stable/freqtrade/optimize/hyperopt.py
2018-03-03 09:33:54 +08:00

596 lines
22 KiB
Python

# pragma pylint: disable=too-many-instance-attributes, pointless-string-statement
"""
This module contains the hyperopt logic
"""
import json
import logging
import os
import pickle
import signal
import sys
from functools import reduce
from math import exp
from operator import itemgetter
from typing import Dict, Any, Callable
import numpy
import talib.abstract as ta
from hyperopt import STATUS_FAIL, STATUS_OK, Trials, fmin, hp, space_eval, tpe
from hyperopt.mongoexp import MongoTrials
from pandas import DataFrame
import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.configuration import Configuration
from freqtrade.optimize import load_data
from freqtrade.arguments import Arguments
from freqtrade.optimize.backtesting import Backtesting, setup_configuration
from freqtrade.logger import Logger
from user_data.hyperopt_conf import hyperopt_optimize_conf
class Hyperopt(Backtesting):
"""
Hyperopt class, this class contains all the logic to run a hyperopt simulation
To run a backtest:
hyperopt = Hyperopt(config)
hyperopt.start()
"""
def __init__(self, config: Dict[str, Any]) -> None:
super().__init__(config)
# Rename the logging to display Hyperopt file instead of Backtesting
self.logging = Logger(name=__name__, level=config['loglevel'])
self.logger = self.logging.get_logger()
# set TARGET_TRADES to suit your number concurrent trades so its realistic
# to the number of days
self.target_trades = 600
self.total_tries = config.get('epochs', 0)
self.current_tries = 0
self.current_best_loss = 100
# max average trade duration in minutes
# if eval ends with higher value, we consider it a failed eval
self.max_accepted_trade_duration = 300
# this is expexted avg profit * expected trade count
# for example 3.5%, 1100 trades, self.expected_max_profit = 3.85
# check that the reported Σ% values do not exceed this!
self.expected_max_profit = 3.0
# Configuration and data used by hyperopt
self.processed = None
# Hyperopt Trials
self.trials_file = os.path.join('user_data', 'hyperopt_trials.pickle')
self.trials = Trials()
@staticmethod
def populate_indicators(dataframe: DataFrame) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame
"""
dataframe['adx'] = ta.ADX(dataframe)
dataframe['ao'] = qtpylib.awesome_oscillator(dataframe)
dataframe['cci'] = ta.CCI(dataframe)
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
dataframe['macdhist'] = macd['macdhist']
dataframe['mfi'] = ta.MFI(dataframe)
dataframe['minus_dm'] = ta.MINUS_DM(dataframe)
dataframe['minus_di'] = ta.MINUS_DI(dataframe)
dataframe['plus_dm'] = ta.PLUS_DM(dataframe)
dataframe['plus_di'] = ta.PLUS_DI(dataframe)
dataframe['roc'] = ta.ROC(dataframe)
dataframe['rsi'] = ta.RSI(dataframe)
# Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy)
rsi = 0.1 * (dataframe['rsi'] - 50)
dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1)
# Inverse Fisher transform on RSI normalized, value [0.0, 100.0] (https://goo.gl/2JGGoy)
dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1)
# Stoch
stoch = ta.STOCH(dataframe)
dataframe['slowd'] = stoch['slowd']
dataframe['slowk'] = stoch['slowk']
# Stoch fast
stoch_fast = ta.STOCHF(dataframe)
dataframe['fastd'] = stoch_fast['fastd']
dataframe['fastk'] = stoch_fast['fastk']
# Stoch RSI
stoch_rsi = ta.STOCHRSI(dataframe)
dataframe['fastd_rsi'] = stoch_rsi['fastd']
dataframe['fastk_rsi'] = stoch_rsi['fastk']
# Bollinger bands
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_middleband'] = bollinger['mid']
dataframe['bb_upperband'] = bollinger['upper']
# EMA - Exponential Moving Average
dataframe['ema3'] = ta.EMA(dataframe, timeperiod=3)
dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100)
