adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity
13,658 Commits 14 Branches 74 Tags 197 MiB
c094ac5762
Commit Graph

1276 Commits

Author SHA1 Message Date
Matthias
c094ac5762 Merge branch 'develop' into feat/short 2021-10-30 19:45:19 +02:00
Matthias
201fe108bc
Merge pull request #5607 from TreborNamor/develop 
a new hyperopt loss created that uses calmar ratio
 2021-10-29 09:20:44 +02:00
Matthias
5cdae2ce3f Remove CalmarDaily hyperopt loss 2021-10-29 06:53:40 +02:00
Matthias
20a61e03da
Merge pull request #5786 from SimonEbner/clean_up_file_handles 
Clean up file handles
 2021-10-25 19:49:07 +02:00
Robert Roman
88b96d5d1b
Update hyperopt_loss_calmar.py 2021-10-25 00:45:10 -05:00
Simon Ebner
f7926083ca Clean up unclosed file handles 
Close all file handles that are left dangling to avoid warnings such as

```
ResourceWarning: unclosed file <_io.TextIOWrapper
name='...' mode='r' encoding='UTF-8'> params = json_load(filename.open('r'))
```
 2021-10-24 23:15:05 +02:00
Simon Ebner
df033d92ef Improve performance of decimalspace.py 
decimalspace.py is heavily used in the hyperoptimization. The following
benchmark code runs an optimization which is taken from optimizing a
real strategy (wtc).
The optimized version takes on my machine approx. 11/12s compared to the
original 32s. Results are equivalent in both cases.

```
import freqtrade.optimize.space
import numpy as np
import skopt
import timeit

def init():
    Decimal = freqtrade.optimize.space.decimalspace.SKDecimal
    Integer = skopt.space.space.Integer
    dimensions = [Decimal(low=-1.0,
        high=1.0,
        decimals=4,
        prior='uniform',
        transform='identity')] * 20

    return skopt.Optimizer(
        dimensions,
        base_estimator="ET",
        acq_optimizer="auto",
        n_initial_points=5,
        acq_optimizer_kwargs={'n_jobs': 96},
        random_state=0,
        model_queue_size=10,
    )

def test():
    opt = init()
    actual = opt.ask(n_points=2)
    expected = [[
        0.7515, -0.4723, -0.6941, -0.7988, 0.0448, 0.8605, -0.108, 0.5399,
        0.763, -0.2948, 0.8345, -0.7683, 0.7077, -0.2478, -0.333, 0.8575,
        0.6108, 0.4514, 0.5982, 0.3506
    ], [
        0.5563, 0.7386, -0.6407, 0.9073, -0.5211, -0.8167, -0.3771,
        -0.0318, 0.2861, 0.1176, 0.0943, -0.6077, -0.9317, -0.5372,
        -0.4934, -0.3637, -0.8035, -0.8627, -0.5399, 0.6036
    ]]

    absdiff = np.max(np.abs(np.asarray(expected) - np.asarray(actual)))
    assert absdiff < 1e-5

def time():
    opt = init()
    print('dt', timeit.timeit("opt.ask(n_points=20)", globals=locals()))

if __name__ == "__main__":
    test()
    time()
```
 2021-10-24 18:14:24 +02:00
Matthias
dffb4c5d53 Merge branch 'develop' into pr/TreborNamor/5607 2021-10-24 08:55:10 +02:00
Sam Germain
aed22f7dad Merge branch 'develop' into feat/short 2021-10-22 11:45:27 -06:00
Matthias
96f99699e0
Merge pull request #4606 from rextea/add_days_breakdown_to_backtesting_summary 
Add days breakdown table to backtesting
 2021-10-21 13:56:30 +02:00
Matthias
e458c9867a Styling fixes 2021-10-21 07:45:15 +02:00
Matthias
7b5346b984 Add test for breakdown-stats 2021-10-21 07:11:39 +02:00
Matthias
fa028c2134 Support day/week/month breakdowns 2021-10-21 06:58:40 +02:00
Matthias
7197f4ce77 Don't show daily % profit (it's wrong) 2021-10-20 20:01:31 +02:00
Matthias
de5497c766 backtest_days cannot be below 1 2021-10-20 19:39:37 +02:00
Sam Germain
3fffc315ac Merge branch 'develop' into feat/short 2021-10-20 08:11:53 -06:00
Matthias
5454460227 Revert initial_points to 30 
closes #5760
