def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
self.backtesting = Backtesting(self.config)
if not self.config.get('hyperopt'):
self.custom_hyperopt = HyperOptAuto(self.config)
else:
self.custom_hyperopt = HyperOptResolver.load_hyperopt(self.config)
self.custom_hyperopt.strategy = self.backtesting.strategy
self.custom_hyperoptloss = HyperOptLossResolver.load_hyperoptloss(self.config)
self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
strategy = str(self.config['strategy'])
self.results_file = (self.config['user_data_dir'] /
'hyperopt_results' /
f'strategy_{strategy}_hyperopt_results_{time_now}.pickle')
self.data_pickle_file = (self.config['user_data_dir'] /
'hyperopt_results' / 'hyperopt_tickerdata.pkl')
self.total_epochs = config.get('epochs', 0)
self.current_best_loss = 100
self.clean_hyperopt()
self.num_epochs_saved = 0
# Previous evaluations
self.epochs: List = []
# Populate functions here (hasattr is slow so should not be run during "regular" operations)
if hasattr(self.custom_hyperopt, 'populate_indicators'):
self.backtesting.strategy.advise_indicators = ( # type: ignore
self.custom_hyperopt.populate_indicators) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
self.backtesting.strategy.advise_buy = ( # type: ignore
self.custom_hyperopt.populate_buy_trend) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_sell_trend'):
self.backtesting.strategy.advise_sell = ( # type: ignore
self.custom_hyperopt.populate_sell_trend) # type: ignore
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
self.max_open_trades = self.config['max_open_trades']
else:
logger.debug('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
self.max_open_trades = 0
self.position_stacking = self.config.get('position_stacking', False)
if self.has_space('sell'):
# Make sure use_sell_signal is enabled
if 'ask_strategy' not in self.config:
self.config['ask_strategy'] = {}
self.config['ask_strategy']['use_sell_signal'] = True
self.print_all = self.config.get('print_all', False)
self.hyperopt_table_header = 0
self.print_colorized = self.config.get('print_colorized', False)
self.print_json = self.config.get('print_json', False)
def __init__(self, config: Dict[str, Any]) -> None:
self.buy_space: List[Dimension] = []
self.sell_space: List[Dimension] = []
self.protection_space: List[Dimension] = []
self.roi_space: List[Dimension] = []
self.stoploss_space: List[Dimension] = []
self.trailing_space: List[Dimension] = []
self.dimensions: List[Dimension] = []
self.config = config
self.backtesting = Backtesting(self.config)
self.pairlist = self.backtesting.pairlists.whitelist
if not self.config.get('hyperopt'):
self.custom_hyperopt = HyperOptAuto(self.config)
else:
raise OperationalException(
"Using separate Hyperopt files has been removed in 2021.9. Please convert "
"your existing Hyperopt file to the new Hyperoptable strategy interface")
self.backtesting._set_strategy(self.backtesting.strategylist[0])
self.custom_hyperopt.strategy = self.backtesting.strategy
self.custom_hyperoptloss = HyperOptLossResolver.load_hyperoptloss(self.config)
self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
strategy = str(self.config['strategy'])
self.results_file: Path = (self.config['user_data_dir'] / 'hyperopt_results' /
f'strategy_{strategy}_{time_now}.fthypt')
self.data_pickle_file = (self.config['user_data_dir'] /
'hyperopt_results' / 'hyperopt_tickerdata.pkl')
self.total_epochs = config.get('epochs', 0)
self.current_best_loss = 100
self.clean_hyperopt()
self.num_epochs_saved = 0
self.current_best_epoch: Optional[Dict[str, Any]] = None
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
self.max_open_trades = self.config['max_open_trades']
else:
logger.debug('Ignoring max_open_trades (--disable-max-market-positions was used) ...')
