mirror of
https://github.com/freqtrade/freqtrade.git
synced 2024-11-16 05:03:55 +00:00
228 lines
11 KiB
Markdown
228 lines
11 KiB
Markdown
# Advanced Hyperopt
|
|
|
|
This page explains some advanced Hyperopt topics that may require higher
|
|
coding skills and Python knowledge than creation of an ordinal hyperoptimization
|
|
class.
|
|
|
|
## Creating and using a custom loss function
|
|
|
|
To use a custom loss function class, make sure that the function `hyperopt_loss_function` is defined in your custom hyperopt loss class.
|
|
For the sample below, you then need to add the command line parameter `--hyperopt-loss SuperDuperHyperOptLoss` to your hyperopt call so this function is being used.
|
|
|
|
A sample of this can be found below, which is identical to the Default Hyperopt loss implementation. A full sample can be found in [userdata/hyperopts](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_loss.py).
|
|
|
|
``` python
|
|
from datetime import datetime
|
|
from typing import Any, Dict
|
|
|
|
from pandas import DataFrame
|
|
|
|
from freqtrade.constants import Config
|
|
from freqtrade.optimize.hyperopt import IHyperOptLoss
|
|
|
|
TARGET_TRADES = 600
|
|
EXPECTED_MAX_PROFIT = 3.0
|
|
MAX_ACCEPTED_TRADE_DURATION = 300
|
|
|
|
class SuperDuperHyperOptLoss(IHyperOptLoss):
|
|
"""
|
|
Defines the default loss function for hyperopt
|
|
"""
|
|
|
|
@staticmethod
|
|
def hyperopt_loss_function(results: DataFrame, trade_count: int,
|
|
min_date: datetime, max_date: datetime,
|
|
config: Config, processed: Dict[str, DataFrame],
|
|
backtest_stats: Dict[str, Any],
|
|
*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
|
|
```
|
|
|
|
Currently, the arguments are:
|
|
|
|
* `results`: DataFrame containing the resulting trades.
|
|
The following columns are available in results (corresponds to the output-file of backtesting when used with `--export trades`):
|
|
`pair, profit_ratio, profit_abs, open_date, open_rate, fee_open, close_date, close_rate, fee_close, amount, trade_duration, is_open, exit_reason, stake_amount, min_rate, max_rate, stop_loss_ratio, stop_loss_abs`
|
|
* `trade_count`: Amount of trades (identical to `len(results)`)
|
|
* `min_date`: Start date of the timerange used
|
|
* `min_date`: End date of the timerange used
|
|
* `config`: Config object used (Note: Not all strategy-related parameters will be updated here if they are part of a hyperopt space).
|
|
* `processed`: Dict of Dataframes with the pair as keys containing the data used for backtesting.
|
|
* `backtest_stats`: Backtesting statistics using the same format as the backtesting file "strategy" substructure. Available fields can be seen in `generate_strategy_stats()` in `optimize_reports.py`.
|
|
|
|
This function needs to return a floating point number (`float`). Smaller numbers will be interpreted as better results. The parameters and balancing for this is up to you.
|
|
|
|
!!! Note
|
|
This function is called once per epoch - so please make sure to have this as optimized as possible to not slow hyperopt down unnecessarily.
|
|
|
|
!!! Note "`*args` and `**kwargs`"
|
|
Please keep the arguments `*args` and `**kwargs` in the interface to allow us to extend this interface in the future.
