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freqtrade_origin/tests/optimize/test_hyperopt.py

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# pragma pylint: disable=missing-docstring,W0212,C0103
from datetime import datetime, timedelta
from functools import wraps
from pathlib import Path
from unittest.mock import ANY, MagicMock, PropertyMock
import pandas as pd
import pytest
from arrow import Arrow
from filelock import Timeout
from skopt.space import Integer
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_hyperopt
from freqtrade.data.history import load_data
from freqtrade.enums import ExitType, RunMode
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.hyperopt import Hyperopt
from freqtrade.optimize.hyperopt_auto import HyperOptAuto
from freqtrade.optimize.hyperopt_tools import HyperoptTools
from freqtrade.optimize.optimize_reports import generate_strategy_stats
from freqtrade.optimize.space import SKDecimal
from freqtrade.strategy import IntParameter
from tests.conftest import (CURRENT_TEST_STRATEGY, EXMS, get_args, get_markets, log_has, log_has_re,
patch_exchange, patched_configuration_load_config_file)
def generate_result_metrics():
return {
'trade_count': 1,
'total_trades': 1,
'avg_profit': 0.1,
'total_profit': 0.001,
'profit': 0.01,
'duration': 20.0,
'wins': 1,
'draws': 0,
'losses': 0,
'profit_mean': 0.01,
'profit_total_abs': 0.001,
'profit_total': 0.01,
'holding_avg': timedelta(minutes=20),
'max_drawdown': 0.001,
'max_drawdown_abs': 0.001,
'loss': 0.001,
'is_initial_point': 0.001,
'is_random': False,
'is_best': 1,
}
def test_setup_hyperopt_configuration_without_arguments(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', 'HyperoptableStrategy',
]
config = setup_optimize_configuration(get_args(args), RunMode.HYPEROPT)
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert log_has('Using data directory: {} ...'.format(config['datadir']), caplog)
assert 'timeframe' in config
assert 'position_stacking' not in config
assert not log_has('Parameter --enable-position-stacking detected ...', caplog)
assert 'timerange' not in config
assert 'runmode' in config
assert config['runmode'] == RunMode.HYPEROPT
def test_setup_hyperopt_configuration_with_arguments(mocker, default_conf, caplog) -> None:
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch(
'freqtrade.configuration.configuration.create_datadir',
lambda c, x: x
)
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', 'HyperoptableStrategy',
'--datadir', '/foo/bar',
'--timeframe', '1m',
'--timerange', ':100',
'--enable-position-stacking',
'--disable-max-market-positions',
'--epochs', '1000',
'--spaces', 'default',
'--print-all'
]
config = setup_optimize_configuration(get_args(args), RunMode.HYPEROPT)
assert 'max_open_trades' in config
assert 'stake_currency' in config
assert 'stake_amount' in config
assert 'exchange' in config
assert 'pair_whitelist' in config['exchange']
assert 'datadir' in config
assert config['runmode'] == RunMode.HYPEROPT
assert log_has('Using data directory: {} ...'.format(config['datadir']), caplog)
assert 'timeframe' in config
assert log_has('Parameter -i/--timeframe detected ... Using timeframe: 1m ...',
caplog)
assert 'position_stacking' in config
assert log_has('Parameter --enable-position-stacking detected ...', caplog)
assert 'use_max_market_positions' in config
assert log_has('Parameter --disable-max-market-positions detected ...', caplog)
assert log_has('max_open_trades set to unlimited ...', caplog)
assert 'timerange' in config
assert log_has('Parameter --timerange detected: {} ...'.format(config['timerange']), caplog)
assert 'epochs' in config
assert log_has('Parameter --epochs detected ... Will run Hyperopt with for 1000 epochs ...',
caplog)
assert 'spaces' in config
assert log_has('Parameter -s/--spaces detected: {}'.format(config['spaces']), caplog)
assert 'print_all' in config
assert log_has('Parameter --print-all detected ...', caplog)
def test_setup_hyperopt_configuration_stake_amount(mocker, default_conf) -> None:
patched_configuration_load_config_file(mocker, default_conf)
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', 'HyperoptableStrategy',
'--stake-amount', '1',
'--starting-balance', '2'
]
conf = setup_optimize_configuration(get_args(args), RunMode.HYPEROPT)
