Add trailing stoploss hyperspace

freqtrade/configuration/cli_options.py

@@ -174,12 +174,11 @@ AVAILABLE_CLI_OPTIONS = {
         default=constants.HYPEROPT_EPOCH,
     ),
     "spaces": Arg(
-        '-s', '--spaces',
+        '--spaces',
-        help='Specify which parameters to hyperopt. Space-separated list. '
+        help='Specify which parameters to hyperopt. Space-separated list.',
-        'Default: `%(default)s`.',
+        choices=['all', 'buy', 'sell', 'roi', 'stoploss', 'trailing', 'default'],
-        choices=['all', 'buy', 'sell', 'roi', 'stoploss'],
         nargs='+',
-        default='all',
+        default='default',
     ),
     "print_all": Arg(
         '--print-all',

freqtrade/optimize/hyperopt.py

@@ -149,7 +149,7 @@ class Hyperopt:
         self.trials_file.unlink()
         return trials
 
-    def log_trials_result(self) -> None:
+    def log_trials_result(self) -> None:  # noqa: C901
         """
         Display Best hyperopt result
         """
@@ -161,14 +161,16 @@ class Hyperopt:
 
         if self.config.get('print_json'):
             result_dict: Dict = {}
+
             if self.has_space('buy') or self.has_space('sell'):
                 result_dict['params'] = {}
+
             if self.has_space('buy'):
-                result_dict['params'].update({p.name: params.get(p.name)
+                result_dict['params'].update(self.space_params(params, 'buy'))
-                                             for p in self.hyperopt_space('buy')})
+
             if self.has_space('sell'):
-                result_dict['params'].update({p.name: params.get(p.name)
+                result_dict['params'].update(self.space_params(params, 'sell'))
-                                             for p in self.hyperopt_space('sell')})
+
             if self.has_space('roi'):
                 # Convert keys in min_roi dict to strings because
                 # rapidjson cannot dump dicts with integer keys...
@@ -177,25 +179,35 @@ class Hyperopt:
                 result_dict['minimal_roi'] = OrderedDict(
                     (str(k), v) for k, v in self.custom_hyperopt.generate_roi_table(params).items()
                 )
+
             if self.has_space('stoploss'):
-                result_dict['stoploss'] = params.get('stoploss')
+                result_dict.update(self.space_params(params, 'stoploss'))
+
+            if self.has_space('trailing'):
+                result_dict.update(self.space_params(params, 'trailing'))
+
             print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
         else:
             if self.has_space('buy'):
                 print('Buy hyperspace params:')
-                pprint({p.name: params.get(p.name) for p in self.hyperopt_space('buy')},
+                pprint(self.space_params(params, 'buy', 5), indent=4)
-                       indent=4)
+
             if self.has_space('sell'):
                 print('Sell hyperspace params:')
-                pprint({p.name: params.get(p.name) for p in self.hyperopt_space('sell')},
+                pprint(self.space_params(params, 'sell', 5), indent=4)
-                       indent=4)
+
             if self.has_space('roi'):
                 print("ROI table:")
                 # Round printed values to 5 digits after the decimal point
                 pprint(round_dict(self.custom_hyperopt.generate_roi_table(params), 5), indent=4)
+
             if self.has_space('stoploss'):
-                # Also round to 5 digits after the decimal point
+                print(f"Stoploss:")
-                print(f"Stoploss: {round(params.get('stoploss'), 5)}")
+                pprint(self.space_params(params, 'stoploss', 5), indent=4)
+
+            if self.has_space('trailing'):
+                print('Trailing stop:')
+                pprint(self.space_params(params, 'trailing', 5), indent=4)
 
     def log_results(self, results) -> None:
         """
@@ -233,9 +245,13 @@ class Hyperopt:
 
     def has_space(self, space: str) -> bool:
         """
-        Tell if a space value is contained in the configuration
+        Tell if the space value is contained in the configuration
         """
-        return any(s in self.config['spaces'] for s in [space, 'all'])
+        # The 'trailing' space is not included in the 'default' set of spaces
+        if space == 'trailing':
+            return any(s in self.config['spaces'] for s in [space, 'all'])
+        else:
+            return any(s in self.config['spaces'] for s in [space, 'all', 'default'])
 
     def hyperopt_space(self, space: Optional[str] = None) -> List[Dimension]:
         """
@@ -245,20 +261,34 @@ class Hyperopt:
         for all hyperspaces used.
         """
         spaces: List[Dimension] = []
+
         if space == 'buy' or (space is None and self.has_space('buy')):
             logger.debug("Hyperopt has 'buy' space")
             spaces += self.custom_hyperopt.indicator_space()
+
         if space == 'sell' or (space is None and self.has_space('sell')):
             logger.debug("Hyperopt has 'sell' space")
             spaces += self.custom_hyperopt.sell_indicator_space()
+
         if space == 'roi' or (space is None and self.has_space('roi')):
             logger.debug("Hyperopt has 'roi' space")
             spaces += self.custom_hyperopt.roi_space()
+
         if space == 'stoploss' or (space is None and self.has_space('stoploss')):
             logger.debug("Hyperopt has 'stoploss' space")
             spaces += self.custom_hyperopt.stoploss_space()
+
+        if space == 'trailing' or (space is None and self.has_space('trailing')):
+            logger.debug("Hyperopt has 'trailing' space")
+            spaces += self.custom_hyperopt.trailing_space()
+
         return spaces
 
