""" IHyperStrategy interface, hyperoptable Parameter class. This module defines a base class for auto-hyperoptable strategies. """ import logging from abc import ABC, abstractmethod from contextlib import suppress from typing import Any, Dict, Iterator, List, Optional, Sequence, Tuple, Union from freqtrade.optimize.hyperopt_tools import HyperoptTools with suppress(ImportError): from skopt.space import Integer, Real, Categorical from freqtrade.optimize.space import SKDecimal from freqtrade.enums import RunMode from freqtrade.exceptions import OperationalException logger = logging.getLogger(__name__) class BaseParameter(ABC): """ Defines a parameter that can be optimized by hyperopt. """ category: Optional[str] default: Any value: Any in_space: bool = False name: str def __init__(self, *, default: Any, space: Optional[str] = None, optimize: bool = True, load: bool = True, **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 optimize: Include parameter in hyperopt optimizations. :param load: Load parameter value from {space}_params. :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.optimize = optimize self.load = load def __repr__(self): return f'{self.__class__.__name__}({self.value})' @abstractmethod def get_space(self, name: str) -> Union['Integer', 'Real', 'SKDecimal', 'Categorical']: """ Get-space - will be used by Hyperopt to get the hyperopt Space """ class NumericParameter(BaseParameter): """ Internal parameter used for Numeric purposes """ float_or_int = Union[int, float] default: float_or_int value: float_or_int def __init__(self, low: Union[float_or_int, Sequence[float_or_int]], high: Optional[float_or_int] = None, *, default: float_or_int, space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): """ Initialize hyperopt-optimizable numeric parameter. Cannot be instantiated, but provides the validation for other numeric parameters :param low: Lower end (inclusive) of optimization space or [low, high]. :param high: Upper end (inclusive) 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 fieldname is prefixed with 'buy_' or 'sell_'. :param optimize: Include parameter in hyperopt optimizations. :param load: Load parameter value from {space}_params. :param kwargs: Extra parameters to skopt.space.*. """ if high is not None and isinstance(low, Sequence): raise OperationalException(f'{self.__class__.__name__} space invalid.') if high is None or isinstance(low, Sequence): if not isinstance(low, Sequence) or len(low) != 2: raise OperationalException(f'{self.__class__.__name__} space must be [low, high]') self.low, self.high = low else: self.low = low self.high = high super().__init__(default=default, space=space, optimize=optimize, load=load, **kwargs) class IntParameter(NumericParameter): default: int value: int def __init__(self, low: Union[int, Sequence[int]], high: Optional[int] = None, *, default: int, space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): """ Initialize hyperopt-optimizable integer parameter. :param low: Lower end (inclusive) of optimization space or [low, high]. :param high: Upper end (inclusive) 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 fieldname is prefixed with 'buy_' or 'sell_'. :param optimize: Include parameter in hyperopt optimizations. :param load: Load parameter value from {space}_params. :param kwargs: Extra parameters to skopt.space.Integer. """ super().__init__(low=low, high=high, default=default, space=space, optimize=optimize, load=load, **kwargs) def get_space(self, name: str) -> 'Integer': """ Create skopt optimization space. :param name: A name of parameter field. """ return Integer(low=self.low, high=self.high, name=name, **self._space_params) @property def range(self): """ Get each value in this space as list. Returns a List from low to high (inclusive) in Hyperopt mode. Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid calculating 100ds of indicators. """ if self.in_space and self.optimize: # Scikit-optimize ranges are "inclusive", while python's "range" is exclusive return range(self.low, self.high + 1) else: return range(self.value, self.value + 1) class RealParameter(NumericParameter): default: float value: float def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *, default: float, space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): """ Initialize hyperopt-optimizable floating point parameter with unlimited precision. :param low: Lower end (inclusive) of optimization space or [low, high]. :param high: Upper end (inclusive) of optimization space. Must be none if 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 fieldname is prefixed with 'buy_' or 'sell_'. :param optimize: Include parameter in hyperopt optimizations. :param load: Load parameter value from {space}_params. :param kwargs: Extra parameters to skopt.space.Real. """ super().