assert isinstance(conf, dict)
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', CURRENT_TEST_STRATEGY,
'--stake-amount', '1',
'--starting-balance', '0.5'
]
with pytest.raises(OperationalException, match=r"Starting balance .* smaller .*"):
setup_optimize_configuration(get_args(args), RunMode.HYPEROPT)
def test_start_not_installed(mocker, default_conf, import_fails) -> None:
start_mock = MagicMock()
patched_configuration_load_config_file(mocker, default_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
patch_exchange(mocker)
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', 'HyperoptableStrategy',
'--epochs', '5',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
]
pargs = get_args(args)
with pytest.raises(OperationalException, match=r"Please ensure that the hyperopt dependencies"):
start_hyperopt(pargs)
def test_start_no_hyperopt_allowed(mocker, hyperopt_conf, caplog) -> None:
start_mock = MagicMock()
patched_configuration_load_config_file(mocker, hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.start', start_mock)
patch_exchange(mocker)
args = [
'hyperopt',
'--config', 'config.json',
'--hyperopt', 'HyperoptTestSepFile',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
pargs = get_args(args)
with pytest.raises(OperationalException, match=r"Using separate Hyperopt files has been.*"):
start_hyperopt(pargs)
def test_start_no_data(mocker, hyperopt_conf, tmpdir) -> None:
hyperopt_conf['user_data_dir'] = Path(tmpdir)
patched_configuration_load_config_file(mocker, hyperopt_conf)
mocker.patch('freqtrade.data.history.load_pair_history', MagicMock(return_value=pd.DataFrame))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
patch_exchange(mocker)
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', 'HyperoptableStrategy',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
pargs = get_args(args)
with pytest.raises(OperationalException, match='No data found. Terminating.'):
start_hyperopt(pargs)
# Cleanup since that failed hyperopt start leaves a lockfile.
try:
Path(Hyperopt.get_lock_filename(hyperopt_conf)).unlink()
except Exception:
pass
def test_start_filelock(mocker, hyperopt_conf, caplog) -> None:
hyperopt_mock = MagicMock(side_effect=Timeout(Hyperopt.get_lock_filename(hyperopt_conf)))
patched_configuration_load_config_file(mocker, hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.__init__', hyperopt_mock)
patch_exchange(mocker)
args = [
'hyperopt',
'--config', 'config.json',
'--strategy', 'HyperoptableStrategy',
'--hyperopt-loss', 'SharpeHyperOptLossDaily',
'--epochs', '5'
]
pargs = get_args(args)
start_hyperopt(pargs)
assert log_has("Another running instance of freqtrade Hyperopt detected.", caplog)
def test_log_results_if_loss_improves(hyperopt, capsys) -> None:
hyperopt.current_best_loss = 2
hyperopt.total_epochs = 2
hyperopt.print_results(
{
'loss': 1,
'results_metrics': generate_result_metrics(),
'total_profit': 0,
'current_epoch': 2, # This starts from 1 (in a human-friendly manner)
'is_initial_point': False,
'is_random': False,
'is_best': True
}
)
out, err = capsys.readouterr()
assert all(x in out
for x in ["Best", "2/2", " 1", "0.10%", "0.00100000 BTC (1.00%)", "00:20:00"])
def test_no_log_if_loss_does_not_improve(hyperopt, caplog) -> None:
hyperopt.current_best_loss = 2
hyperopt.print_results(
{
'is_best': False,
'loss': 3,
'current_epoch': 1,
}
)
assert caplog.record_tuples == []
def test_roi_table_generation(hyperopt) -> None:
params = {
'roi_t1': 5,
'roi_t2': 10,
'roi_t3': 15,
'roi_p1': 1,
'roi_p2': 2,
'roi_p3': 3,
}
assert hyperopt.custom_hyperopt.generate_roi_table(params) == {0: 6, 15: 3, 25: 1, 30: 0}
def test_params_no_optimize_details(hyperopt) -> None:
hyperopt.config['spaces'] = ['buy']
res = hyperopt._get_no_optimize_details()
assert isinstance(res, dict)
assert "trailing" in res
assert res["trailing"]['trailing_stop'] is False
assert "roi" in res
assert res['roi']['0'] == 0.04
assert "stoploss" in res
assert res['stoploss']['stoploss'] == -0.1
assert "max_open_trades" in res
assert res['max_open_trades']['max_open_trades'] == 1
def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result',
'params': {'buy': {}, 'sell': {}, 'roi': {}, 'stoploss': 0.0},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
