94 lines
3.8 KiB
Python
94 lines
3.8 KiB
Python
"""
|
|
IHyperStrategy interface, hyperoptable Parameter class.
|
|
This module defines a base class for auto-hyperoptable strategies.
|
|
"""
|
|
from abc import ABC
|
|
from typing import Union, List, Iterator, Tuple
|
|
|
|
from skopt.space import Integer, Real, Categorical
|
|
|
|
from freqtrade.strategy.interface import IStrategy
|
|
|
|
|
|
class Parameter(object):
|
|
"""
|
|
Defines a parameter that can be optimized by hyperopt.
|
|
"""
|
|
default: Union[int, float, str, bool]
|
|
space: List[Union[int, float, str, bool]]
|
|
category: str
|
|
|
|
def __init__(self, *, space: List[Union[int, float, str, bool]], default: Union[int, float, str, bool] = None,
|
|
category: str = None, **kwargs):
|
|
"""
|
|
Initialize hyperopt-optimizable parameter.
|
|
:param space: Optimization space. [min, max] for ints and floats or a list of strings for categorial parameters.
|
|
:param default: A default value. Required for ints and floats, optional for categorial parameters (first item
|
|
from the space will be used). Type of default value determines skopt space used for optimization.
|
|
: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).
|
|
"""
|
|
assert 'name' not in kwargs, 'Name is determined by parameter field name and can not be specified manually.'
|
|
self.value = default
|
|
self.space = space
|
|
self.category = category
|
|
self._space_params = kwargs
|
|
if default is None:
|
|
assert len(space) > 0
|
|
self.value = space[0]
|
|
|
|
def get_space(self, name: str) -> Union[Integer, Real, Categorical, None]:
|
|
"""
|
|
Create skopt optimization space.
|
|
:param name: A name of parameter field.
|
|
:return: skopt space of this parameter, or None if parameter is not optimizable (i.e. space is set to None)
|
|
"""
|
|
if not self.space:
|
|
return None
|
|
if isinstance(self.value, int):
|
|
assert len(self.space) == 2
|
|
return Integer(*self.space, name=name, **self._space_params)
|
|
if isinstance(self.value, float):
|
|
assert len(self.space) == 2
|
|
return Real(*self.space, name=name, **self._space_params)
|
|
|
|
assert len(self.space) > 0
|
|
return Categorical(self.space, name=name, **self._space_params)
|
|
|
|
|
|
class IHyperStrategy(IStrategy, ABC):
|
|
"""
|
|
A helper base class which allows HyperOptAuto class to reuse implementations of of buy/sell strategy logic.
|
|
"""
|
|
|
|
def __init__(self, config):
|
|
super().__init__(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, Parameter]]:
|
|
"""
|
|
Find all optimizeable parameters and return (name, attr) iterator.
|
|
:param category:
|
|
:return:
|
|
"""
|
|
assert category in ('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 isinstance(attr, Parameter):
|
|
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]
|