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Update hyperopt-loss to use resolver

This commit is contained in:
Matthias 2019-07-16 06:27:23 +02:00
parent 7d62bb8c53
commit d23179e25c
9 changed files with 177 additions and 120 deletions
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41
docs/hyperopt.md
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@ -153,31 +153,40 @@ add it to the `populate_indicators()` method in `hyperopt.py`.
## Loss-functions
Each hyperparameter tuning requires a target. This is usually defined as a function, which get's closer to 0 for increasing values.
Each hyperparameter tuning requires a target. This is usually defined as a loss function, which get's closer to 0 for increasing values.
By default, freqtrade uses a loss function we call `legacy` - since it's been with freqtrade since the beginning and optimizes for short trade duration.
This can be configured by using the `--loss <value>` argument.
Possible options are:
* `legacy` - The default option, optimizing for short trades and few losses.
* `sharpe` - using the sharpe-ratio to determine the quality of results
* `custom` - Custom defined loss-function [see next section](#using-a-custom-loss-function)
FreqTrade uses a default loss function, which has been with freqtrade since the beginning and optimizes mostly for short trade duration and avoiding losses.
A different version this can be used by using the `--hyperopt-loss <Class-name>` argument.
This class should be in it's own file within the `user_data/hyperopts/` directory.
### Using a custom loss function
To use a custom loss function, make sure that the function `hyperopt_loss_custom` is defined in your custom hyperopt class.
You then need to add the command line parameter `--loss custom` to your hyperopt call so this fuction is being used.
To use a custom loss Class, make sure that the function `hyperopt_loss_function` is defined in your custom hyperopt class.
For the sample below, you then need to add the command line parameter `--hyperoptloss SuperDuperHyperOptLoss` to your hyperopt call so this fuction is being used.
A sample of this can be found below.
A sample of this can be found below, which is identical to the Default Hyperopt loss implementation.
``` python
@staticmethod
def hyperopt_loss_custom(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime, *args, **kwargs) -> float:
TARGET_TRADES = 600
EXPECTED_MAX_PROFIT = 3.0
MAX_ACCEPTED_TRADE_DURATION = 300
class SuperDuperHyperOptLoss(IHyperOptLoss):
"""
Objective function, returns smaller number for more optimal results
Defines the default loss function for hyperopt
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime,
*args, **kwargs) -> float:
"""
Objective function, returns smaller number for better results
This is the legacy algorithm (used until now in freqtrade).
Weights are distributed as follows:
* 0.4 to trade duration
* 0.25: Avoiding trade loss
"""
total_profit = results.profit_percent.sum()
trade_duration = results.trade_duration.mean()

15
freqtrade/configuration/arguments.py
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@ -230,13 +230,12 @@ AVAILABLE_CLI_OPTIONS = {
default=False,
action='store_true',
),
"loss_function": Arg(
'--loss-function',
help='Define the loss-function to use for hyperopt.'
'Possibilities are `legacy`, and `custom` (providing a custom loss-function).'
'Default: `%(default)s`.',
choices=['legacy', 'sharpe', 'custom'],
default='legacy',
"hyperopt_loss": Arg(
'--hyperopt-loss-class',
help='Specify hyperopt loss class name. Can generate completely different results, '
'since the target for optimization is different. (default: `%(default)s`).',
metavar='NAME',
default=constants.DEFAULT_HYPEROPT_LOSS,
),
# List exchanges
"print_one_column": Arg(
@ -325,7 +324,7 @@ ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_pos
ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "position_stacking", "epochs", "spaces",
"use_max_market_positions", "print_all", "hyperopt_jobs",
"hyperopt_random_state", "hyperopt_min_trades",
"hyperopt_continue", "loss_function"]
"hyperopt_continue", "hyperopt_loss"]
ARGS_EDGE = ARGS_COMMON_OPTIMIZE + ["stoploss_range"]

1
freqtrade/constants.py
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@ -12,6 +12,7 @@ HYPEROPT_EPOCH = 100 # epochs
RETRY_TIMEOUT = 30 # sec
DEFAULT_STRATEGY = 'DefaultStrategy'
DEFAULT_HYPEROPT = 'DefaultHyperOpts'
DEFAULT_HYPEROPT_LOSS = 'DefaultHyperOptLoss'
DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
DEFAULT_DB_DRYRUN_URL = 'sqlite://'
UNLIMITED_STAKE_AMOUNT = 'unlimited'

14
freqtrade/optimize/default_hyperopt.py
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@ -10,20 +10,6 @@ from skopt.space import Categorical, Dimension, Integer, Real
import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.optimize.hyperopt_interface import IHyperOpt
