stable/docs/hyperopt.md

Hyperopt

This page explains how to tune your strategy by finding the optimal parameters, a process called hyperparameter optimization. The bot uses algorithms included in the scikit-optimize package to accomplish this. The search will burn all your CPU cores, make your laptop sound like a fighter jet and still take a long time.

In general, the search for best parameters starts with a few random combinations (see below for more details) and then uses Bayesian search with a ML regressor algorithm (currently ExtraTreesRegressor) to quickly find a combination of parameters in the search hyperspace that minimizes the value of the loss function.

Hyperopt requires historic data to be available, just as backtesting does (hyperopt runs backtesting many times with different parameters). To learn how to get data for the pairs and exchange you're interested in, head over to the Data Downloading section of the documentation.

!!! Bug Hyperopt can crash when used with only 1 CPU Core as found out in Issue #1133

!!! Note Since 2021.4 release you no longer have to write a separate hyperopt class, but can configure the parameters directly in the strategy. The legacy method is still supported, but it is no longer the recommended way of setting up hyperopt. The legacy documentation is available at Legacy Hyperopt.

Install hyperopt dependencies

Since Hyperopt dependencies are not needed to run the bot itself, are heavy, can not be easily built on some platforms (like Raspberry PI), they are not installed by default. Before you run Hyperopt, you need to install the corresponding dependencies, as described in this section below.

!!! Note Since Hyperopt is a resource intensive process, running it on a Raspberry Pi is not recommended nor supported.

Docker

The docker-image includes hyperopt dependencies, no further action needed.

Easy installation script (setup.sh) / Manual installation

source .env/bin/activate
pip install -r requirements-hyperopt.txt

Hyperopt command reference

usage: freqtrade hyperopt [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
                          [--userdir PATH] [-s NAME] [--strategy-path PATH]
                          [-i TIMEFRAME] [--timerange TIMERANGE]
                          [--data-format-ohlcv {json,jsongz,hdf5}]
                          [--max-open-trades INT]
                          [--stake-amount STAKE_AMOUNT] [--fee FLOAT]
                          [-p PAIRS [PAIRS ...]] [--hyperopt NAME]
                          [--hyperopt-path PATH] [--eps] [--dmmp]
                          [--enable-protections]
                          [--dry-run-wallet DRY_RUN_WALLET] [-e INT]
                          [--spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...]]
                          [--print-all] [--no-color] [--print-json] [-j JOBS]
                          [--random-state INT] [--min-trades INT]
                          [--hyperopt-loss NAME]

optional arguments:
  -h, --help            show this help message and exit
  -i TIMEFRAME, --timeframe TIMEFRAME, --ticker-interval TIMEFRAME
                        Specify timeframe (`1m`, `5m`, `30m`, `1h`, `1d`).
  --timerange TIMERANGE
                        Specify what timerange of data to use.
  --data-format-ohlcv {json,jsongz,hdf5}
                        Storage format for downloaded candle (OHLCV) data.
                        (default: `None`).
  --max-open-trades INT
                        Override the value of the `max_open_trades`
                        configuration setting.
  --stake-amount STAKE_AMOUNT
                        Override the value of the `stake_amount` configuration
                        setting.
  --fee FLOAT           Specify fee ratio. Will be applied twice (on trade
                        entry and exit).
  -p PAIRS [PAIRS ...], --pairs PAIRS [PAIRS ...]
                        Limit command to these pairs. Pairs are space-
                        separated.
  --hyperopt NAME       Specify hyperopt class name which will be used by the
                        bot.
  --hyperopt-path PATH  Specify additional lookup path for Hyperopt and
                        Hyperopt Loss functions.
  --eps, --enable-position-stacking
                        Allow buying the same pair multiple times (position
                        stacking).
  --dmmp, --disable-max-market-positions
                        Disable applying `max_open_trades` during backtest
                        (same as setting `max_open_trades` to a very high
                        number).
  --enable-protections, --enableprotections
                        Enable protections for backtesting.Will slow
                        backtesting down by a considerable amount, but will
                        include configured protections
  --dry-run-wallet DRY_RUN_WALLET, --starting-balance DRY_RUN_WALLET
                        Starting balance, used for backtesting / hyperopt and
                        dry-runs.
  -e INT, --epochs INT  Specify number of epochs (default: 100).
  --spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...]
                        Specify which parameters to hyperopt. Space-separated
                        list.
  --print-all           Print all results, not only the best ones.
  --no-color            Disable colorization of hyperopt results. May be
                        useful if you are redirecting output to a file.
  --print-json          Print output in JSON format.
  -j JOBS, --job-workers JOBS
                        The number of concurrently running jobs for
                        hyperoptimization (hyperopt worker processes). If -1
                        (default), all CPUs are used, for -2, all CPUs but one
                        are used, etc. If 1 is given, no parallel computing
                        code is used at all.
  --random-state INT    Set random state to some positive integer for
                        reproducible hyperopt results.
  --min-trades INT      Set minimal desired number of trades for evaluations
                        in the hyperopt optimization path (default: 1).
  --hyperopt-loss NAME, --hyperoptloss NAME
                        Specify the class name of the hyperopt loss function
                        class (IHyperOptLoss). Different functions can
                        generate completely different results, since the
                        target for optimization is different. Built-in
                        Hyperopt-loss-functions are:
                        ShortTradeDurHyperOptLoss, OnlyProfitHyperOptLoss,
                        SharpeHyperOptLoss, SharpeHyperOptLossDaily,
                        SortinoHyperOptLoss, SortinoHyperOptLossDaily