self.max_open_trades = 0
self.position_stacking = self.config.get('position_stacking', False)
if HyperoptTools.has_space(self.config, 'sell'):
# Make sure use_sell_signal is enabled
if 'ask_strategy' not in self.config:
self.config['ask_strategy'] = {}
self.config['ask_strategy']['use_sell_signal'] = True
self.print_all = self.config.get('print_all', False)
self.hyperopt_table_header = 0
self.print_colorized = self.config.get('print_colorized', False)
self.print_json = self.config.get('print_json', False)
class Hyperopt:
"""
Hyperopt class, this class contains all the logic to run a hyperopt simulation
To run a backtest:
hyperopt = Hyperopt(config)
hyperopt.start()
"""
custom_hyperopt: IHyperOpt
def __init__(self, config: Dict[str, Any]) -> None:
self.buy_space: List[Dimension] = []
self.sell_space: List[Dimension] = []
self.protection_space: List[Dimension] = []
self.roi_space: List[Dimension] = []
self.stoploss_space: List[Dimension] = []
self.trailing_space: List[Dimension] = []
self.dimensions: List[Dimension] = []
self.config = config
self.backtesting = Backtesting(self.config)
if not self.config.get('hyperopt'):
self.custom_hyperopt = HyperOptAuto(self.config)
else:
raise OperationalException(
"Using separate Hyperopt files has been removed in 2021.9. Please convert "
"your existing Hyperopt file to the new Hyperoptable strategy interface"
)
self.backtesting._set_strategy(self.backtesting.strategylist[0])
self.custom_hyperopt.strategy = self.backtesting.strategy
self.custom_hyperoptloss = HyperOptLossResolver.load_hyperoptloss(
self.config)
self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
strategy = str(self.config['strategy'])
self.results_file: Path = (self.config['user_data_dir'] /
'hyperopt_results' /
f'strategy_{strategy}_{time_now}.fthypt')
self.data_pickle_file = (self.config['user_data_dir'] /
'hyperopt_results' /
'hyperopt_tickerdata.pkl')
self.total_epochs = config.get('epochs', 0)
self.current_best_loss = 100
self.clean_hyperopt()
self.num_epochs_saved = 0
self.current_best_epoch: Optional[Dict[str, Any]] = None
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
self.max_open_trades = self.config['max_open_trades']
else:
logger.debug(
'Ignoring max_open_trades (--disable-max-market-positions was used) ...'
)
self.max_open_trades = 0
self.position_stacking = self.config.get('position_stacking', False)
if HyperoptTools.has_space(self.config, 'sell'):
# Make sure use_sell_signal is enabled
if 'ask_strategy' not in self.config:
self.config['ask_strategy'] = {}
self.config['ask_strategy']['use_sell_signal'] = True
self.print_all = self.config.get('print_all', False)
self.hyperopt_table_header = 0
self.print_colorized = self.config.get('print_colorized', False)
self.print_json = self.config.get('print_json', False)
@staticmethod
def get_lock_filename(config: Dict[str, Any]) -> str:
return str(config['user_data_dir'] / 'hyperopt.lock')
def clean_hyperopt(self) -> None:
"""
Remove hyperopt pickle files to restart hyperopt.
"""
for f in [self.data_pickle_file, self.results_file]:
p = Path(f)
if p.is_file():
logger.info(f"Removing `{p}`.")
p.unlink()
def _get_params_dict(self, dimensions: List[Dimension],
raw_params: List[Any]) -> Dict:
# Ensure the number of dimensions match
# the number of parameters in the list.
if len(raw_params) != len(dimensions):
raise ValueError('Mismatch in number of search-space dimensions.')
# Return a dict where the keys are the names of the dimensions
# and the values are taken from the list of parameters.
return {d.name: v for d, v in zip(dimensions, raw_params)}
def _save_result(self, epoch: Dict) -> None:
"""
Save hyperopt results to file
Store one line per epoch.
While not a valid json object - this allows appending easily.
:param epoch: result dictionary for this epoch.
"""
epoch[FTHYPT_FILEVERSION] = 2
with self.results_file.open('a') as f:
rapidjson.dump(epoch,
f,
default=hyperopt_serializer,
number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN)
f.write("\n")
self.num_epochs_saved += 1
logger.debug(
f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
f"saved to '{self.results_file}'.")