# Co-test loading timeframe from strategy
del hyperopt_conf['timeframe']
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
# Should be called for historical candle data
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
def test_hyperopt_format_results(hyperopt):
bt_result = {
'results': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC", "UNITTEST/BTC"],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime],
"close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"exit_reason": [ExitType.ROI, ExitType.STOP_LOSS,
ExitType.ROI, ExitType.FORCE_EXIT]
}),
'config': hyperopt.config,
'locks': [],
'final_balance': 0.02,
'rejected_signals': 2,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'backtest_start_time': 1619718665,
'backtest_end_time': 1619718665,
}
results_metrics = generate_strategy_stats(['XRP/BTC'], '', bt_result,
Arrow(2017, 11, 14, 19, 32, 00),
Arrow(2017, 12, 14, 19, 32, 00), market_change=0)
results_explanation = HyperoptTools.format_results_explanation_string(results_metrics, 'BTC')
total_profit = results_metrics['profit_total_abs']
results = {
'loss': 0.0,
'params_dict': None,
'params_details': None,
'results_metrics': results_metrics,
'results_explanation': results_explanation,
'total_profit': total_profit,
'current_epoch': 1,
'is_initial_point': True,
}
result = HyperoptTools._format_explanation_string(results, 1)
assert ' 0.71%' in result
assert 'Total profit 0.00003100 BTC' in result
assert '0:50:00 min' in result
def test_populate_indicators(hyperopt, testdatadir) -> None:
data = load_data(testdatadir, '1m', ['UNITTEST/BTC'], fill_up_missing=True)
dataframes = hyperopt.backtesting.strategy.advise_all_indicators(data)
dataframe = dataframes['UNITTEST/BTC']
# Check if some indicators are generated. We will not test all of them
assert 'adx' in dataframe
assert 'macd' in dataframe
assert 'rsi' in dataframe
def test_generate_optimizer(mocker, hyperopt_conf) -> None:
hyperopt_conf.update({'spaces': 'all',
'hyperopt_min_trades': 1,
})
backtest_result = {
'results': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC",
"UNITTEST/BTC", "UNITTEST/BTC"],
"profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780],
"profit_abs": [0.000003, 0.000011, 0.000014, 0.000003],
"open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime,
Arrow(2017, 11, 14, 21, 36, 00).datetime,
Arrow(2017, 11, 14, 22, 12, 00).datetime,
Arrow(2017, 11, 14, 22, 44, 00).datetime],
"close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime,
Arrow(2017, 11, 14, 22, 10, 00).datetime,
Arrow(2017, 11, 14, 22, 43, 00).datetime,
Arrow(2017, 11, 14, 22, 58, 00).datetime],
"open_rate": [0.002543, 0.003003, 0.003089, 0.003214],
"close_rate": [0.002546, 0.003014, 0.003103, 0.003217],
"trade_duration": [123, 34, 31, 14],
"is_open": [False, False, False, True],
"is_short": [False, False, False, False],
"stake_amount": [0.01, 0.01, 0.01, 0.01],
"exit_reason": [ExitType.ROI, ExitType.STOP_LOSS,
ExitType.ROI, ExitType.FORCE_EXIT]
}),
'config': hyperopt_conf,
'locks': [],
'rejected_signals': 20,
'timedout_entry_orders': 0,
'timedout_exit_orders': 0,
'canceled_trade_entries': 0,
'canceled_entry_orders': 0,
'replaced_entry_orders': 0,
'final_balance': 1000,
}
mocker.patch('freqtrade.optimize.hyperopt.Backtesting.backtest', return_value=backtest_result)
mocker.patch('freqtrade.optimize.hyperopt.get_timerange',
return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13)))
patch_exchange(mocker)
mocker.patch.object(Path, 'open')
mocker.patch('freqtrade.configuration.config_validation.validate_config_schema')
mocker.patch('freqtrade.optimize.hyperopt.load', return_value={'XRP/BTC': None})
optimizer_param = {
'buy_plusdi': 0.02,
'buy_rsi': 35,
'sell_minusdi': 0.02,
'sell_rsi': 75,
'protection_cooldown_lookback': 20,
'protection_enabled': True,
'roi_t1': 60.0,
'roi_t2': 30.0,
'roi_t3': 20.0,
'roi_p1': 0.01,
'roi_p2': 0.01,
'roi_p3': 0.1,
'stoploss': -0.4,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset_p1': 0.05,
'trailing_only_offset_is_reached': False,
'max_open_trades': 3,
}
response_expected = {
'loss': 1.9147239021396234,
'results_explanation': (' 4 trades. 4/0/0 Wins/Draws/Losses. '
'Avg profit 0.77%. Median profit 0.71%. Total profit '
'0.00003100 BTC ( 0.00%). '
'Avg duration 0:50:00 min.'
