mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-15 04:33:57 +00:00
1071 lines
28 KiB
HTML
1071 lines
28 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="icon" href="../images/logo.png">
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<meta name="generator" content="mkdocs-1.3.1, mkdocs-material-7.0.6">
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<title>Advanced Hyperopt - Freqtrade</title>
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<link rel="stylesheet" href="../assets/stylesheets/main.2c0c5eaf.min.css">
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<link rel="stylesheet" href="../assets/stylesheets/palette.7fa14f5b.min.css">
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<meta name="theme-color" content="#546d78">
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<link rel="stylesheet" href="https://fonts.googleapis.com/css?family=Roboto:300,400,400i,700%7CRoboto+Mono&display=fallback">
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<style>:root{--md-text-font-family:"Roboto";--md-code-font-family:"Roboto Mono"}</style>
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<link rel="stylesheet" href="../stylesheets/ft.extra.css">
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</head>
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<body dir="ltr" data-md-color-scheme="" 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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<header class="md-header" 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"
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aria-label="Freqtrade">
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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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<div class="md-header__options">
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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" data-md-state="active" 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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<button type="reset" class="md-search__icon md-icon" 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 6.41L17.59 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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</form>
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<div class="md-search__output">
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<div class="md-search__scrollwrap" 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"></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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<div class="md-header__source">
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<a href="https://github.com/freqtrade/freqtrade" title="Go to repository" class="md-source" data-md-component="source">
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<div class="md-source__icon md-icon">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><path d="M439.55 236.05L244 40.45a28.87 28.87 0 0 0-40.81 0l-40.66 40.63 51.52 51.52c27.06-9.14 52.68 16.77 43.39 43.68l49.66 49.66c34.23-11.8 61.18 31 35.47 56.69-26.49 26.49-70.21-2.87-56-37.34L240.22 199v121.85c25.3 12.54 22.26 41.85 9.08 55a34.34 34.34 0 0 1-48.55 0c-17.57-17.6-11.07-46.91 11.25-56v-123c-20.8-8.51-24.6-30.74-18.64-45L142.57 101 8.45 235.14a28.86 28.86 0 0 0 0 40.81l195.61 195.6a28.86 28.86 0 0 0 40.8 0l194.69-194.69a28.86 28.86 0 0 0 0-40.81z"/></svg>
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</div>
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<div class="md-source__repository">
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GitHub
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</div>
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</a>
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</div>
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</nav>
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<!-- Place this tag in your head or just before your close body tag. -->
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<script async defer src="https://buttons.github.io/buttons.js"></script>
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<script src="https://code.jquery.com/jquery-3.4.1.min.js"
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integrity="sha256-CSXorXvZcTkaix6Yvo6HppcZGetbYMGWSFlBw8HfCJo=" crossorigin="anonymous"></script>
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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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<div class="md-nav__source">
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<a href="https://github.com/freqtrade/freqtrade" title="Go to repository" class="md-source" data-md-component="source">
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<div class="md-source__icon md-icon">
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<svg xmlns="http://www.w3.org/2000/svg" viewBox="0 0 448 512"><path d="M439.55 236.05L244 40.45a28.87 28.87 0 0 0-40.81 0l-40.66 40.63 51.52 51.52c27.06-9.14 52.68 16.77 43.39 43.68l49.66 49.66c34.23-11.8 61.18 31 35.47 56.69-26.49 26.49-70.21-2.87-56-37.34L240.22 199v121.85c25.3 12.54 22.26 41.85 9.08 55a34.34 34.34 0 0 1-48.55 0c-17.57-17.6-11.07-46.91 11.25-56v-123c-20.8-8.51-24.6-30.74-18.64-45L142.57 101 8.45 235.14a28.86 28.86 0 0 0 0 40.81l195.61 195.6a28.86 28.86 0 0 0 40.8 0l194.69-194.69a28.86 28.86 0 0 0 0-40.81z"/></svg>
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</div>
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<div class="md-source__repository">
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GitHub
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</div>
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</a>
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</div>
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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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Home
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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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Quickstart with Docker
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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" data-md-toggle="__nav_3" type="checkbox" id="__nav_3" >
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<label class="md-nav__link" for="__nav_3">
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Installation
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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" aria-label="Installation" data-md-level="1">
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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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Linux/MacOS/Raspberry
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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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Windows
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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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Freqtrade Basics
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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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Configuration
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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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Strategy Customization
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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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Plugins
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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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Stoploss
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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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Start the bot
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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" data-md-toggle="__nav_10" type="checkbox" id="__nav_10" >
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<label class="md-nav__link" for="__nav_10">
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Control the bot
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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" aria-label="Control the bot" data-md-level="1">
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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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Telegram
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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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REST API & FreqUI
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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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Web Hook
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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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Data Downloading
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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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Backtesting
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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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Hyperopt
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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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Utility Sub-commands
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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="../plotting/" class="md-nav__link">
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Plotting
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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" data-md-toggle="__nav_16" type="checkbox" id="__nav_16" >
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<label class="md-nav__link" for="__nav_16">
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Data Analysis
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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" aria-label="Data Analysis" data-md-level="1">
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<label class="md-nav__title" for="__nav_16">
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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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Jupyter Notebooks
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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_analysis_example/" class="md-nav__link">
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Strategy analysis
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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="../exchanges/" class="md-nav__link">
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Exchange-specific Notes
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</a>
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</li>
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<li class="md-nav__item md-nav__item--active md-nav__item--nested">
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<input class="md-nav__toggle md-toggle" data-md-toggle="__nav_18" type="checkbox" id="__nav_18" checked>
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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
|
|
coding skills and Python knowledge than creation of an ordinal hyperoptimization
|
|
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>
|
|
<p>Custom hyperopt 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>
|
|
<p>```python
|
|
class MyAwesomeHyperOpt(IHyperOpt):
|
|
...