Common arguments:
  -v, --verbose         Verbose mode (-vv for more, -vvv to get all messages).
  --logfile FILE        Log to the file specified. Special values are:
                        'syslog', 'journald'. See the documentation for more
                        details.
  -V, --version         show program's version number and exit
  -c PATH, --config PATH
                        Specify configuration file (default:
                        `userdir/config.json` or `config.json` whichever
                        exists). Multiple --config options may be used. Can be
                        set to `-` to read config from stdin.
  -d PATH, --datadir PATH
                        Path to directory with historical backtesting data.
  --userdir PATH, --user-data-dir PATH
                        Path to userdata directory.

Strategy arguments:
  -s NAME, --strategy NAME
                        Specify strategy class name which will be used by the
                        bot.
  --strategy-path PATH  Specify additional strategy lookup path.

Hyperopt checklist

Checklist on all tasks / possibilities in hyperopt

Depending on the space you want to optimize, only some of the below are required:

• define parameters with space='buy' - for buy signal optimization
• define parameters with space='sell' - for sell signal optimization

!!! Note populate_indicators needs to create all indicators any of the spaces may use, otherwise hyperopt will not work.

Rarely you may also need to create a nested class named HyperOpt and implement

• roi_space - for custom ROI optimization (if you need the ranges for the ROI parameters in the optimization hyperspace that differ from default)
• generate_roi_table - for custom ROI optimization (if you need the ranges for the values in the ROI table that differ from default or the number of entries (steps) in the ROI table which differs from the default 4 steps)
• stoploss_space - for custom stoploss optimization (if you need the range for the stoploss parameter in the optimization hyperspace that differs from default)
• trailing_space - for custom trailing stop optimization (if you need the ranges for the trailing stop parameters in the optimization hyperspace that differ from default)

!!! Tip "Quickly optimize ROI, stoploss and trailing stoploss" You can quickly optimize the spaces roi, stoploss and trailing without changing anything in your strategy.

``` bash
# Have a working strategy at hand.
freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi stoploss trailing --strategy MyWorkingStrategy --config config.json -e 100
```

Hyperopt execution logic

Hyperopt will first load your data into memory and will then run populate_indicators() once per Pair to generate all indicators.

Hyperopt will then spawn into different processes (number of processors, or -j <n>), and run backtesting over and over again, changing the parameters that are part of the --spaces defined.

For every new set of parameters, freqtrade will run first populate_buy_trend() followed by populate_sell_trend(), and then run the regular backtesting process to simulate trades.