# Store hyperopt filename
latest_filename = Path.joinpath(self.results_file.parent,
LAST_BT_RESULT_FN)
file_dump_json(latest_filename,
{'latest_hyperopt': str(self.results_file.name)},
log=False)
def _get_params_details(self, params: Dict) -> Dict:
"""
Return the params for each space
"""
result: Dict = {}
if HyperoptTools.has_space(self.config, 'buy'):
result['buy'] = {
p.name: params.get(p.name)
for p in self.buy_space
}
if HyperoptTools.has_space(self.config, 'sell'):
result['sell'] = {
p.name: params.get(p.name)
for p in self.sell_space
}
if HyperoptTools.has_space(self.config, 'protection'):
result['protection'] = {
p.name: params.get(p.name)
for p in self.protection_space
}
if HyperoptTools.has_space(self.config, 'roi'):
result['roi'] = {
str(k): v
for k, v in self.custom_hyperopt.generate_roi_table(
params).items()
}
if HyperoptTools.has_space(self.config, 'stoploss'):
result['stoploss'] = {
p.name: params.get(p.name)
for p in self.stoploss_space
}
if HyperoptTools.has_space(self.config, 'trailing'):
result['trailing'] = self.custom_hyperopt.generate_trailing_params(
params)
return result
def _get_no_optimize_details(self) -> Dict[str, Any]:
"""
Get non-optimized parameters
"""
result: Dict[str, Any] = {}
strategy = self.backtesting.strategy
if not HyperoptTools.has_space(self.config, 'roi'):
result['roi'] = {
str(k): v
for k, v in strategy.minimal_roi.items()
}
if not HyperoptTools.has_space(self.config, 'stoploss'):
result['stoploss'] = {'stoploss': strategy.stoploss}
if not HyperoptTools.has_space(self.config, 'trailing'):
result['trailing'] = {
'trailing_stop':
strategy.trailing_stop,
'trailing_stop_positive':
strategy.trailing_stop_positive,
'trailing_stop_positive_offset':
strategy.trailing_stop_positive_offset,
'trailing_only_offset_is_reached':
strategy.trailing_only_offset_is_reached,
}
return result
def print_results(self, results) -> None:
"""
Log results if it is better than any previous evaluation
TODO: this should be moved to HyperoptTools too
"""
is_best = results['is_best']
if self.print_all or is_best:
print(
HyperoptTools.get_result_table(self.config, results,
self.total_epochs,
self.print_all,
self.print_colorized,
self.hyperopt_table_header))
self.hyperopt_table_header = 2
def init_spaces(self):
"""
Assign the dimensions in the hyperoptimization space.
"""
if HyperoptTools.has_space(self.config, 'protection'):
# Protections can only be optimized when using the Parameter interface
logger.debug("Hyperopt has 'protection' space")
# Enable Protections if protection space is selected.
self.config['enable_protections'] = True
self.protection_space = self.custom_hyperopt.protection_space()
if HyperoptTools.has_space(self.config, 'buy'):
logger.debug("Hyperopt has 'buy' space")
self.buy_space = self.custom_hyperopt.buy_indicator_space()
if HyperoptTools.has_space(self.config, 'sell'):
logger.debug("Hyperopt has 'sell' space")
self.sell_space = self.custom_hyperopt.sell_indicator_space()
if HyperoptTools.has_space(self.config, 'roi'):
logger.debug("Hyperopt has 'roi' space")
self.roi_space = self.custom_hyperopt.roi_space()
if HyperoptTools.has_space(self.config, 'stoploss'):
logger.debug("Hyperopt has 'stoploss' space")
self.stoploss_space = self.custom_hyperopt.stoploss_space()
if HyperoptTools.has_space(self.config, 'trailing'):
logger.debug("Hyperopt has 'trailing' space")
self.trailing_space = self.custom_hyperopt.trailing_space()
self.dimensions = (self.buy_space + self.sell_space +
self.protection_space + self.roi_space +
self.stoploss_space + self.trailing_space)
def assign_params(self, params_dict: Dict, category: str) -> None:
"""
Assign hyperoptable parameters
"""
for attr_name, attr in self.backtesting.strategy.enumerate_parameters(
category):
if attr.optimize:
# noinspection PyProtectedMember
attr.value = params_dict[attr_name]
def generate_optimizer(self,
raw_params: List[Any],
iteration=None) -> Dict:
"""
Used Optimize function.
Called once per epoch to optimize whatever is configured.
Keep this function as optimized as possible!
"""
backtest_start_time = datetime.now(timezone.utc)
params_dict = self._get_params_dict(self.dimensions, raw_params)
# Apply parameters
if HyperoptTools.has_space(self.config, 'buy'):
self.assign_params(params_dict, 'buy')
if HyperoptTools.has_space(self.config, 'sell'):
self.assign_params(params_dict, 'sell')
if HyperoptTools.has_space(self.config, 'protection'):
self.assign_params(params_dict, 'protection')
if HyperoptTools.has_space(self.config, 'roi'):
self.backtesting.strategy.minimal_roi = ( # type: ignore
self.custom_hyperopt.generate_roi_table(params_dict))
if HyperoptTools.has_space(self.config, 'stoploss'):
self.backtesting.strategy.stoploss = params_dict['stoploss']
if HyperoptTools.has_space(self.config, 'trailing'):
d = self.custom_hyperopt.generate_trailing_params(params_dict)
self.backtesting.strategy.trailing_stop = d['trailing_stop']
self.backtesting.strategy.trailing_stop_positive = d[
'trailing_stop_positive']
self.backtesting.strategy.trailing_stop_positive_offset = \
d['trailing_stop_positive_offset']
self.backtesting.strategy.trailing_only_offset_is_reached = \
d['trailing_only_offset_is_reached']
with self.data_pickle_file.open('rb') as f:
processed = load(f, mmap_mode='r')
bt_results = self.backtesting.backtest(
processed=processed,
start_date=self.min_date,
end_date=self.max_date,
max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking,
enable_protections=self.config.get('enable_protections', False),
)
backtest_end_time = datetime.now(timezone.utc)
bt_results.update({
'backtest_start_time':
int(backtest_start_time.timestamp()),
'backtest_end_time':
int(backtest_end_time.timestamp()),
})
return self._get_results_dict(bt_results,
self.min_date,
self.max_date,
params_dict,
processed=processed)
def _get_results_dict(self, backtesting_results, min_date, max_date,
params_dict,
processed: Dict[str, DataFrame]) -> Dict[str, Any]:
params_details = self._get_params_details(params_dict)
strat_stats = generate_strategy_stats(
processed,
self.backtesting.strategy.get_strategy_name(),
backtesting_results,
min_date,
max_date,
market_change=0)
results_explanation = HyperoptTools.format_results_explanation_string(
strat_stats, self.config['stake_currency'])
not_optimized = self.backtesting.strategy.get_no_optimize_params()
not_optimized = deep_merge_dicts(not_optimized,
self._get_no_optimize_details())
trade_count = strat_stats['total_trades']
total_profit = strat_stats['profit_total']
