Merge branch 'develop' into support_multiple_ticker
This commit is contained in:
Jean-Baptiste LE STANG
commit
c9e1fd3fc4
@ -74,6 +74,8 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame:
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# Plus Directional Indicator / Movement
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dataframe['plus_dm'] = ta.PLUS_DM(dataframe)
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dataframe['plus_di'] = ta.PLUS_DI(dataframe)
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dataframe['minus_di'] = ta.MINUS_DI(dataframe)
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"""
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# ROC
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dataframe['roc'] = ta.ROC(dataframe)
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@ -114,13 +116,14 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame:
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dataframe['blower'] = ta.BBANDS(dataframe, nbdevup=2, nbdevdn=2)['lowerband']
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"""
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# Bollinger bands
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"""
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bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
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dataframe['bb_lowerband'] = bollinger['lower']
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dataframe['bb_middleband'] = bollinger['mid']
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dataframe['bb_upperband'] = bollinger['upper']
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"""
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# EMA - Exponential Moving Average
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dataframe['ema3'] = ta.EMA(dataframe, timeperiod=3)
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dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
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dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
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dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
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@ -210,14 +213,12 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame:
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# Chart type
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# ------------------------------------
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"""
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# Heikinashi stategy
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heikinashi = qtpylib.heikinashi(dataframe)
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dataframe['ha_open'] = heikinashi['open']
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dataframe['ha_close'] = heikinashi['close']
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dataframe['ha_high'] = heikinashi['high']
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dataframe['ha_low'] = heikinashi['low']
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"""
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return dataframe
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@ -30,18 +30,19 @@ logging.getLogger('hyperopt.tpe').setLevel(logging.WARNING)
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logger = logging.getLogger(__name__)
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# set TARGET_TRADES to suit your number concurrent trades so its realistic to 20days of data
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TARGET_TRADES = 1100
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TARGET_TRADES = 600
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TOTAL_TRIES = 0
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_CURRENT_TRIES = 0
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CURRENT_BEST_LOSS = 100
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# max average trade duration in minutes
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# if eval ends with higher value, we consider it a failed eval
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MAX_ACCEPTED_TRADE_DURATION = 240
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MAX_ACCEPTED_TRADE_DURATION = 300
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# this is expexted avg profit * expected trade count
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# for example 3.5%, 1100 trades, EXPECTED_MAX_PROFIT = 3.85
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EXPECTED_MAX_PROFIT = 3.85
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# check that the reported Σ% values do not exceed this!
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EXPECTED_MAX_PROFIT = 3.0
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# Configuration and data used by hyperopt
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PROCESSED = None # optimize.preprocess(optimize.load_data())
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@ -57,6 +58,10 @@ main._CONF = OPTIMIZE_CONFIG
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SPACE = {
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'macd_below_zero': hp.choice('macd_below_zero', [
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{'enabled': False},
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{'enabled': True}
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]),
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'mfi': hp.choice('mfi', [
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{'enabled': False},
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{'enabled': True, 'value': hp.quniform('mfi-value', 5, 25, 1)}
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@ -95,13 +100,15 @@ SPACE = {
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]),
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'trigger': hp.choice('trigger', [
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{'type': 'lower_bb'},
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{'type': 'lower_bb_tema'},
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{'type': 'faststoch10'},
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{'type': 'ao_cross_zero'},
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{'type': 'ema5_cross_ema10'},
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{'type': 'ema3_cross_ema10'},
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{'type': 'macd_cross_signal'},
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{'type': 'sar_reversal'},
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{'type': 'stochf_cross'},
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{'type': 'ht_sine'},
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{'type': 'heiken_reversal_bull'},
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{'type': 'di_cross'},
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]),
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'stoploss': hp.uniform('stoploss', -0.5, -0.02),
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}
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@ -133,10 +140,11 @@ def log_results(results):
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if results['loss'] < CURRENT_BEST_LOSS:
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CURRENT_BEST_LOSS = results['loss']
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logger.info('{:5d}/{}: {}'.format(
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logger.info('{:5d}/{}: {}. Loss {:.5f}'.format(
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results['current_tries'],
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results['total_tries'],
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results['result']))
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results['result'],
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results['loss']))
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else:
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print('.', end='')
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sys.stdout.flush()
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@ -144,9 +152,9 @@ def log_results(results):
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def calculate_loss(total_profit: float, trade_count: int, trade_duration: float):
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""" objective function, returns smaller number for more optimal results """
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trade_loss = 1 - 0.35 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.2)
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trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
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profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
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duration_loss = min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
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duration_loss = 0.7 + 0.3 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
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return trade_loss + profit_loss + duration_loss
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@ -190,12 +198,13 @@ def optimizer(params):
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def format_results(results: DataFrame):
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return ('{:6d} trades. Avg profit {: 5.2f}%. '
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'Total profit {: 11.8f} BTC. Avg duration {:5.1f} mins.').format(
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'Total profit {: 11.8f} BTC ({:.4f}Σ%). Avg duration {:5.1f} mins.').format(
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len(results.index),
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results.profit_percent.mean() * 100.0,
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results.profit_BTC.sum(),
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results.profit_percent.sum(),
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results.duration.mean() * 5,
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)
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)
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def buy_strategy_generator(params):
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@ -204,6 +213,8 @@ def buy_strategy_generator(params):
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# GUARDS AND TRENDS
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if params['uptrend_long_ema']['enabled']:
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conditions.append(dataframe['ema50'] > dataframe['ema100'])
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if params['macd_below_zero']['enabled']:
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conditions.append(dataframe['macd'] < 0)
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if params['uptrend_short_ema']['enabled']:
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conditions.append(dataframe['ema5'] > dataframe['ema10'])
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if params['mfi']['enabled']:
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@ -224,14 +235,17 @@ def buy_strategy_generator(params):
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# TRIGGERS
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triggers = {
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'lower_bb': dataframe['tema'] <= dataframe['blower'],
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'lower_bb': (dataframe['close'] < dataframe['bb_lowerband']),
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'lower_bb_tema': (dataframe['tema'] < dataframe['bb_lowerband']),
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'faststoch10': (crossed_above(dataframe['fastd'], 10.0)),
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'ao_cross_zero': (crossed_above(dataframe['ao'], 0.0)),
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'ema5_cross_ema10': (crossed_above(dataframe['ema5'], dataframe['ema10'])),
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'ema3_cross_ema10': (crossed_above(dataframe['ema3'], dataframe['ema10'])),
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'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])),
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'sar_reversal': (crossed_above(dataframe['close'], dataframe['sar'])),
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'stochf_cross': (crossed_above(dataframe['fastk'], dataframe['fastd'])),
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'ht_sine': (crossed_above(dataframe['htleadsine'], dataframe['htsine'])),
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'heiken_reversal_bull': (crossed_above(dataframe['ha_close'], dataframe['ha_open'])) &
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(dataframe['ha_low'] == dataframe['ha_open']),
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'di_cross': (crossed_above(dataframe['plus_di'], dataframe['minus_di'])),
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}
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conditions.append(triggers.get(params['trigger']['type']))
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@ -107,6 +107,7 @@ def test_no_log_if_loss_does_not_improve(mocker):
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def test_fmin_best_results(mocker, caplog):
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fmin_result = {
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"macd_below_zero": 0,
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"adx": 1,
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"adx-value": 15.0,
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"fastd": 1,
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@ -136,7 +137,7 @@ def test_fmin_best_results(mocker, caplog):
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'"adx": {\n "enabled": true,\n "value": 15.0\n },',
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'"green_candle": {\n "enabled": true\n },',
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'"mfi": {\n "enabled": false\n },',
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'"trigger": {\n "type": "ao_cross_zero"\n },',
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'"trigger": {\n "type": "faststoch10"\n },',
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'"stoploss": -0.1',
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]
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