""" IHyperStrategy interface, hyperoptable Parameter class. This module defines a base class for auto-hyperoptable strategies. """ from typing import Iterator, Tuple, Any, Optional, Sequence 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 space: Sequence[Any] def __init__(self, *, space: Sequence[Any], default: Any, category: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param category: 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 = category self._space_params = kwargs self.value = default self.space = space def __repr__(self): return f'{self.__class__.__name__}({self.value})' class IntParameter(BaseParameter): default: int value: int space: Sequence[int] def __init__(self, *, space: Sequence[int], default: int, category: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param space: Optimization space, [min, max]. :param default: A default value. :param category: 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 len(space) != 2: raise OperationalException('IntParameter space must be [min, max]') super().__init__(space=space, default=default, category=category, **kwargs) def get_space(self, name: str) -> Integer: """ Create skopt optimization space. :param name: A name of parameter field. """ return Integer(*self.space, name=name, **self._space_params) class FloatParameter(BaseParameter): default: float value: float space: Sequence[float] def __init__(self, *, space: Sequence[float], default: float, category: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param space: Optimization space, [min, max]. :param default: A default value. :param category: 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 len(space) != 2: raise OperationalException('IntParameter space must be [min, max]') super().__init__(space=space, default=default, category=category, **kwargs) def get_space(self, name: str) -> Real: """ Create skopt optimization space. :param name: A name of parameter field. """ return Real(*self.space, name=name, **self._space_params) class CategoricalParameter(BaseParameter): default: Any value: Any space: Sequence[Any] def __init__(self, *, space: Sequence[Any], default: Optional[Any] = None, category: Optional[str] = None, **kwargs): """ Initialize hyperopt-optimizable parameter. :param space: Optimization space, [a, b, ...]. :param default: A default value. If not specified, first item from specified space will be used. :param category: 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(space) < 2: raise OperationalException( 'IntParameter space must be [a, b, ...] (at least two parameters)') super().__init__(space=space, default=default, category=category, **kwargs) def get_space(self, name: str) -> Categorical: """ Create skopt optimization space. :param name: A name of parameter field. """ return Categorical(self.space, 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. """ # Hint that class can be used with HyperOptAuto. HYPER_STRATEGY = 1 def __init__(self): """ Initialize hyperoptable strategy mixin. :param config: """ 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]