('Invalid parameter file provided.')
return params

13
freqtrade/strategy/interface.py
View File

@@ -65,9 +65,9 @@ class IStrategy(ABC, HyperStrategyMixin):
_populate_fun_len: int = 0
_buy_fun_len: int = 0
_sell_fun_len: int = 0
_ft_params_from_file: Dict = {}
_ft_params_from_file: Dict
# associated minimal roi
minimal_roi: Dict
minimal_roi: Dict = {}
# associated stoploss
stoploss: float
@@ -462,6 +462,15 @@ class IStrategy(ABC, HyperStrategyMixin):
"""
PairLocks.unlock_pair(pair, datetime.now(timezone.utc))
def unlock_reason(self, reason: str) -> None:
"""
Unlocks all pairs previously locked using lock_pair with specified reason.
Not used by freqtrade itself, but intended to be used if users lock pairs
manually from within the strategy, to allow an easy way to unlock pairs.
:param reason: Unlock pairs to allow trading again
"""
PairLocks.unlock_reason(reason, datetime.now(timezone.utc))
def is_pair_locked(self, pair: str, candle_date: datetime = None) -> bool:
"""
Checks if a pair is currently locked