|
|
# Uses default stoploss dimension</p>
|
|
<p>class MyAwesomeHyperOpt2(MyAwesomeHyperOpt):
|
|
@staticmethod
|
|
def stoploss_space() -> List[Dimension]:
|
|
# Override boundaries for stoploss
|
|
return [
|
|
Real(-0.33, -0.01, name='stoploss'),
|
|
]
|
|
```</p>
|
|
<p>and then quickly switch between hyperopt classes, running optimization process with hyperopt class you need in each particular case:</p>
|
|
<p><code>$ freqtrade hyperopt --hyperopt MyAwesomeHyperOpt --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy ...
|
|
or
|
|
$ freqtrade hyperopt --hyperopt MyAwesomeHyperOpt2 --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy ...</code></p>
|
|
<h2 id="sharing-methods-with-your-strategy">Sharing methods with your strategy<a class="headerlink" href="#sharing-methods-with-your-strategy" title="Permanent link">¶</a></h2>
|
|
<p>Hyperopt classes provide access to the Strategy via the <code>strategy</code> class attribute.
|
|
This can be a great way to reduce code duplication if used correctly, but will also complicate usage for inexperienced users.</p>
|
|
<p>``` python
|
|
from pandas import DataFrame
|
|
from freqtrade.strategy.interface import IStrategy
|
|
import freqtrade.vendor.qtpylib.indicators as qtpylib</p>
|
|
<p>class MyAwesomeStrategy(IStrategy):</p>
|
|
<div class="codehilite"><pre><span></span><code>buy_params = {
|
|
'rsi-value': 30,
|
|
'adx-value': 35,
|
|
}
|
|
|
|
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
|
return self.buy_strategy_generator(self.buy_params, dataframe, metadata)
|
|
|
|
@staticmethod
|
|
def buy_strategy_generator(params, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
|
dataframe.loc[
|
|
(
|
|
qtpylib.crossed_above(dataframe['rsi'], params['rsi-value']) &
|
|
dataframe['adx'] > params['adx-value']) &
|
|
dataframe['volume'] > 0
|
|
)
|
|
, 'buy'] = 1
|
|
return dataframe
|
|
</code></pre></div>
|
|
|
|
<p>class MyAwesomeHyperOpt(IHyperOpt):
|
|
...
|
|
@staticmethod
|
|
def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
|
|
"""
|
|
Define the buy strategy parameters to be used by Hyperopt.
|
|
"""
|
|
def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
|
|
# Call strategy's buy strategy generator
|
|
return self.StrategyClass.buy_strategy_generator(params, dataframe, metadata)</p>
|
|
<div class="codehilite"><pre><span></span><code> return populate_buy_trend
|
|
</code></pre></div>
|
|
|
|
<p>```</p>
|
|
<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>
|
|
<p>``` python
|
|
from datetime import datetime
|
|
from typing import Dict</p>
|
|
<p>from pandas import DataFrame</p>
|
|
<p>from freqtrade.optimize.hyperopt import IHyperOptLoss</p>
|
|
<p>TARGET_TRADES = 600
|
|
EXPECTED_MAX_PROFIT = 3.0
|
|
MAX_ACCEPTED_TRADE_DURATION = 300</p>
|
|
<p>class SuperDuperHyperOptLoss(IHyperOptLoss):
|
|
"""
|
|
Defines the default loss function for hyperopt
|
|
"""</p>
|
|
<div class="codehilite"><pre><span></span><code>@staticmethod
|
|
def hyperopt_loss_function(results: DataFrame, trade_count: int,
|
|
min_date: datetime, max_date: datetime,
|
|
config: Dict, processed: Dict[str, DataFrame],
|
|
*args, **kwargs) -> float:
|
|
"""
|
|
Objective function, returns smaller number for better results
|
|
This is the legacy algorithm (used until now in freqtrade).
|
|
Weights are distributed as follows:
|
|
* 0.4 to trade duration
|
|
* 0.25: Avoiding trade loss
|
|
* 1.0 to total profit, compared to the expected value (`EXPECTED_MAX_PROFIT`) defined above
|
|
"""
|
|
total_profit = results['profit_ratio'].sum()
|
|
trade_duration = results['trade_duration'].mean()
|
|
|
|
trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8)
|
|
profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT)
|
|
duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1)
|
|
result = trade_loss + profit_loss + duration_loss
|
|
return result
|
|
</code></pre></div>
|
|
|
|
<p>```</p>
|
|
<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>
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