mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-14 04:03:55 +00:00
295 lines
12 KiB
Python
295 lines
12 KiB
Python
|
|
||
|
|
import io
|
||
|
|
import logging
|
||
|
|
from collections import OrderedDict
|
||
|
|
from pathlib import Path
|
||
|
|
from pprint import pformat
|
||
|
|
from typing import Dict, List
|
||
|
|
|
||
|
|
import rapidjson
|
||
|
|
import tabulate
|
||
|
|
from colorama import Fore, Style
|
||
|
|
from joblib import load
|
||
|
|
from pandas import isna, json_normalize
|
||
|
|
|
||
|
|
from freqtrade.exceptions import OperationalException
|
||
|
|
from freqtrade.misc import round_dict
|
||
|
|
|
||
|
|
|
||
|
|
logger = logging.getLogger(__name__)
|
||
|
|
|
||
|
|
|
||
|
|
class HyperoptTools():
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def _read_results(results_file: Path) -> List:
|
||
|
|
"""
|
||
|
|
Read hyperopt results from file
|
||
|
|
"""
|
||
|
|
logger.info("Reading epochs from '%s'", results_file)
|
||
|
|
data = load(results_file)
|
||
|
|
return data
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def load_previous_results(results_file: Path) -> List:
|
||
|
|
"""
|
||
|
|
Load data for epochs from the file if we have one
|
||
|
|
"""
|
||
|
|
epochs: List = []
|
||
|
|
if results_file.is_file() and results_file.stat().st_size > 0:
|
||
|
|
epochs = HyperoptTools._read_results(results_file)
|
||
|
|
# Detection of some old format, without 'is_best' field saved
|
||
|
|
if epochs[0].get('is_best') is None:
|
||
|
|
raise OperationalException(
|
||
|
|
"The file with HyperoptTools results is incompatible with this version "
|
||
|
|
"of Freqtrade and cannot be loaded.")
|
||
|
|
logger.info(f"Loaded {len(epochs)} previous evaluations from disk.")
|
||
|
|
return epochs
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def print_epoch_details(results, total_epochs: int, print_json: bool,
|
||
|
|
no_header: bool = False, header_str: str = None) -> None:
|
||
|
|
"""
|
||
|
|
Display details of the hyperopt result
|
||
|
|
"""
|
||
|
|
params = results.get('params_details', {})
|
||
|
|
|
||
|
|
# Default header string
|
||
|
|
if header_str is None:
|
||
|
|
header_str = "Best result"
|
||
|
|
|
||
|
|
if not no_header:
|
||
|
|
explanation_str = HyperoptTools._format_explanation_string(results, total_epochs)
|
||
|
|
print(f"\n{header_str}:\n\n{explanation_str}\n")
|
||
|
|
|
||
|
|
if print_json:
|
||
|
|
result_dict: Dict = {}
|
||
|
|
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
|
||
|
|
HyperoptTools._params_update_for_json(result_dict, params, s)
|
||
|
|
print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE))
|
||
|
|
|
||
|
|
else:
|
||
|
|
HyperoptTools._params_pretty_print(params, 'buy', "Buy hyperspace params:")
|
||
|
|
HyperoptTools._params_pretty_print(params, 'sell', "Sell hyperspace params:")
|
||
|
|
HyperoptTools._params_pretty_print(params, 'roi', "ROI table:")
|
||
|
|
HyperoptTools._params_pretty_print(params, 'stoploss', "Stoploss:")
|
||
|
|
HyperoptTools._params_pretty_print(params, 'trailing', "Trailing stop:")
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def _params_update_for_json(result_dict, params, space: str) -> None:
|
||
|
|
if space in params:
|
||
|
|
space_params = HyperoptTools._space_params(params, space)
|
||
|
|
if space in ['buy', 'sell']:
|
||
|
|
result_dict.setdefault('params', {}).update(space_params)
|
||
|
|
elif space == 'roi':