# set TARGET_TRADES to suit your number concurrent trades so its realistic
# to the number of days
TARGET_TRADES = 600
# This is assumed to be expected avg profit * expected trade count.
# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
# self.expected_max_profit = 3.85
# Check that the reported Σ% values do not exceed this!
# Note, this is ratio. 3.85 stated above means 385Σ%.
EXPECTED_MAX_PROFIT = 3.0
# max average trade duration in minutes
# if eval ends with higher value, we consider it a failed eval
MAX_ACCEPTED_TRADE_DURATION = 300
class DefaultHyperOpts(IHyperOpt):
"""

51
freqtrade/optimize/default_hyperopt_loss.py Normal file
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@ -0,0 +1,51 @@
"""
IHyperOptLoss interface
This module defines the interface for the loss-function for hyperopts
"""
from math import exp
from pandas import DataFrame
from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss
# Define some constants:
# set TARGET_TRADES to suit your number concurrent trades so its realistic
# to the number of days
TARGET_TRADES = 600
# This is assumed to be expected avg profit * expected trade count.
# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
# self.expected_max_profit = 3.85
# Check that the reported Σ% values do not exceed this!
# Note, this is ratio. 3.85 stated above means 385Σ%.
EXPECTED_MAX_PROFIT = 3.0
# max average trade duration in minutes
# if eval ends with higher value, we consider it a failed eval
MAX_ACCEPTED_TRADE_DURATION = 300
class DefaultHyperOptLoss(IHyperOptLoss):
"""
Defines the default loss function for hyperopt
"""
@staticmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
*args, **kwargs) -> float:
"""
Objective function, returns smaller number for better results
This is the legacy algorithm (used until now in freqtrade).
Weights are distributed as follows:
* 0.4 to trade duration
* 0.25: Avoiding trade loss
"""
total_profit = results.profit_percent.sum()
trade_duration = results.trade_duration.mean()
trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
result = trade_loss + profit_loss + duration_loss
return result

22
freqtrade/optimize/hyperopt.py
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@ -18,12 +18,10 @@ from pandas import DataFrame
from skopt import Optimizer
from skopt.space import Dimension
from freqtrade import OperationalException
from freqtrade.configuration import Arguments
from freqtrade.data.history import load_data, get_timeframe
from freqtrade.optimize.backtesting import Backtesting
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver
from freqtrade.optimize.hyperopt_loss import hyperopt_loss_legacy, hyperopt_loss_sharpe
from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver, HyperOptLossResolver
logger = logging.getLogger(__name__)
@ -48,6 +46,9 @@ class Hyperopt(Backtesting):
super().__init__(config)
self.custom_hyperopt = HyperOptResolver(self.config).hyperopt
self.custom_hyperoptloss = HyperOptLossResolver(self.config).hyperoptloss
self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
# set TARGET_TRADES to suit your number concurrent trades so its realistic
# to the number of days
self.target_trades = 600
@ -74,21 +75,6 @@ class Hyperopt(Backtesting):
self.trials_file = TRIALSDATA_PICKLE
self.trials: List = []
# Assign loss function
if self.config.get('loss_function', 'legacy') == 'legacy':
self.calculate_loss = hyperopt_loss_legacy # type: ignore
elif self.config.get('loss_function', 'sharpe') == 'sharpe':
self.calculate_loss = hyperopt_loss_sharpe # type: ignore
elif (self.config['loss_function'] == 'custom' and
hasattr(self.custom_hyperopt, 'hyperopt_loss_custom')):
self.calculate_loss = self.custom_hyperopt.hyperopt_loss_custom # type: ignore
# Implement fallback to avoid odd crashes when custom-hyperopt fails to load.
if not hasattr(self.custom_hyperopt, 'hyperopt_loss_custom'):
logger.warning("Could not load hyperopt configuration. "
"Falling back to legacy configuration.")
raise OperationalException("Could not load hyperopt loss function.")
# Populate functions here (hasattr is slow so should not be run during "regular" operations)
if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
self.advise_buy = self.custom_hyperopt.populate_buy_trend # type: ignore

64
freqtrade/optimize/hyperopt_loss.py
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@ -1,64 +0,0 @@
from datetime import datetime
from math import exp
import numpy as np
from pandas import DataFrame
# Define some constants:
# set TARGET_TRADES to suit your number concurrent trades so its realistic
# to the number of days
TARGET_TRADES = 600
# This is assumed to be expected avg profit * expected trade count.
# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
# self.expected_max_profit = 3.85
# Check that the reported Σ% values do not exceed this!
# Note, this is ratio. 3.85 stated above means 385Σ%.
EXPECTED_MAX_PROFIT = 3.0
# max average trade duration in minutes
# if eval ends with higher value, we consider it a failed eval
MAX_ACCEPTED_TRADE_DURATION = 300
def hyperopt_loss_legacy(results: DataFrame, trade_count: int,
*args, **kwargs) -> float:
"""
Objective function, returns smaller number for better results
This is the legacy algorithm (used until now in freqtrade).
