lychiyu/freqtrade_origin
1
0
Fork 0
mirror of https://github.com/freqtrade/freqtrade.git synced 2024-11-15 04:33:57 +00:00
Code Issues Actions 1 Packages Projects Releases Wiki Activity
731e857a08
freqtrade_origin/en/2021.2/advanced-hyperopt/index.html

1264 lines
31 KiB
HTML
Raw Normal View History

Deployed 38b96f071 to 2021.2 in en with MkDocs 1.6.0 and mike 2.1.2
2024-08-20 17:57:03 +00:00
<!doctype html>
<html lang="en" class="no-js">
<head>
<meta charset="utf-8">
<meta name="viewport" content="width=device-width,initial-scale=1">
<link rel="prev" href="../strategy-advanced/">
<link rel="next" href="../sandbox-testing/">
<link rel="icon" href="../images/logo.png">
<meta name="generator" content="mkdocs-1.6.0, mkdocs-material-9.5.30">
<title>Advanced Hyperopt - Freqtrade</title>
<link rel="stylesheet" href="../assets/stylesheets/main.3cba04c6.min.css">
<link rel="stylesheet" href="../assets/stylesheets/palette.06af60db.min.css">
<link rel="preconnect" href="https://fonts.gstatic.com" crossorigin>
<link rel="stylesheet" href="https://fonts.googleapis.com/css?family=Roboto:300,300i,400,400i,700,700i%7CRoboto+Mono:400,400i,700,700i&display=fallback">
<style>:root{--md-text-font:"Roboto";--md-code-font:"Roboto Mono"}</style>
<link rel="stylesheet" href="../stylesheets/ft.extra.css">
<script>__md_scope=new URL("..",location),__md_hash=e=>[...e].reduce((e,_)=>(e<<5)-e+_.charCodeAt(0),0),__md_get=(e,_=localStorage,t=__md_scope)=>JSON.parse(_.getItem(t.pathname+"."+e)),__md_set=(e,_,t=localStorage,a=__md_scope)=>{try{t.setItem(a.pathname+"."+e,JSON.stringify(_))}catch(e){}}</script>
</head>
<body dir="ltr" data-md-color-scheme="default" data-md-color-primary="blue-grey" data-md-color-accent="tear">
<input class="md-toggle" data-md-toggle="drawer" type="checkbox" id="__drawer" autocomplete="off">
<input class="md-toggle" data-md-toggle="search" type="checkbox" id="__search" autocomplete="off">
<label class="md-overlay" for="__drawer"></label>
<div data-md-component="skip">
<a href="#advanced-hyperopt" class="md-skip">
Skip to content
</a>
</div>
<div data-md-component="announce">
</div>
<div data-md-color-scheme="default" data-md-component="outdated" hidden>
</div>
<header class="md-header md-header--shadow" data-md-component="header">
<nav class="md-header__inner md-grid" aria-label="Header">
<a href=".." title="Freqtrade" class="md-header__button md-logo" aria-label="Freqtrade" data-md-component="logo">
<img src="../images/logo.png" alt="logo">
</a>
<label class="md-header__button md-icon" for="__drawer">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M3 6h18v2H3V6m0 5h18v2H3v-2m0 5h18v2H3v-2Z"/></svg>
</label>
<div class="md-header__title" data-md-component="header-title">
<div class="md-header__ellipsis">
<div class="md-header__topic">
<span class="md-ellipsis">
Freqtrade
</span>
</div>
<div class="md-header__topic" data-md-component="header-topic">
<span class="md-ellipsis">
Advanced Hyperopt
</span>
</div>
</div>
</div>
<label class="md-header__button md-icon" for="__search">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5Z"/></svg>
</label>
<div class="md-search" data-md-component="search" role="dialog">
<label class="md-search__overlay" for="__search"></label>
<div class="md-search__inner" role="search">
<form class="md-search__form" name="search">
<input type="text" class="md-search__input" name="query" aria-label="Search" placeholder="Search" autocapitalize="off" autocorrect="off" autocomplete="off" spellcheck="false" data-md-component="search-query" required>
<label class="md-search__icon md-icon" for="__search">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M9.5 3A6.5 6.5 0 0 1 16 9.5c0 1.61-.59 3.09-1.56 4.23l.27.27h.79l5 5-1.5 1.5-5-5v-.79l-.27-.27A6.516 6.516 0 0 1 9.5 16 6.5 6.5 0 0 1 3 9.5 6.5 6.5 0 0 1 9.5 3m0 2C7 5 5 7 5 9.5S7 14 9.5 14 14 12 14 9.5 12 5 9.5 5Z"/></svg>
