""" IHyperStrategy interface, hyperoptable Parameter class. This module defines a base class for auto-hyperoptable strategies. """ from contextlib import suppress from typing import Iterator, Tuple, Any, Optional, Sequence, Union with suppress(ImportError): from skopt.space import Integer, Real, Categorical from freqtrade.exceptions import OperationalException class BaseParameter(object): """ Defines a parameter that can be optimized by hyperopt. """ category: Optional[str] default: Any value: Any opt_range: Sequence[Any] def __init__(self, *, opt_range: Sequence[Any], default: Any, space: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if parameter field name is prefixed with 'buy_' or 'sell_'. :param kwargs: Extra parameters to skopt.space.(Integer|Real|Categorical). """ if 'name' in kwargs: raise OperationalException( 'Name is determined by parameter field name and can not be specified manually.') self.category = space self._space_params = kwargs self.value = default self.opt_range = opt_range def __repr__(self): return f'{self.__class__.__name__}({self.value})' def get_space(self, name: str) -> Union['Integer', 'Real', 'Categorical']: raise NotImplementedError() class IntParameter(BaseParameter): default: int value: int opt_range: Sequence[int] def __init__(self, low: Union[int, Sequence[int]], high: Optional[int] = None, *, default: int, space: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param low: lower end of optimization space or [low, high]. :param high: high end of optimization space. Must be none of entire range is passed first parameter. :param default: A default value. :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if parameter field name is prefixed with 'buy_' or 'sell_'. :param kwargs: Extra parameters to skopt.space.Integer. """ if high is None: if len(low) != 2: raise OperationalException('IntParameter space must be [low, high]') opt_range = low else: opt_range = [low, high] super().__init__(opt_range=opt_range, default=default, space=space, **kwargs) def get_space(self, name: str) -> 'Integer': """ Create skopt optimization space. :param name: A name of parameter field. """ return Integer(*self.opt_range, name=name, **self._space_params) class FloatParameter(BaseParameter): default: float value: float opt_range: Sequence[float] def __init__(self, low: Union[float, Sequence[float]], high: Optional[int] = None, *, default: float, space: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param low: lower end of optimization space or [low, high]. :param high: high end of optimization space. Must be none of entire range is passed first parameter. :param default: A default value. :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if parameter field name is prefixed with 'buy_' or 'sell_'. :param kwargs: Extra parameters to skopt.space.Real. """ if high is None: if len(low) != 2: raise OperationalException('IntParameter space must be [low, high]') opt_range = low else: opt_range = [low, high] super().__init__(opt_range=opt_range, default=default, space=space, **kwargs) def get_space(self, name: str) -> 'Real': """ Create skopt optimization space. :param name: A name of parameter field. """ return Real(*self.opt_range, name=name, **self._space_params) class CategoricalParameter(BaseParameter): default: Any value: Any opt_range: Sequence[Any] def __init__(self, categories: Sequence[Any], *, default: Optional[Any] = None, space: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param categories: Optimization space, [a, b, ...]. :param default: A default value. If not specified, first item from specified space will be used. :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if parameter field name is prefixed with 'buy_' or 'sell_'. :param kwargs: Extra parameters to skopt.space.Categorical. """ if len(categories) < 2: raise OperationalException( 'IntParameter space must be [a, b, ...] (at least two parameters)') super().__init__(opt_range=categories, default=default, space=space, **kwargs) def get_space(self, name: str) -> 'Categorical': """ Create skopt optimization space. :param name: A name of parameter field. """ return Categorical(self.opt_range, name=name, **self._space_params) class HyperStrategyMixin(object): """ A helper base class which allows HyperOptAuto class to reuse implementations of of buy/sell strategy logic. """ def __init__(self): """ Initialize hyperoptable strategy mixin. """ self._load_params(getattr(self, 'buy_params', None)) self._load_params(getattr(self, 'sell_params', None)) def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]: """ Find all optimizeable parameters and return (name, attr) iterator. :param category: :return: """ if category not in ('buy', 'sell', None): raise OperationalException('Category must be one of: "buy", "sell", None.') for attr_name in dir(self): if not attr_name.startswith('__'): # Ignore internals, not strictly necessary. attr = getattr(self, attr_name) if issubclass(attr.__class__, BaseParameter): if category is None or category == attr.category or \ attr_name.startswith(category + '_'): yield attr_name, attr def _load_params(self, params: dict) -> None: """ Set optimizeable parameter values. :param params: Dictionary with new parameter values. """ if not params: return for attr_name, attr in self.enumerate_parameters(): if attr_name in params: attr.value = params[attr_name]