adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

added CalmarHyperOpt to hyperopt.md

Browse Source 
i added CalmarHyperOpt to hyperopt.md and gave a brief description inside the docs
This commit is contained in:
Robert Roman 2021-09-23 21:48:08 -05:00 committed by GitHub
parent b2ac039d5c
commit ca20e17d40
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
1 changed files with 16 additions and 11 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

27
docs/hyperopt.md
View File

@ -44,8 +44,9 @@ usage: freqtrade hyperopt [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
[--data-format-ohlcv {json,jsongz,hdf5}] [--data-format-ohlcv {json,jsongz,hdf5}]
[--max-open-trades INT] [--max-open-trades INT]
[--stake-amount STAKE_AMOUNT] [--fee FLOAT] [--stake-amount STAKE_AMOUNT] [--fee FLOAT]
[-p PAIRS [PAIRS ...]] [--hyperopt-path PATH] [-p PAIRS [PAIRS ...]] [--hyperopt NAME]
[--eps] [--dmmp] [--enable-protections] [--hyperopt-path PATH] [--eps] [--dmmp]
[--enable-protections]
[--dry-run-wallet DRY_RUN_WALLET] [-e INT] [--dry-run-wallet DRY_RUN_WALLET] [-e INT]
[--spaces {all,buy,sell,roi,stoploss,trailing,protection,default} [{all,buy,sell,roi,stoploss,trailing,protection,default} ...]] [--spaces {all,buy,sell,roi,stoploss,trailing,protection,default} [{all,buy,sell,roi,stoploss,trailing,protection,default} ...]]
[--print-all] [--no-color] [--print-json] [-j JOBS] [--print-all] [--no-color] [--print-json] [-j JOBS]
@ -72,8 +73,10 @@ optional arguments:
-p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...] -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
Limit command to these pairs. Pairs are space- Limit command to these pairs. Pairs are space-
separated. separated.
--hyperopt-path PATH Specify additional lookup path for Hyperopt Loss --hyperopt NAME Specify hyperopt class name which will be used by the
functions. bot.
--hyperopt-path PATH Specify additional lookup path for Hyperopt and
Hyperopt Loss functions.
--eps, --enable-position-stacking --eps, --enable-position-stacking
Allow buying the same pair multiple times (position Allow buying the same pair multiple times (position
stacking). stacking).
@ -114,7 +117,8 @@ optional arguments:
Hyperopt-loss-functions are: Hyperopt-loss-functions are:
ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss, ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
SharpeHyperOptLoss, SharpeHyperOptLossDaily, SharpeHyperOptLoss, SharpeHyperOptLossDaily,
SortinoHyperOptLoss, SortinoHyperOptLossDaily SortinoHyperOptLoss, SortinoHyperOptLossDaily,
CalmarHyperOptLoss
--disable-param-export --disable-param-export
Disable automatic hyperopt parameter export. Disable automatic hyperopt parameter export.
@ -518,6 +522,7 @@ Currently, the following loss functions are builtin:
* `SharpeHyperOptLossDaily` (optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation) * `SharpeHyperOptLossDaily` (optimizes Sharpe Ratio calculated on **daily** trade returns relative to standard deviation)
* `SortinoHyperOptLoss` (optimizes Sortino Ratio calculated on trade returns relative to **downside** standard deviation) * `SortinoHyperOptLoss` (optimizes Sortino Ratio calculated on trade returns relative to **downside** standard deviation)
* `SortinoHyperOptLossDaily` (optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation) * `SortinoHyperOptLossDaily` (optimizes Sortino Ratio calculated on **daily** trade returns relative to **downside** standard deviation)
* `CalmarHyperOptLoss` (optimizes Calmar Ratio calculated on trade returns relative to max drawdown)
Creation of a custom loss function is covered in the [Advanced Hyperopt](advanced-hyperopt.md) part of the documentation. Creation of a custom loss function is covered in the [Advanced Hyperopt](advanced-hyperopt.md) part of the documentation.
@ -555,7 +560,7 @@ For example, to use one month of data, pass `--timerange 20210101-20210201` (fro
Full command: Full command:
```bash ```bash
freqtrade hyperopt --strategy <strategyname> --timerange 20210101-20210201 freqtrade hyperopt --hyperopt <hyperoptname> --strategy <strategyname> --timerange 20210101-20210201
``` ```
### Running Hyperopt with Smaller Search Space ### Running Hyperopt with Smaller Search Space
@ -677,11 +682,11 @@ If you are optimizing ROI, Freqtrade creates the 'roi' optimization hyperspace f
These ranges should be sufficient in most cases. The minutes in the steps (ROI dict keys) are scaled linearly depending on the timeframe used. The ROI values in the steps (ROI dict values) are scaled logarithmically depending on the timeframe used. These ranges should be sufficient in most cases. The minutes in the steps (ROI dict keys) are scaled linearly depending on the timeframe used. The ROI values in the steps (ROI dict values) are scaled logarithmically depending on the timeframe used.
