129 lines
4.4 KiB
Python
129 lines
4.4 KiB
Python
import logging
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from typing import List
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from freqtrade.exceptions import OperationalException
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logger = logging.getLogger(__name__)
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def hyperopt_filter_epochs(epochs: List, filteroptions: dict, log: bool = True) -> List:
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"""
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Filter our items from the list of hyperopt results
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"""
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if filteroptions['only_best']:
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epochs = [x for x in epochs if x['is_best']]
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if filteroptions['only_profitable']:
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epochs = [x for x in epochs
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if x['results_metrics'].get('profit_total', 0) > 0]
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epochs = _hyperopt_filter_epochs_trade_count(epochs, filteroptions)
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epochs = _hyperopt_filter_epochs_duration(epochs, filteroptions)
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epochs = _hyperopt_filter_epochs_profit(epochs, filteroptions)
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epochs = _hyperopt_filter_epochs_objective(epochs, filteroptions)
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if log:
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logger.info(f"{len(epochs)} " +
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("best " if filteroptions['only_best'] else "") +
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("profitable " if filteroptions['only_profitable'] else "") +
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"epochs found.")
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return epochs
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def _hyperopt_filter_epochs_trade(epochs: List, trade_count: int):
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"""
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Filter epochs with trade-counts > trades
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"""
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return [
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x for x in epochs if x['results_metrics'].get('total_trades', 0) > trade_count
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]
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def _hyperopt_filter_epochs_trade_count(epochs: List, filteroptions: dict) -> List:
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if filteroptions['filter_min_trades'] > 0:
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epochs = _hyperopt_filter_epochs_trade(epochs, filteroptions['filter_min_trades'])
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if filteroptions['filter_max_trades'] > 0:
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epochs = [
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x for x in epochs
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if x['results_metrics'].get('total_trades') < filteroptions['filter_max_trades']
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]
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return epochs
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def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List:
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def get_duration_value(x):
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# Duration in minutes ...
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if 'holding_avg_s' in x['results_metrics']:
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avg = x['results_metrics']['holding_avg_s']
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return avg // 60
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raise OperationalException(
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"Holding-average not available. Please omit the filter on average time, "
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"or rerun hyperopt with this version")
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if filteroptions['filter_min_avg_time'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [
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x for x in epochs
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if get_duration_value(x) > filteroptions['filter_min_avg_time']
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]
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if filteroptions['filter_max_avg_time'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [
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x for x in epochs
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if get_duration_value(x) < filteroptions['filter_max_avg_time']
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]
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return epochs
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def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List:
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if filteroptions['filter_min_avg_profit'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [
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x for x in epochs
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if x['results_metrics'].get('profit_mean', 0) * 100
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> filteroptions['filter_min_avg_profit']
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]
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if filteroptions['filter_max_avg_profit'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [
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x for x in epochs
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if x['results_metrics'].get('profit_mean', 0) * 100
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< filteroptions['filter_max_avg_profit']
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]
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if filteroptions['filter_min_total_profit'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [
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x for x in epochs
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if x['results_metrics'].get('profit_total_abs', 0)
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> filteroptions['filter_min_total_profit']
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]
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if filteroptions['filter_max_total_profit'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [
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x for x in epochs
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if x['results_metrics'].get('profit_total_abs', 0)
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< filteroptions['filter_max_total_profit']
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]
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return epochs
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def _hyperopt_filter_epochs_objective(epochs: List, filteroptions: dict) -> List:
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if filteroptions['filter_min_objective'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [x for x in epochs if x['loss'] < filteroptions['filter_min_objective']]
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if filteroptions['filter_max_objective'] is not None:
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epochs = _hyperopt_filter_epochs_trade(epochs, 0)
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epochs = [x for x in epochs if x['loss'] > filteroptions['filter_max_objective']]
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return epochs
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