|
|
|
|
## Overriding pre-defined spaces
|
|
|
|
To override a pre-defined space (`roi_space`, `generate_roi_table`, `stoploss_space`, `trailing_space`, `max_open_trades_space`), define a nested class called Hyperopt and define the required spaces as follows:
|
|
|
|
```python
|
|
from freqtrade.optimize.space import Categorical, Dimension, Integer, SKDecimal
|
|
|
|
class MyAwesomeStrategy(IStrategy):
|
|
class HyperOpt:
|
|
# Define a custom stoploss space.
|
|
def stoploss_space():
|
|
return [SKDecimal(-0.05, -0.01, decimals=3, name='stoploss')]
|
|
|
|
# Define custom ROI space
|
|
def roi_space() -> List[Dimension]:
|
|
return [
|
|
Integer(10, 120, name='roi_t1'),
|
|
Integer(10, 60, name='roi_t2'),
|
|
Integer(10, 40, name='roi_t3'),
|
|
SKDecimal(0.01, 0.04, decimals=3, name='roi_p1'),
|
|
SKDecimal(0.01, 0.07, decimals=3, name='roi_p2'),
|
|
SKDecimal(0.01, 0.20, decimals=3, name='roi_p3'),
|
|
]
|
|
|
|
def generate_roi_table(params: Dict) -> Dict[int, float]:
|
|
|
|
roi_table = {}
|
|
roi_table[0] = params['roi_p1'] + params['roi_p2'] + params['roi_p3']
|
|
roi_table[params['roi_t3']] = params['roi_p1'] + params['roi_p2']
|
|
roi_table[params['roi_t3'] + params['roi_t2']] = params['roi_p1']
|
|
roi_table[params['roi_t3'] + params['roi_t2'] + params['roi_t1']] = 0
|
|
|
|
return roi_table
|
|
|
|
def trailing_space() -> List[Dimension]:
|
|
# All parameters here are mandatory, you can only modify their type or the range.
|
|
return [
|
|
# Fixed to true, if optimizing trailing_stop we assume to use trailing stop at all times.
|
|
Categorical([True], name='trailing_stop'),
|
|
|
|
SKDecimal(0.01, 0.35, decimals=3, name='trailing_stop_positive'),
|
|
# 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive',
|
|
# so this intermediate parameter is used as the value of the difference between
|
|
# them. The value of the 'trailing_stop_positive_offset' is constructed in the
|
|
# generate_trailing_params() method.
|
|
# This is similar to the hyperspace dimensions used for constructing the ROI tables.
|
|
SKDecimal(0.001, 0.1, decimals=3, name='trailing_stop_positive_offset_p1'),
|
|
|
|
Categorical([True, False], name='trailing_only_offset_is_reached'),
|
|
]
|
|
|
|
# Define a custom max_open_trades space
|
|
def max_open_trades_space(self) -> List[Dimension]:
|
|
return [
|
|
Integer(-1, 10, name='max_open_trades'),
|
|
]
|
|
```
|
|
|
|
!!! Note
|
|
All overrides are optional and can be mixed/matched as necessary.
|
|
|
|
### Dynamic parameters
|
|
|
|
Parameters can also be defined dynamically, but must be available to the instance once the [`bot_start()` callback](strategy-callbacks.md#bot-start) has been called.
|
|
|
|
``` python
|
|
|
|
class MyAwesomeStrategy(IStrategy):
|
|
|
|
def bot_start(self, **kwargs) -> None:
|
|
self.buy_adx = IntParameter(20, 30, default=30, optimize=True)
|
|
|
|
# ...
|
|
```
|
|
|
|
!!! Warning
|
|
Parameters created this way will not show up in the `list-strategies` parameter count.
|
|
|
|
### Overriding Base estimator
|
|
|
|
You can define your own estimator for Hyperopt by implementing `generate_estimator()` in the Hyperopt subclass.
|
|
|
|
```python
|
|
class MyAwesomeStrategy(IStrategy):
|
|
class HyperOpt:
|
|
def generate_estimator(dimensions: List['Dimension'], **kwargs):
|
|
return "RF"
|
|
|
|
```
|
|
|
|
Possible values are either one of "GP", "RF", "ET", "GBRT" (Details can be found in the [scikit-optimize documentation](https://scikit-optimize.github.io/)), or "an instance of a class that inherits from `RegressorMixin` (from sklearn) and where the `predict` method has an optional `return_std` argument, which returns `std(Y | x)` along with `E[Y | x]`".
|
|
|
|
Some research will be necessary to find additional Regressors.
