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Merge branch 'develop' into feat/short

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Matthias 2021-08-25 20:31:40 +02:00
commit e1c3b7fd8c
6 changed files with 79 additions and 22 deletions
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7
docs/hyperopt.md
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@ -48,7 +48,7 @@ usage: freqtrade hyperopt [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
[--hyperopt-path PATH] [--eps] [--dmmp]
[--enable-protections]
[--dry-run-wallet DRY_RUN_WALLET] [-e INT]
[--spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...]]
[--spaces {all,buy,sell,roi,stoploss,trailing,protection,default} [{all,buy,sell,roi,stoploss,trailing,protection,default} ...]]
[--print-all] [--no-color] [--print-json] [-j JOBS]
[--random-state INT] [--min-trades INT]
[--hyperopt-loss NAME] [--disable-param-export]
@ -92,7 +92,7 @@ optional arguments:
Starting balance, used for backtesting / hyperopt and
dry-runs.
-e INT, --epochs INT Specify number of epochs (default: 100).
--spaces {all,buy,sell,roi,stoploss,trailing,default} [{all,buy,sell,roi,stoploss,trailing,default} ...]
--spaces {all,buy,sell,roi,stoploss,trailing,protection,default} [{all,buy,sell,roi,stoploss,trailing,protection,default} ...]
Specify which parameters to hyperopt. Space-separated
list.
--print-all Print all results, not only the best ones.
@ -576,7 +576,8 @@ Legal values are:
* `roi`: just optimize the minimal profit table for your strategy
* `stoploss`: search for the best stoploss value
* `trailing`: search for the best trailing stop values
* `default`: `all` except `trailing`
* `protection`: search for the best protection parameters (read the [protections section](#optimizing-protections) on how to properly define these)
* `default`: `all` except `trailing` and `protection`
* space-separated list of any of the above values for example `--spaces roi stoploss`
The default Hyperopt Search Space, used when no `--space` command line option is specified, does not include the `trailing` hyperspace. We recommend you to run optimization for the `trailing` hyperspace separately, when the best parameters for other hyperspaces were found, validated and pasted into your custom strategy.

2
freqtrade/exchange/exchange.py
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@ -1038,7 +1038,7 @@ class Exchange:
logger.debug(f"Using Last {conf_strategy['price_side'].capitalize()} / Last Price")
ticker = self.fetch_ticker(pair)
ticker_rate = ticker[conf_strategy['price_side']]
if ticker['last']:
if ticker['last'] and ticker_rate:
if side == 'buy' and ticker_rate > ticker['last']:
balance = conf_strategy['ask_last_balance']
ticker_rate = ticker_rate + balance * (ticker['last'] - ticker_rate)

18
freqtrade/optimize/hyperopt.py
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@ -107,13 +107,25 @@ class Hyperopt:
# Populate "fallback" functions here
# (hasattr is slow so should not be run during "regular" operations)
if hasattr(self.custom_hyperopt, 'populate_indicators'):
self.backtesting.strategy.advise_indicators = ( # type: ignore
logger.warning(
"DEPRECATED: Using `populate_indicators()` in the hyperopt file is deprecated. "
"Please move these methods to your strategy."
)
self.backtesting.strategy.populate_indicators = ( # type: ignore
self.custom_hyperopt.populate_indicators) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
self.backtesting.strategy.advise_buy = ( # type: ignore
logger.warning(
"DEPRECATED: Using `populate_buy_trend()` in the hyperopt file is deprecated. "
"Please move these methods to your strategy."
)
self.backtesting.strategy.populate_buy_trend = ( # type: ignore
self.custom_hyperopt.populate_buy_trend) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_sell_trend'):
self.backtesting.strategy.advise_sell = ( # type: ignore
logger.warning(
"DEPRECATED: Using `populate_sell_trend()` in the hyperopt file is deprecated. "
"Please move these methods to your strategy."
)
self.backtesting.strategy.populate_sell_trend = ( # type: ignore
self.custom_hyperopt.populate_sell_trend) # type: ignore
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set