After backtesting, the results are passed into the loss function, which will evaluate if this result was better or worse than previous results.
Based on the loss function result, hyperopt will determine the next set of parameters to try in the next round of backtesting.

Configure your Guards and Triggers

There are two places you need to change in your strategy file to add a new buy hyperopt for testing:

• Define the parameters at the class level hyperopt shall be optimizing.
• Within populate_buy_trend() - use defined parameter values instead of raw constants.

There you have two different types of indicators: 1. guards and 2. triggers.

1. Guards are conditions like "never buy if ADX < 10", or never buy if current price is over EMA10.
2. 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".

!!! Hint "Guards and Triggers" Technically, there is no difference between Guards and Triggers.
However, this guide will make this distinction to make it clear that signals should not be "sticking". Sticking signals are signals that are active for multiple candles. This can lead into buying a signal late (right before the signal disappears - which means that the chance of success is a lot lower than right at the beginning).

Hyper-optimization will, for each epoch round, pick one trigger and possibly multiple guards.

Sell optimization

Similar to the buy-signal above, sell-signals can also be optimized. Place the corresponding settings into the following methods

• Define the parameters at the class level hyperopt shall be optimizing, either naming them sell_*, or by explicitly defining space='sell'.
• Within populate_sell_trend() - use defined parameter values instead of raw constants.

The configuration and rules are the same than for buy signals.

Solving a Mystery

Let's say you are curious: should you use MACD crossings or lower Bollinger Bands to trigger your buys. And you also wonder should you use RSI or ADX to help with those buy decisions. If you decide to use RSI or ADX, which values should I use for them?

So let's use hyperparameter optimization to solve this mystery.

Defining indicators to be used

We start by calculating the indicators our strategy is going to use.

class MyAwesomeStrategy(IStrategy):

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        """
        Generate all indicators used by the strategy
        """
        dataframe['adx'] = ta.ADX(dataframe)
        dataframe['rsi'] = ta.RSI(dataframe)
        macd = ta.MACD(dataframe)
        dataframe['macd'] = macd['macd']
        dataframe['macdsignal'] = macd['macdsignal']
        dataframe['macdhist'] = macd['macdhist']

        bollinger = ta.BBANDS(dataframe, timeperiod=20, nbdevup=2.0, nbdevdn=2.0)
        dataframe['bb_lowerband'] = bollinger['lowerband']
        dataframe['bb_middleband'] = bollinger['middleband']
        dataframe['bb_upperband'] = bollinger['upperband']
        return dataframe

Hyperoptable parameters

We continue to define hyperoptable parameters:

class MyAwesomeStrategy(IStrategy):
    buy_adx = DecimalParameter(20, 40, decimals=1, default=30.1, space="buy")
    buy_rsi = IntParameter(20, 40, default=30, space="buy")
    buy_adx_enabled = CategoricalParameter([True, False], default=True, space="buy")
    buy_rsi_enabled = CategoricalParameter([True, False], default=False, space="buy")
    buy_trigger = CategoricalParameter(["bb_lower", "macd_cross_signal"], default="bb_lower", space="buy")

The above definition says: I have five parameters I want to randomly combine to find the best combination.
buy_rsi is an integer parameter, which will be tested between 20 and 40. This space has a size of 20.
buy_adx is a decimal parameter, which will be evaluated between 20 and 40 with 1 decimal place (so values are 20.1, 20.2, ...). This space has a size of 200.
Then we have three category variables. First two are either True or False. We use these to either enable or disable the ADX and RSI guards. The last one we call trigger and use it to decide which buy trigger we want to use.

!!! Note "Parameter space assignment" Parameters must either be assigned to a variable named buy_* or sell_* - or contain space='buy' | space='sell' to be assigned to a space correctly. If no parameter is available for a space, you'll receive the error that no space was found when running hyperopt.

