10 KiB
Hyperopt
This page explains how to tune your strategy by finding the optimal parameters with Hyperopt.
Table of Contents
Prepare Hyperopt
Before we start digging in Hyperopt, we recommend you to take a look at out Hyperopt file freqtrade/optimize/hyperopt.py
1. Configure your Guards and Triggers
There are two places you need to change to add a new buy strategy for testing:
- Inside the populate_buy_trend().
- Inside the SPACE dict.
There you have two different type of indicators: 1. guards and 2.
triggers.
- Guards are conditions like "never buy if ADX < 10", or never buy if current price is over EMA10.
- Triggers are ones that actually trigger buy in specific moment, like "buy when EMA5 crosses over EMA10" or buy when close price touches lower bollinger band.
HyperOpt will, for each eval round, pick just ONE trigger, and possibly multiple guards. So that the constructed strategy will be something like "buy exactly when close price touches lower bollinger band, BUT only if ADX > 10".
If you have updated the buy strategy, means change the content of
populate_buy_trend() function you have to update the guards and
triggers hyperopts must used.
As for an example if your populate_buy_trend() function is:
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
dataframe.loc[
(dataframe['rsi'] < 35) &
(dataframe['adx'] > 65),
'buy'] = 1
return dataframe
Your hyperopt file must contains guards to find the right value for
(dataframe['adx'] > 65) & and (dataframe['plus_di'] > 0.5). That
means you will need to enable/disable triggers.
In our case the SPACE and populate_buy_trend in hyperopt.py file
will be look like:
SPACE = {
'rsi': hp.choice('rsi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 1)}
]),
'adx': hp.choice('adx', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('adx-value', 15, 50, 1)}
]),
'trigger': hp.choice('trigger', [
{'type': 'lower_bb'},
{'type': 'faststoch10'},
{'type': 'ao_cross_zero'},
{'type': 'ema5_cross_ema10'},
{'type': 'macd_cross_signal'},
{'type': 'sar_reversal'},
{'type': 'stochf_cross'},
{'type': 'ht_sine'},
]),
}
...
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if params['adx']['enabled']:
conditions.append(dataframe['adx'] > params['adx']['value'])
if params['rsi']['enabled']:
conditions.append(dataframe['rsi'] < params['rsi']['value'])
# 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'])),
'stochf_cross': (crossed_above(dataframe['fastk'], dataframe['fastd'])),
'ht_sine': (crossed_above(dataframe['htleadsine'], dataframe['htsine'])),
}
...
2. Update the hyperopt config file
Hyperopt is using a dedicated config file. At this moment hyperopt cannot use your config file. It is also made on purpose to allow you testing your strategy with different configurations.
The Hyperopt configuration is located in freqtrade/optimize/hyperopt_conf.py.
Advanced notions
Understand the Guards and Triggers
When you need to add the new guards and triggers to be hyperopt parameters, you do this by adding them into the SPACE dict.
If it's a trigger, you add one line to the 'trigger' choice group and that's it.
If it's a guard, you will add a line like this:
'rsi': hp.choice('rsi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 1)}
]),
This says, "one of guards is RSI, it can have two values, enabled or disabled. If it is enabled, try different values for it between 20 and 40".
So, the part of the strategy builder using the above setting looks like this:
if params['rsi']['enabled']:
conditions.append(dataframe['rsi'] < params['rsi']['value'])
It checks if Hyperopt wants the RSI guard to be enabled for this
round params['rsi']['enabled'] and if it is, then it will add a
condition that says RSI must be < than the value hyperopt picked
for this evaluation, that is given in the params['rsi']['value'].
That's it. Now you can add new parts of strategies to Hyperopt and it will try all the combinations with all different values in the search for best working algo.
Add a new Indicators
If you want to test an indicator that isn't used by the bot currently,
you need to add it to
freqtrade/analyze.py
inside the populate_indicators function.
Execute Hyperopt
Once you have updated your hyperopt configuration you can run it. Because hyperopt tries a lot of combination to find the best parameters it will take time you will have the result (more than 30 mins).
We strongly recommend to use screen to prevent any connection loss.
python3 ./freqtrade/main.py -c config.json hyperopt
Execute hyperopt with different ticker-data source
If you would like to learn parameters using an alternate ticke-data that you have on-disk, use the --datadir PATH option. Default hyperopt will use data from directory freqtrade/tests/testdata.
Running hyperopt with smaller testset
Use the --timeperiod argument to change how much of the testset you want to use. The last N ticks/timeframes will be used. Example:
python3 ./freqtrade/main.py hyperopt --timeperiod -200
Hyperopt with MongoDB
Hyperopt with MongoDB, is like Hyperopt under steroids. As you saw by executing the previous command is the execution takes a long time. To accelerate it you can use hyperopt with MongoDB.
To run hyperopt with MongoDb you will need 3 terminals.
Terminal 1: Start MongoDB
cd <freqtrade>
source .env/bin/activate
python3 scripts/start-mongodb.py
Terminal 2: Start Hyperopt worker
cd <freqtrade>
source .env/bin/activate
python3 scripts/start-hyperopt-worker.py
Terminal 3: Start Hyperopt with MongoDB
cd <freqtrade>
source .env/bin/activate
python3 ./freqtrade/main.py -c config.json hyperopt --use-mongodb
Re-run an Hyperopt To re-run Hyperopt you have to delete the existing MongoDB table.
cd <freqtrade>
rm -rf .hyperopt/mongodb/
Understand the hyperopts result
Once Hyperopt is completed you can use the result to adding new buy signal. Given following result from hyperopt:
Best parameters:
{
"adx": {
"enabled": true,
"value": 15.0
},
"fastd": {
"enabled": true,
"value": 40.0
},
"green_candle": {
"enabled": true
},
"mfi": {
"enabled": false
},
"over_sar": {
"enabled": false
},
"rsi": {
"enabled": true,
"value": 37.0
},
"trigger": {
"type": "lower_bb"
},
"uptrend_long_ema": {
"enabled": true
},
"uptrend_short_ema": {
"enabled": false
},
"uptrend_sma": {
"enabled": false
}
}
Best Result:
2197 trades. Avg profit 1.84%. Total profit 0.79367541 BTC. Avg duration 241.0 mins.
You should understand this result like:
- You should consider the guard "adx" (
"adx"is"enabled": true) and the best value is15.0("value": 15.0,) - You should consider the guard "fastd" (
"fastd"is"enabled": true) and the best value is40.0("value": 40.0,) - You should consider to enable the guard "green_candle"
(
"green_candle"is"enabled": true) but this guards as no customizable value. - You should ignore the guard "mfi" (
"mfi"is"enabled": false) - and so on...
You have to look from freqtrade/optimize/hyperopt.py what those values match to.
So for example you had adx: with the value: 15.0 so we would look
at adx-block from
freqtrade/optimize/hyperopt.py.
That translates to the following code block to
analyze.populate_buy_trend()
(dataframe['adx'] > 15.0)
So translating your whole hyperopt result to as the new buy-signal would be the following:
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
dataframe.loc[
(
(dataframe['adx'] > 15.0) & # adx-value
(dataframe['fastd'] < 40.0) & # fastd-value
(dataframe['close'] > dataframe['open']) & # green_candle
(dataframe['rsi'] < 37.0) & # rsi-value
(dataframe['ema50'] > dataframe['ema100']) # uptrend_long_ema
),
'buy'] = 1
return dataframe
Next step
Now you have a perfect bot and want to control it from Telegram. Your next step is to learn the Telegram usage.