stable/freqtrade/commands/hyperopt_commands.py
2021-05-02 09:46:27 +02:00

237 lines
9.2 KiB
Python
Executable File

import logging
from operator import itemgetter
from typing import Any, Dict, List
from colorama import init as colorama_init
from freqtrade.configuration import setup_utils_configuration
from freqtrade.data.btanalysis import get_latest_hyperopt_file
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.optimize_reports import show_backtest_result
from freqtrade.state import RunMode
logger = logging.getLogger(__name__)
def start_hyperopt_list(args: Dict[str, Any]) -> None:
"""
List hyperopt epochs previously evaluated
"""
from freqtrade.optimize.hyperopt_tools import HyperoptTools
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
print_colorized = config.get('print_colorized', False)
print_json = config.get('print_json', False)
export_csv = config.get('export_csv', None)
no_details = config.get('hyperopt_list_no_details', False)
no_header = False
filteroptions = {
'only_best': config.get('hyperopt_list_best', False),
'only_profitable': config.get('hyperopt_list_profitable', False),
'filter_min_trades': config.get('hyperopt_list_min_trades', 0),
'filter_max_trades': config.get('hyperopt_list_max_trades', 0),
'filter_min_avg_time': config.get('hyperopt_list_min_avg_time', None),
'filter_max_avg_time': config.get('hyperopt_list_max_avg_time', None),
'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None),
'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None),
'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None),
'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None),
'filter_min_objective': config.get('hyperopt_list_min_objective', None),
'filter_max_objective': config.get('hyperopt_list_max_objective', None),
}
results_file = get_latest_hyperopt_file(
config['user_data_dir'] / 'hyperopt_results',
config.get('hyperoptexportfilename'))
# Previous evaluations
epochs = HyperoptTools.load_previous_results(results_file)
total_epochs = len(epochs)
epochs = hyperopt_filter_epochs(epochs, filteroptions)
if print_colorized:
colorama_init(autoreset=True)
if not export_csv:
try:
print(HyperoptTools.get_result_table(config, epochs, total_epochs,
not filteroptions['only_best'],
print_colorized, 0))
except KeyboardInterrupt:
print('User interrupted..')
if epochs and not no_details:
sorted_epochs = sorted(epochs, key=itemgetter('loss'))
results = sorted_epochs[0]
HyperoptTools.print_epoch_details(results, total_epochs, print_json, no_header)
if epochs and export_csv:
HyperoptTools.export_csv_file(
config, epochs, total_epochs, not filteroptions['only_best'], export_csv
)
def start_hyperopt_show(args: Dict[str, Any]) -> None:
"""
Show details of a hyperopt epoch previously evaluated
"""
from freqtrade.optimize.hyperopt_tools import HyperoptTools
config = setup_utils_configuration(args, RunMode.UTIL_NO_EXCHANGE)
print_json = config.get('print_json', False)
no_header = config.get('hyperopt_show_no_header', False)
results_file = get_latest_hyperopt_file(
config['user_data_dir'] / 'hyperopt_results',
config.get('hyperoptexportfilename'))
n = config.get('hyperopt_show_index', -1)
filteroptions = {
'only_best': config.get('hyperopt_list_best', False),
'only_profitable': config.get('hyperopt_list_profitable', False),
'filter_min_trades': config.get('hyperopt_list_min_trades', 0),
'filter_max_trades': config.get('hyperopt_list_max_trades', 0),
'filter_min_avg_time': config.get('hyperopt_list_min_avg_time', None),
'filter_max_avg_time': config.get('hyperopt_list_max_avg_time', None),
'filter_min_avg_profit': config.get('hyperopt_list_min_avg_profit', None),
'filter_max_avg_profit': config.get('hyperopt_list_max_avg_profit', None),
'filter_min_total_profit': config.get('hyperopt_list_min_total_profit', None),
'filter_max_total_profit': config.get('hyperopt_list_max_total_profit', None),
'filter_min_objective': config.get('hyperopt_list_min_objective', None),
'filter_max_objective': config.get('hyperopt_list_max_objective', None)
}
# Previous evaluations
epochs = HyperoptTools.load_previous_results(results_file)
total_epochs = len(epochs)
epochs = hyperopt_filter_epochs(epochs, filteroptions)
filtered_epochs = len(epochs)
if n > filtered_epochs:
raise OperationalException(
f"The index of the epoch to show should be less than {filtered_epochs + 1}.")
if n < -filtered_epochs:
raise OperationalException(
f"The index of the epoch to show should be greater than {-filtered_epochs - 1}.")
# Translate epoch index from human-readable format to pythonic
if n > 0:
n -= 1
if epochs:
val = epochs[n]
metrics = val['results_metrics']
if 'strategy_name' in metrics:
show_backtest_result(metrics['strategy_name'], metrics,
metrics['stake_currency'])
HyperoptTools.print_epoch_details(val, total_epochs, print_json, no_header,
header_str="Epoch details")
def hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List:
"""
Filter our items from the list of hyperopt results
"""
if filteroptions['only_best']:
epochs = [x for x in epochs if x['is_best']]
if filteroptions['only_profitable']:
epochs = [x for x in epochs if x['results_metrics']['profit'] > 0]
epochs = _hyperopt_filter_epochs_trade_count(epochs, filteroptions)
epochs = _hyperopt_filter_epochs_duration(epochs, filteroptions)
epochs = _hyperopt_filter_epochs_profit(epochs, filteroptions)
epochs = _hyperopt_filter_epochs_objective(epochs, filteroptions)
logger.info(f"{len(epochs)} " +
("best " if filteroptions['only_best'] else "") +
("profitable " if filteroptions['only_profitable'] else "") +
"epochs found.")
return epochs
def _hyperopt_filter_epochs_trade_count(epochs: List, filteroptions: dict) -> List:
if filteroptions['filter_min_trades'] > 0:
epochs = [
x for x in epochs
if x['results_metrics']['trade_count'] > filteroptions['filter_min_trades']
]
if filteroptions['filter_max_trades'] > 0:
epochs = [
x for x in epochs
if x['results_metrics']['trade_count'] < filteroptions['filter_max_trades']
]
return epochs
def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List:
if filteroptions['filter_min_avg_time'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [
x for x in epochs
if x['results_metrics']['duration'] > filteroptions['filter_min_avg_time']
]
if filteroptions['filter_max_avg_time'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [
x for x in epochs
if x['results_metrics']['duration'] < filteroptions['filter_max_avg_time']
]
return epochs
def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List:
if filteroptions['filter_min_avg_profit'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [
x for x in epochs
if x['results_metrics']['avg_profit'] > filteroptions['filter_min_avg_profit']
]
if filteroptions['filter_max_avg_profit'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [
x for x in epochs
if x['results_metrics']['avg_profit'] < filteroptions['filter_max_avg_profit']
]
if filteroptions['filter_min_total_profit'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [
x for x in epochs
if x['results_metrics']['profit'] > filteroptions['filter_min_total_profit']
]
if filteroptions['filter_max_total_profit'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [
x for x in epochs
if x['results_metrics']['profit'] < filteroptions['filter_max_total_profit']
]
return epochs
def _hyperopt_filter_epochs_objective(epochs: List, filteroptions: dict) -> List:
if filteroptions['filter_min_objective'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [x for x in epochs if x['loss'] < filteroptions['filter_min_objective']]
if filteroptions['filter_max_objective'] is not None:
epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0]
epochs = [x for x in epochs if x['loss'] > filteroptions['filter_max_objective']]
return epochs