 2021-10-20 07:46:15 +02:00
Matthias
7d8cd736b8 Support days-breakdown also for hyperopt results 2021-10-17 16:49:39 +02:00
Matthias
47bba331c1 Merge branch 'develop' into pr/rextea/4606 2021-10-17 16:29:31 +02:00
Matthias
69fdb8edfa Merge branch 'develop' into feat/short 2021-10-17 10:40:08 +02:00
Matthias
0e7d903a6f
Merge pull request #5644 from slyons/develop 
Add ability to ignore unparameterized spaces
 2021-10-14 08:07:07 +02:00
Sam Germain
bd488cc086 Merge branch 'develop' into feat/short 2021-10-13 17:56:40 -06:00
Matthias
aed919a05f Simplify "no-space-configured" error handling by moving it to hyperopt_auto 2021-10-13 19:54:35 +02:00
sid
30bc96cf3f simplify expression 2021-10-09 06:36:23 +05:30
sid
46c320513a use profit_abs 2021-10-07 08:07:07 +05:30
sid
6ba46b38bd fix formatting 2021-10-06 13:46:05 +05:30
sid
c0d01dbc26 add max_drawdown loss 2021-10-06 13:24:27 +05:30
Sam Germain
e8b4cf6eaa Merge branch 'develop' into feat/short 2021-10-02 03:15:12 -06:00
Scott Lyons
df45f467c6
Adding ability to ignore unparameterized spaces 2021-09-30 01:11:02 -07:00
Robert Roman
ca973c05d1
Merge branch 'freqtrade:develop' into develop 2021-09-28 10:16:36 -05:00
Robert Roman
626a40252d
resolved mypy error 
error: Signature of "hyperopt_loss_function" incompatible with supertype "IHyperOptLoss"
 2021-09-27 17:33:29 -05:00
Robert Roman
c3414c3b78
resolved mypy error 
error: Signature of "hyperopt_loss_function" incompatible with supertype "IHyperOptLoss"
 2021-09-27 17:32:49 -05:00
Matthias
5726886b06 Reduce backtest-noise from "pandas slice" warning 2021-09-27 20:52:19 +02:00
Robert Roman
bdca3e2343
Merge branch 'freqtrade:develop' into develop 2021-09-26 15:37:09 -05:00
Matthias
a926f54a25 Add "side" parameter to custom_stake_amount 2021-09-26 19:35:54 +02:00
Matthias
84e013de2d Update confirm_trade_entry to support "side" parameter 2021-09-26 19:33:22 +02:00
Matthias
4d49f1a0c7 Reset columns by dropping instead of resetting 2021-09-26 15:39:34 +02:00
Matthias
4fd00db630 Use "combined" enter_tag column 2021-09-26 15:22:37 +02:00
Matthias
6319c104fe Fix unreliable backtest-result when using webserver mode 2021-09-26 15:07:48 +02:00
Matthias
2a678bdbb4 Update buy_tag column to long_tag 2021-09-26 08:37:44 +02:00
Robert Roman
24baad7884
Add Calmar Ratio Daily 
This hyper opt loss calculates the daily Calmar ratio.
 2021-09-25 16:28:36 -05:00
Robert Roman
3b99c84b0a
resolved the total profit issue 
I resolved the total profit issue and locally ran flak8 and isort
 2021-09-23 21:31:33 -05:00
Matthias
0e13d57e57 Update advise_* methods to entry/exit 2021-09-22 20:42:31 +02:00
Matthias
4c6b1cd55b Add very simple short logic to test-strategy 2021-09-22 20:36:03 +02:00
Robert Roman
c6b684603c
removed trade_count inside if statement 
i removed trade_count inside if statement. Even though it helps overfitting, It is not useful when running hyperopt on small datasets.
 2021-09-22 09:21:43 -05:00
Robert Roman
b946f8e7f1
I sorted imports with isort 2021-09-22 09:18:17 -05:00
Robert Roman
3834bb86ff
updated line 42 
I removed the minus sign on max drawdown.
 2021-09-21 20:25:17 -05:00
Robert Roman
3845d55186
a new hyperopt loss created that uses calmar ratio 
This is a new hyperopt loss file that uses the Calmar Ratio.

Calmar Ratio = average annual rate of return / maximum drawdown
 2021-09-21 20:04:23 -05:00
Sam Germain
778f0d9d0a Merged feat/short into lev-strat 2021-09-19 17:44:12 -06:00
Rokas Kupstys
5dc78a0c66 [SQUASH] Get rid of _initialize() and fix informatives for dynamic pairlists. 2021-09-18 10:48:53 +03:00