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M20 11v2H8l5.5 5.5-1.42 1.42L4.16 12l7.92-7.92L13.5 5.5 8 11h12Z"/></svg>
</label>
<nav class="md-search__options" aria-label="Search">
<button type="reset" class="md-search__icon md-icon" title="Clear" aria-label="Clear" tabindex="-1">
<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M19 6.41 17.59 5 12 10.59 6.41 5 5 6.41 10.59 12 5 17.59 6.41 19 12 13.41 17.59 19 19 17.59 13.41 12 19 6.41Z"/></svg>
</button>
</nav>
</form>
<div class="md-search__output">
<div class="md-search__scrollwrap" tabindex="0" data-md-scrollfix>
<div class="md-search-result" data-md-component="search-result">
<div class="md-search-result__meta">
Initializing search
</div>
<ol class="md-search-result__list" role="presentation"></ol>
</div>
</div>
</div>
</div>
</div>
</nav>
</header>
<div class="md-container" data-md-component="container">
<main class="md-main" data-md-component="main">
<div class="md-main__inner md-grid">
<div class="md-sidebar md-sidebar--primary" data-md-component="sidebar" data-md-type="navigation" >
<div class="md-sidebar__scrollwrap">
<div class="md-sidebar__inner">
<nav class="md-nav md-nav--primary" aria-label="Navigation" data-md-level="0">
<label class="md-nav__title" for="__drawer">
<a href=".." title="Freqtrade" class="md-nav__button md-logo" aria-label="Freqtrade" data-md-component="logo">
<img src="../images/logo.png" alt="logo">
</a>
Freqtrade
</label>
<ul class="md-nav__list" data-md-scrollfix>
<li class="md-nav__item">
<a href=".." class="md-nav__link">
<span class="md-ellipsis">
Home
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../docker_quickstart/" class="md-nav__link">
<span class="md-ellipsis">
Quickstart with Docker
</span>
</a>
</li>
<li class="md-nav__item md-nav__item--nested">
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_3" >
<label class="md-nav__link" for="__nav_3" id="__nav_3_label" tabindex="0">
<span class="md-ellipsis">
Installation
</span>
<span class="md-nav__icon md-icon"></span>
</label>
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_3_label" aria-expanded="false">
<label class="md-nav__title" for="__nav_3">
<span class="md-nav__icon md-icon"></span>
Installation
</label>
<ul class="md-nav__list" data-md-scrollfix>
<li class="md-nav__item">
<a href="../installation/" class="md-nav__link">
<span class="md-ellipsis">
Linux/MacOS/Raspberry
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../windows_installation/" class="md-nav__link">
<span class="md-ellipsis">
Windows
</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="../bot-basics/" class="md-nav__link">
<span class="md-ellipsis">
Freqtrade Basics
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../configuration/" class="md-nav__link">
<span class="md-ellipsis">
Configuration
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../strategy-customization/" class="md-nav__link">
<span class="md-ellipsis">
Strategy Customization
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../plugins/" class="md-nav__link">
<span class="md-ellipsis">
Plugins
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../stoploss/" class="md-nav__link">
<span class="md-ellipsis">
Stoploss
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../bot-usage/" class="md-nav__link">
<span class="md-ellipsis">
Start the bot
</span>
</a>
</li>
<li class="md-nav__item md-nav__item--nested">
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_10" >
<label class="md-nav__link" for="__nav_10" id="__nav_10_label" tabindex="0">
<span class="md-ellipsis">
Control the bot
</span>
<span class="md-nav__icon md-icon"></span>
</label>
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_10_label" aria-expanded="false">
<label class="md-nav__title" for="__nav_10">
<span class="md-nav__icon md-icon"></span>
Control the bot
</label>
<ul class="md-nav__list" data-md-scrollfix>
<li class="md-nav__item">
<a href="../telegram-usage/" class="md-nav__link">
