# pragma pylint: disable=missing-docstring import logging import os from functools import reduce from math import exp from operator import itemgetter import pytest from hyperopt import fmin, tpe, hp, Trials, STATUS_OK from pandas import DataFrame from freqtrade.tests.test_backtesting import backtest, format_results from freqtrade.vendor.qtpylib.indicators import crossed_above logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot # set TARGET_TRADES to suit your number concurrent trades so its realistic to 20days of data TARGET_TRADES = 1200 def buy_strategy_generator(params): print(params) def populate_buy_trend(dataframe: DataFrame) -> DataFrame: conditions = [] # GUARDS AND TRENDS if params['uptrend_long_ema']['enabled']: conditions.append(dataframe['ema50'] > dataframe['ema100']) 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['rsi']['enabled']: conditions.append(dataframe['rsi'] < params['rsi']['value']) if params['over_sar']['enabled']: conditions.append(dataframe['close'] > dataframe['sar']) if params['green_candle']['enabled']: conditions.append(dataframe['close'] > dataframe['open']) if params['uptrend_sma']['enabled']: prevsma = dataframe['sma'].shift(1) conditions.append(dataframe['sma'] > prevsma) # TRIGGERS triggers = { 'lower_bb': dataframe['tema'] <= dataframe['blower'], 'faststoch10': (crossed_above(dataframe['fastd'], 10.0)), 'ao_cross_zero': (crossed_above(dataframe['ao'], 0.0)), 'ema5_cross_ema10': (crossed_above(dataframe['ema5'], dataframe['ema10'])), 'macd_cross_signal': (crossed_above(dataframe['macd'], dataframe['macdsignal'])), 'sar_reversal': (crossed_above(dataframe['close'], dataframe['sar'])), } 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(backtest_conf, backdata, mocker): mocked_buy_trend = mocker.patch('freqtrade.analyze.populate_buy_trend') def optimizer(params): mocked_buy_trend.side_effect = buy_strategy_generator(params) results = backtest(backtest_conf, backdata, mocker) result = format_results(results) print(result) total_profit = results.profit.sum() * 1000 trade_count = len(results.index) trade_loss = 1 - 0.8 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5) profit_loss = exp(-total_profit**3 / 10**11) return { 'loss': trade_loss + profit_loss, 'status': STATUS_OK, 'result': result } space = { 'mfi': hp.choice('mfi', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('mfi-value', 5, 15)} ]), 'fastd': hp.choice('fastd', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('fastd-value', 5, 40)} ]), 'adx': hp.choice('adx', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('adx-value', 10, 50)} ]), 'rsi': hp.choice('rsi', [ {'enabled': False}, {'enabled': True, 'value': hp.uniform('rsi-value', 20, 30)} ]), 'uptrend_long_ema': hp.choice('uptrend_long_ema', [ {'enabled': False}, {'enabled': True} ]), 'over_sar': hp.choice('over_sar', [ {'enabled': False}, {'enabled': True} ]), 'green_candle': hp.choice('green_candle', [ {'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'}, {'type': 'ema5_cross_ema10'}, {'type': 'macd_cross_signal'}, {'type': 'sar_reversal'}, ]), } trials = Trials() best = fmin(fn=optimizer, space=space, algo=tpe.suggest, max_evals=4, trials=trials) print('\n\n\n\n==================== HYPEROPT BACKTESTING REPORT ==============================') print('Best parameters {}'.format(best)) newlist = sorted(trials.results, key=itemgetter('loss')) print('Result: {}'.format(newlist[0]['result']))