405 lines
15 KiB
Python
405 lines
15 KiB
Python
# pragma pylint: disable=too-many-instance-attributes, pointless-string-statement
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"""
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This module contains the hyperopt logic
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"""
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import logging
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import os
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import sys
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from argparse import Namespace
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from math import exp
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from operator import itemgetter
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from pathlib import Path
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from pprint import pprint
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from typing import Any, Dict, List
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from filelock import Timeout, FileLock
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from joblib import Parallel, delayed, dump, load, wrap_non_picklable_objects, cpu_count
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from pandas import DataFrame
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from skopt import Optimizer
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from skopt.space import Dimension
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from freqtrade import DependencyException
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from freqtrade.arguments import Arguments
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from freqtrade.configuration import Configuration
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from freqtrade.data.history import load_data
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.optimize import get_timeframe, validate_backtest_data
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from freqtrade.optimize.backtesting import Backtesting
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from freqtrade.state import RunMode
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from freqtrade.resolvers import HyperOptResolver
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logger = logging.getLogger(__name__)
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INITIAL_POINTS = 30
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MAX_LOSS = 100000 # just a big enough number to be bad result in loss optimization
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TICKERDATA_PICKLE = os.path.join('user_data', 'hyperopt_tickerdata.pkl')
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TRIALSDATA_PICKLE = os.path.join('user_data', 'hyperopt_results.pickle')
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HYPEROPT_LOCKFILE = os.path.join('user_data', 'hyperopt.lock')
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class Hyperopt(Backtesting):
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"""
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Hyperopt class, this class contains all the logic to run a hyperopt simulation
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To run a backtest:
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hyperopt = Hyperopt(config)
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hyperopt.start()
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"""
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def __init__(self, config: Dict[str, Any]) -> None:
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super().__init__(config)
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self.config = config
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self.custom_hyperopt = HyperOptResolver(self.config).hyperopt
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# set TARGET_TRADES to suit your number concurrent trades so its realistic
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# to the number of days
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self.target_trades = 600
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self.total_tries = config.get('epochs', 0)
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self.current_best_loss = 100
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# max average trade duration in minutes
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# if eval ends with higher value, we consider it a failed eval
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self.max_accepted_trade_duration = 300
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# This is assumed to be expected avg profit * expected trade count.
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# For example, for 0.35% avg per trade (or 0.0035 as ratio) and 1100 trades,
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# self.expected_max_profit = 3.85
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# Check that the reported Σ% values do not exceed this!
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# Note, this is ratio. 3.85 stated above means 385Σ%.
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self.expected_max_profit = 3.0
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# Previous evaluations
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self.trials_file = TRIALSDATA_PICKLE
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self.trials: List = []
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def get_args(self, params):
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dimensions = self.hyperopt_space()
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# Ensure the number of dimensions match
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# the number of parameters in the list x.
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if len(params) != len(dimensions):
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raise ValueError('Mismatch in number of search-space dimensions. '
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f'len(dimensions)=={len(dimensions)} and len(x)=={len(params)}')
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# Create a dict where the keys are the names of the dimensions
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# and the values are taken from the list of parameters x.
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arg_dict = {dim.name: value for dim, value in zip(dimensions, params)}
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return arg_dict
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def save_trials(self) -> None:
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"""
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Save hyperopt trials to file
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"""
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if self.trials:
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logger.info('Saving %d evaluations to \'%s\'', len(self.trials), self.trials_file)
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dump(self.trials, self.trials_file)
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def read_trials(self) -> List:
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"""
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Read hyperopt trials file
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"""
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logger.info('Reading Trials from \'%s\'', self.trials_file)
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trials = load(self.trials_file)
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os.remove(self.trials_file)
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return trials
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def log_trials_result(self) -> None:
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"""
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Display Best hyperopt result
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"""
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results = sorted(self.trials, key=itemgetter('loss'))
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best_result = results[0]
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logger.info(
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'Best result:\n%s\nwith values:\n',
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best_result['result']
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)
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pprint(best_result['params'], indent=4)
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if 'roi_t1' in best_result['params']:
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logger.info('ROI table:')
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pprint(self.custom_hyperopt.generate_roi_table(best_result['params']), indent=4)
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def log_results(self, results) -> None:
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"""
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Log results if it is better than any previous evaluation
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"""
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print_all = self.config.get('print_all', False)
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if print_all or results['loss'] < self.current_best_loss:
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# Output human-friendly index here (starting from 1)
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current = results['current_tries'] + 1
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total = results['total_tries']
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res = results['result']
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loss = results['loss']
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self.current_best_loss = results['loss']
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log_msg = f'{current:5d}/{total}: {res} Objective: {loss:.5f}'
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log_msg = f'*{log_msg}' if results['initial_point'] else f' {log_msg}'
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if print_all:
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print(log_msg)
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else:
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print('\n' + log_msg)
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else:
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print('.', end='')
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sys.stdout.flush()
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def calculate_loss(self, total_profit: float, trade_count: int, trade_duration: float) -> float:
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"""
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Objective function, returns smaller number for more optimal results