<span class="md-ellipsis">
Telegram
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../webhook-config/" class="md-nav__link">
<span class="md-ellipsis">
Web Hook
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../rest-api/" class="md-nav__link">
<span class="md-ellipsis">
REST API & FreqUI
</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="../data-download/" class="md-nav__link">
<span class="md-ellipsis">
Data Downloading
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../backtesting/" class="md-nav__link">
<span class="md-ellipsis">
Backtesting
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../hyperopt/" class="md-nav__link">
<span class="md-ellipsis">
Hyperopt
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../utils/" class="md-nav__link">
<span class="md-ellipsis">
Utility Sub-commands
</span>
</a>
</li>
<li class="md-nav__item md-nav__item--nested">
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_15" >
<label class="md-nav__link" for="__nav_15" id="__nav_15_label" tabindex="0">
<span class="md-ellipsis">
Data Analysis
</span>
<span class="md-nav__icon md-icon"></span>
</label>
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_15_label" aria-expanded="false">
<label class="md-nav__title" for="__nav_15">
<span class="md-nav__icon md-icon"></span>
Data Analysis
</label>
<ul class="md-nav__list" data-md-scrollfix>
<li class="md-nav__item">
<a href="../data-analysis/" class="md-nav__link">
<span class="md-ellipsis">
Jupyter Notebooks
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../strategy_analysis_example/" class="md-nav__link">
<span class="md-ellipsis">
Strategy analysis
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../plotting/" class="md-nav__link">
<span class="md-ellipsis">
Plotting
</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="../exchanges/" class="md-nav__link">
<span class="md-ellipsis">
Exchange-specific Notes
</span>
</a>
</li>
<li class="md-nav__item md-nav__item--active md-nav__item--nested">
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_17" checked>
<label class="md-nav__link" for="__nav_17" id="__nav_17_label" tabindex="0">
<span class="md-ellipsis">
Advanced Topics
</span>
<span class="md-nav__icon md-icon"></span>
</label>
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_17_label" aria-expanded="true">
<label class="md-nav__title" for="__nav_17">
<span class="md-nav__icon md-icon"></span>
Advanced Topics
</label>
<ul class="md-nav__list" data-md-scrollfix>
<li class="md-nav__item">
<a href="../advanced-setup/" class="md-nav__link">
<span class="md-ellipsis">
Advanced Post-installation Tasks
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../edge/" class="md-nav__link">
<span class="md-ellipsis">
Edge Positioning
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../strategy-advanced/" class="md-nav__link">
<span class="md-ellipsis">
Advanced Strategy
</span>
</a>
</li>
<li class="md-nav__item md-nav__item--active">
<input class="md-nav__toggle md-toggle" type="checkbox" id="__toc">
<label class="md-nav__link md-nav__link--active" for="__toc">
<span class="md-ellipsis">
Advanced Hyperopt
</span>
<span class="md-nav__icon md-icon"></span>
</label>
<a href="./" class="md-nav__link md-nav__link--active">
<span class="md-ellipsis">
Advanced Hyperopt
</span>
</a>
<nav class="md-nav md-nav--secondary" aria-label="Table of contents">
<label class="md-nav__title" for="__toc">
<span class="md-nav__icon md-icon"></span>
Table of contents
</label>
<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
<li class="md-nav__item">
<a href="#derived-hyperopt-classes" class="md-nav__link">
<span class="md-ellipsis">
Derived hyperopt classes
</span>
</a>
</li>
<li class="md-nav__item">
<a href="#creating-and-using-a-custom-loss-function" class="md-nav__link">
<span class="md-ellipsis">
Creating and using a custom loss function