Weights are distributed as follows:
* 0.4 to trade duration
* 0.25: Avoiding trade loss
"""
total_profit = results.profit_percent.sum()
trade_duration = results.trade_duration.mean()
trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
result = trade_loss + profit_loss + duration_loss
return result
def hyperopt_loss_sharpe(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime, *args, **kwargs) -> float:
"""
Objective function, returns smaller number for more optimal results
Using sharpe ratio calculation
"""
total_profit = results.profit_percent
days_period = (max_date - min_date).days
# adding slippage of 0.1% per trade
total_profit = total_profit - 0.0005
expected_yearly_return = total_profit.sum() / days_period
if (np.std(total_profit) != 0.):
sharp_ratio = expected_yearly_return / np.std(total_profit) * np.sqrt(365)
else:
sharp_ratio = 1.
# print(expected_yearly_return, np.std(total_profit), sharp_ratio)
# Negate sharp-ratio so lower is better (??)
return -sharp_ratio

25
freqtrade/optimize/hyperopt_loss_interface.py Normal file
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@ -0,0 +1,25 @@
"""
IHyperOptLoss interface
This module defines the interface for the loss-function for hyperopts
"""
from abc import ABC, abstractmethod
from datetime import datetime
from pandas import DataFrame
class IHyperOptLoss(ABC):
"""
Interface for freqtrade hyperopts Loss functions.
Defines the custom loss function (`hyperopt_loss_function()` which is evaluated every epoch.)
"""
ticker_interval: str
@staticmethod
@abstractmethod
def hyperopt_loss_function(results: DataFrame, trade_count: int,
min_date: datetime, max_date: datetime, *args, **kwargs) -> float:
"""
Objective function, returns smaller number for better results
"""

66
freqtrade/resolvers/hyperopt_resolver.py
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@ -8,8 +8,9 @@ from pathlib import Path
from typing import Optional, Dict
from freqtrade import OperationalException
from freqtrade.constants import DEFAULT_HYPEROPT
from freqtrade.constants import DEFAULT_HYPEROPT, DEFAULT_HYPEROPT_LOSS
from freqtrade.optimize.hyperopt_interface import IHyperOpt
from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss
from freqtrade.resolvers import IResolver
logger = logging.getLogger(__name__)
@ -77,3 +78,66 @@ class HyperOptResolver(IResolver):
f"Impossible to load Hyperopt '{hyperopt_name}'. This class does not exist "
"or contains Python code errors."
)
class HyperOptLossResolver(IResolver):
"""
This class contains all the logic to load custom hyperopt loss class
"""
__slots__ = ['hyperoptloss']
def __init__(self, config: Optional[Dict] = None) -> None:
"""
Load the custom class from config parameter
:param config: configuration dictionary or None
"""
config = config or {}
# Verify the hyperopt is in the configuration, otherwise fallback to the default hyperopt
hyperopt_name = config.get('hyperopt_loss') or DEFAULT_HYPEROPT_LOSS
self.hyperoptloss = self._load_hyperoptloss(
hyperopt_name, extra_dir=config.get('hyperopt_path'))
# Assign ticker_interval to be used in hyperopt
self.hyperoptloss.__class__.ticker_interval = str(config['ticker_interval'])
if not hasattr(self.hyperoptloss, 'hyperopt_loss_function'):
raise OperationalException(
f"Found hyperopt {hyperopt_name} does not implement `hyperopt_loss_function`.")
def _load_hyperoptloss(
self, hyper_loss_name: str, extra_dir: Optional[str] = None) -> IHyperOptLoss:
"""
Search and loads the specified hyperopt loss class.
:param hyper_loss_name: name of the module to import
:param extra_dir: additional directory to search for the given hyperopt
:return: HyperOptLoss instance or None
"""
current_path = Path(__file__).parent.parent.joinpath('optimize').resolve()
abs_paths = [
current_path.parent.parent.joinpath('user_data/hyperopts'),
current_path,
]
if extra_dir:
# Add extra hyperopt directory on top of search paths
abs_paths.insert(0, Path(extra_dir))
for _path in abs_paths:
try:
(hyperoptloss, module_path) = self._search_object(directory=_path,
object_type=IHyperOptLoss,
object_name=hyper_loss_name)
if hyperoptloss:
logger.info(
f"Using resolved hyperopt {hyper_loss_name} from '{module_path}'...")
return hyperoptloss
except FileNotFoundError:
logger.warning('Path "%s" does not exist.', _path.relative_to(Path.cwd()))
raise OperationalException(
f"Impossible to load HyperoptLoss '{hyper_loss_name}'. This class does not exist "
"or contains Python code errors."
)