|
||
|
|
# TODO: get rid of OrderedDict when support for python 3.6 will be
|
||
|
|
# dropped (dicts keep the order as the language feature)
|
||
|
|
|
||
|
|
# Convert keys in min_roi dict to strings because
|
||
|
|
# rapidjson cannot dump dicts with integer keys...
|
||
|
|
# OrderedDict is used to keep the numeric order of the items
|
||
|
|
# in the dict.
|
||
|
|
result_dict['minimal_roi'] = OrderedDict(
|
||
|
|
(str(k), v) for k, v in space_params.items()
|
||
|
|
)
|
||
|
|
else: # 'stoploss', 'trailing'
|
||
|
|
result_dict.update(space_params)
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def _params_pretty_print(params, space: str, header: str) -> None:
|
||
|
|
if space in params:
|
||
|
|
space_params = HyperoptTools._space_params(params, space, 5)
|
||
|
|
params_result = f"\n# {header}\n"
|
||
|
|
if space == 'stoploss':
|
||
|
|
params_result += f"stoploss = {space_params.get('stoploss')}"
|
||
|
|
elif space == 'roi':
|
||
|
|
# TODO: get rid of OrderedDict when support for python 3.6 will be
|
||
|
|
# dropped (dicts keep the order as the language feature)
|
||
|
|
minimal_roi_result = rapidjson.dumps(
|
||
|
|
OrderedDict(
|
||
|
|
(str(k), v) for k, v in space_params.items()
|
||
|
|
),
|
||
|
|
default=str, indent=4, number_mode=rapidjson.NM_NATIVE)
|
||
|
|
params_result += f"minimal_roi = {minimal_roi_result}"
|
||
|
|
elif space == 'trailing':
|
||
|
|
|
||
|
|
for k, v in space_params.items():
|
||
|
|
params_result += f'{k} = {v}\n'
|
||
|
|
|
||
|
|
else:
|
||
|
|
params_result += f"{space}_params = {pformat(space_params, indent=4)}"
|
||
|
|
params_result = params_result.replace("}", "\n}").replace("{", "{\n ")
|
||
|
|
|
||
|
|
params_result = params_result.replace("\n", "\n ")
|
||
|
|
print(params_result)
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def _space_params(params, space: str, r: int = None) -> Dict:
|
||
|
|
d = params[space]
|
||
|
|
# Round floats to `r` digits after the decimal point if requested
|
||
|
|
return round_dict(d, r) if r else d
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def is_best_loss(results, current_best_loss: float) -> bool:
|
||
|
|
return results['loss'] < current_best_loss
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def _format_explanation_string(results, total_epochs) -> str:
|
||
|
|
return (("*" if results['is_initial_point'] else " ") +
|
||
|
|
f"{results['current_epoch']:5d}/{total_epochs}: " +
|
||
|
|
f"{results['results_explanation']} " +
|
||
|
|
f"Objective: {results['loss']:.5f}")
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def get_result_table(config: dict, results: list, total_epochs: int, highlight_best: bool,
|
||
|
|
print_colorized: bool, remove_header: int) -> str:
|
||
|
|
"""
|
||
|
|
Log result table
|
||
|
|
"""
|
||
|
|
if not results:
|
||
|
|
return ''
|
||
|
|
|
||
|
|
tabulate.PRESERVE_WHITESPACE = True
|
||
|
|
|
||
|
|
trials = json_normalize(results, max_level=1)
|
||
|
|
trials['Best'] = ''
|
||
|
|
if 'results_metrics.winsdrawslosses' not in trials.columns:
|
||
|
|
# Ensure compatibility with older versions of hyperopt results
|
