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Merge branch 'develop' into hyperopt-jobs

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hroff-1902 2019-04-23 21:34:38 +03:00 committed by GitHub
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40
docs/bot-usage.md
View File

@ -146,9 +146,11 @@ Backtesting also uses the config specified via `-c/--config`.
```
usage: freqtrade backtesting [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE]
[--eps] [--dmmp] [-l] [-r]
[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
[--export EXPORT] [--export-filename PATH]
[--max_open_trades MAX_OPEN_TRADES]
[--stake_amount STAKE_AMOUNT] [-r] [--eps] [--dmmp]
[-l]
[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
[--export EXPORT] [--export-filename PATH]
optional arguments:
-h, --help show this help message and exit
@ -156,6 +158,14 @@ optional arguments:
Specify ticker interval (1m, 5m, 30m, 1h, 1d).
--timerange TIMERANGE
Specify what timerange of data to use.
--max_open_trades MAX_OPEN_TRADES
Specify max_open_trades to use.
--stake_amount STAKE_AMOUNT
Specify stake_amount.
-r, --refresh-pairs-cached
Refresh the pairs files in tests/testdata with the
latest data from the exchange. Use it if you want to
run your optimization commands with up-to-date data.
--eps, --enable-position-stacking
Allow buying the same pair multiple times (position
stacking).
@ -164,10 +174,6 @@ optional arguments:
(same as setting `max_open_trades` to a very high
number).
-l, --live Use live data.
-r, --refresh-pairs-cached
Refresh the pairs files in tests/testdata with the
latest data from the exchange. Use it if you want to
run your backtesting with up-to-date data.
--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]
Provide a commaseparated list of strategies to
backtest Please note that ticker-interval needs to be
@ -207,8 +213,8 @@ to find optimal parameter values for your stategy.
```
usage: freqtrade hyperopt [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE]
[--max_open_trades MAX_OPEN_TRADES]
[--stake_amount STAKE_AMOUNT] [--customhyperopt NAME]
[--eps] [--dmmp] [-e INT]
[--stake_amount STAKE_AMOUNT] [-r]
[--customhyperopt NAME] [--eps] [--dmmp] [-e INT]
[-s {all,buy,sell,roi,stoploss} [{all,buy,sell,roi,stoploss} ...]]
[--print-all] [-j JOBS]
@ -222,6 +228,10 @@ optional arguments:
Specify max_open_trades to use.
--stake_amount STAKE_AMOUNT
Specify stake_amount.
-r, --refresh-pairs-cached
Refresh the pairs files in tests/testdata with the
latest data from the exchange. Use it if you want to
run your optimization commands with up-to-date data.
--customhyperopt NAME
Specify hyperopt class name (default:
DefaultHyperOpts).
@ -250,8 +260,10 @@ optional arguments:
To know your trade expectacny and winrate against historical data, you can use Edge.
```
usage: freqtrade edge [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE] [-r]
[--stoplosses STOPLOSS_RANGE]
usage: freqtrade edge [-h] [-i TICKER_INTERVAL] [--timerange TIMERANGE]
[--max_open_trades MAX_OPEN_TRADES]
[--stake_amount STAKE_AMOUNT] [-r]
[--stoplosses STOPLOSS_RANGE]
optional arguments:
-h, --help show this help message and exit
@ -259,10 +271,14 @@ optional arguments:
Specify ticker interval (1m, 5m, 30m, 1h, 1d).
--timerange TIMERANGE
Specify what timerange of data to use.
--max_open_trades MAX_OPEN_TRADES
Specify max_open_trades to use.
--stake_amount STAKE_AMOUNT
Specify stake_amount.
-r, --refresh-pairs-cached
Refresh the pairs files in tests/testdata with the
latest data from the exchange. Use it if you want to
run your edge with up-to-date data.
run your optimization commands with up-to-date data.
--stoplosses STOPLOSS_RANGE
Defines a range of stoploss against which edge will
assess the strategy the format is "min,max,step"

101
freqtrade/arguments.py
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@ -141,10 +141,53 @@ class Arguments(object):
dest='sd_notify',
)
@staticmethod
def optimizer_shared_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given common arguments for Backtesting, Edge and Hyperopt modules.