So let's write the buy strategy using these values:

    def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        conditions = []
        # GUARDS AND TRENDS
        if self.buy_adx_enabled.value:
            conditions.append(dataframe['adx'] > self.buy_adx.value)
        if self.buy_rsi_enabled.value:
            conditions.append(dataframe['rsi'] < self.buy_rsi.value)

        # TRIGGERS
        if self.buy_trigger.value == 'bb_lower':
            conditions.append(dataframe['close'] < dataframe['bb_lowerband'])
        if self.buy_trigger.value == 'macd_cross_signal':
            conditions.append(qtpylib.crossed_above(
                dataframe['macd'], dataframe['macdsignal']
            ))

        # Check that volume is not 0
        conditions.append(dataframe['volume'] > 0)

        if conditions:
            dataframe.loc[
                reduce(lambda x, y: x & y, conditions),
                'buy'] = 1

        return dataframe

Hyperopt will now call populate_buy_trend() many times (epochs) with different value combinations.
It will use the given historical data and simulate buys based on the buy signals generated with the above function.
Based on the results, hyperopt will tell you which parameter combination produced the best results (based on the configured loss function).

!!! Note The above setup expects to find ADX, RSI and Bollinger Bands in the populated indicators. When you want to test an indicator that isn't used by the bot currently, remember to add it to the populate_indicators() method in your strategy or hyperopt file.

Parameter types

There are four parameter types each suited for different purposes.

• IntParameter - defines an integral parameter with upper and lower boundaries of search space.
• DecimalParameter - defines a floating point parameter with a limited number of decimals (default 3). Should be preferred instead of RealParameter in most cases.
• RealParameter - defines a floating point parameter with upper and lower boundaries and no precision limit. Rarely used as it creates a space with a near infinite number of possibilities.
• CategoricalParameter - defines a parameter with a predetermined number of choices.

!!! Tip "Disabling parameter optimization" Each parameter takes two boolean parameters: * load - when set to False it will not load values configured in buy_params and sell_params. * optimize - when set to False parameter will not be included in optimization process. Use these parameters to quickly prototype various ideas.

!!! Warning Hyperoptable parameters cannot be used in populate_indicators - as hyperopt does not recalculate indicators for each epoch, so the starting value would be used in this case.

Optimizing an indicator parameter

Assuming you have a simple strategy in mind - a EMA cross strategy (2 Moving averages crossing) - and you'd like to find the ideal parameters for this strategy.

from pandas import DataFrame
from functools import reduce

import talib.abstract as ta

from freqtrade.strategy import IStrategy
from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter
import freqtrade.vendor.qtpylib.indicators as qtpylib

class MyAwesomeStrategy(IStrategy):
    stoploss = -0.05
    timeframe = '15m'
    # Define the parameter spaces
    buy_ema_short = IntParameter(3, 50, default=5)
    buy_ema_long = IntParameter(15, 200, default=50)


    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        """Generate all indicators used by the strategy"""
        
        # Calculate all ema_short values
        for val in self.buy_ema_short.range:
            dataframe[f'ema_short_{val}'] = ta.EMA(dataframe, timeperiod=val)
        
        # Calculate all ema_long values
        for val in self.buy_ema_long.range:
            dataframe[f'ema_long_{val}'] = ta.EMA(dataframe, timeperiod=val)
        
        return dataframe

    def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        conditions = []
        conditions.append(qtpylib.crossed_above(
                dataframe[f'ema_short_{self.buy_ema_short.value}'], dataframe[f'ema_long_{self.buy_ema_long.value}']
            ))

        # Check that volume is not 0
        conditions.append(dataframe['volume'] > 0)

        if conditions:
            dataframe.loc[
                reduce(lambda x, y: x & y, conditions),
                'buy'] = 1
        return dataframe

    def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        conditions = []
        conditions.append(qtpylib.crossed_above(
                dataframe[f'ema_long_{self.buy_ema_long.value}'], dataframe[f'ema_short_{self.buy_ema_short.value}']
            ))

        # Check that volume is not 0
        conditions.append(dataframe['volume'] > 0)

        if conditions:
            dataframe.loc[
                reduce(lambda x, y: x & y, conditions),
                'sell'] = 1
        return dataframe

Breaking it down:

Using self.buy_ema_short.range will return a range object containing all entries between the Parameters low and high value. In this case (IntParameter(3, 50, default=5)), the loop would run for all numbers between 3 and 50 ([3, 4, 5, ... 49, 50]). By using this in a loop, hyperopt will generate 48 new columns (['buy_ema_3', 'buy_ema_4', ... , 'buy_ema_50']).