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"""
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trade_loss = 1 - 0.25 * exp(-(trade_count - self.target_trades) ** 2 / 10 ** 5.8)
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profit_loss = max(0, 1 - total_profit / self.expected_max_profit)
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duration_loss = 0.4 * min(trade_duration / self.max_accepted_trade_duration, 1)
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result = trade_loss + profit_loss + duration_loss
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return result
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def has_space(self, space: str) -> bool:
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"""
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Tell if a space value is contained in the configuration
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"""
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if space in self.config['spaces'] or 'all' in self.config['spaces']:
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return True
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return False
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def hyperopt_space(self) -> List[Dimension]:
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"""
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Return the space to use during Hyperopt
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"""
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spaces: List[Dimension] = []
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if self.has_space('buy'):
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spaces += self.custom_hyperopt.indicator_space()
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if self.has_space('sell'):
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spaces += self.custom_hyperopt.sell_indicator_space()
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# Make sure experimental is enabled
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if 'experimental' not in self.config:
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self.config['experimental'] = {}
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self.config['experimental']['use_sell_signal'] = True
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if self.has_space('roi'):
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spaces += self.custom_hyperopt.roi_space()
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if self.has_space('stoploss'):
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spaces += self.custom_hyperopt.stoploss_space()
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return spaces
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def generate_optimizer(self, _params: Dict) -> Dict:
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params = self.get_args(_params)
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if self.has_space('roi'):
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self.strategy.minimal_roi = self.custom_hyperopt.generate_roi_table(params)
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if self.has_space('buy'):
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self.advise_buy = self.custom_hyperopt.buy_strategy_generator(params)
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elif hasattr(self.custom_hyperopt, 'populate_buy_trend'):
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self.advise_buy = self.custom_hyperopt.populate_buy_trend # type: ignore
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if self.has_space('sell'):
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self.advise_sell = self.custom_hyperopt.sell_strategy_generator(params)
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elif hasattr(self.custom_hyperopt, 'populate_sell_trend'):
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self.advise_sell = self.custom_hyperopt.populate_sell_trend # type: ignore
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if self.has_space('stoploss'):
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self.strategy.stoploss = params['stoploss']
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processed = load(TICKERDATA_PICKLE)
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min_date, max_date = get_timeframe(processed)
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results = self.backtest(
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{
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'stake_amount': self.config['stake_amount'],
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'processed': processed,
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'position_stacking': self.config.get('position_stacking', True),
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'start_date': min_date,
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'end_date': max_date,
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}
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)
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result_explanation = self.format_results(results)
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total_profit = results.profit_percent.sum()
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trade_count = len(results.index)
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trade_duration = results.trade_duration.mean()
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# If this evaluation contains too short amount of trades to be
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# interesting -- consider it as 'bad' (assigned max. loss value)
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# in order to cast this hyperspace point away from optimization
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# path. We do not want to optimize 'hodl' strategies.
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if trade_count < self.config['hyperopt_min_trades']:
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return {
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'loss': MAX_LOSS,
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'params': params,
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'result': result_explanation,
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}
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loss = self.calculate_loss(total_profit, trade_count, trade_duration)
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return {
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'loss': loss,
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'params': params,
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'result': result_explanation,
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}
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def format_results(self, results: DataFrame) -> str:
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"""
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Return the format result in a string
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"""
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trades = len(results.index)
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avg_profit = results.profit_percent.mean() * 100.0
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total_profit = results.profit_abs.sum()
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stake_cur = self.config['stake_currency']
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profit = results.profit_percent.sum() * 100.0
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duration = results.trade_duration.mean()
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return (f'{trades:6d} trades. Avg profit {avg_profit: 5.2f}%. '
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f'Total profit {total_profit: 11.8f} {stake_cur} '
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f'({profit: 7.2f}Σ%). Avg duration {duration:5.1f} mins.')
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def get_optimizer(self, cpu_count) -> Optimizer:
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return Optimizer(
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self.hyperopt_space(),
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base_estimator="ET",
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acq_optimizer="auto",
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n_initial_points=INITIAL_POINTS,
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acq_optimizer_kwargs={'n_jobs': cpu_count},
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random_state=self.config.get('hyperopt_random_state', None)
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)
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def run_optimizer_parallel(self, parallel, asked) -> List:
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return parallel(delayed(
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wrap_non_picklable_objects(self.generate_optimizer))(v) for v in asked)
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def load_previous_results(self):
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""" read trials file if we have one """
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if os.path.exists(self.trials_file) and os.path.getsize(self.trials_file) > 0:
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self.trials = self.read_trials()
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logger.info(
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'Loaded %d previous evaluations from disk.',
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len(self.trials)
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)
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def start(self) -> None:
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timerange = Arguments.parse_timerange(None if self.config.get(
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'timerange') is None else str(self.config.get('timerange')))
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data = load_data(
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datadir=Path(self.config['datadir']) if self.config.get('datadir') else None,
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pairs=self.config['exchange']['pair_whitelist'],
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ticker_interval=self.ticker_interval,
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refresh_pairs=self.config.get('refresh_pairs', False),
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exchange=self.exchange,
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timerange=timerange
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)
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if not data:
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logger.critical("No data found. Terminating.")