# SAR Parabolic
dataframe['sar'] = ta.SAR(dataframe)
# SMA - Simple Moving Average
dataframe['sma'] = ta.SMA(dataframe, timeperiod=40)
# TEMA - Triple Exponential Moving Average
dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
# Hilbert Transform Indicator - SineWave
hilbert = ta.HT_SINE(dataframe)
dataframe['htsine'] = hilbert['sine']
dataframe['htleadsine'] = hilbert['leadsine']
# Pattern Recognition - Bullish candlestick patterns
# ------------------------------------
"""
# Hammer: values [0, 100]
dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe)
# Inverted Hammer: values [0, 100]
dataframe['CDLINVERTEDHAMMER'] = ta.CDLINVERTEDHAMMER(dataframe)
# Dragonfly Doji: values [0, 100]
dataframe['CDLDRAGONFLYDOJI'] = ta.CDLDRAGONFLYDOJI(dataframe)
# Piercing Line: values [0, 100]
dataframe['CDLPIERCING'] = ta.CDLPIERCING(dataframe) # values [0, 100]
# Morningstar: values [0, 100]
dataframe['CDLMORNINGSTAR'] = ta.CDLMORNINGSTAR(dataframe) # values [0, 100]
# Three White Soldiers: values [0, 100]
dataframe['CDL3WHITESOLDIERS'] = ta.CDL3WHITESOLDIERS(dataframe) # values [0, 100]
"""
# Pattern Recognition - Bearish candlestick patterns
# ------------------------------------
"""
# Hanging Man: values [0, 100]
dataframe['CDLHANGINGMAN'] = ta.CDLHANGINGMAN(dataframe)
# Shooting Star: values [0, 100]
dataframe['CDLSHOOTINGSTAR'] = ta.CDLSHOOTINGSTAR(dataframe)
# Gravestone Doji: values [0, 100]
dataframe['CDLGRAVESTONEDOJI'] = ta.CDLGRAVESTONEDOJI(dataframe)
# Dark Cloud Cover: values [0, 100]
dataframe['CDLDARKCLOUDCOVER'] = ta.CDLDARKCLOUDCOVER(dataframe)
# Evening Doji Star: values [0, 100]
dataframe['CDLEVENINGDOJISTAR'] = ta.CDLEVENINGDOJISTAR(dataframe)
# Evening Star: values [0, 100]
dataframe['CDLEVENINGSTAR'] = ta.CDLEVENINGSTAR(dataframe)
"""
# Pattern Recognition - Bullish/Bearish candlestick patterns
# ------------------------------------
"""
# Three Line Strike: values [0, -100, 100]
dataframe['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(dataframe)
# Spinning Top: values [0, -100, 100]
dataframe['CDLSPINNINGTOP'] = ta.CDLSPINNINGTOP(dataframe) # values [0, -100, 100]
# Engulfing: values [0, -100, 100]
dataframe['CDLENGULFING'] = ta.CDLENGULFING(dataframe) # values [0, -100, 100]
# Harami: values [0, -100, 100]
dataframe['CDLHARAMI'] = ta.CDLHARAMI(dataframe) # values [0, -100, 100]
# Three Outside Up/Down: values [0, -100, 100]
dataframe['CDL3OUTSIDE'] = ta.CDL3OUTSIDE(dataframe) # values [0, -100, 100]
# Three Inside Up/Down: values [0, -100, 100]
dataframe['CDL3INSIDE'] = ta.CDL3INSIDE(dataframe) # values [0, -100, 100]
"""
# Chart type
# ------------------------------------
# Heikinashi stategy
heikinashi = qtpylib.heikinashi(dataframe)
dataframe['ha_open'] = heikinashi['open']
dataframe['ha_close'] = heikinashi['close']
dataframe['ha_high'] = heikinashi['high']
dataframe['ha_low'] = heikinashi['low']
return dataframe
def save_trials(self) -> None:
"""
Save hyperopt trials to file
"""
self.logger.info('Saving Trials to \'%s\'', self.trials_file)
pickle.dump(self.trials, open(self.trials_file, 'wb'))
def read_trials(self) -> Trials:
"""
Read hyperopt trials file
"""
self.logger.info('Reading Trials from \'%s\'', self.trials_file)
trials = pickle.load(open(self.trials_file, 'rb'))
os.remove(self.trials_file)
return trials
def log_trials_result(self) -> None:
"""
Display Best hyperopt result
"""
vals = json.dumps(self.trials.best_trial['misc']['vals'], indent=4)
results = self.trials.best_trial['result']['result']
self.logger.info('Best result:\n%s\nwith values:\n%s', results, vals)
def log_results(self, results) -> None:
"""
Log results if it is better than any previous evaluation
"""
if results['loss'] < self.current_best_loss:
self.current_best_loss = results['loss']
log_msg = '{:5d}/{}: {}. Loss {:.5f}'.format(
results['current_tries'],
results['total_tries'],
results['result'],
results['loss']
)
self.logger.info(log_msg)
else:
print('.', end='')
sys.stdout.flush()
def calculate_loss(self, total_profit: float, trade_count: int, trade_duration: float) -> float:
"""
Objective function, returns smaller number for more optimal results
"""
trade_loss = 1 - 0.25 * exp(-(trade_count - self.target_trades) ** 2 / 10 ** 5.8)
profit_loss = max(0, 1 - total_profit / self.expected_max_profit)
duration_loss = 0.4 * min(trade_duration / self.max_accepted_trade_duration, 1)
return trade_loss + profit_loss + duration_loss
@staticmethod
def generate_roi_table(params) -> Dict[str, float]:
"""
Generate the ROI table thqt will be used by Hyperopt
"""
roi_table = {}
roi_table["0"] = params['roi_p1'] + params['roi_p2'] + params['roi_p3']
roi_table[str(params['roi_t3'])] = params['roi_p1'] + params['roi_p2']
roi_table[str(params['roi_t3'] + params['roi_t2'])] = params['roi_p1']
roi_table[str(params['roi_t3'] + params['roi_t2'] + params['roi_t1'])] = 0
return roi_table
@staticmethod
def roi_space() -> Dict[str, Any]:
"""
Values to search for each ROI steps
"""
return {
'roi_t1': hp.quniform('roi_t1', 10, 120, 20),
'roi_t2': hp.quniform('roi_t2', 10, 60, 15),
'roi_t3': hp.quniform('roi_t3', 10, 40, 10),
'roi_p1': hp.quniform('roi_p1', 0.01, 0.04, 0.01),
'roi_p2': hp.quniform('roi_p2', 0.01, 0.07, 0.01),
'roi_p3': hp.quniform('roi_p3', 0.01, 0.20, 0.01),
}
@staticmethod
def stoploss_space() -> Dict[str, Any]:
"""
Stoploss Value to search
"""
return {
'stoploss': hp.quniform('stoploss', -0.5, -0.02, 0.02),
}
@staticmethod
def indicator_space() -> Dict[str, Any]:
"""
Define your Hyperopt space for searching strategy parameters
"""
return {
'macd_below_zero': hp.choice('macd_below_zero', [
{'enabled': False},
{'enabled': True}
]),
'mfi': hp.choice('mfi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('mfi-value', 10, 25, 5)}
]),
'fastd': hp.choice('fastd', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('fastd-value', 15, 45, 5)}
]),
'adx': hp.choice('adx', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('adx-value', 20, 50, 5)}
]),
'rsi': hp.choice('rsi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 5)}
]),
'uptrend_long_ema': hp.choice('uptrend_long_ema', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_short_ema': hp.choice('uptrend_short_ema', [
{'enabled': False},
{'enabled': True}
]),
'over_sar': hp.choice('over_sar', [
{'enabled': False},
{'enabled': True}
]),
'green_candle': hp.choice('green_candle', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_sma': hp.choice('uptrend_sma', [
{'enabled': False},
{'enabled': True}
]),
'trigger': hp.choice('trigger', [
{'type': 'lower_bb'},
{'type': 'lower_bb_tema'},
{'type': 'faststoch10'},
{'type': 'ao_cross_zero'},
{'type': 'ema3_cross_ema10'},
{'type': 'macd_cross_signal'},
{'type': 'sar_reversal'},
{'type': 'ht_sine'},
{'type': 'heiken_reversal_bull'},
{'type': 'di_cross'},
]),
}
@staticmethod
def hyperopt_space() -> Dict[str, Any]:
"""
Return the space to use during Hyperopt
"""
return {
**Hyperopt.indicator_space(),
**Hyperopt.roi_space(),
**Hyperopt.stoploss_space()
}
@staticmethod
def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the buy strategy parameters to be used by hyperopt
"""
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if 'uptrend_long_ema' in params and params['uptrend_long_ema']['enabled']:
conditions.append(dataframe['ema50'] > dataframe['ema100'])
if 'macd_below_zero' in params and params['macd_below_zero']['enabled']:
conditions.append(dataframe['macd'] < 0)