Hyperopt itself will then use the selected value to create the buy and sell signals

While this strategy is most likely too simple to provide consistent profit, it should serve as an example how optimize indicator parameters.

!!! Note self.buy_ema_short.range will act differently between hyperopt and other modes. For hyperopt, the above example may generate 48 new columns, however for all other modes (backtesting, dry/live), it will only generate the column for the selected value. You should therefore avoid using the resulting column with explicit values (values other than self.buy_ema_short.value).

??? Hint "Performance tip" By doing the calculation of all possible indicators in populate_indicators(), the calculation of the indicator happens only once for every parameter.
While this may slow down the hyperopt startup speed, the overall performance will increase as the Hyperopt execution itself may pick the same value for multiple epochs (changing other values). You should however try to use space ranges as small as possible. Every new column will require more memory, and every possibility hyperopt can try will increase the search space.

Loss-functions

Each hyperparameter tuning requires a target. This is usually defined as a loss function (sometimes also called objective function), which should decrease for more desirable results, and increase for bad results.

A loss function must be specified via the --hyperopt-loss <Class-name> argument (or optionally via the configuration under the "hyperopt_loss" key). This class should be in its own file within the user_data/hyperopts/ directory.

Currently, the following loss functions are builtin:

• ShortTradeDurHyperOptLoss (default legacy Freqtrade hyperoptimization loss function) - Mostly for short trade duration and avoiding losses.
• OnlyProfitHyperOptLoss (which takes only amount of profit into consideration)
• SharpeHyperOptLoss (optimizes Sharpe Ratio calculated on trade returns relative to standard deviation)
• SharpeHyperOptLossDaily (optimizes Sharpe Ratio calculated on daily trade returns relative to standard deviation)
• SortinoHyperOptLoss (optimizes Sortino Ratio calculated on trade returns relative to downside standard deviation)
• SortinoHyperOptLossDaily (optimizes Sortino Ratio calculated on daily trade returns relative to downside standard deviation)

Creation of a custom loss function is covered in the Advanced Hyperopt part of the documentation.

Execute Hyperopt

Once you have updated your hyperopt configuration you can run it. Because hyperopt tries a lot of combinations to find the best parameters it will take time to get a good result.

We strongly recommend to use screen or tmux to prevent any connection loss.

freqtrade hyperopt --config config.json --hyperopt-loss <hyperoptlossname> --strategy <strategyname> -e 500 --spaces all

The -e option will set how many evaluations hyperopt will do. Since hyperopt uses Bayesian search, running too many epochs at once may not produce greater results. Experience has shown that best results are usually not improving much after 500-1000 epochs.
Doing multiple runs (executions) with a few 1000 epochs and different random state will most likely produce different results.

The --spaces all option determines that all possible parameters should be optimized. Possibilities are listed below.

!!! Note Hyperopt will store hyperopt results with the timestamp of the hyperopt start time. Reading commands (hyperopt-list, hyperopt-show) can use --hyperopt-filename <filename> to read and display older hyperopt results. You can find a list of filenames with ls -l user_data/hyperopt_results/.

Execute Hyperopt with different historical data source

If you would like to hyperopt parameters using an alternate historical data set that you have on-disk, use the --datadir PATH option. By default, hyperopt uses data from directory user_data/data.

Running Hyperopt with a smaller test-set

Use the --timerange argument to change how much of the test-set you want to use. For example, to use one month of data, pass --timerange 20210101-20210201 (from january 2021 - february 2021) to the hyperopt call.

Full command:

freqtrade hyperopt --hyperopt <hyperoptname> --strategy <strategyname> --timerange 20210101-20210201

Running Hyperopt with Smaller Search Space

Use the --spaces option to limit the search space used by hyperopt. Letting Hyperopt optimize everything is a huuuuge search space. Often it might make more sense to start by just searching for initial buy algorithm. Or maybe you just want to optimize your stoploss or roi table for that awesome new buy strategy you have.