),
'params_details': {'buy': {'buy_plusdi': 0.02,
'buy_rsi': 35,
},
'roi': {"0": 0.12000000000000001,
"20.0": 0.02,
"50.0": 0.01,
"110.0": 0},
'protection': {'protection_cooldown_lookback': 20,
'protection_enabled': True,
},
'sell': {'sell_minusdi': 0.02,
'sell_rsi': 75,
},
'stoploss': {'stoploss': -0.4},
'trailing': {'trailing_only_offset_is_reached': False,
'trailing_stop': True,
'trailing_stop_positive': 0.02,
'trailing_stop_positive_offset': 0.07},
'max_open_trades': {'max_open_trades': 3}
},
'params_dict': optimizer_param,
'params_not_optimized': {'buy': {}, 'protection': {}, 'sell': {}},
'results_metrics': ANY,
'total_profit': 3.1e-08
}
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.min_date = Arrow(2017, 12, 10)
hyperopt.max_date = Arrow(2017, 12, 13)
hyperopt.init_spaces()
generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values()))
assert generate_optimizer_value == response_expected
def test_clean_hyperopt(mocker, hyperopt_conf, caplog):
patch_exchange(mocker)
mocker.patch("freqtrade.strategy.hyper.HyperStrategyMixin.load_params_from_file",
MagicMock(return_value={}))
mocker.patch("freqtrade.optimize.hyperopt.Path.is_file", MagicMock(return_value=True))
unlinkmock = mocker.patch("freqtrade.optimize.hyperopt.Path.unlink", MagicMock())
h = Hyperopt(hyperopt_conf)
assert unlinkmock.call_count == 2
assert log_has(f"Removing `{h.data_pickle_file}`.", caplog)
def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'params_details': {
'buy': {'mfi-value': None},
'sell': {'sell-mfi-value': None},
'roi': {}, 'stoploss': {'stoploss': None},
'trailing': {'trailing_stop': None},
'max_open_trades': {'max_open_trades': None}
},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': 'all',
'hyperopt_jobs': 1,
'print_json': True,
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
result_str = (
'{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi"'
':{},"stoploss":null,"trailing_stop":null,"max_open_trades":null}'
)
assert result_str in out # noqa: E501
# Should be called for historical candle data
assert dumper.call_count == 1
assert dumper2.call_count == 1
def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'params_details': {
'buy': {'mfi-value': None},
'sell': {'sell-mfi-value': None},
'roi': {}, 'stoploss': {'stoploss': None}
},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
hyperopt_conf.update({'print_json': True})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert '{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi":{},"stoploss":null}' in out # noqa: E501
# Should be called for historical candle data
assert dumper.call_count == 1
assert dumper2.call_count == 1
def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'params_details': {'roi': {}, 'stoploss': {'stoploss': None}},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': 'roi stoploss',
'hyperopt_jobs': 1,
'print_json': True,
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert '{"minimal_roi":{},"stoploss":null}' in out
assert dumper.call_count == 1
assert dumper2.call_count == 1
def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {'stoploss': 0.0},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': 'roi stoploss'})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
def test_simplified_interface_all_failed(mocker, hyperopt_conf, caplog) -> None:
mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': 'all', })
mocker.patch('freqtrade.optimize.hyperopt_auto.HyperOptAuto._generate_indicator_space',
return_value=[])
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
with pytest.raises(OperationalException, match=r"The 'protection' space is included into *"):
hyperopt.init_spaces()
hyperopt.config['hyperopt_ignore_missing_space'] = True
caplog.clear()
hyperopt.init_spaces()
assert log_has_re(r"The 'protection' space is included into *", caplog)
assert hyperopt.protection_space == []
def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': 'buy'})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
mocker.patch('freqtrade.optimize.hyperopt.calculate_market_change', return_value=1.5)
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
parallel = mocker.patch(
'freqtrade.optimize.hyperopt.Hyperopt.run_optimizer_parallel',
MagicMock(return_value=[{
'loss': 1, 'results_explanation': 'foo result', 'params': {},