||
|
|
trials['results_metrics.winsdrawslosses'] = 'N/A'
|
||
|
|
|
||
|
|
trials = trials[['Best', 'current_epoch', 'results_metrics.trade_count',
|
||
|
|
'results_metrics.winsdrawslosses',
|
||
|
|
'results_metrics.avg_profit', 'results_metrics.total_profit',
|
||
|
|
'results_metrics.profit', 'results_metrics.duration',
|
||
|
|
'loss', 'is_initial_point', 'is_best']]
|
||
|
|
trials.columns = ['Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit',
|
||
|
|
'Total profit', 'Profit', 'Avg duration', 'Objective',
|
||
|
|
'is_initial_point', 'is_best']
|
||
|
|
trials['is_profit'] = False
|
||
|
|
trials.loc[trials['is_initial_point'], 'Best'] = '* '
|
||
|
|
trials.loc[trials['is_best'], 'Best'] = 'Best'
|
||
|
|
trials.loc[trials['is_initial_point'] & trials['is_best'], 'Best'] = '* Best'
|
||
|
|
trials.loc[trials['Total profit'] > 0, 'is_profit'] = True
|
||
|
|
trials['Trades'] = trials['Trades'].astype(str)
|
||
|
|
|
||
|
|
trials['Epoch'] = trials['Epoch'].apply(
|
||
|
|
lambda x: '{}/{}'.format(str(x).rjust(len(str(total_epochs)), ' '), total_epochs)
|
||
|
|
)
|
||
|
|
trials['Avg profit'] = trials['Avg profit'].apply(
|
||
|
|
lambda x: '{:,.2f}%'.format(x).rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ')
|
||
|
|
)
|
||
|
|
trials['Avg duration'] = trials['Avg duration'].apply(
|
||
|
|
lambda x: '{:,.1f} m'.format(x).rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ')
|
||
|
|
)
|
||
|
|
trials['Objective'] = trials['Objective'].apply(
|
||
|
|
lambda x: '{:,.5f}'.format(x).rjust(8, ' ') if x != 100000 else "N/A".rjust(8, ' ')
|
||
|
|
)
|
||
|
|
|
||
|
|
trials['Profit'] = trials.apply(
|
||
|
|
lambda x: '{:,.8f} {} {}'.format(
|
||
|
|
x['Total profit'], config['stake_currency'],
|
||
|
|
'({:,.2f}%)'.format(x['Profit']).rjust(10, ' ')
|
||
|
|
).rjust(25+len(config['stake_currency']))
|
||
|
|
if x['Total profit'] != 0.0 else '--'.rjust(25+len(config['stake_currency'])),
|
||
|
|
axis=1
|
||
|
|
)
|
||
|
|
trials = trials.drop(columns=['Total profit'])
|
||
|
|
|
||
|
|
if print_colorized:
|
||
|
|
for i in range(len(trials)):
|
||
|
|
if trials.loc[i]['is_profit']:
|
||
|
|
for j in range(len(trials.loc[i])-3):
|
||
|
|
trials.iat[i, j] = "{}{}{}".format(Fore.GREEN,
|
||
|
|
str(trials.loc[i][j]), Fore.RESET)
|
||
|
|
if trials.loc[i]['is_best'] and highlight_best:
|
||
|
|
for j in range(len(trials.loc[i])-3):
|
||
|
|
trials.iat[i, j] = "{}{}{}".format(Style.BRIGHT,
|
||
|
|
str(trials.loc[i][j]), Style.RESET_ALL)
|
||
|
|
|
||
|
|
trials = trials.drop(columns=['is_initial_point', 'is_best', 'is_profit'])
|
||
|
|
if remove_header > 0:
|
||
|
|
table = tabulate.tabulate(
|
||
|
|
trials.to_dict(orient='list'), tablefmt='orgtbl',
|
||
|
|
headers='keys', stralign="right"
|
||
|
|
)
|
||
|
|
|
||
|
|
table = table.split("\n", remove_header)[remove_header]
|
||
|
|
elif remove_header < 0:
|
||
|
|
table = tabulate.tabulate(
|
||
|
|
trials.to_dict(orient='list'), tablefmt='psql',
|
||
|
|
headers='keys', stralign="right"
|
||
|
|
)
|
||
|
|
table = "\n".join(table.split("\n")[0:remove_header])