</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="../sandbox-testing/" class="md-nav__link">
<span class="md-ellipsis">
Sandbox Testing
</span>
</a>
</li>
</ul>
</nav>
</li>
<li class="md-nav__item">
<a href="../faq/" class="md-nav__link">
<span class="md-ellipsis">
FAQ
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../sql_cheatsheet/" class="md-nav__link">
<span class="md-ellipsis">
SQL Cheat-sheet
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../updating/" class="md-nav__link">
<span class="md-ellipsis">
Updating Freqtrade
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../deprecated/" class="md-nav__link">
<span class="md-ellipsis">
Deprecated Features
</span>
</a>
</li>
<li class="md-nav__item">
<a href="../developer/" class="md-nav__link">
<span class="md-ellipsis">
Contributors Guide
</span>
</a>
</li>
</ul>
</nav>
</div>
</div>
</div>
<div class="md-sidebar md-sidebar--secondary" data-md-component="sidebar" data-md-type="toc" >
<div class="md-sidebar__scrollwrap">
<div class="md-sidebar__inner">
<nav class="md-nav md-nav--secondary" aria-label="Table of contents">
<label class="md-nav__title" for="__toc">
<span class="md-nav__icon md-icon"></span>
Table of contents
</label>
<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
<li class="md-nav__item">
<a href="#derived-hyperopt-classes" class="md-nav__link">
<span class="md-ellipsis">
Derived hyperopt classes
</span>
</a>
</li>
<li class="md-nav__item">
<a href="#creating-and-using-a-custom-loss-function" class="md-nav__link">
<span class="md-ellipsis">
Creating and using a custom loss function
</span>
</a>
</li>
</ul>
</nav>
</div>
</div>
</div>
<div class="md-content" data-md-component="content">
<article class="md-content__inner md-typeset">
<h1 id="advanced-hyperopt">Advanced Hyperopt<a class="headerlink" href="#advanced-hyperopt" title="Permanent link">&para;</a></h1>
<p>This page explains some advanced Hyperopt topics that may require higher
coding skills and Python knowledge than creation of an ordinal hyperoptimization
class.</p>
<h2 id="derived-hyperopt-classes">Derived hyperopt classes<a class="headerlink" href="#derived-hyperopt-classes" title="Permanent link">&para;</a></h2>
<p>Custom hyperop classes can be derived in the same way <a href="../strategy-customization/#derived-strategies">it can be done for strategies</a>.</p>
<p>Applying to hyperoptimization, as an example, you may override how dimensions are defined in your optimization hyperspace:</p>
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeHyperOpt</span><span class="p">(</span><span class="n">IHyperOpt</span><span class="p">):</span>
<span class="o">...</span>
<span class="c1"># Uses default stoploss dimension</span>
<span class="k">class</span> <span class="nc">MyAwesomeHyperOpt2</span><span class="p">(</span><span class="n">MyAwesomeHyperOpt</span><span class="p">):</span>
<span class="nd">@staticmethod</span>
<span class="k">def</span> <span class="nf">stoploss_space</span><span class="p">()</span> <span class="o">-&gt;</span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
<span class="c1"># Override boundaries for stoploss</span>
<span class="k">return</span> <span class="p">[</span>
<span class="n">Real</span><span class="p">(</span><span class="o">-</span><span class="mf">0.33</span><span class="p">,</span> <span class="o">-</span><span class="mf">0.01</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s1">&#39;stoploss&#39;</span><span class="p">),</span>
<span class="p">]</span>
</code></pre></div>
<p>and then quickly switch between hyperopt classes, running optimization process with hyperopt class you need in each particular case:</p>
<div class="highlight"><pre><span></span><code>$ freqtrade hyperopt --hyperopt MyAwesomeHyperOpt --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy ...
or
$ freqtrade hyperopt --hyperopt MyAwesomeHyperOpt2 --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy ...