+    def space_params(self, params, space: str, r: int = None) -> Dict:
+        d = {p.name: params.get(p.name) for p in self.hyperopt_space(space)}
+        # Round floats to `r` digits after the decimal point if requested
+        return round_dict(d, r) if r else d
+
     def generate_optimizer(self, _params: Dict, iteration=None) -> Dict:
         """
         Used Optimize function. Called once per epoch to optimize whatever is configured.
@@ -281,6 +311,15 @@ class Hyperopt:
         if self.has_space('stoploss'):
             self.backtesting.strategy.stoploss = params['stoploss']
 
+        if self.has_space('trailing'):
+            self.backtesting.strategy.trailing_stop = params['trailing_stop']
+            self.backtesting.strategy.trailing_stop_positive = \
+                params['trailing_stop_positive']
+            self.backtesting.strategy.trailing_stop_positive_offset = \
+                params['trailing_stop_positive_offset']
+            self.backtesting.strategy.trailing_only_offset_is_reached = \
+                params['trailing_only_offset_is_reached']
+
         processed = load(self.tickerdata_pickle)
 
         min_date, max_date = get_timeframe(processed)

freqtrade/optimize/hyperopt_interface.py

@@ -8,7 +8,7 @@ import math
 from abc import ABC
 from typing import Dict, Any, Callable, List
 
-from skopt.space import Dimension, Integer, Real
+from skopt.space import Categorical, Dimension, Integer, Real
 
 from freqtrade import OperationalException
 from freqtrade.exchange import timeframe_to_minutes
@@ -174,6 +174,20 @@ class IHyperOpt(ABC):
             Real(-0.35, -0.02, name='stoploss'),
         ]
 
+    @staticmethod
+    def trailing_space() -> List[Dimension]:
+        """
+        Create a trailing stoploss space.
+
+        You may override it in your custom Hyperopt class.
+        """
+        return [
+            Categorical([True, False], name='trailing_stop'),
+            Real(-0.35, -0.02, name='trailing_stop_positive'),
+            Real(0.01, 0.1, name='trailing_stop_positive_offset'),
+            Categorical([True, False], name='trailing_only_offset_is_reached'),
+        ]
+
     # This is needed for proper unpickling the class attribute ticker_interval
     # which is set to the actual value by the resolver.
     # Why do I still need such shamanic mantras in modern python?

tests/optimize/test_hyperopt.py

@@ -26,7 +26,7 @@ from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,
 
 @pytest.fixture(scope='function')
 def hyperopt(default_conf, mocker):
-    default_conf.update({'spaces': ['all']})
+    default_conf.update({'spaces': ['default']})
     patch_exchange(mocker)
     return Hyperopt(default_conf)
 
@@ -108,7 +108,7 @@ def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplo
         '--enable-position-stacking',
         '--disable-max-market-positions',
         '--epochs', '1000',
-        '--spaces', 'all',
+        '--spaces', 'default',
         '--print-all'
     ]
 
@@ -414,7 +414,7 @@ def test_start_calls_optimizer(mocker, default_conf, caplog, capsys) -> None:
     default_conf.update({'config': 'config.json.example',
                          'epochs': 1,
                          'timerange': None,
-                         'spaces': 'all',
+                         'spaces': 'default',
                          'hyperopt_jobs': 1, })
 
     hyperopt = Hyperopt(default_conf)
@@ -463,14 +463,38 @@ def test_format_results(hyperopt):
     assert result.find('Total profit 1.00000000 EUR')
 
 
-def test_has_space(hyperopt):
+@pytest.mark.parametrize("spaces, expected_results", [
-    hyperopt.config.update({'spaces': ['buy', 'roi']})
+    (['buy'],
-    assert hyperopt.has_space('roi')
+     {'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}),
-    assert hyperopt.has_space('buy')
+    (['sell'],
-    assert not hyperopt.has_space('stoploss')
+     {'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}),
-
+    (['roi'],
-    hyperopt.config.update({'spaces': ['all']})
+     {'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
-    assert hyperopt.has_space('buy')
+    (['stoploss'],
+     {'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}),
+    (['trailing'],
+     {'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}),
+    (['buy', 'sell', 'roi', 'stoploss'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
+    (['buy', 'sell', 'roi', 'stoploss', 'trailing'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['buy', 'roi'],
+     {'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
+    (['all'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['default'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
+    (['default', 'trailing'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['all', 'buy'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
+    (['default', 'buy'],
+     {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
+])
+def test_has_space(hyperopt, spaces, expected_results):
+    for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
+        hyperopt.config.update({'spaces': spaces})
+        assert hyperopt.has_space(s) == expected_results[s]
 
 
 def test_populate_indicators(hyperopt, testdatadir) -> None:
@@ -517,7 +541,7 @@ def test_buy_strategy_generator(hyperopt, testdatadir) -> None:
 def test_generate_optimizer(mocker, default_conf) -> None:
     default_conf.update({'config': 'config.json.example'})
     default_conf.update({'timerange': None})
-    default_conf.update({'spaces': 'all'})
+    default_conf.update({'spaces': 'default'})
     default_conf.update({'hyperopt_min_trades': 1})
 
     trades = [
@@ -584,7 +608,7 @@ def test_clean_hyperopt(mocker, default_conf, caplog):
     default_conf.update({'config': 'config.json.example',
                          'epochs': 1,
                          'timerange': None,
-                         'spaces': 'all',
+                         'spaces': 'default',
                          'hyperopt_jobs': 1,
                          })
     mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
@@ -600,7 +624,7 @@ def test_continue_hyperopt(mocker, default_conf, caplog):
     default_conf.update({'config': 'config.json.example',
                          'epochs': 1,
                          'timerange': None,
-                         'spaces': 'all',
+                         'spaces': 'default',
                          'hyperopt_jobs': 1,
                          'hyperopt_continue': True
                          })