Legal values are:

• all: optimize everything
• buy: just search for a new buy strategy
• sell: just search for a new sell strategy
• roi: just optimize the minimal profit table for your strategy
• stoploss: search for the best stoploss value
• trailing: search for the best trailing stop values
• default: all except trailing
• space-separated list of any of the above values for example --spaces roi stoploss

The default Hyperopt Search Space, used when no --space command line option is specified, does not include the trailing hyperspace. We recommend you to run optimization for the trailing hyperspace separately, when the best parameters for other hyperspaces were found, validated and pasted into your custom strategy.

Understand the Hyperopt Result

Once Hyperopt is completed you can use the result to update your strategy. Given the following result from hyperopt:

Best result:

    44/100:    135 trades. Avg profit  0.57%. Total profit  0.03871918 BTC (0.7722Σ%). Avg duration 180.4 mins. Objective: 1.94367

    # Buy hyperspace params:
    buy_params = {
        'buy_adx': 44,
        'buy_rsi': 29,
        'buy_adx_enabled': False,
        'buy_rsi_enabled': True,
        'buy_trigger': 'bb_lower'
    }

You should understand this result like:

• The buy trigger that worked best was bb_lower.
• You should not use ADX because 'buy_adx_enabled': False.
• You should consider using the RSI indicator ('buy_rsi_enabled': True) and the best value is 29.0 ('buy_rsi': 29.0)

Your strategy class can immediately take advantage of these results. Simply copy hyperopt results block and paste them at class level, replacing old parameters (if any). New parameters will automatically be loaded next time strategy is executed.

Transferring your whole hyperopt result to your strategy would then look like:

class MyAwesomeStrategy(IStrategy):
    # Buy hyperspace params:
    buy_params = {
        'buy_adx': 44,
        'buy_rsi': 29,
        'buy_adx_enabled': False,
        'buy_rsi_enabled': True,
        'buy_trigger': 'bb_lower'
    }

Understand Hyperopt ROI results

If you are optimizing ROI (i.e. if optimization search-space contains 'all', 'default' or 'roi'), your result will look as follows and include a ROI table:

Best result:

    44/100:    135 trades. Avg profit  0.57%. Total profit  0.03871918 BTC (0.7722Σ%). Avg duration 180.4 mins. Objective: 1.94367

    # ROI table:
    minimal_roi = {
        0: 0.10674,
        21: 0.09158,
        78: 0.03634,
        118: 0
    }

In order to use this best ROI table found by Hyperopt in backtesting and for live trades/dry-run, copy-paste it as the value of the minimal_roi attribute of your custom strategy:

    # Minimal ROI designed for the strategy.
    # This attribute will be overridden if the config file contains "minimal_roi"
    minimal_roi = {
        0: 0.10674,
        21: 0.09158,
        78: 0.03634,
        118: 0
    }

As stated in the comment, you can also use it as the value of the minimal_roi setting in the configuration file.

Default ROI Search Space

If you are optimizing ROI, Freqtrade creates the 'roi' optimization hyperspace for you -- it's the hyperspace of components for the ROI tables. By default, each ROI table generated by the Freqtrade consists of 4 rows (steps). Hyperopt implements adaptive ranges for ROI tables with ranges for values in the ROI steps that depend on the timeframe used. By default the values vary in the following ranges (for some of the most used timeframes, values are rounded to 3 digits after the decimal point):

# step	1m		5m		1h		1d
1	0	0.011...0.119	0	0.03...0.31	0	0.068...0.711	0	0.121...1.258
2	2...8	0.007...0.042	10...40	0.02...0.11	120...480	0.045...0.252	2880...11520	0.081...0.446
3	4...20	0.003...0.015	20...100	0.01...0.04	240...1200	0.022...0.091	5760...28800	0.040...0.162
4	6...44	0.0	30...220	0.0	360...2640	0.0	8640...63360	0.0

These ranges should be sufficient in most cases. The minutes in the steps (ROI dict keys) are scaled linearly depending on the timeframe used. The ROI values in the steps (ROI dict values) are scaled logarithmically depending on the timeframe used.