</code></pre></div>
<h2 id="creating-and-using-a-custom-loss-function">Creating and using a custom loss function<a class="headerlink" href="#creating-and-using-a-custom-loss-function" title="Permanent link">&para;</a></h2>
<p>To use a custom loss function class, make sure that the function <code>hyperopt_loss_function</code> is defined in your custom hyperopt loss class.
For the sample below, you then need to add the command line parameter <code>--hyperopt-loss SuperDuperHyperOptLoss</code> to your hyperopt call so this function is being used.</p>
<p>A sample of this can be found below, which is identical to the Default Hyperopt loss implementation. A full sample can be found in <a href="https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_loss.py">userdata/hyperopts</a>.</p>
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">Dict</span>
<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
<span class="kn">from</span> <span class="nn">freqtrade.optimize.hyperopt</span> <span class="kn">import</span> <span class="n">IHyperOptLoss</span>
<span class="n">TARGET_TRADES</span> <span class="o">=</span> <span class="mi">600</span>
<span class="n">EXPECTED_MAX_PROFIT</span> <span class="o">=</span> <span class="mf">3.0</span>
<span class="n">MAX_ACCEPTED_TRADE_DURATION</span> <span class="o">=</span> <span class="mi">300</span>
<span class="k">class</span> <span class="nc">SuperDuperHyperOptLoss</span><span class="p">(</span><span class="n">IHyperOptLoss</span><span class="p">):</span>
<span class="w"> </span><span class="sd">&quot;&quot;&quot;</span>
<span class="sd"> Defines the default loss function for hyperopt</span>
<span class="sd"> &quot;&quot;&quot;</span>
<span class="nd">@staticmethod</span>
<span class="k">def</span> <span class="nf">hyperopt_loss_function</span><span class="p">(</span><span class="n">results</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="n">trade_count</span><span class="p">:</span> <span class="nb">int</span><span class="p">,</span>
<span class="n">min_date</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">max_date</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span>
<span class="n">config</span><span class="p">:</span> <span class="n">Dict</span><span class="p">,</span> <span class="n">processed</span><span class="p">:</span> <span class="n">Dict</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">DataFrame</span><span class="p">],</span>
<span class="o">*</span><span class="n">args</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-&gt;</span> <span class="nb">float</span><span class="p">:</span>
<span class="w"> </span><span class="sd">&quot;&quot;&quot;</span>
<span class="sd"> Objective function, returns smaller number for better results</span>
<span class="sd"> This is the legacy algorithm (used until now in freqtrade).</span>
<span class="sd"> Weights are distributed as follows:</span>
<span class="sd"> * 0.4 to trade duration</span>
<span class="sd"> * 0.25: Avoiding trade loss</span>
<span class="sd"> * 1.0 to total profit, compared to the expected value (`EXPECTED_MAX_PROFIT`) defined above</span>
<span class="sd"> &quot;&quot;&quot;</span>
<span class="n">total_profit</span> <span class="o">=</span> <span class="n">results</span><span class="p">[</span><span class="s1">&#39;profit_ratio&#39;</span><span class="p">]</span><span class="o">.</span><span class="n">sum</span><span class="p">()</span>
<span class="n">trade_duration</span> <span class="o">=</span> <span class="n">results</span><span class="p">[</span><span class="s1">&#39;trade_duration&#39;</span><span class="p">]</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
<span class="n">trade_loss</span> <span class="o">=</span> <span class="mi">1</span> <span class="o">-</span> <span class="mf">0.25</span> <span class="o">*</span> <span class="n">exp</span><span class="p">(</span><span class="o">-</span><span class="p">(</span><span class="n">trade_count</span> <span class="o">-</span> <span class="n">TARGET_TRADES</span><span class="p">)</span> <span class="o">**</span> <span class="mi">2</span> <span class="o">/</span> <span class="mi">10</span> <span class="o">**</span> <span class="mf">5.8</span><span class="p">)</span>