__init__(low=low, high=high, default=default, space=space, optimize=optimize, load=load, **kwargs) def get_space(self, name: str) -> 'Real': """ Create skopt optimization space. :param name: A name of parameter field. """ return Real(low=self.low, high=self.high, name=name, **self._space_params) class DecimalParameter(NumericParameter): default: float value: float def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *, default: float, decimals: int = 3, space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): """ Initialize hyperopt-optimizable decimal parameter with a limited precision. :param low: Lower end (inclusive) of optimization space or [low, high]. :param high: Upper end (inclusive) of optimization space. Must be none if entire range is passed first parameter. :param default: A default value. :param decimals: A number of decimals after floating point to be included in testing. :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if parameter fieldname is prefixed with 'buy_' or 'sell_'. :param optimize: Include parameter in hyperopt optimizations. :param load: Load parameter value from {space}_params. :param kwargs: Extra parameters to skopt.space.Integer. """ self._decimals = decimals default = round(default, self._decimals) super().__init__(low=low, high=high, default=default, space=space, optimize=optimize, load=load, **kwargs) def get_space(self, name: str) -> 'SKDecimal': """ Create skopt optimization space. :param name: A name of parameter field. """ return SKDecimal(low=self.low, high=self.high, decimals=self._decimals, name=name, **self._space_params) @property def range(self): """ Get each value in this space as list. Returns a List from low to high (inclusive) in Hyperopt mode. Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid calculating 100ds of indicators. """ if self.in_space and self.optimize: low = int(self.low * pow(10, self._decimals)) high = int(self.high * pow(10, self._decimals)) + 1 return [round(n * pow(0.1, self._decimals), self._decimals) for n in range(low, high)] else: return [self.value] 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, optimize: bool = True, load: bool = True, **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 optimize: Include parameter in hyperopt optimizations. :param load: Load parameter value from {space}_params. :param kwargs: Extra parameters to skopt.space.Categorical. """ if len(categories) < 2: raise OperationalException( 'CategoricalParameter space must be [a, b, ...] (at least two parameters)') self.opt_range = categories super().__init__(default=default, space=space, optimize=optimize, load=load, **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) @property def range(self): """ Get each value in this space as list. Returns a List of categories in Hyperopt mode. Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid calculating 100ds of indicators. """ if self.in_space and self.optimize: return self.opt_range else: return [self.value] class HyperStrategyMixin(object): """ A helper base class which allows HyperOptAuto class to reuse implementations of buy/sell strategy logic. """ def __init__(self, config: Dict[str, Any], *args, **kwargs): """ Initialize hyperoptable strategy mixin. """ self.config = config self.ft_buy_params: List[BaseParameter] = [] self.ft_sell_params: List[BaseParameter] = [] self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT) def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]: """ Find all optimizable 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.') if category is None: params = self.ft_buy_params + self.ft_sell_params else: params = getattr(self, f"ft_{category}_params") for par in params: yield par.name, par @classmethod def detect_parameters(cls, category: str) -> Iterator[Tuple[str, BaseParameter]]: """ Detect all parameters for 'category' """ for attr_name in dir(cls): if not attr_name.startswith('__'): # Ignore internals, not strictly necessary. attr = getattr(cls, attr_name) if issubclass(attr.__class__, BaseParameter): if (attr_name.startswith(category + '_') and attr.category is not None and attr.category != category): raise OperationalException( f'Inconclusive parameter name {attr_name}, category: {attr.category}.') if (category == attr.category or (attr_name.startswith(category + '_') and attr.category is None)): yield attr_name, attr @classmethod def detect_all_parameters(cls) -> Dict: """ Detect all parameters and return them as a list""" params: Dict = { 'buy': list(cls.detect_parameters('buy')), 'sell': list(cls.detect_parameters('sell')), } params.update({ 'count': len(params['buy'] + params['sell']) }) return params def _load_hyper_params(self, hyperopt: bool = False) -> None: """ Load Hyperoptable parameters """ self._load_params(getattr(self, 'buy_params', None), 'buy', hyperopt) self._load_params(getattr(self, 'sell_params', None), 'sell', hyperopt) def _load_params(self, params: dict, space: str, hyperopt: bool = False) -> None: """ Set optimizable parameter values. :param params: Dictionary with new parameter values. """ if not params: logger.info(f"No params for {space} found, using default values.") param_container: List[BaseParameter] = getattr(self, f"ft_{space}_params") for attr_name, attr in self.detect_parameters(space): attr.name = attr_name attr.in_space = hyperopt and HyperoptTools.has_space(self.config, space) if not attr.category: attr.category = space param_container.append(attr) if params and attr_name in params: if attr.load: attr.value = params[attr_name] logger.info(f'Strategy Parameter: {attr_name} = {attr.value}') else: logger.warning(f'Parameter "{attr_name}" exists, but is disabled. ' f'Default value "{attr.value}" used.') else: logger.info(f'Strategy Parameter(default): {attr_name} = {attr.value}') def get_params_dict(self): """ Returns list of Parameters that are not part of the current optimize job """ params = { 'buy': {}, 'sell': {} } for name, p in self.enumerate_parameters(): if not p.optimize or not p.in_space: params[p.category][name] = p.value return params