If you have the generate_roi_table() and roi_space() methods in your custom hyperopt file, remove them in order to utilize these adaptive ROI tables and the ROI hyperoptimization space generated by Freqtrade by default.

Override the roi_space() method if you need components of the ROI tables to vary in other ranges. Override the generate_roi_table() and roi_space() methods and implement your own custom approach for generation of the ROI tables during hyperoptimization if you need a different structure of the ROI tables or other amount of rows (steps).

A sample for these methods can be found in sample_hyperopt_advanced.py.

!!! Note "Reduced search space" To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however overriding pre-defined spaces to change this to your needs.

Understand Hyperopt Stoploss results

If you are optimizing stoploss values (i.e. if optimization search-space contains 'all', 'default' or 'stoploss'), your result will look as follows and include stoploss:

Best result:

    44/100:    135 trades. Avg profit  0.57%. Total profit  0.03871918 BTC (0.7722Σ%). Avg duration 180.4 mins. Objective: 1.94367

    # Buy hyperspace params:
    buy_params = {
        'buy_adx': 44,
        'buy_rsi': 29,
        'buy_adx_enabled': False,
        'buy_rsi_enabled': True,
        'buy_trigger': 'bb_lower'
    }

    stoploss: -0.27996

In order to use this best stoploss value found by Hyperopt in backtesting and for live trades/dry-run, copy-paste it as the value of the stoploss attribute of your custom strategy:

    # Optimal stoploss designed for the strategy
    # This attribute will be overridden if the config file contains "stoploss"
    stoploss = -0.27996

As stated in the comment, you can also use it as the value of the stoploss setting in the configuration file.

Default Stoploss Search Space

If you are optimizing stoploss values, Freqtrade creates the 'stoploss' optimization hyperspace for you. By default, the stoploss values in that hyperspace vary in the range -0.35...-0.02, which is sufficient in most cases.

If you have the stoploss_space() method in your custom hyperopt file, remove it in order to utilize Stoploss hyperoptimization space generated by Freqtrade by default.

Override the stoploss_space() method and define the desired range in it if you need stoploss values to vary in other range during hyperoptimization. A sample for this method can be found in user_data/hyperopts/sample_hyperopt_advanced.py.

!!! Note "Reduced search space" To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however overriding pre-defined spaces to change this to your needs.

Understand Hyperopt Trailing Stop results

If you are optimizing trailing stop values (i.e. if optimization search-space contains 'all' or 'trailing'), your result will look as follows and include trailing stop parameters:

Best result:

    45/100:    606 trades. Avg profit  1.04%. Total profit  0.31555614 BTC ( 630.48Σ%). Avg duration 150.3 mins. Objective: -1.10161

    # Trailing stop:
    trailing_stop = True
    trailing_stop_positive = 0.02001
    trailing_stop_positive_offset = 0.06038
    trailing_only_offset_is_reached = True

In order to use these best trailing stop parameters found by Hyperopt in backtesting and for live trades/dry-run, copy-paste them as the values of the corresponding attributes of your custom strategy:

    # Trailing stop
    # These attributes will be overridden if the config file contains corresponding values.
    trailing_stop = True
    trailing_stop_positive = 0.02001
    trailing_stop_positive_offset = 0.06038
    trailing_only_offset_is_reached = True

As stated in the comment, you can also use it as the values of the corresponding settings in the configuration file.

Default Trailing Stop Search Space

If you are optimizing trailing stop values, Freqtrade creates the 'trailing' optimization hyperspace for you. By default, the trailing_stop parameter is always set to True in that hyperspace, the value of the trailing_only_offset_is_reached vary between True and False, the values of the trailing_stop_positive and trailing_stop_positive_offset parameters vary in the ranges 0.02...0.35 and 0.01...0.1 correspondingly, which is sufficient in most cases.