:param parser:
:return:
"""
parser.add_argument(
'-i', '--ticker-interval',
help='Specify ticker interval (1m, 5m, 30m, 1h, 1d).',
dest='ticker_interval',
type=str,
)
parser.add_argument(
'--timerange',
help='Specify what timerange of data to use.',
default=None,
type=str,
dest='timerange',
)
parser.add_argument(
'--max_open_trades',
help='Specify max_open_trades to use.',
default=None,
type=int,
dest='max_open_trades',
)
parser.add_argument(
'--stake_amount',
help='Specify stake_amount.',
default=None,
type=float,
dest='stake_amount',
)
parser.add_argument(
'-r', '--refresh-pairs-cached',
help='Refresh the pairs files in tests/testdata with the latest data from the '
'exchange. Use it if you want to run your optimization commands with '
'up-to-date data.',
action='store_true',
dest='refresh_pairs',
)
@staticmethod
def backtesting_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given arguments for Backtesting scripts.
Parses given arguments for Backtesting module.
"""
parser.add_argument(
'--eps', '--enable-position-stacking',
@ -167,13 +210,6 @@ class Arguments(object):
action='store_true',
dest='live',
)
parser.add_argument(
'-r', '--refresh-pairs-cached',
help='Refresh the pairs files in tests/testdata with the latest data from the '
'exchange. Use it if you want to run your backtesting with up-to-date data.',
action='store_true',
dest='refresh_pairs',
)
parser.add_argument(
'--strategy-list',
help='Provide a commaseparated list of strategies to backtest '
@ -207,15 +243,8 @@ class Arguments(object):
@staticmethod
def edge_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given arguments for Backtesting scripts.
Parses given arguments for Edge module.
"""
parser.add_argument(
'-r', '--refresh-pairs-cached',
help='Refresh the pairs files in tests/testdata with the latest data from the '
'exchange. Use it if you want to run your edge with up-to-date data.',
action='store_true',
dest='refresh_pairs',
)
parser.add_argument(
'--stoplosses',
help='Defines a range of stoploss against which edge will assess the strategy '
@ -225,48 +254,10 @@ class Arguments(object):
dest='stoploss_range',
)
@staticmethod
def optimizer_shared_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given common arguments for Backtesting and Hyperopt scripts.
:param parser:
:return:
"""
parser.add_argument(
'-i', '--ticker-interval',
help='Specify ticker interval (1m, 5m, 30m, 1h, 1d).',
dest='ticker_interval',
type=str,
)
parser.add_argument(
'--timerange',
help='Specify what timerange of data to use.',
default=None,
type=str,
dest='timerange',
)
parser.add_argument(
'--max_open_trades',
help='Specify max_open_trades to use.',
default=None,
type=int,
dest='max_open_trades',
)
parser.add_argument(
'--stake_amount',
help='Specify stake_amount.',
default=None,
type=float,
dest='stake_amount',
)
@staticmethod
def hyperopt_options(parser: argparse.ArgumentParser) -> None:
"""
Parses given arguments for Hyperopt scripts.
Parses given arguments for Hyperopt module.
"""
parser.add_argument(
'--customhyperopt',

4
freqtrade/configuration.py
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@ -314,6 +314,10 @@ class Configuration(object):
config.update({'hyperopt_jobs': self.args.hyperopt_jobs})
logger.info('Parameter -j/--job-workers detected: %s', config.get('hyperopt_jobs'))
if 'refresh_pairs' in self.args and self.args.refresh_pairs:
config.update({'refresh_pairs': True})
logger.info('Parameter -r/--refresh-pairs-cached detected ...')
return config
def _validate_config_schema(self, conf: Dict[str, Any]) -> Dict[str, Any]:

3
freqtrade/data/history.py
View File

@ -116,7 +116,8 @@ def load_pair_history(pair: str,
return parse_ticker_dataframe(pairdata, ticker_interval, fill_up_missing)
else:
logger.warning('No data for pair: "%s", Interval: %s. '
'Use --refresh-pairs-cached to download the data',
'Use --refresh-pairs-cached option or download_backtest_data.py '
'script to download the data',
pair, ticker_interval)
return None

1
freqtrade/optimize/backtesting.py
View File

@ -516,6 +516,7 @@ def start(args: Namespace) -> None:
"""
# Initialize configuration
config = setup_configuration(args)
logger.info('Starting freqtrade in Backtesting mode')
# Initialize backtesting object

43
freqtrade/optimize/hyperopt.py
View File

@ -19,6 +19,7 @@ from pandas import DataFrame
from skopt import Optimizer
from skopt.space import Dimension
from freqtrade import DependencyException
from freqtrade.arguments import Arguments
from freqtrade.configuration import Configuration
from freqtrade.data.history import load_data
@ -257,6 +258,8 @@ class Hyperopt(Backtesting):
datadir=Path(self.config['datadir']) if self.config.get('datadir') else None,
pairs=self.config['exchange']['pair_whitelist'],
ticker_interval=self.ticker_interval,
refresh_pairs=self.config.get('refresh_pairs', False),
exchange=self.exchange,
timerange=timerange
)
@ -264,7 +267,10 @@ class Hyperopt(Backtesting):
self.strategy.advise_indicators = \
self.custom_hyperopt.populate_indicators # type: ignore
dump(self.strategy.tickerdata_to_dataframe(data), TICKERDATA_PICKLE)
# We don't need exchange instance anymore while running hyperopt
self.exchange = None # type: ignore
self.load_previous_results()
cpus = cpu_count()
@ -291,6 +297,9 @@ class Hyperopt(Backtesting):
'total_tries': self.total_tries,
'result': f_val[j]['result'],
})
logger.debug(f"Optimizer params: {f_val[j]['params']}")
for j in range(cpus):
logger.debug(f"Opimizer state: Xi: {opt.Xi[-j-1]}, yi: {opt.yi[-j-1]}")
except KeyboardInterrupt:
print('User interrupted..')