if 'uptrend_short_ema' in params and params['uptrend_short_ema']['enabled']:
conditions.append(dataframe['ema5'] > dataframe['ema10'])
if 'mfi' in params and params['mfi']['enabled']:
conditions.append(dataframe['mfi'] < params['mfi']['value'])
if 'fastd' in params and params['fastd']['enabled']:
conditions.append(dataframe['fastd'] < params['fastd']['value'])
if 'adx' in params and params['adx']['enabled']:
conditions.append(dataframe['adx'] > params['adx']['value'])
if 'rsi' in params and params['rsi']['enabled']:
conditions.append(dataframe['rsi'] < params['rsi']['value'])
if 'over_sar' in params and params['over_sar']['enabled']:
conditions.append(dataframe['close'] > dataframe['sar'])
if 'green_candle' in params and params['green_candle']['enabled']:
conditions.append(dataframe['close'] > dataframe['open'])
if 'uptrend_sma' in params and params['uptrend_sma']['enabled']:
prevsma = dataframe['sma'].shift(1)
conditions.append(dataframe['sma'] > prevsma)
# TRIGGERS
triggers = {
'lower_bb': (
dataframe['close'] < dataframe['bb_lowerband']
),
'lower_bb_tema': (
dataframe['tema'] < dataframe['bb_lowerband']
),
'faststoch10': (qtpylib.crossed_above(
dataframe['fastd'], 10.0
)),
'ao_cross_zero': (qtpylib.crossed_above(
dataframe['ao'], 0.0
)),
'ema3_cross_ema10': (qtpylib.crossed_above(
dataframe['ema3'], dataframe['ema10']
)),
'macd_cross_signal': (qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal']
)),
'sar_reversal': (qtpylib.crossed_above(
dataframe['close'], dataframe['sar']
)),
'ht_sine': (qtpylib.crossed_above(
dataframe['htleadsine'], dataframe['htsine']
)),
'heiken_reversal_bull': (
(qtpylib.crossed_above(dataframe['ha_close'], dataframe['ha_open'])) &
(dataframe['ha_low'] == dataframe['ha_open'])
),
'di_cross': (qtpylib.crossed_above(
dataframe['plus_di'], dataframe['minus_di']
)),
}
conditions.append(triggers.get(params['trigger']['type']))
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy'] = 1
return dataframe
return populate_buy_trend
def optimizer(self, params) -> Dict:
if 'roi_t1' in params:
self.analyze.strategy.minimal_roi = self.generate_roi_table(params)
self.populate_buy_trend = self.buy_strategy_generator(params)
results = self.backtest(
{
'stake_amount': self.config['stake_amount'],
'processed': self.processed,
'stoploss': params['stoploss']
}
)
result_explanation = self.format_results(results)
total_profit = results.profit_percent.sum()
trade_count = len(results.index)
trade_duration = results.duration.mean() * 5
if trade_count == 0 or trade_duration > self.max_accepted_trade_duration:
print('.', end='')
return {
'status': STATUS_FAIL,
'loss': float('inf')
}
loss = self.calculate_loss(total_profit, trade_count, trade_duration)
self.current_tries += 1
self.log_results(
{
'loss': loss,
'current_tries': self.current_tries,
'total_tries': self.total_tries,
'result': result_explanation,
}
)
return {
'loss': loss,
'status': STATUS_OK,
'result': result_explanation,
}
@staticmethod
def format_results(results: DataFrame) -> str:
"""
Return the format result in a string
"""
return ('{:6d} trades. Avg profit {: 5.2f}%. '
'Total profit {: 11.8f} BTC ({:.4f}Σ%). Avg duration {:5.1f} mins.').format(
len(results.index),
results.profit_percent.mean() * 100.0,
results.profit_BTC.sum(),
results.profit_percent.sum(),
results.duration.mean() * 5,
)
def start(self):
timerange = Arguments.parse_timerange(self.config.get('timerange'))
data = load_data(
datadir=self.config.get('datadir'),
pairs=self.config['exchange']['pair_whitelist'],
ticker_interval=self.ticker_interval,
timerange=timerange
)
self.analyze.populate_indicators = Hyperopt.populate_indicators
self.processed = self.tickerdata_to_dataframe(data)
if self.config.get('mongodb'):
self.logger.info('Using mongodb ...')