Override the trailing_space() method and define the desired range in it if you need values of the trailing stop parameters to vary in other ranges during hyperoptimization. A sample for this method can be found in user_data/hyperopts/sample_hyperopt_advanced.py.

!!! Note "Reduced search space" To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however overriding pre-defined spaces to change this to your needs.

Reproducible results

The search for optimal parameters starts with a few (currently 30) random combinations in the hyperspace of parameters, random Hyperopt epochs. These random epochs are marked with an asterisk character (*) in the first column in the Hyperopt output.

The initial state for generation of these random values (random state) is controlled by the value of the --random-state command line option. You can set it to some arbitrary value of your choice to obtain reproducible results.

If you have not set this value explicitly in the command line options, Hyperopt seeds the random state with some random value for you. The random state value for each Hyperopt run is shown in the log, so you can copy and paste it into the --random-state command line option to repeat the set of the initial random epochs used.

If you have not changed anything in the command line options, configuration, timerange, Strategy and Hyperopt classes, historical data and the Loss Function -- you should obtain same hyper-optimization results with same random state value used.

Output formatting

By default, hyperopt prints colorized results -- epochs with positive profit are printed in the green color. This highlighting helps you find epochs that can be interesting for later analysis. Epochs with zero total profit or with negative profits (losses) are printed in the normal color. If you do not need colorization of results (for instance, when you are redirecting hyperopt output to a file) you can switch colorization off by specifying the --no-color option in the command line.

You can use the --print-all command line option if you would like to see all results in the hyperopt output, not only the best ones. When --print-all is used, current best results are also colorized by default -- they are printed in bold (bright) style. This can also be switched off with the --no-color command line option.

!!! Note "Windows and color output" Windows does not support color-output natively, therefore it is automatically disabled. To have color-output for hyperopt running under windows, please consider using WSL.

Position stacking and disabling max market positions

In some situations, you may need to run Hyperopt (and Backtesting) with the --eps/--enable-position-staking and --dmmp/--disable-max-market-positions arguments.

By default, hyperopt emulates the behavior of the Freqtrade Live Run/Dry Run, where only one open trade is allowed for every traded pair. The total number of trades open for all pairs is also limited by the max_open_trades setting. During Hyperopt/Backtesting this may lead to some potential trades to be hidden (or masked) by previously open trades.

The --eps/--enable-position-stacking argument allows emulation of buying the same pair multiple times, while --dmmp/--disable-max-market-positions disables applying max_open_trades during Hyperopt/Backtesting (which is equal to setting max_open_trades to a very high number).

!!! Note Dry/live runs will NOT use position stacking - therefore it does make sense to also validate the strategy without this as it's closer to reality.

You can also enable position stacking in the configuration file by explicitly setting "position_stacking"=true.

Out of Memory errors

As hyperopt consumes a lot of memory (the complete data needs to be in memory once per parallel backtesting process), it's likely that you run into "out of memory" errors. To combat these, you have multiple options:

• reduce the amount of pairs
• reduce the timerange used (--timerange <timerange>)
• reduce the number of parallel processes (-j <n>)
• Increase the memory of your machine

Show details of Hyperopt results

After you run Hyperopt for the desired amount of epochs, you can later list all results for analysis, select only best or profitable once, and show the details for any of the epochs previously evaluated. This can be done with the hyperopt-list and hyperopt-show sub-commands. The usage of these sub-commands is described in the Utils chapter.

Validate backtesting results

Once the optimized strategy has been implemented into your strategy, you should backtest this strategy to make sure everything is working as expected.

To achieve same results (number of trades, their durations, profit, etc.) than during Hyperopt, please use same configuration and parameters (timerange, timeframe, ...) used for hyperopt --dmmp/--disable-max-market-positions and --eps/--enable-position-stacking for Backtesting.

Should results don't match, please double-check to make sure you transferred all conditions correctly. Pay special care to the stoploss (and trailing stoploss) parameters, as these are often set in configuration files, which override changes to the strategy. You should also carefully review the log of your backtest to ensure that there were no parameters inadvertently set by the configuration (like stoploss or trailing_stop).