|
||
|
|
else:
|
||
|
|
table = tabulate.tabulate(
|
||
|
|
trials.to_dict(orient='list'), tablefmt='psql',
|
||
|
|
headers='keys', stralign="right"
|
||
|
|
)
|
||
|
|
return table
|
||
|
|
|
||
|
|
@staticmethod
|
||
|
|
def export_csv_file(config: dict, results: list, total_epochs: int, highlight_best: bool,
|
||
|
|
csv_file: str) -> None:
|
||
|
|
"""
|
||
|
|
Log result to csv-file
|
||
|
|
"""
|
||
|
|
if not results:
|
||
|
|
return
|
||
|
|
|
||
|
|
# Verification for overwrite
|
||
|
|
if Path(csv_file).is_file():
|
||
|
|
logger.error(f"CSV file already exists: {csv_file}")
|
||
|
|
return
|
||
|
|
|
||
|
|
try:
|
||
|
|
io.open(csv_file, 'w+').close()
|
||
|
|
except IOError:
|
||
|
|
logger.error(f"Failed to create CSV file: {csv_file}")
|
||
|
|
return
|
||
|
|
|
||
|
|
trials = json_normalize(results, max_level=1)
|
||
|
|
trials['Best'] = ''
|
||
|
|
trials['Stake currency'] = config['stake_currency']
|
||
|
|
|
||
|
|
base_metrics = ['Best', 'current_epoch', 'results_metrics.trade_count',
|
||
|
|
'results_metrics.avg_profit', 'results_metrics.median_profit',
|
||
|
|
'results_metrics.total_profit',
|
||
|
|
'Stake currency', 'results_metrics.profit', 'results_metrics.duration',
|
||
|
|
'loss', 'is_initial_point', 'is_best']
|
||
|
|
param_metrics = [("params_dict."+param) for param in results[0]['params_dict'].keys()]
|
||
|
|
trials = trials[base_metrics + param_metrics]
|
||
|
|
|
||
|
|
base_columns = ['Best', 'Epoch', 'Trades', 'Avg profit', 'Median profit', 'Total profit',
|
||
|
|
'Stake currency', 'Profit', 'Avg duration', 'Objective',
|
||
|
|
'is_initial_point', 'is_best']
|
||
|
|
param_columns = list(results[0]['params_dict'].keys())
|
||
|
|
trials.columns = base_columns + param_columns
|
||
|
|
|
||
|
|
trials['is_profit'] = False
|
||
|
|
trials.loc[trials['is_initial_point'], 'Best'] = '*'
|
||
|
|
trials.loc[trials['is_best'], 'Best'] = 'Best'
|
||
|
|
trials.loc[trials['is_initial_point'] & trials['is_best'], 'Best'] = '* Best'
|
||
|
|
trials.loc[trials['Total profit'] > 0, 'is_profit'] = True
|
||
|
|
trials['Epoch'] = trials['Epoch'].astype(str)
|
||
|
|
trials['Trades'] = trials['Trades'].astype(str)
|
||
|
|
|
||
|
|
trials['Total profit'] = trials['Total profit'].apply(
|
||
|
|
lambda x: '{:,.8f}'.format(x) if x != 0.0 else ""
|
||
|
|
)
|
||
|
|
trials['Profit'] = trials['Profit'].apply(
|
||
|
|
lambda x: '{:,.2f}'.format(x) if not isna(x) else ""
|
||
|
|
)
|
||
|
|
trials['Avg profit'] = trials['Avg profit'].apply(
|
||
|
|
lambda x: '{:,.2f}%'.format(x) if not isna(x) else ""
|
||
|
|
)
|
||
|
|
trials['Avg duration'] = trials['Avg duration'].apply(
|
||
|
|
lambda x: '{:,.1f} m'.format(x) if not isna(x) else ""
|
||
|
|
)
|
||
|
|
trials['Objective'] = trials['Objective'].apply(
|
||
|
|
lambda x: '{:,.5f}'.format(x) if x != 100000 else ""
|
||
|
|
)
|
||
|
|
|
||
|
|
trials = trials.drop(columns=['is_initial_point', 'is_best', 'is_profit'])
|
||
|
|
trials.to_csv(csv_file, index=False, header=True, mode='w', encoding='UTF-8')
|
||
|
|
logger.info(f"CSV file created: {csv_file}")
|