self.logger.info(
'Start scripts/start-mongodb.sh and start-hyperopt-worker.sh manually!'
)
db_name = 'freqtrade_hyperopt'
self.trials = MongoTrials(
arg='mongo://127.0.0.1:1234/{}/jobs'.format(db_name),
exp_key='exp1'
)
else:
self.logger.info('Preparing Trials..')
signal.signal(signal.SIGINT, self.signal_handler)
# read trials file if we have one
if os.path.exists(self.trials_file):
self.trials = self.read_trials()
self.current_tries = len(self.trials.results)
self.total_tries += self.current_tries
self.logger.info(
'Continuing with trials. Current: {}, Total: {}'
.format(self.current_tries, self.total_tries)
)
try:
# change the Logging format
self.logging.set_format('\n%(message)s')
best_parameters = fmin(
fn=self.optimizer,
space=self.hyperopt_space(),
algo=tpe.suggest,
max_evals=self.total_tries,
trials=self.trials
)
results = sorted(self.trials.results, key=itemgetter('loss'))
best_result = results[0]['result']
except ValueError:
best_parameters = {}
best_result = 'Sorry, Hyperopt was not able to find good parameters. Please ' \
'try with more epochs (param: -e).'
# Improve best parameter logging display
if best_parameters:
best_parameters = space_eval(
self.hyperopt_space(),
best_parameters
)
self.logger.info('Best parameters:\n%s', json.dumps(best_parameters, indent=4))
if 'roi_t1' in best_parameters:
self.logger.info('ROI table:\n%s', self.generate_roi_table(best_parameters))
self.logger.info('Best Result:\n%s', best_result)
# Store trials result to file to resume next time
self.save_trials()
def signal_handler(self, sig, frame):
"""
Hyperopt SIGINT handler
"""
self.logger.info('Hyperopt received {}'.format(signal.Signals(sig).name))
self.save_trials()
self.log_trials_result()
sys.exit(0)
def start(args) -> None:
"""
Start Backtesting script
:param args: Cli args from Arguments()
:return: None
"""
# Remove noisy log messages
logging.getLogger('hyperopt.mongoexp').setLevel(logging.WARNING)
logging.getLogger('hyperopt.tpe').setLevel(logging.WARNING)
# Initialize logger
logger = Logger(name=__name__).get_logger()
logger.info('Starting freqtrade in Hyperopt mode')
# Initialize configuration
#config = setup_configuration(args)
# Monkey patch of the configuration with hyperopt_conf.py
configuration = Configuration(args)
optimize_config = hyperopt_optimize_conf()
config = configuration._load_backtesting_config(optimize_config)
config = configuration._load_hyperopt_config(config)
config['exchange']['key'] = ''
config['exchange']['secret'] = ''
# Initialize backtesting object
hyperopt = Hyperopt(config)
hyperopt.start()