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Added short and exit_short to strategy

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This commit is contained in:
Sam Germain
2021-08-08 03:38:34 -06:00
parent 98fe3e73de
commit d4a7d2d444
24 changed files with 862 additions and 152 deletions
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156
tests/optimize/hyperopts/default_hyperopt.py
View File

@@ -105,6 +105,66 @@ class DefaultHyperOpt(IHyperOpt):
Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger')
]
@staticmethod
def short_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the short strategy parameters to be used by Hyperopt.
"""
def populate_short_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Buy strategy Hyperopt will build and use.
"""
conditions = []
# GUARDS AND TRENDS
if 'mfi-enabled' in params and params['mfi-enabled']:
conditions.append(dataframe['mfi'] > params['mfi-value'])
if 'fastd-enabled' in params and params['fastd-enabled']:
conditions.append(dataframe['fastd'] > params['fastd-value'])
if 'adx-enabled' in params and params['adx-enabled']:
conditions.append(dataframe['adx'] < params['adx-value'])
if 'rsi-enabled' in params and params['rsi-enabled']:
conditions.append(dataframe['rsi'] > params['rsi-value'])
# TRIGGERS
if 'trigger' in params:
if params['trigger'] == 'bb_upper':
conditions.append(dataframe['close'] > dataframe['bb_upperband'])
if params['trigger'] == 'macd_cross_signal':
conditions.append(qtpylib.crossed_below(
dataframe['macd'], dataframe['macdsignal']
))
if params['trigger'] == 'sar_reversal':
conditions.append(qtpylib.crossed_below(
dataframe['close'], dataframe['sar']
))
if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'short'] = 1
return dataframe
return populate_short_trend
@staticmethod
def short_indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching short strategy parameters.
"""
return [
Integer(75, 90, name='mfi-value'),
Integer(55, 85, name='fastd-value'),
Integer(50, 80, name='adx-value'),
Integer(60, 80, name='rsi-value'),
Categorical([True, False], name='mfi-enabled'),
Categorical([True, False], name='fastd-enabled'),
Categorical([True, False], name='adx-enabled'),
Categorical([True, False], name='rsi-enabled'),
Categorical(['bb_upper', 'macd_cross_signal', 'sar_reversal'], name='trigger')
]
@staticmethod
def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
@@ -148,6 +208,49 @@ class DefaultHyperOpt(IHyperOpt):
return populate_sell_trend
@staticmethod
def exit_short_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the exit_short strategy parameters to be used by Hyperopt.
"""
def populate_exit_short_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Exit_short strategy Hyperopt will build and use.
"""
conditions = []
# GUARDS AND TRENDS
if 'exit-short-mfi-enabled' in params and params['exit-short-mfi-enabled']:
conditions.append(dataframe['mfi'] < params['exit-short-mfi-value'])
if 'exit-short-fastd-enabled' in params and params['exit-short-fastd-enabled']:
conditions.append(dataframe['fastd'] < params['exit-short-fastd-value'])
if 'exit-short-adx-enabled' in params and params['exit-short-adx-enabled']:
conditions.append(dataframe['adx'] > params['exit-short-adx-value'])
if 'exit-short-rsi-enabled' in params and params['exit-short-rsi-enabled']:
conditions.append(dataframe['rsi'] < params['exit-short-rsi-value'])
# TRIGGERS
if 'exit-short-trigger' in params:
if params['exit-short-trigger'] == 'exit-short-bb_lower':
conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
if params['exit-short-trigger'] == 'exit-short-macd_cross_signal':
conditions.append(qtpylib.crossed_below(
dataframe['macdsignal'], dataframe['macd']
))
if params['exit-short-trigger'] == 'exit-short-sar_reversal':
conditions.append(qtpylib.crossed_below(
dataframe['sar'], dataframe['close']
))
if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'exit_short'] = 1
return dataframe
return populate_exit_short_trend
@staticmethod
def sell_indicator_space() -> List[Dimension]:
"""
@@ -167,6 +270,25 @@ class DefaultHyperOpt(IHyperOpt):
'sell-sar_reversal'], name='sell-trigger')
]
@staticmethod
def exit_short_indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching exit short strategy parameters.
"""
return [
Integer(1, 25, name='exit_short-mfi-value'),
Integer(1, 50, name='exit_short-fastd-value'),
Integer(1, 50, name='exit_short-adx-value'),
Integer(1, 40, name='exit_short-rsi-value'),
Categorical([True, False], name='exit_short-mfi-enabled'),
Categorical([True, False], name='exit_short-fastd-enabled'),
Categorical([True, False], name='exit_short-adx-enabled'),
Categorical([True, False], name='exit_short-rsi-enabled'),
Categorical(['exit_short-bb_lower',
'exit_short-macd_cross_signal',
'exit_short-sar_reversal'], name='exit_short-trigger')
]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of same method from strategy.
@@ -200,3 +322,37 @@ class DefaultHyperOpt(IHyperOpt):
'sell'] = 1
return dataframe
def populate_short_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of same method from strategy.
Must align to populate_indicators in this file.
Only used when --spaces does not include short space.
"""
dataframe.loc[
(
(dataframe['close'] > dataframe['bb_upperband']) &
(dataframe['mfi'] < 84) &
(dataframe['adx'] > 75) &
(dataframe['rsi'] < 79)
),
'buy'] = 1
return dataframe
def populate_exit_short_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of same method from strategy.
Must align to populate_indicators in this file.
Only used when --spaces does not include exit_short space.
"""
dataframe.loc[
(
(qtpylib.crossed_below(
dataframe['macdsignal'], dataframe['macd']
)) &
(dataframe['fastd'] < 46)
),
'sell'] = 1
return dataframe