|
|
|
|
Example for `ExtraTreesRegressor` ("ET") with additional parameters:
|
|
|
|
```python
|
|
class MyAwesomeStrategy(IStrategy):
|
|
class HyperOpt:
|
|
def generate_estimator(dimensions: List['Dimension'], **kwargs):
|
|
from skopt.learning import ExtraTreesRegressor
|
|
# Corresponds to "ET" - but allows additional parameters.
|
|
return ExtraTreesRegressor(n_estimators=100)
|
|
|
|
```
|
|
|
|
The `dimensions` parameter is the list of `skopt.space.Dimension` objects corresponding to the parameters to be optimized. It can be used to create isotropic kernels for the `skopt.learning.GaussianProcessRegressor` estimator. Here's an example:
|
|
|
|
```python
|
|
class MyAwesomeStrategy(IStrategy):
|
|
class HyperOpt:
|
|
def generate_estimator(dimensions: List['Dimension'], **kwargs):
|
|
from skopt.utils import cook_estimator
|
|
from skopt.learning.gaussian_process.kernels import (Matern, ConstantKernel)
|
|
kernel_bounds = (0.0001, 10000)
|
|
kernel = (
|
|
ConstantKernel(1.0, kernel_bounds) *
|
|
Matern(length_scale=np.ones(len(dimensions)), length_scale_bounds=[kernel_bounds for d in dimensions], nu=2.5)
|
|
)
|
|
kernel += (
|
|
ConstantKernel(1.0, kernel_bounds) *
|
|
Matern(length_scale=np.ones(len(dimensions)), length_scale_bounds=[kernel_bounds for d in dimensions], nu=1.5)
|
|
)
|
|
|
|
return cook_estimator("GP", space=dimensions, kernel=kernel, n_restarts_optimizer=2)
|
|
```
|
|
|
|
!!! Note
|
|
While custom estimators can be provided, it's up to you as User to do research on possible parameters and analyze / understand which ones should be used.
|
|
If you're unsure about this, best use one of the Defaults (`"ET"` has proven to be the most versatile) without further parameters.
|
|
|
|
## Space options
|
|
|
|
For the additional spaces, scikit-optimize (in combination with Freqtrade) provides the following space types:
|
|
|
|
* `Categorical` - Pick from a list of categories (e.g. `Categorical(['a', 'b', 'c'], name="cat")`)
|
|
* `Integer` - Pick from a range of whole numbers (e.g. `Integer(1, 10, name='rsi')`)
|
|
* `SKDecimal` - Pick from a range of decimal numbers with limited precision (e.g. `SKDecimal(0.1, 0.5, decimals=3, name='adx')`). *Available only with freqtrade*.
|
|
* `Real` - Pick from a range of decimal numbers with full precision (e.g. `Real(0.1, 0.5, name='adx')`
|
|
|
|
You can import all of these from `freqtrade.optimize.space`, although `Categorical`, `Integer` and `Real` are only aliases for their corresponding scikit-optimize Spaces. `SKDecimal` is provided by freqtrade for faster optimizations.
|
|
|
|
``` python
|
|
from freqtrade.optimize.space import Categorical, Dimension, Integer, SKDecimal, Real # noqa
|
|
```
|
|
|
|
!!! Hint "SKDecimal vs. Real"
|
|
We recommend to use `SKDecimal` instead of the `Real` space in almost all cases. While the Real space provides full accuracy (up to ~16 decimal places) - this precision is rarely needed, and leads to unnecessary long hyperopt times.
|
|
|
|
Assuming the definition of a rather small space (`SKDecimal(0.10, 0.15, decimals=2, name='xxx')`) - SKDecimal will have 5 possibilities (`[0.10, 0.11, 0.12, 0.13, 0.14, 0.15]`).
|
|
|
|
A corresponding real space `Real(0.10, 0.15 name='xxx')` on the other hand has an almost unlimited number of possibilities (`[0.10, 0.010000000001, 0.010000000002, ... 0.014999999999, 0.01500000000]`).
|