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return
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min_date, max_date = get_timeframe(data)
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# Validate dataframe for missing values (mainly at start and end, as fillup is called)
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validate_backtest_data(data, min_date, max_date,
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timeframe_to_minutes(self.ticker_interval))
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logger.info(
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'Backtesting data from %s up to %s (%s days)..',
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min_date.isoformat(),
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max_date.isoformat(),
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(max_date - min_date).days
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)
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if self.has_space('buy') or self.has_space('sell'):
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self.strategy.advise_indicators = \
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self.custom_hyperopt.populate_indicators # type: ignore
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dump(self.strategy.tickerdata_to_dataframe(data), TICKERDATA_PICKLE)
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# We don't need exchange instance anymore while running hyperopt
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self.exchange = None # type: ignore
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self.load_previous_results()
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cpus = cpu_count()
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logger.info(f'Found {cpus} CPU cores. Let\'s make them scream!')
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config_jobs = self.config.get('hyperopt_jobs', -1)
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logger.info(f'Number of parallel jobs set as: {config_jobs}')
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opt = self.get_optimizer(config_jobs)
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try:
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with Parallel(n_jobs=config_jobs) as parallel:
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jobs = parallel._effective_n_jobs()
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logger.info(f'Effective number of parallel workers used: {jobs}')
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EVALS = max(self.total_tries // jobs, 1)
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for i in range(EVALS):
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asked = opt.ask(n_points=jobs)
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f_val = self.run_optimizer_parallel(parallel, asked)
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opt.tell(asked, [i['loss'] for i in f_val])
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self.trials += f_val
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for j in range(jobs):
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current = i * jobs + j
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self.log_results({
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'loss': f_val[j]['loss'],
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'current_tries': current,
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'initial_point': current < INITIAL_POINTS,
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'total_tries': self.total_tries,
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'result': f_val[j]['result'],
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})
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logger.debug(f"Optimizer params: {f_val[j]['params']}")
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for j in range(jobs):
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logger.debug(f"Optimizer state: Xi: {opt.Xi[-j-1]}, yi: {opt.yi[-j-1]}")
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except KeyboardInterrupt:
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print('User interrupted..')
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self.save_trials()
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self.log_trials_result()
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def setup_configuration(args: Namespace) -> Dict[str, Any]:
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"""
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Prepare the configuration for the Hyperopt module
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:param args: Cli args from Arguments()
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:return: Configuration
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"""
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configuration = Configuration(args, RunMode.HYPEROPT)
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config = configuration.load_config()
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# Ensure we do not use Exchange credentials
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config['exchange']['key'] = ''
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config['exchange']['secret'] = ''
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if config.get('strategy') and config.get('strategy') != 'DefaultStrategy':
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logger.error("Please don't use --strategy for hyperopt.")
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logger.error(
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"Read the documentation at "
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"https://github.com/freqtrade/freqtrade/blob/develop/docs/hyperopt.md "
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"to understand how to configure hyperopt.")
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raise DependencyException("--strategy configured but not supported for hyperopt")
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return config
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def start(args: Namespace) -> None:
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"""
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Start Backtesting script
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:param args: Cli args from Arguments()
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:return: None
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"""
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# Initialize configuration
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config = setup_configuration(args)
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logger.info('Starting freqtrade in Hyperopt mode')
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lock = FileLock(HYPEROPT_LOCKFILE)
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try:
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with lock.acquire(timeout=1):
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# Remove noisy log messages
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logging.getLogger('hyperopt.tpe').setLevel(logging.WARNING)
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logging.getLogger('filelock').setLevel(logging.WARNING)
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# Initialize backtesting object
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hyperopt = Hyperopt(config)
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hyperopt.start()
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except Timeout:
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logger.info("Another running instance of freqtrade Hyperopt detected.")
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logger.info("Simultaneous execution of multiple Hyperopt commands is not supported. "
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"Hyperopt module is resource hungry. Please run your Hyperopts sequentially "
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"or on separate machines.")
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logger.info("Quitting now.")
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# TODO: return False here in order to help freqtrade to exit
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# with non-zero exit code...
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# Same in Edge and Backtesting start() functions.
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