4
tests/optimize/test_backtest_detail.py
View File

@@ -597,8 +597,8 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.required_startup = 0
backtesting.strategy.advise_buy = lambda a, m: frame
backtesting.strategy.advise_sell = lambda a, m: frame
backtesting.strategy.advise_enter = lambda a, m: frame
backtesting.strategy.advise_exit = lambda a, m: frame
backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
caplog.set_level(logging.DEBUG)

20
tests/optimize/test_backtesting.py
View File

@@ -290,8 +290,8 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
assert backtesting.config == default_conf
assert backtesting.timeframe == '5m'
assert callable(backtesting.strategy.ohlcvdata_to_dataframe)
assert callable(backtesting.strategy.advise_buy)
assert callable(backtesting.strategy.advise_sell)
assert callable(backtesting.strategy.advise_enter)
assert callable(backtesting.strategy.advise_exit)
assert isinstance(backtesting.strategy.dp, DataProvider)
get_fee.assert_called()
assert backtesting.fee == 0.5
@@ -700,8 +700,8 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
backtesting.strategy.advise_enter = fun # Override
backtesting.strategy.advise_exit = fun # Override
result = backtesting.backtest(**backtest_conf)
assert result['results'].empty
@@ -716,8 +716,8 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = fun # Override
backtesting.strategy.advise_sell = fun # Override
backtesting.strategy.advise_enter = fun # Override
backtesting.strategy.advise_exit = fun # Override
result = backtesting.backtest(**backtest_conf)
assert result['results'].empty
@@ -731,8 +731,8 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
backtesting = Backtesting(default_conf)
backtesting.required_startup = 0
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = _trend_alternate # Override
backtesting.strategy.advise_sell = _trend_alternate # Override
backtesting.strategy.advise_enter = _trend_alternate # Override
backtesting.strategy.advise_exit = _trend_alternate # Override
result = backtesting.backtest(**backtest_conf)
# 200 candles in backtest data
# won't buy on first (shifted by 1)
@@ -777,8 +777,8 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.strategy.advise_buy = _trend_alternate_hold # Override
backtesting.strategy.advise_sell = _trend_alternate_hold # Override
backtesting.strategy.advise_enter = _trend_alternate_hold # Override
backtesting.strategy.advise_exit = _trend_alternate_hold # Override
processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
min_date, max_date = get_timerange(processed)

19
tests/optimize/test_hyperopt.py
View File

@@ -25,6 +25,9 @@ from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
from .hyperopts.default_hyperopt import DefaultHyperOpt
# TODO-lev: This file
def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
@@ -363,8 +366,8 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
# Should be called for historical candle data
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_enter")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")
@@ -822,8 +825,8 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_enter")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")
@@ -903,8 +906,8 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
assert dumper.called
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_enter")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")
@@ -957,8 +960,8 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
assert dumper.called
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_enter")
assert hasattr(hyperopt, "max_open_trades")
assert hyperopt.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt, "position_stacking")