# If this evaluation contains too short amount of trades to be
# interesting -- consider it as 'bad' (assigned max. loss value)
# in order to cast this hyperspace point away from optimization
# path. We do not want to optimize 'hodl' strategies.
loss: float = MAX_LOSS
if trade_count >= self.config['hyperopt_min_trades']:
loss = self.calculate_loss(results=backtesting_results['results'],
trade_count=trade_count,
min_date=min_date,
max_date=max_date,
config=self.config,
processed=processed,
backtest_stats=strat_stats)
return {
'loss': loss,
'params_dict': params_dict,
'params_details': params_details,
'params_not_optimized': not_optimized,
'results_metrics': strat_stats,
'results_explanation': results_explanation,
'total_profit': total_profit,
}
def get_optimizer(self, dimensions: List[Dimension],
cpu_count) -> Optimizer:
estimator = self.custom_hyperopt.generate_estimator()
acq_optimizer = "sampling"
if isinstance(estimator, str):
if estimator not in ("GP", "RF", "ET", "GBRT"):
raise OperationalException(
f"Estimator {estimator} not supported.")
else:
acq_optimizer = "auto"
logger.info(f"Using estimator {estimator}.")
return Optimizer(
dimensions,
base_estimator=estimator,
acq_optimizer=acq_optimizer,
n_initial_points=INITIAL_POINTS,
acq_optimizer_kwargs={'n_jobs': cpu_count},
random_state=self.random_state,
model_queue_size=SKOPT_MODEL_QUEUE_SIZE,
)
def run_optimizer_parallel(self, parallel, asked, i) -> List:
return parallel(
delayed(wrap_non_picklable_objects(self.generate_optimizer))(v, i)
for v in asked)
def _set_random_state(self, random_state: Optional[int]) -> int:
return random_state or random.randint(1, 2**16 - 1)
def prepare_hyperopt_data(self) -> None:
data, timerange = self.backtesting.load_bt_data()
logger.info("Dataload complete. Calculating indicators")
preprocessed = self.backtesting.strategy.advise_all_indicators(data)
# Trim startup period from analyzed dataframe to get correct dates for output.
processed = trim_dataframes(preprocessed, timerange,
self.backtesting.required_startup)
self.min_date, self.max_date = get_timerange(processed)
logger.info(
f'Hyperopting with data from {self.min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {self.max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(self.max_date - self.min_date).days} days)..')
# Store non-trimmed data - will be trimmed after signal generation.
dump(preprocessed, self.data_pickle_file)
def start(self) -> None:
self.random_state = self._set_random_state(
self.config.get('hyperopt_random_state', None))
logger.info(f"Using optimizer random state: {self.random_state}")
self.hyperopt_table_header = -1
# Initialize spaces ...
self.init_spaces()
self.prepare_hyperopt_data()
# We don't need exchange instance anymore while running hyperopt
self.backtesting.exchange.close()
self.backtesting.exchange._api = None # type: ignore
self.backtesting.exchange._api_async = None # type: ignore
# self.backtesting.exchange = None # type: ignore
self.backtesting.pairlists = None # type: ignore
cpus = cpu_count()
logger.info(f"Found {cpus} CPU cores. Let's make them scream!")
