# pragma pylint: disable=missing-docstring import json import logging import os from functools import reduce import pytest import arrow from pandas import DataFrame from qtpylib.indicators import crossed_above from hyperopt import fmin, tpe, hp from freqtrade.analyze import analyze_ticker from freqtrade.main import should_sell from freqtrade.persistence import Trade from freqtrade.tests.test_backtesting import backtest, print_results logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot @pytest.fixture def pairs(): return ['btc-neo', 'btc-eth', 'btc-omg', 'btc-edg', 'btc-pay', 'btc-pivx', 'btc-qtum', 'btc-mtl', 'btc-etc', 'btc-ltc'] @pytest.fixture def conf(): return { "minimal_roi": { "40": 0.0, "30": 0.01, "20": 0.02, "0": 0.04 }, "stoploss": -0.05 } def buy_strategy_generator(params): print(params) def populate_buy_trend(dataframe: DataFrame) -> DataFrame: conditions = [] # GUARDS AND TRENDS if params['below_sma']['enabled']: conditions.append(dataframe['close'] < dataframe['sma']) if params['over_sma']['enabled']: conditions.append(dataframe['close'] > dataframe['sma']) if params['mfi']['enabled']: conditions.append(dataframe['mfi'] < params['mfi']['value']) if params['fastd']['enabled']: conditions.append(dataframe['fastd'] < params['fastd']['value']) if params['adx']['enabled']: conditions.append(dataframe['adx'] > params['adx']['value']) if params['cci']['enabled']: conditions.append(dataframe['cci'] < params['cci']['value']) if params['over_sar']['enabled']: conditions.append(dataframe['close'] > dataframe['sar']) if params['uptrend_sma']['enabled']: prevsma = dataframe['sma'].shift(1) conditions.append(dataframe['sma'] > prevsma) prev_fastd = dataframe['fastd'].shift(1) # TRIGGERS triggers = { 'lower_bb': dataframe['tema'] <= dataframe['blower'], 'faststoch10': (dataframe['fastd'] >= 10) & (prev_fastd < 10), 'ao_cross_zero': (crossed_above(dataframe['ao'], 0.0)), } conditions.append(triggers.get(params['trigger']['type'])) dataframe.loc[ reduce(lambda x, y: x & y, conditions), 'buy'] = 1 dataframe.loc[dataframe['buy'] == 1, 'buy_price'] = dataframe['close'] return dataframe return populate_buy_trend @pytest.mark.skipif(not os.environ.get('BACKTEST', False), reason="BACKTEST not set") def test_hyperopt(conf, pairs, mocker): def optimizer(params): buy_strategy = buy_strategy_generator(params) mocker.patch('freqtrade.analyze.populate_buy_trend', side_effect=buy_strategy) results = backtest(conf, pairs, mocker) print_results(results) # set the value below to suit your number concurrent trades so its realistic to 20days of data TARGET_TRADES = 1200 if results.profit.sum() == 0 or results.profit.mean() == 0: return 49999999999 # avoid division by zero, return huge value to discard result return abs(len(results.index) - 1200.1) / (results.profit.sum() ** 2) * results.duration.mean() # the smaller the better space = { 'mfi': hp.choice('mfi', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('mfi-value', 2, 40)} ]), 'fastd': hp.choice('fastd', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('fastd-value', 2, 40)} ]), 'adx': hp.choice('adx', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('adx-value', 2, 40)} ]), 'cci': hp.choice('cci', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('cci-value', -200, -100)} ]), 'below_sma': hp.choice('below_sma', [ {'enabled': False}, {'enabled': True} ]), 'over_sma': hp.choice('over_sma', [ {'enabled': False}, {'enabled': True} ]), 'over_sar': hp.choice('over_sar', [ {'enabled': False}, {'enabled': True} ]), 'uptrend_sma': hp.choice('uptrend_sma', [ {'enabled': False}, {'enabled': True} ]), 'trigger': hp.choice('trigger', [ {'type': 'lower_bb'}, {'type': 'faststoch10'}, {'type': 'ao_cross_zero'} ]), } print('Best parameters {}'.format(fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=40)))