@ -298,22 +307,16 @@ class Hyperopt(Backtesting):
self.log_trials_result()
def start(args: Namespace) -> None:
def setup_configuration(args: Namespace) -> Dict[str, Any]:
"""
Start Backtesting script
Prepare the configuration for the Hyperopt module
:param args: Cli args from Arguments()
:return: None
:return: Configuration
"""
# Remove noisy log messages
logging.getLogger('hyperopt.tpe').setLevel(logging.WARNING)
# Initialize configuration
# Monkey patch the configuration with hyperopt_conf.py
configuration = Configuration(args, RunMode.HYPEROPT)
logger.info('Starting freqtrade in Hyperopt mode')
config = configuration.load_config()
# Ensure we do not use Exchange credentials
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
@ -323,7 +326,25 @@ def start(args: Namespace) -> None:
"Read the documentation at "
"https://github.com/freqtrade/freqtrade/blob/develop/docs/hyperopt.md "
"to understand how to configure hyperopt.")
raise ValueError("--strategy configured but not supported for hyperopt")
raise DependencyException("--strategy configured but not supported for hyperopt")
return config
def start(args: Namespace) -> None:
"""
Start Backtesting script
:param args: Cli args from Arguments()
:return: None
"""
# Initialize configuration
config = setup_configuration(args)
logger.info('Starting freqtrade in Hyperopt mode')
# Remove noisy log messages
logging.getLogger('hyperopt.tpe').setLevel(logging.WARNING)
# Initialize backtesting object
hyperopt = Hyperopt(config)
hyperopt.start()

14
freqtrade/tests/data/test_history.py
View File

@ -68,7 +68,10 @@ def test_load_data_7min_ticker(mocker, caplog, default_conf) -> None:
assert ld is None
assert log_has(
'No data for pair: "UNITTEST/BTC", Interval: 7m. '
'Use --refresh-pairs-cached to download the data', caplog.record_tuples)
'Use --refresh-pairs-cached option or download_backtest_data.py '
'script to download the data',
caplog.record_tuples
)
def test_load_data_1min_ticker(ticker_history, mocker, caplog) -> None:
@ -96,9 +99,12 @@ def test_load_data_with_new_pair_1min(ticker_history_list, mocker, caplog, defau
refresh_pairs=False,
pair='MEME/BTC')
assert os.path.isfile(file) is False
assert log_has('No data for pair: "MEME/BTC", Interval: 1m. '
'Use --refresh-pairs-cached to download the data',
caplog.record_tuples)
assert log_has(
'No data for pair: "MEME/BTC", Interval: 1m. '
'Use --refresh-pairs-cached option or download_backtest_data.py '
'script to download the data',
caplog.record_tuples
)
# download a new pair if refresh_pairs is set
history.load_pair_history(datadir=None,

1
freqtrade/tests/optimize/test_backtesting.py
View File

@ -260,6 +260,7 @@ def test_setup_bt_configuration_with_arguments(mocker, default_conf, caplog) ->
assert 'refresh_pairs' in config
assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
assert 'timerange' in config
assert log_has(
'Parameter --timerange detected: {} ...'.format(config['timerange']),

114
freqtrade/tests/optimize/test_hyperopt.py
View File

@ -1,16 +1,19 @@
# pragma pylint: disable=missing-docstring,W0212,C0103
from datetime import datetime
import json
import os
from unittest.mock import MagicMock
import pandas as pd
import pytest
from freqtrade import DependencyException
from freqtrade.data.converter import parse_ticker_dataframe
from freqtrade.data.history import load_tickerdata_file
from freqtrade.optimize.hyperopt import Hyperopt, start
from freqtrade.optimize.hyperopt import Hyperopt, start, setup_configuration
from freqtrade.optimize.default_hyperopt import DefaultHyperOpts
from freqtrade.resolvers import StrategyResolver, HyperOptResolver
from freqtrade.state import RunMode
from freqtrade.tests.conftest import log_has, patch_exchange
from freqtrade.tests.optimize.test_backtesting import get_args