2
freqtrade/optimize/hyperopt_auto.py
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@ -74,7 +74,7 @@ class HyperOptAuto(IHyperOpt):
return self._get_indicator_space('sell', 'sell_indicator_space')
def protection_space(self) -> List['Dimension']:
return self._get_indicator_space('protection', 'indicator_space')
return self._get_indicator_space('protection', 'protection_space')
def generate_roi_table(self, params: Dict) -> Dict[int, float]:
return self._get_func('generate_roi_table')(params)

25
tests/exchange/test_exchange.py
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@ -1851,6 +1851,31 @@ def test_get_sell_rate(default_conf, mocker, caplog, side, bid, ask,
assert log_has("Using cached sell rate for ETH/BTC.", caplog)
@pytest.mark.parametrize("entry,side,ask,bid,last,last_ab,expected", [
('buy', 'ask', None, 4, 4, 0, 4), # ask not available
('buy', 'ask', None, None, 4, 0, 4), # ask not available
('buy', 'bid', 6, None, 4, 0, 5), # bid not available
('buy', 'bid', None, None, 4, 0, 5), # No rate available
('sell', 'ask', None, 4, 4, 0, 4), # ask not available
('sell', 'ask', None, None, 4, 0, 4), # ask not available
('sell', 'bid', 6, None, 4, 0, 5), # bid not available
('sell', 'bid', None, None, 4, 0, 5), # bid not available
])
def test_get_ticker_rate_error(mocker, entry, default_conf, caplog, side, ask, bid,
last, last_ab, expected) -> None:
caplog.set_level(logging.DEBUG)
default_conf['bid_strategy']['ask_last_balance'] = last_ab
default_conf['bid_strategy']['price_side'] = side
default_conf['ask_strategy']['price_side'] = side
default_conf['ask_strategy']['ask_last_balance'] = last_ab
exchange = get_patched_exchange(mocker, default_conf)
mocker.patch('freqtrade.exchange.Exchange.fetch_ticker',
return_value={'ask': ask, 'last': last, 'bid': bid})
with pytest.raises(PricingError):
exchange.get_rate('ETH/BTC', refresh=True, side=entry)
@pytest.mark.parametrize('side,expected', [
('bid', 0.043936), # Value from order_book_l2 fiture - bids side
('ask', 0.043949), # Value from order_book_l2 fiture - asks side

47
tests/optimize/test_hyperopt_tools.py
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@ -64,34 +64,53 @@ def test_load_previous_results2(mocker, testdatadir, caplog) -> None:
@pytest.mark.parametrize("spaces, expected_results", [
(['buy'],
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False}),
{'buy': True, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
(['sell'],
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False}),
{'buy': False, 'sell': True, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': False}),
(['roi'],
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
{'buy': False, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
(['stoploss'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False}),
{'buy': False, 'sell': False, 'roi': False, 'stoploss': True, 'trailing': False,
'protection': False}),
(['trailing'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True}),
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': True,
'protection': False}),
(['buy', 'sell', 'roi', 'stoploss'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
(['buy', 'sell', 'roi', 'stoploss', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
(['buy', 'roi'],
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False}),
{'buy': True, 'sell': False, 'roi': True, 'stoploss': False, 'trailing': False,
'protection': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
(['default'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
(['default', 'trailing'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': False}),
(['all', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
(['default', 'buy'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}),
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False,
'protection': False}),
(['all'],
{'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': True,
'protection': True}),
(['protection'],
{'buy': False, 'sell': False, 'roi': False, 'stoploss': False, 'trailing': False,
'protection': True}),
])
def test_has_space(hyperopt_conf, spaces, expected_results):
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']:
for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing', 'protection']:
hyperopt_conf.update({'spaces': spaces})
assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s]