215 lines
8.4 KiB
Python
215 lines
8.4 KiB
Python
"""
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IHyperOpt interface
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This module defines the interface to apply for hyperopt
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"""
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import logging
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import math
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from abc import ABC
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from typing import Dict, List, Union
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from sklearn.base import RegressorMixin
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from skopt.space import Categorical, Dimension, Integer
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from freqtrade.constants import Config
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from freqtrade.exchange import timeframe_to_minutes
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from freqtrade.misc import round_dict
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from freqtrade.optimize.space import SKDecimal
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from freqtrade.strategy import IStrategy
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logger = logging.getLogger(__name__)
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EstimatorType = Union[RegressorMixin, str]
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class IHyperOpt(ABC):
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"""
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Interface for freqtrade hyperopt
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Defines the mandatory structure must follow any custom hyperopt
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Class attributes you can use:
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timeframe -> int: value of the timeframe to use for the strategy
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"""
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timeframe: str
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strategy: IStrategy
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def __init__(self, config: Config) -> None:
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self.config = config
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# Assign timeframe to be used in hyperopt
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IHyperOpt.timeframe = str(config['timeframe'])
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def generate_estimator(self, dimensions: List[Dimension], **kwargs) -> EstimatorType:
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"""
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Return base_estimator.
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Can be any of "GP", "RF", "ET", "GBRT" or an instance of a class
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inheriting from RegressorMixin (from sklearn).
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"""
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return 'ET'
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def generate_roi_table(self, params: Dict) -> Dict[int, float]:
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"""
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Create a ROI table.
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Generates the ROI table that will be used by Hyperopt.
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You may override it in your custom Hyperopt class.
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"""
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roi_table = {}
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roi_table[0] = params['roi_p1'] + params['roi_p2'] + params['roi_p3']
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roi_table[params['roi_t3']] = params['roi_p1'] + params['roi_p2']
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roi_table[params['roi_t3'] + params['roi_t2']] = params['roi_p1']
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roi_table[params['roi_t3'] + params['roi_t2'] + params['roi_t1']] = 0
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return roi_table
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def roi_space(self) -> List[Dimension]:
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"""
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Create a ROI space.
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Defines values to search for each ROI steps.
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This method implements adaptive roi hyperspace with varied
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ranges for parameters which automatically adapts to the
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timeframe used.
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It's used by Freqtrade by default, if no custom roi_space method is defined.
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"""
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# Default scaling coefficients for the roi hyperspace. Can be changed
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# to adjust resulting ranges of the ROI tables.
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# Increase if you need wider ranges in the roi hyperspace, decrease if shorter
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# ranges are needed.
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roi_t_alpha = 1.0
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roi_p_alpha = 1.0
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timeframe_min = timeframe_to_minutes(self.timeframe)
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# We define here limits for the ROI space parameters automagically adapted to the
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# timeframe used by the bot:
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#
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# * 'roi_t' (limits for the time intervals in the ROI tables) components
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# are scaled linearly.
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# * 'roi_p' (limits for the ROI value steps) components are scaled logarithmically.
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#
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# The scaling is designed so that it maps exactly to the legacy Freqtrade roi_space()
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# method for the 5m timeframe.
