""" 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, Optional, Sequence, Union from freqtrade.enums import HyperoptState from freqtrade.optimize.hyperopt_tools import HyperoptStateContainer with suppress(ImportError): from skopt.space import Integer, Real, Categorical from freqtrade.optimize.space import SKDecimal 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 """ def can_optimize(self): return ( self.in_space and self.optimize and HyperoptStateContainer.state != HyperoptState.OPTIMIZE ) 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 low: int high: 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.can_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.can_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.can_optimize(): return self.opt_range else: return [self.value] class BooleanParameter(CategoricalParameter): def __init__(self, *, default: Optional[Any] = None, space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): """ Initialize hyperopt-optimizable Boolean Parameter. It's a shortcut to `CategoricalParameter([True, False])`. :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. """ categories = [True, False] super().__init__(categories=categories, default=default, space=space, optimize=optimize, load=load, **kwargs)