'results_metrics': generate_result_metrics(),
}])
)
patch_exchange(mocker)
hyperopt_conf.update({'spaces': 'sell', })
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
hyperopt.start()
parallel.assert_called_once()
out, err = capsys.readouterr()
assert 'Best result:\n\n* 1/1: foo result Objective: 1.00000\n' in out
assert dumper.called
assert dumper.call_count == 1
assert dumper2.call_count == 1
assert hasattr(hyperopt.backtesting.strategy, "advise_exit")
assert hasattr(hyperopt.backtesting.strategy, "advise_entry")
assert hyperopt.backtesting.strategy.max_open_trades == hyperopt_conf['max_open_trades']
assert hasattr(hyperopt.backtesting, "_position_stacking")
@pytest.mark.parametrize("space", [
('buy'),
('sell'),
('protection'),
])
def test_simplified_interface_failed(mocker, hyperopt_conf, space) -> None:
mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
MagicMock(return_value=(MagicMock(), None)))
mocker.patch(
'freqtrade.optimize.hyperopt.get_timerange',
MagicMock(return_value=(datetime(2017, 12, 10), datetime(2017, 12, 13)))
)
mocker.patch('freqtrade.optimize.hyperopt_auto.HyperOptAuto._generate_indicator_space',
return_value=[])
patch_exchange(mocker)
hyperopt_conf.update({'spaces': space})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.strategy.advise_all_indicators = MagicMock()
hyperopt.custom_hyperopt.generate_roi_table = MagicMock(return_value={})
with pytest.raises(OperationalException, match=f"The '{space}' space is included into *"):
hyperopt.start()
def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None:
patch_exchange(mocker)
mocker.patch(f'{EXMS}.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
# No hyperopt needed
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['all'],
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.exchange.get_max_leverage = MagicMock(return_value=1.0)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.bot_loop_started is True
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
assert hyperopt.backtesting.strategy.sell_rsi.value == 74
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30
assert hyperopt.backtesting.strategy.max_open_trades == 1
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)
# Range from 0 - 50 (inclusive)
assert len(list(buy_rsi_range)) == 51
hyperopt.start()
# All values should've changed.
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value != 30
assert hyperopt.backtesting.strategy.buy_rsi.value != 35
assert hyperopt.backtesting.strategy.sell_rsi.value != 74
assert hyperopt.backtesting.strategy.max_open_trades != 1
hyperopt.custom_hyperopt.generate_estimator = lambda *args, **kwargs: 'ET1'
with pytest.raises(OperationalException, match="Estimator ET1 not supported."):
hyperopt.get_optimizer([], 2)
def test_in_strategy_auto_hyperopt_with_parallel(mocker, hyperopt_conf, tmpdir, fee) -> None:
mocker.patch(f'{EXMS}.validate_config', MagicMock())
mocker.patch(f'{EXMS}.get_fee', fee)
mocker.patch(f'{EXMS}._load_markets')
mocker.patch(f'{EXMS}.markets',
PropertyMock(return_value=get_markets()))
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
# No hyperopt needed
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['all'],
# Enforce parallelity
'epochs': 2,
'hyperopt_jobs': 2,
'fee': fee.return_value,
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.exchange.get_max_leverage = lambda *x, **xx: 1.0
hyperopt.backtesting.exchange.get_min_pair_stake_amount = lambda *x, **xx: 0.00001
hyperopt.backtesting.exchange.get_max_pair_stake_amount = lambda *x, **xx: 100.0
hyperopt.backtesting.exchange._markets = get_markets()
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.bot_loop_started is True
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
assert hyperopt.backtesting.strategy.sell_rsi.value == 74
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)
# Range from 0 - 50 (inclusive)
assert len(list(buy_rsi_range)) == 51
hyperopt.start()
def test_in_strategy_auto_hyperopt_per_epoch(mocker, hyperopt_conf, tmpdir, fee) -> None:
patch_exchange(mocker)
mocker.patch(f'{EXMS}.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['all'],
'epochs': 3,
'analyze_per_epoch': True,
})
go = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt.generate_optimizer',
return_value={
'loss': 0.05,
'results_explanation': 'foo result', 'params': {},