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roi_t_scale = timeframe_min / 5
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roi_p_scale = math.log1p(timeframe_min) / math.log1p(5)
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roi_limits = {
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'roi_t1_min': int(10 * roi_t_scale * roi_t_alpha),
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'roi_t1_max': int(120 * roi_t_scale * roi_t_alpha),
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'roi_t2_min': int(10 * roi_t_scale * roi_t_alpha),
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'roi_t2_max': int(60 * roi_t_scale * roi_t_alpha),
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'roi_t3_min': int(10 * roi_t_scale * roi_t_alpha),
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'roi_t3_max': int(40 * roi_t_scale * roi_t_alpha),
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'roi_p1_min': 0.01 * roi_p_scale * roi_p_alpha,
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'roi_p1_max': 0.04 * roi_p_scale * roi_p_alpha,
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'roi_p2_min': 0.01 * roi_p_scale * roi_p_alpha,
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'roi_p2_max': 0.07 * roi_p_scale * roi_p_alpha,
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'roi_p3_min': 0.01 * roi_p_scale * roi_p_alpha,
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'roi_p3_max': 0.20 * roi_p_scale * roi_p_alpha,
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}
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logger.debug(f"Using roi space limits: {roi_limits}")
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p = {
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'roi_t1': roi_limits['roi_t1_min'],
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'roi_t2': roi_limits['roi_t2_min'],
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'roi_t3': roi_limits['roi_t3_min'],
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'roi_p1': roi_limits['roi_p1_min'],
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'roi_p2': roi_limits['roi_p2_min'],
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'roi_p3': roi_limits['roi_p3_min'],
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}
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logger.info(f"Min roi table: {round_dict(self.generate_roi_table(p), 3)}")
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p = {
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'roi_t1': roi_limits['roi_t1_max'],
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'roi_t2': roi_limits['roi_t2_max'],
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'roi_t3': roi_limits['roi_t3_max'],
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'roi_p1': roi_limits['roi_p1_max'],
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'roi_p2': roi_limits['roi_p2_max'],
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'roi_p3': roi_limits['roi_p3_max'],
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}
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logger.info(f"Max roi table: {round_dict(self.generate_roi_table(p), 3)}")
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return [
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Integer(roi_limits['roi_t1_min'], roi_limits['roi_t1_max'], name='roi_t1'),
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Integer(roi_limits['roi_t2_min'], roi_limits['roi_t2_max'], name='roi_t2'),
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Integer(roi_limits['roi_t3_min'], roi_limits['roi_t3_max'], name='roi_t3'),
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SKDecimal(roi_limits['roi_p1_min'], roi_limits['roi_p1_max'], decimals=3,
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name='roi_p1'),
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SKDecimal(roi_limits['roi_p2_min'], roi_limits['roi_p2_max'], decimals=3,
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name='roi_p2'),
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SKDecimal(roi_limits['roi_p3_min'], roi_limits['roi_p3_max'], decimals=3,
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name='roi_p3'),
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]
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def stoploss_space(self) -> List[Dimension]:
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"""
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Create a stoploss space.
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Defines range of stoploss values to search.
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You may override it in your custom Hyperopt class.
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"""
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return [
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SKDecimal(-0.35, -0.02, decimals=3, name='stoploss'),
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]
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def generate_trailing_params(self, params: Dict) -> Dict:
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"""
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Create dict with trailing stop parameters.
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"""
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return {
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'trailing_stop': params['trailing_stop'],
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'trailing_stop_positive': params['trailing_stop_positive'],
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'trailing_stop_positive_offset': (params['trailing_stop_positive'] +
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params['trailing_stop_positive_offset_p1']),
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'trailing_only_offset_is_reached': params['trailing_only_offset_is_reached'],
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}
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def trailing_space(self) -> List[Dimension]:
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"""
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Create a trailing stoploss space.
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You may override it in your custom Hyperopt class.
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"""
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return [
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# It was decided to always set trailing_stop is to True if the 'trailing' hyperspace
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# is used. Otherwise hyperopt will vary other parameters that won't have effect if
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# trailing_stop is set False.
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# This parameter is included into the hyperspace dimensions rather than assigning
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# it explicitly in the code in order to have it printed in the results along with
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# other 'trailing' hyperspace parameters.
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Categorical([True], name='trailing_stop'),
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SKDecimal(0.01, 0.35, decimals=3, name='trailing_stop_positive'),
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# 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive',
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# so this intermediate parameter is used as the value of the difference between
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# them. The value of the 'trailing_stop_positive_offset' is constructed in the
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# generate_trailing_params() method.
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# This is similar to the hyperspace dimensions used for constructing the ROI tables.
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SKDecimal(0.001, 0.1, decimals=3, name='trailing_stop_positive_offset_p1'),
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Categorical([True, False], name='trailing_only_offset_is_reached'),
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]
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def max_open_trades_space(self) -> List[Dimension]:
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"""
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Create a max open trades space.
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You may override it in your custom Hyperopt class.
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"""
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return [
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Integer(-1, 10, name='max_open_trades'),
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]
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# This is needed for proper unpickling the class attribute timeframe
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# which is set to the actual value by the resolver.
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# Why do I still need such shamanic mantras in modern python?
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def __getstate__(self):
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state = self.__dict__.copy()
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state['timeframe'] = self.timeframe
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return state
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def __setstate__(self, state):
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self.__dict__.update(state)
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IHyperOpt.timeframe = state['timeframe']
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