From f14d6249e0860f5ed5b53fcc3bfc9e40613fff0b Mon Sep 17 00:00:00 2001 From: Janne Sinivirta Date: Fri, 9 Feb 2018 20:59:06 +0200 Subject: [PATCH] allow selecting hyperopt searchspace --- freqtrade/misc.py | 8 +++++ freqtrade/optimize/hyperopt.py | 36 ++++++++++++++++++----- freqtrade/tests/optimize/test_hyperopt.py | 20 +++++++++---- 3 files changed, 50 insertions(+), 14 deletions(-) diff --git a/freqtrade/misc.py b/freqtrade/misc.py index 4fa70b678..9c7e2dd9f 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -280,6 +280,14 @@ def hyperopt_options(parser: argparse.ArgumentParser) -> None: type=str, dest='timerange', ) + parser.add_argument( + '-s', '--spaces', + help='Specify which parameters to hyperopt. Comma separate list. \ + Allowed values: all, buy, sell, roi, stoploss. Default: $(default)s', + default='all', + type=str, + dest='spaces', + ) def parse_timerange(text): diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 12c061b4f..45e3fc20c 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -312,8 +312,21 @@ def indicator_space() -> Dict[str, Any]: } -def hyperopt_space() -> Dict[str, Any]: - return {**indicator_space(), **roi_space(), **stoploss_space()} +def has_space(spaces, space): + if space in spaces or 'all' in spaces: + return True + return False + + +def hyperopt_space(selected_spaces: str) -> Dict[str, Any]: + spaces = {} + if has_space(selected_spaces, 'buy'): + spaces = {**spaces, **indicator_space()} + if has_space(selected_spaces, 'roi'): + spaces = {**spaces, **roi_space()} + if has_space(selected_spaces, 'stoploss'): + spaces = {**spaces, **stoploss_space()} + return spaces def buy_strategy_generator(params: Dict[str, Any]) -> Callable: @@ -393,15 +406,21 @@ def buy_strategy_generator(params: Dict[str, Any]) -> Callable: def optimizer(params): global _CURRENT_TRIES + strategy = Strategy() if 'roi_t1' in params: - strategy = Strategy() strategy.minimal_roi = generate_roi_table(params) - backtesting.populate_buy_trend = buy_strategy_generator(params) + if 'trigger' in params: + backtesting.populate_buy_trend = buy_strategy_generator(params) + + if 'stoploss' in params: + stoploss = params['stoploss'] + else: + stoploss = strategy.stoploss results = backtest({'stake_amount': OPTIMIZE_CONFIG['stake_amount'], 'processed': PROCESSED, - 'stoploss': params['stoploss']}) + 'stoploss': stoploss}) result_explanation = format_results(results) total_profit = results.profit_percent.sum() @@ -475,7 +494,8 @@ def start(args): data = optimize.load_data(args.datadir, pairs=pairs, ticker_interval=strategy.ticker_interval, timerange=timerange) - optimize.populate_indicators = populate_indicators + if has_space(args.spaces, 'buy') or has_space(args.spaces, 'sell'): + optimize.populate_indicators = populate_indicators PROCESSED = optimize.tickerdata_to_dataframe(data) if args.mongodb: @@ -500,7 +520,7 @@ def start(args): try: best_parameters = fmin( fn=optimizer, - space=hyperopt_space(), + space=hyperopt_space(args.spaces), algo=tpe.suggest, max_evals=TOTAL_TRIES, trials=TRIALS @@ -517,7 +537,7 @@ def start(args): # Improve best parameter logging display if best_parameters: best_parameters = space_eval( - hyperopt_space(), + hyperopt_space(args.spaces), best_parameters ) diff --git a/freqtrade/tests/optimize/test_hyperopt.py b/freqtrade/tests/optimize/test_hyperopt.py index 93cb6ba8b..073af5bde 100644 --- a/freqtrade/tests/optimize/test_hyperopt.py +++ b/freqtrade/tests/optimize/test_hyperopt.py @@ -6,7 +6,7 @@ from unittest.mock import MagicMock import pandas as pd from freqtrade.optimize.hyperopt import calculate_loss, TARGET_TRADES, EXPECTED_MAX_PROFIT, start, \ - log_results, save_trials, read_trials, generate_roi_table + log_results, save_trials, read_trials, generate_roi_table, has_space import freqtrade.optimize.hyperopt as hyperopt @@ -71,7 +71,7 @@ def test_start_calls_fmin(mocker): mock_fmin = mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={}) args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False, - timerange=None) + timerange=None, spaces='all') start(args) mock_fmin.assert_called_once() @@ -85,7 +85,7 @@ def test_start_uses_mongotrials(mocker): mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value={}) args = mocker.Mock(epochs=1, config='config.json.example', mongodb=True, - timerange=None) + timerange=None, spaces='all') start(args) mock_mongotrials.assert_called_once() @@ -148,7 +148,7 @@ def test_fmin_best_results(mocker, caplog): mocker.patch('freqtrade.optimize.hyperopt.fmin', return_value=fmin_result) args = mocker.Mock(epochs=1, config='config.json.example', - timerange=None) + timerange=None, spaces='all') start(args) exists = [ @@ -172,7 +172,7 @@ def test_fmin_throw_value_error(mocker, caplog): mocker.patch('freqtrade.optimize.hyperopt.fmin', side_effect=ValueError()) args = mocker.Mock(epochs=1, config='config.json.example', - timerange=None) + timerange=None, spaces='all') start(args) exists = [ @@ -207,7 +207,8 @@ def test_resuming_previous_hyperopt_results_succeeds(mocker): args = mocker.Mock(epochs=1, config='config.json.example', mongodb=False, - timerange=None) + timerange=None, + spaces='all') start(args) @@ -279,3 +280,10 @@ def test_signal_handler(mocker): mocker.patch('freqtrade.optimize.hyperopt.log_trials_result', m) hyperopt.signal_handler(9, None) assert m.call_count == 3 + + +def test_has_space(): + assert has_space('buy,roi', 'roi') + assert has_space('buy,roi', 'buy') + assert not has_space('buy,roi', 'stoploss') + assert has_space('all', 'buy')