If you have the `generate_roi_table()` and `roi_space()` methods in your custom hyperopt, remove them in order to utilize these adaptive ROI tables and the ROI hyperoptimization space generated by Freqtrade by default. If you have the `generate_roi_table()` and `roi_space()` methods in your custom hyperopt file, remove them in order to utilize these adaptive ROI tables and the ROI hyperoptimization space generated by Freqtrade by default.
Override the `roi_space()` method if you need components of the ROI tables to vary in other ranges. Override the `generate_roi_table()` and `roi_space()` methods and implement your own custom approach for generation of the ROI tables during hyperoptimization if you need a different structure of the ROI tables or other amount of rows (steps). Override the `roi_space()` method if you need components of the ROI tables to vary in other ranges. Override the `generate_roi_table()` and `roi_space()` methods and implement your own custom approach for generation of the ROI tables during hyperoptimization if you need a different structure of the ROI tables or other amount of rows (steps).
A sample for these methods can be found in the [overriding pre-defined spaces section](advanced-hyperopt.md#overriding-pre-defined-spaces). A sample for these methods can be found in [sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py).
!!! Note "Reduced search space" !!! Note "Reduced search space"
To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs.
@ -723,7 +728,7 @@ If you are optimizing stoploss values, Freqtrade creates the 'stoploss' optimiza
If you have the `stoploss_space()` method in your custom hyperopt file, remove it in order to utilize Stoploss hyperoptimization space generated by Freqtrade by default. If you have the `stoploss_space()` method in your custom hyperopt file, remove it in order to utilize Stoploss hyperoptimization space generated by Freqtrade by default.
Override the `stoploss_space()` method and define the desired range in it if you need stoploss values to vary in other range during hyperoptimization. A sample for this method can be found in the [overriding pre-defined spaces section](advanced-hyperopt.md#overriding-pre-defined-spaces). Override the `stoploss_space()` method and define the desired range in it if you need stoploss values to vary in other range during hyperoptimization. A sample for this method can be found in [user_data/hyperopts/sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py).
!!! Note "Reduced search space" !!! Note "Reduced search space"
To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs.
@ -761,10 +766,10 @@ As stated in the comment, you can also use it as the values of the corresponding
If you are optimizing trailing stop values, Freqtrade creates the 'trailing' optimization hyperspace for you. By default, the `trailing_stop` parameter is always set to True in that hyperspace, the value of the `trailing_only_offset_is_reached` vary between True and False, the values of the `trailing_stop_positive` and `trailing_stop_positive_offset` parameters vary in the ranges 0.02...0.35 and 0.01...0.1 correspondingly, which is sufficient in most cases. If you are optimizing trailing stop values, Freqtrade creates the 'trailing' optimization hyperspace for you. By default, the `trailing_stop` parameter is always set to True in that hyperspace, the value of the `trailing_only_offset_is_reached` vary between True and False, the values of the `trailing_stop_positive` and `trailing_stop_positive_offset` parameters vary in the ranges 0.02...0.35 and 0.01...0.1 correspondingly, which is sufficient in most cases.
Override the `trailing_space()` method and define the desired range in it if you need values of the trailing stop parameters to vary in other ranges during hyperoptimization. A sample for this method can be found in the [overriding pre-defined spaces section](advanced-hyperopt.md#overriding-pre-defined-spaces). Override the `trailing_space()` method and define the desired range in it if you need values of the trailing stop parameters to vary in other ranges during hyperoptimization. A sample for this method can be found in [user_data/hyperopts/sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py).
!!! Note "Reduced search space" !!! Note "Reduced search space"
To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#overriding-pre-defined-spaces) to change this to your needs. To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs.
### Reproducible results ### Reproducible results