@ -39,6 +42,112 @@ def create_trials(mocker, hyperopt) -> None:
return [{'loss': 1, 'result': 'foo', 'params': {}}]
def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(default_conf)
))
args = [
'--config', 'config.json',
'hyperopt'
]
config = setup_configuration(get_args(args))
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has(
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
assert not log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
assert 'live' not in config
assert not log_has('Parameter -l/--live detected ...', caplog.record_tuples)
assert 'position_stacking' not in config
assert not log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
assert 'refresh_pairs' not in config
assert not log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
assert 'timerange' not in config
assert 'runmode' in config
assert config['runmode'] == RunMode.HYPEROPT
def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplog) -> None:
mocker.patch('freqtrade.configuration.open', mocker.mock_open(
read_data=json.dumps(default_conf)
))
mocker.patch('freqtrade.configuration.Configuration._create_datadir', lambda s, c, x: x)
args = [
'--config', 'config.json',
'--datadir', '/foo/bar',
'hyperopt',
'--ticker-interval', '1m',
'--timerange', ':100',
'--refresh-pairs-cached',
'--enable-position-stacking',
'--disable-max-market-positions',
'--epochs', '1000',
'--spaces', 'all',
'--print-all'
]
config = setup_configuration(get_args(args))
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert config['runmode'] == RunMode.HYPEROPT
assert log_has(
'Using data folder: {} ...'.format(config['datadir']),
caplog.record_tuples
)
assert 'ticker_interval' in config
assert log_has('Parameter -i/--ticker-interval detected ...', caplog.record_tuples)
assert log_has(
'Using ticker_interval: 1m ...',
caplog.record_tuples
)
assert 'position_stacking' in config
assert log_has('Parameter --enable-position-stacking detected ...', caplog.record_tuples)
assert 'use_max_market_positions' in config
assert log_has('Parameter --disable-max-market-positions detected ...', caplog.record_tuples)
assert log_has('max_open_trades set to unlimited ...', caplog.record_tuples)
assert 'refresh_pairs' in config
assert log_has('Parameter -r/--refresh-pairs-cached detected ...', caplog.record_tuples)
assert 'timerange' in config
assert log_has(
'Parameter --timerange detected: {} ...'.format(config['timerange']),
caplog.record_tuples
)
assert 'epochs' in config
assert log_has('Parameter --epochs detected ...', caplog.record_tuples)
assert 'spaces' in config
assert log_has(
'Parameter -s/--spaces detected: {}'.format(config['spaces']),
caplog.record_tuples
)
assert 'print_all' in config
assert log_has('Parameter --print-all detected: True', caplog.record_tuples)
def test_hyperoptresolver(mocker, default_conf, caplog) -> None:
mocker.patch(
@ -72,7 +181,6 @@ def test_start(mocker, default_conf, caplog) -> None:
args = [
'--config', 'config.json',
'--strategy', 'DefaultStrategy',
'hyperopt',
'--epochs', '5'
]
@ -107,7 +215,7 @@ def test_start_failure(mocker, default_conf, caplog) -> None:
]
args = get_args(args)
StrategyResolver({'strategy': 'DefaultStrategy'})
with pytest.raises(ValueError):
with pytest.raises(DependencyException):
start(args)
assert log_has(
"Please don't use --strategy for hyperopt.",

4
requirements-pi.txt
View File

@ -1,10 +1,10 @@
ccxt==1.18.485
ccxt==1.18.486
SQLAlchemy==1.3.3
python-telegram-bot==11.1.0
arrow==0.13.1
cachetools==3.1.0
requests==2.21.0
urllib3==1.24.2
urllib3==1.25
wrapt==1.11.1
scikit-learn==0.20.3
joblib==0.13.2

4
requirements.txt
View File

@ -1,10 +1,10 @@
ccxt==1.18.485
ccxt==1.18.486
SQLAlchemy==1.3.3
python-telegram-bot==11.1.0
arrow==0.13.1
cachetools==3.1.0
requests==2.21.0
urllib3==1.24.2
urllib3==1.25
wrapt==1.11.1
numpy==1.16.3
pandas==0.24.2