mirror of
https://github.com/freqtrade/freqtrade.git
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1264 lines
31 KiB
HTML
1264 lines
31 KiB
HTML
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<!doctype html>
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<html lang="en" class="no-js">
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<head>
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<meta charset="utf-8">
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<meta name="viewport" content="width=device-width,initial-scale=1">
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<link rel="prev" href="../strategy-advanced/">
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<link rel="next" href="../sandbox-testing/">
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<link rel="icon" href="../images/logo.png">
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<meta name="generator" content="mkdocs-1.6.0, mkdocs-material-9.5.30">
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<title>Advanced Hyperopt - Freqtrade</title>
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<link rel="stylesheet" href="../assets/stylesheets/main.3cba04c6.min.css">
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<link rel="stylesheet" href="../assets/stylesheets/palette.06af60db.min.css">
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<link rel="preconnect" href="https://fonts.gstatic.com" crossorigin>
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<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">
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<style>:root{--md-text-font:"Roboto";--md-code-font:"Roboto Mono"}</style>
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<link rel="stylesheet" href="../stylesheets/ft.extra.css">
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<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>
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</head>
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<body dir="ltr" data-md-color-scheme="default" data-md-color-primary="blue-grey" data-md-color-accent="tear">
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<input class="md-toggle" data-md-toggle="drawer" type="checkbox" id="__drawer" autocomplete="off">
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<input class="md-toggle" data-md-toggle="search" type="checkbox" id="__search" autocomplete="off">
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<label class="md-overlay" for="__drawer"></label>
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<div data-md-component="skip">
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<a href="#advanced-hyperopt" class="md-skip">
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Skip to content
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</a>
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</div>
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<div data-md-component="announce">
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</div>
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<div data-md-color-scheme="default" data-md-component="outdated" hidden>
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</div>
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<header class="md-header md-header--shadow" data-md-component="header">
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<nav class="md-header__inner md-grid" aria-label="Header">
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<a href=".." title="Freqtrade" class="md-header__button md-logo" aria-label="Freqtrade" data-md-component="logo">
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<img src="../images/logo.png" alt="logo">
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</a>
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<label class="md-header__button md-icon" for="__drawer">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 24 24"><path d="M3 6h18v2H3V6m0 5h18v2H3v-2m0 5h18v2H3v-2Z"/></svg>
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</label>
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<div class="md-header__title" data-md-component="header-title">
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<div class="md-header__ellipsis">
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<div class="md-header__topic">
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<span class="md-ellipsis">
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Freqtrade
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</span>
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</div>
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<div class="md-header__topic" data-md-component="header-topic">
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<span class="md-ellipsis">
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Advanced Hyperopt
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</span>
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</div>
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</div>
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</div>
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<label class="md-header__button md-icon" for="__search">
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<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>
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</label>
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<div class="md-search" data-md-component="search" role="dialog">
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<label class="md-search__overlay" for="__search"></label>
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<div class="md-search__inner" role="search">
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<form class="md-search__form" name="search">
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<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>
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<label class="md-search__icon md-icon" for="__search">
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<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>
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<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>
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</label>
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<nav class="md-search__options" aria-label="Search">
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<button type="reset" class="md-search__icon md-icon" title="Clear" aria-label="Clear" tabindex="-1">
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<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>
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</button>
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</nav>
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</form>
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<div class="md-search__output">
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<div class="md-search__scrollwrap" tabindex="0" data-md-scrollfix>
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<div class="md-search-result" data-md-component="search-result">
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<div class="md-search-result__meta">
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Initializing search
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</div>
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<ol class="md-search-result__list" role="presentation"></ol>
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</div>
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</div>
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</div>
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</div>
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</div>
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</nav>
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</header>
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<div class="md-container" data-md-component="container">
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<main class="md-main" data-md-component="main">
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<div class="md-main__inner md-grid">
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<div class="md-sidebar md-sidebar--primary" data-md-component="sidebar" data-md-type="navigation" >
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<div class="md-sidebar__scrollwrap">
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<div class="md-sidebar__inner">
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<nav class="md-nav md-nav--primary" aria-label="Navigation" data-md-level="0">
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<label class="md-nav__title" for="__drawer">
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<a href=".." title="Freqtrade" class="md-nav__button md-logo" aria-label="Freqtrade" data-md-component="logo">
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<img src="../images/logo.png" alt="logo">
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</a>
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Freqtrade
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href=".." class="md-nav__link">
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<span class="md-ellipsis">
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Home
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../docker_quickstart/" class="md-nav__link">
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<span class="md-ellipsis">
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Quickstart with Docker
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--nested">
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_3" >
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<label class="md-nav__link" for="__nav_3" id="__nav_3_label" tabindex="0">
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<span class="md-ellipsis">
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Installation
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</span>
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<span class="md-nav__icon md-icon"></span>
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</label>
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<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_3_label" aria-expanded="false">
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<label class="md-nav__title" for="__nav_3">
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<span class="md-nav__icon md-icon"></span>
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Installation
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="../installation/" class="md-nav__link">
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<span class="md-ellipsis">