config_jobs = self.config.get('hyperopt_jobs', -1)
logger.info(f'Number of parallel jobs set as: {config_jobs}')
self.opt = self.get_optimizer(self.dimensions, config_jobs)
if self.print_colorized:
colorama_init(autoreset=True)
try:
with Parallel(n_jobs=config_jobs) as parallel:
jobs = parallel._effective_n_jobs()
logger.info(
f'Effective number of parallel workers used: {jobs}')
# Define progressbar
if self.print_colorized:
widgets = [
' [Epoch ',
progressbar.Counter(),
' of ',
str(self.total_epochs),
' (',
progressbar.Percentage(),
')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
fill_wrap=Fore.GREEN + '{}' + Fore.RESET,
marker_wrap=Style.BRIGHT + '{}' + Style.RESET_ALL,
)),
' [',
progressbar.ETA(),
', ',
progressbar.Timer(),
']',
]
else:
widgets = [
' [Epoch ',
progressbar.Counter(),
' of ',
str(self.total_epochs),
' (',
progressbar.Percentage(),
')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}', )),
' [',
progressbar.ETA(),
', ',
progressbar.Timer(),
']',
]
with progressbar.ProgressBar(max_value=self.total_epochs,
redirect_stdout=False,
redirect_stderr=False,
widgets=widgets) as pbar:
EVALS = ceil(self.total_epochs / jobs)
for i in range(EVALS):
# Correct the number of epochs to be processed for the last
# iteration (should not exceed self.total_epochs in total)
n_rest = (i + 1) * jobs - self.total_epochs
current_jobs = jobs - n_rest if n_rest > 0 else jobs
asked = self.opt.ask(n_points=current_jobs)
f_val = self.run_optimizer_parallel(parallel, asked, i)
self.opt.tell(asked, [v['loss'] for v in f_val])
# Calculate progressbar outputs
for j, val in enumerate(f_val):
# Use human-friendly indexes here (starting from 1)
current = i * jobs + j + 1
val['current_epoch'] = current
val['is_initial_point'] = current <= INITIAL_POINTS
logger.debug(f"Optimizer epoch evaluated: {val}")
is_best = HyperoptTools.is_best_loss(
val, self.current_best_loss)
# This value is assigned here and not in the optimization method
# to keep proper order in the list of results. That's because
# evaluations can take different time. Here they are aligned in the
# order they will be shown to the user.
val['is_best'] = is_best
self.print_results(val)
if is_best:
self.current_best_loss = val['loss']
self.current_best_epoch = val
self._save_result(val)
pbar.update(current)
except KeyboardInterrupt:
print('User interrupted..')
logger.info(
f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
f"saved to '{self.results_file}'.")
if self.current_best_epoch:
HyperoptTools.try_export_params(
self.config, self.backtesting.strategy.get_strategy_name(),
self.current_best_epoch)
HyperoptTools.show_epoch_details(self.current_best_epoch,
self.total_epochs,
self.print_json)
else:
# This is printed when Ctrl+C is pressed quickly, before first epochs have
# a chance to be evaluated.
print("No epochs evaluated yet, no best result.")
class Hyperopt:
"""
Hyperopt class, this class contains all the logic to run a hyperopt simulation
To run a backtest:
hyperopt = Hyperopt(config)
hyperopt.start()
"""
custom_hyperopt: IHyperOpt
def __init__(self, config: Dict[str, Any]) -> None:
self.config = config
self.backtesting = Backtesting(self.config)
if not self.config.get('hyperopt'):
self.custom_hyperopt = HyperOptAuto(self.config)
else:
self.custom_hyperopt = HyperOptResolver.load_hyperopt(self.config)
self.custom_hyperopt.strategy = self.backtesting.strategy
self.custom_hyperoptloss = HyperOptLossResolver.load_hyperoptloss(
self.config)
self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function
time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
strategy = str(self.config['strategy'])
self.results_file = (
self.config['user_data_dir'] / 'hyperopt_results' /
f'strategy_{strategy}_hyperopt_results_{time_now}.pickle')
self.data_pickle_file = (self.config['user_data_dir'] /
'hyperopt_results' /
'hyperopt_tickerdata.pkl')
self.total_epochs = config.get('epochs', 0)
self.current_best_loss = 100
self.clean_hyperopt()
self.num_epochs_saved = 0
# Previous evaluations
self.epochs: List = []
# Populate functions here (hasattr is slow so should not be run during "regular" operations)
if hasattr(self.custom_hyperopt, 'populate_indicators'):
self.backtesting.strategy.advise_indicators = ( # type: ignore
self.custom_hyperopt.populate_indicators) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_buy_trend'):
self.backtesting.strategy.advise_buy = ( # type: ignore
self.custom_hyperopt.populate_buy_trend) # type: ignore
if hasattr(self.custom_hyperopt, 'populate_sell_trend'):
self.backtesting.strategy.advise_sell = ( # type: ignore
self.custom_hyperopt.populate_sell_trend) # type: ignore
# Use max_open_trades for hyperopt as well, except --disable-max-market-positions is set
if self.config.get('use_max_market_positions', True):
self.max_open_trades = self.config['max_open_trades']
else:
logger.debug(
'Ignoring max_open_trades (--disable-max-market-positions was used) ...'