'results_metrics': generate_result_metrics(),
})
hyperopt = Hyperopt(hyperopt_conf)
hyperopt.backtesting.exchange.get_max_leverage = MagicMock(return_value=1.0)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter)
assert hyperopt.backtesting.strategy.bot_loop_started is True
assert hyperopt.backtesting.strategy.buy_rsi.in_space is True
assert hyperopt.backtesting.strategy.buy_rsi.value == 35
assert hyperopt.backtesting.strategy.sell_rsi.value == 74
assert hyperopt.backtesting.strategy.protection_cooldown_lookback.value == 30
buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range
assert isinstance(buy_rsi_range, range)
# Range from 0 - 50 (inclusive)
assert len(list(buy_rsi_range)) == 51
hyperopt.start()
# backtesting should be called 3 times (once per epoch)
assert go.call_count == 3
def test_SKDecimal():
space = SKDecimal(1, 2, decimals=2)
assert 1.5 in space
assert 2.5 not in space
assert space.low == 100
assert space.high == 200
assert space.inverse_transform([200]) == [2.0]
assert space.inverse_transform([100]) == [1.0]
assert space.inverse_transform([150, 160]) == [1.5, 1.6]
assert space.transform([1.5]) == [150]
assert space.transform([2.0]) == [200]
assert space.transform([1.0]) == [100]
assert space.transform([1.5, 1.6]) == [150, 160]
def test_stake_amount_unlimited_max_open_trades(mocker, hyperopt_conf, tmpdir, fee) -> None:
# This test is to ensure that unlimited max_open_trades are ignored for the backtesting
# if we have an unlimited stake amount
patch_exchange(mocker)
mocker.patch(f'{EXMS}.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['trades'],
'stake_amount': 'unlimited'
})
hyperopt = Hyperopt(hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._get_params_dict',
return_value={
'max_open_trades': -1
})
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
assert hyperopt.backtesting.strategy.max_open_trades == 1
hyperopt.start()
assert hyperopt.backtesting.strategy.max_open_trades == 1
def test_max_open_trades_dump(mocker, hyperopt_conf, tmpdir, fee, capsys) -> None:
# This test is to ensure that after hyperopting, max_open_trades is never
# saved as inf in the output json params
patch_exchange(mocker)
mocker.patch(f'{EXMS}.get_fee', fee)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['trades'],
})
hyperopt = Hyperopt(hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._get_params_dict',
return_value={
'max_open_trades': -1
})
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
hyperopt.start()
out, err = capsys.readouterr()
assert 'max_open_trades = -1' in out
assert 'max_open_trades = inf' not in out
##############
hyperopt_conf.update({'print_json': True})
hyperopt = Hyperopt(hyperopt_conf)
mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._get_params_dict',
return_value={
'max_open_trades': -1
})
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
hyperopt.start()
out, err = capsys.readouterr()
assert '"max_open_trades":-1' in out
def test_max_open_trades_consistency(mocker, hyperopt_conf, tmpdir, fee) -> None:
# This test is to ensure that max_open_trades is the same across all functions needing it
# after it has been changed from the hyperopt
patch_exchange(mocker)
mocker.patch(f'{EXMS}.get_fee', return_value=0)
(Path(tmpdir) / 'hyperopt_results').mkdir(parents=True)
hyperopt_conf.update({
'strategy': 'HyperoptableStrategy',
'user_data_dir': Path(tmpdir),
'hyperopt_random_state': 42,
'spaces': ['trades'],
'stake_amount': 'unlimited',
'dry_run_wallet': 8,
'available_capital': 8,
'dry_run': True,
'epochs': 1
})
hyperopt = Hyperopt(hyperopt_conf)
assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
hyperopt.custom_hyperopt.max_open_trades_space = lambda: [
Integer(1, 10, name='max_open_trades')]
first_time_evaluated = False
def stake_amount_interceptor(func):
@wraps(func)
def wrapper(*args, **kwargs):
nonlocal first_time_evaluated
stake_amount = func(*args, **kwargs)
if first_time_evaluated is False:
assert stake_amount == 1
first_time_evaluated = True
return stake_amount
return wrapper
hyperopt.backtesting.wallets._calculate_unlimited_stake_amount = stake_amount_interceptor(
hyperopt.backtesting.wallets._calculate_unlimited_stake_amount)
hyperopt.start()
assert hyperopt.backtesting.strategy.max_open_trades == 8
assert hyperopt.config['max_open_trades'] == 8
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