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Linux/MacOS/Raspberry
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../windows_installation/" class="md-nav__link">
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<span class="md-ellipsis">
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Windows
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</span>
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</a>
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</li>
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</ul>
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</nav>
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</li>
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<li class="md-nav__item">
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<a href="../bot-basics/" class="md-nav__link">
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<span class="md-ellipsis">
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Freqtrade Basics
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../configuration/" class="md-nav__link">
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<span class="md-ellipsis">
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Configuration
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../strategy-customization/" class="md-nav__link">
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<span class="md-ellipsis">
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Strategy Customization
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../plugins/" class="md-nav__link">
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<span class="md-ellipsis">
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Plugins
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../stoploss/" class="md-nav__link">
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<span class="md-ellipsis">
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Stoploss
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../bot-usage/" class="md-nav__link">
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<span class="md-ellipsis">
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Start the bot
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--nested">
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_10" >
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<label class="md-nav__link" for="__nav_10" id="__nav_10_label" tabindex="0">
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<span class="md-ellipsis">
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Control the bot
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</span>
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<span class="md-nav__icon md-icon"></span>
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</label>
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<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_10_label" aria-expanded="false">
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<label class="md-nav__title" for="__nav_10">
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<span class="md-nav__icon md-icon"></span>
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Control the bot
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="../telegram-usage/" class="md-nav__link">
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<span class="md-ellipsis">
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Telegram
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../webhook-config/" class="md-nav__link">
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<span class="md-ellipsis">
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Web Hook
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../rest-api/" class="md-nav__link">
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<span class="md-ellipsis">
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REST API & FreqUI
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</span>
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</a>
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</li>
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</ul>
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</nav>
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</li>
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<li class="md-nav__item">
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<a href="../data-download/" class="md-nav__link">
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<span class="md-ellipsis">
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Data Downloading
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../backtesting/" class="md-nav__link">
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<span class="md-ellipsis">
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Backtesting
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../hyperopt/" class="md-nav__link">
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<span class="md-ellipsis">
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Hyperopt
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../utils/" class="md-nav__link">
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<span class="md-ellipsis">
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Utility Sub-commands
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--nested">
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<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_15" >
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<label class="md-nav__link" for="__nav_15" id="__nav_15_label" tabindex="0">
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<span class="md-ellipsis">
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Data Analysis
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</span>
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<span class="md-nav__icon md-icon"></span>
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</label>
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<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_15_label" aria-expanded="false">
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<label class="md-nav__title" for="__nav_15">
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<span class="md-nav__icon md-icon"></span>
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Data Analysis
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</label>
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<ul class="md-nav__list" data-md-scrollfix>
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<li class="md-nav__item">
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<a href="../data-analysis/" class="md-nav__link">
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<span class="md-ellipsis">
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Jupyter Notebooks
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</span>
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</a>
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</li>
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<h1 id="advanced-hyperopt">Advanced Hyperopt<a class="headerlink" href="#advanced-hyperopt" title="Permanent link">¶</a></h1>
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<p>This page explains some advanced Hyperopt topics that may require higher
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coding skills and Python knowledge than creation of an ordinal hyperoptimization
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class.</p>
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<h2 id="derived-hyperopt-classes">Derived hyperopt classes<a class="headerlink" href="#derived-hyperopt-classes" title="Permanent link">¶</a></h2>
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<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>
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<p>Applying to hyperoptimization, as an example, you may override how dimensions are defined in your optimization hyperspace:</p>
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<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>
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<span class="o">...</span>
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<span class="c1"># Uses default stoploss dimension</span>
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<span class="k">class</span> <span class="nc">MyAwesomeHyperOpt2</span><span class="p">(</span><span class="n">MyAwesomeHyperOpt</span><span class="p">):</span>
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<span class="nd">@staticmethod</span>
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|
<span class="k">def</span> <span class="nf">stoploss_space</span><span class="p">()</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
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<span class="c1"># Override boundaries for stoploss</span>
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<span class="k">return</span> <span class="p">[</span>
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|
<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">'stoploss'</span><span class="p">),</span>
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<span class="p">]</span>
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</code></pre></div>
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<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 ...
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or
|
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$ freqtrade hyperopt --hyperopt MyAwesomeHyperOpt2 --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy ...
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</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">¶</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>
|
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|
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<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
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|
|
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<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">"""</span>
|
|
<span class="sd"> Defines the default loss function for hyperopt</span>
|
|
<span class="sd"> """</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">-></span> <span class="nb">float</span><span class="p">:</span>
|
|
<span class="w"> </span><span class="sd">"""</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"> """</span>
|
|
<span class="n">total_profit</span> <span class="o">=</span> <span class="n">results</span><span class="p">[</span><span class="s1">'profit_ratio'</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">'trade_duration'</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>
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