)
self.max_open_trades = 0
self.position_stacking = self.config.get('position_stacking', False)
if self.has_space('sell'):
# Make sure use_sell_signal is enabled
if 'ask_strategy' not in self.config:
self.config['ask_strategy'] = {}
self.config['ask_strategy']['use_sell_signal'] = True
self.print_all = self.config.get('print_all', False)
self.hyperopt_table_header = 0
self.print_colorized = self.config.get('print_colorized', False)
self.print_json = self.config.get('print_json', False)
@staticmethod
def get_lock_filename(config: Dict[str, Any]) -> str:
return str(config['user_data_dir'] / 'hyperopt.lock')
def clean_hyperopt(self) -> None:
"""
Remove hyperopt pickle files to restart hyperopt.
"""
for f in [self.data_pickle_file, self.results_file]:
p = Path(f)
if p.is_file():
logger.info(f"Removing `{p}`.")
p.unlink()
def _get_params_dict(self, raw_params: List[Any]) -> Dict:
dimensions: List[Dimension] = self.dimensions
# Ensure the number of dimensions match
# the number of parameters in the list.
if len(raw_params) != len(dimensions):
raise ValueError('Mismatch in number of search-space dimensions.')
# Return a dict where the keys are the names of the dimensions
# and the values are taken from the list of parameters.
return {d.name: v for d, v in zip(dimensions, raw_params)}
def _save_results(self) -> None:
"""
Save hyperopt results to file
"""
num_epochs = len(self.epochs)
if num_epochs > self.num_epochs_saved:
logger.debug(f"Saving {num_epochs} {plural(num_epochs, 'epoch')}.")
dump(self.epochs, self.results_file)
self.num_epochs_saved = num_epochs
logger.debug(
f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
f"saved to '{self.results_file}'.")
# Store hyperopt filename
latest_filename = Path.joinpath(self.results_file.parent,
LAST_BT_RESULT_FN)
file_dump_json(latest_filename,
{'latest_hyperopt': str(self.results_file.name)},
log=False)
def _get_params_details(self, params: Dict) -> Dict:
"""
Return the params for each space
"""
result: Dict = {}
if self.has_space('buy'):
result['buy'] = {
p.name: params.get(p.name)
for p in self.hyperopt_space('buy')
}
if self.has_space('sell'):
result['sell'] = {
p.name: params.get(p.name)
for p in self.hyperopt_space('sell')
}
if self.has_space('roi'):
result['roi'] = self.custom_hyperopt.generate_roi_table(params)
if self.has_space('stoploss'):
result['stoploss'] = {
p.name: params.get(p.name)
for p in self.hyperopt_space('stoploss')
}
if self.has_space('trailing'):
result['trailing'] = self.custom_hyperopt.generate_trailing_params(
params)
return result
def print_results(self, results) -> None:
"""
Log results if it is better than any previous evaluation
TODO: this should be moved to HyperoptTools too
"""
is_best = results['is_best']
if self.print_all or is_best:
print(
HyperoptTools.get_result_table(self.config, results,
self.total_epochs,
self.print_all,
self.print_colorized,
self.hyperopt_table_header))
self.hyperopt_table_header = 2
def has_space(self, space: str) -> bool:
"""
Tell if the space value is contained in the configuration
"""
# The 'trailing' space is not included in the 'default' set of spaces
if space == 'trailing':
return any(s in self.config['spaces'] for s in [space, 'all'])
else:
return any(s in self.config['spaces']
for s in [space, 'all', 'default'])
def hyperopt_space(self, space: Optional[str] = None) -> List[Dimension]:
"""
Return the dimensions in the hyperoptimization space.
:param space: Defines hyperspace to return dimensions for.
If None, then the self.has_space() will be used to return dimensions
for all hyperspaces used.
"""
spaces: List[Dimension] = []
if space == 'buy' or (space is None and self.has_space('buy')):
logger.debug("Hyperopt has 'buy' space")
spaces += self.custom_hyperopt.indicator_space()
if space == 'sell' or (space is None and self.has_space('sell')):
logger.debug("Hyperopt has 'sell' space")
spaces += self.custom_hyperopt.sell_indicator_space()
if space == 'roi' or (space is None and self.has_space('roi')):
logger.debug("Hyperopt has 'roi' space")
spaces += self.custom_hyperopt.roi_space()
if space == 'stoploss' or (space is None
and self.has_space('stoploss')):
logger.debug("Hyperopt has 'stoploss' space")
spaces += self.custom_hyperopt.stoploss_space()
if space == 'trailing' or (space is None
and self.has_space('trailing')):
logger.debug("Hyperopt has 'trailing' space")
spaces += self.custom_hyperopt.trailing_space()
return spaces
def generate_optimizer(self,
raw_params: List[Any],
iteration=None) -> Dict:
"""
Used Optimize function. Called once per epoch to optimize whatever is configured.