<span class="n">profit_loss</span> <span class="o">=</span> <span class="nb">max</span><span class="p">(</span><span class="mi">0</span><span class="p">,</span> <span class="mi">1</span> <span class="o">-</span> <span class="n">total_profit</span> <span class="o">/</span> <span class="n">EXPECTED_MAX_PROFIT</span><span class="p">)</span>
<span class="n">duration_loss</span> <span class="o">=</span> <span class="mf">0.4</span> <span class="o">*</span> <span class="nb">min</span><span class="p">(</span><span class="n">trade_duration</span> <span class="o">/</span> <span class="n">MAX_ACCEPTED_TRADE_DURATION</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
<span class="n">result</span> <span class="o">=</span> <span class="n">trade_loss</span> <span class="o">+</span> <span class="n">profit_loss</span> <span class="o">+</span> <span class="n">duration_loss</span>
<span class="k">return</span> <span class="n">result</span>
</code></pre></div>
<p>Currently, the arguments are:</p>
<ul>
<li><code>results</code>: DataFrame containing the result<br />
The following columns are available in results (corresponds to the output-file of backtesting when used with <code>--export trades</code>):<br />
<code>pair, profit_ratio, profit_abs, open_date, open_rate, fee_open, close_date, close_rate, fee_close, amount, trade_duration, is_open, sell_reason, stake_amount, min_rate, max_rate, stop_loss_ratio, stop_loss_abs</code></li>
<li><code>trade_count</code>: Amount of trades (identical to <code>len(results)</code>)</li>
<li><code>min_date</code>: Start date of the timerange used</li>
<li><code>min_date</code>: End date of the timerange used</li>
<li><code>config</code>: Config object used (Note: Not all strategy-related parameters will be updated here if they are part of a hyperopt space).</li>
<li><code>processed</code>: Dict of Dataframes with the pair as keys containing the data used for backtesting.</li>
</ul>
<p>This function needs to return a floating point number (<code>float</code>). Smaller numbers will be interpreted as better results. The parameters and balancing for this is up to you.</p>
<div class="admonition note">
<p class="admonition-title">Note</p>
<p>This function is called once per iteration - so please make sure to have this as optimized as possible to not slow hyperopt down unnecessarily.</p>
</div>
<div class="admonition note">
<p class="admonition-title">Note</p>
<p>Please keep the arguments <code>*args</code> and <code>**kwargs</code> in the interface to allow us to extend this interface later.</p>
</div>
</article>
</div>
<script>var target=document.getElementById(location.hash.slice(1));target&&target.name&&(target.checked=target.name.startsWith("__tabbed_"))</script>
</div>
</main>
<footer class="md-footer">
<div class="md-footer-meta md-typeset">
<div class="md-footer-meta__inner md-grid">
<div class="md-copyright">
Made with
<a href="https://squidfunk.github.io/mkdocs-material/" target="_blank" rel="noopener">
Material for MkDocs
</a>
</div>
</div>
</div>
</footer>
</div>
<div class="md-dialog" data-md-component="dialog">
<div class="md-dialog__inner md-typeset"></div>
</div>
<script id="__config" type="application/json">{"base": "..", "features": [], "search": "../assets/javascripts/workers/search.b8dbb3d2.min.js", "translations": {"clipboard.copied": "Copied to clipboard", "clipboard.copy": "Copy to clipboard", "search.result.more.one": "1 more on this page", "search.result.more.other": "# more on this page", "search.result.none": "No matching documents", "search.result.one": "1 matching document", "search.result.other": "# matching documents", "search.result.placeholder": "Type to start searching", "search.result.term.missing": "Missing", "select.version": "Select version"}, "version": {"provider": "mike"}}</script>
<script src="../assets/javascripts/bundle.fe8b6f2b.min.js"></script>
<script src="../javascripts/config.js"></script>
<script src="https://polyfill.io/v3/polyfill.min.js?features=es6"></script>
<script src="https://cdn.jsdelivr.net/npm/mathjax@3/es5/tex-mml-chtml.js"></script>
</body>
</html>
Reference in New Issue Copy Permalink