Keep this function as optimized as possible!
"""
params_dict = self._get_params_dict(raw_params)
params_details = self._get_params_details(params_dict)
if self.has_space('roi'):
self.backtesting.strategy.minimal_roi = ( # type: ignore
self.custom_hyperopt.generate_roi_table(params_dict))
if self.has_space('buy'):
self.backtesting.strategy.advise_buy = ( # type: ignore
self.custom_hyperopt.buy_strategy_generator(params_dict))
if self.has_space('sell'):
self.backtesting.strategy.advise_sell = ( # type: ignore
self.custom_hyperopt.sell_strategy_generator(params_dict))
if self.has_space('stoploss'):
self.backtesting.strategy.stoploss = params_dict['stoploss']
if self.has_space('trailing'):
d = self.custom_hyperopt.generate_trailing_params(params_dict)
self.backtesting.strategy.trailing_stop = d['trailing_stop']
self.backtesting.strategy.trailing_stop_positive = d[
'trailing_stop_positive']
self.backtesting.strategy.trailing_stop_positive_offset = \
d['trailing_stop_positive_offset']
self.backtesting.strategy.trailing_only_offset_is_reached = \
d['trailing_only_offset_is_reached']
processed = load(self.data_pickle_file)
min_date, max_date = get_timerange(processed)
backtesting_results = self.backtesting.backtest(
processed=processed,
start_date=min_date.datetime,
end_date=max_date.datetime,
max_open_trades=self.max_open_trades,
position_stacking=self.position_stacking,
enable_protections=self.config.get('enable_protections', False),
)
return self._get_results_dict(backtesting_results,
min_date,
max_date,
params_dict,
params_details,
processed=processed)
def _get_results_dict(self, backtesting_results, min_date, max_date,
params_dict, params_details,
processed: Dict[str, DataFrame]):
results_metrics = self._calculate_results_metrics(backtesting_results)
results_explanation = self._format_results_explanation_string(
results_metrics)
trade_count = results_metrics['trade_count']
total_profit = results_metrics['total_profit']
# If this evaluation contains too short amount of trades to be
# interesting -- consider it as 'bad' (assigned max. loss value)
# in order to cast this hyperspace point away from optimization
# path. We do not want to optimize 'hodl' strategies.
loss: float = MAX_LOSS
if trade_count >= self.config['hyperopt_min_trades']:
loss = self.calculate_loss(results=backtesting_results,
trade_count=trade_count,
min_date=min_date.datetime,
max_date=max_date.datetime,
config=self.config,
processed=processed)
return {
'loss': loss,
'params_dict': params_dict,
'params_details': params_details,
'results_metrics': results_metrics,
'results_explanation': results_explanation,
'total_profit': total_profit,
}
def _calculate_results_metrics(self,
backtesting_results: DataFrame) -> Dict:
wins = len(
backtesting_results[backtesting_results['profit_ratio'] > 0])
draws = len(
backtesting_results[backtesting_results['profit_ratio'] == 0])
losses = len(
backtesting_results[backtesting_results['profit_ratio'] < 0])
return {
'trade_count': len(backtesting_results.index),
'wins': wins,
'draws': draws,
'losses': losses,
'winsdrawslosses': f"{wins:>4} {draws:>4} {losses:>4}",
'avg_profit': backtesting_results['profit_ratio'].mean() * 100.0,
'median_profit':
backtesting_results['profit_ratio'].median() * 100.0,
'total_profit': backtesting_results['profit_abs'].sum(),
'profit': backtesting_results['profit_ratio'].sum() * 100.0,
'duration': backtesting_results['trade_duration'].mean(),
}
def _format_results_explanation_string(self, results_metrics: Dict) -> str:
"""
Return the formatted results explanation in a string
"""
stake_cur = self.config['stake_currency']
return (
f"{results_metrics['trade_count']:6d} trades. "
f"{results_metrics['wins']}/{results_metrics['draws']}"
f"/{results_metrics['losses']} Wins/Draws/Losses. "
f"Avg profit {results_metrics['avg_profit']: 6.2f}%. "
f"Median profit {results_metrics['median_profit']: 6.2f}%. "
f"Total profit {results_metrics['total_profit']: 11.8f} {stake_cur} "
f"({results_metrics['profit']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). "
f"Avg duration {results_metrics['duration']:5.1f} min.").encode(
locale.getpreferredencoding(), 'replace').decode('utf-8')
def get_optimizer(self, dimensions: List[Dimension],
cpu_count) -> Optimizer:
return Optimizer(
dimensions,
base_estimator="ET",
acq_optimizer="auto",
n_initial_points=INITIAL_POINTS,
acq_optimizer_kwargs={'n_jobs': cpu_count},
random_state=self.random_state,
model_queue_size=SKOPT_MODEL_QUEUE_SIZE,
)
def run_optimizer_parallel(self, parallel, asked, i) -> List:
return parallel(
delayed(wrap_non_picklable_objects(self.generate_optimizer))(v, i)
for v in asked)
def _set_random_state(self, random_state: Optional[int]) -> int:
return random_state or random.randint(1, 2**16 - 1)
def start(self) -> None:
self.random_state = self._set_random_state(
self.config.get('hyperopt_random_state', None))
logger.info(f"Using optimizer random state: {self.random_state}")
self.hyperopt_table_header = -1
data, timerange = self.backtesting.load_bt_data()
logger.info("Dataload complete. Calculating indicators")
preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data)
# Trim startup period from analyzed dataframe
for pair, df in preprocessed.items():
preprocessed[pair] = trim_dataframe(
df,
timerange,
startup_candles=self.backtesting.required_startup)
min_date, max_date = get_timerange(preprocessed)
logger.info(
f'Hyperopting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
f'({(max_date - min_date).days} days)..')
dump(preprocessed, self.data_pickle_file)
# We don't need exchange instance anymore while running hyperopt
self.backtesting.exchange.close()
self.backtesting.exchange._api = None # type: ignore
self.backtesting.exchange._api_async = None # type: ignore
# self.backtesting.exchange = None # type: ignore
self.backtesting.pairlists = None # type: ignore
self.backtesting.strategy.dp = None # type: ignore
IStrategy.dp = None # type: ignore
cpus = cpu_count()
logger.info(f"Found {cpus} CPU cores. Let's make them scream!")
config_jobs = self.config.get('hyperopt_jobs', -1)
logger.info(f'Number of parallel jobs set as: {config_jobs}')
self.dimensions: List[Dimension] = self.hyperopt_space()
self.opt = self.get_optimizer(self.dimensions, config_jobs)
if self.print_colorized:
colorama_init(autoreset=True)
try:
with Parallel(n_jobs=config_jobs) as parallel:
jobs = parallel._effective_n_jobs()
logger.info(
f'Effective number of parallel workers used: {jobs}')
# Define progressbar
if self.print_colorized:
widgets = [
' [Epoch ',
progressbar.Counter(),
' of ',
str(self.total_epochs),
' (',
progressbar.Percentage(),
')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}',
fill_wrap=Fore.GREEN + '{}' + Fore.RESET,
marker_wrap=Style.BRIGHT + '{}' + Style.RESET_ALL,
)),
' [',
progressbar.ETA(),
', ',
progressbar.Timer(),
']',
]
else:
widgets = [
' [Epoch ',
progressbar.Counter(),
' of ',
str(self.total_epochs),
' (',
progressbar.Percentage(),
')] ',
progressbar.Bar(marker=progressbar.AnimatedMarker(
fill='\N{FULL BLOCK}', )),
' [',
progressbar.ETA(),
', ',
progressbar.Timer(),
']',
]
with progressbar.ProgressBar(max_value=self.total_epochs,
redirect_stdout=False,
redirect_stderr=False,
widgets=widgets) as pbar:
EVALS = ceil(self.total_epochs / jobs)
for i in range(EVALS):
# Correct the number of epochs to be processed for the last
# iteration (should not exceed self.total_epochs in total)
n_rest = (i + 1) * jobs - self.total_epochs
current_jobs = jobs - n_rest if n_rest > 0 else jobs
asked = self.opt.ask(n_points=current_jobs)
f_val = self.run_optimizer_parallel(parallel, asked, i)
self.opt.tell(asked, [v['loss'] for v in f_val])
# Calculate progressbar outputs
for j, val in enumerate(f_val):
# Use human-friendly indexes here (starting from 1)
current = i * jobs + j + 1
val['current_epoch'] = current
val['is_initial_point'] = current <= INITIAL_POINTS
logger.debug(f"Optimizer epoch evaluated: {val}")
is_best = HyperoptTools.is_best_loss(
val, self.current_best_loss)
# This value is assigned here and not in the optimization method
# to keep proper order in the list of results. That's because
# evaluations can take different time. Here they are aligned in the
# order they will be shown to the user.
val['is_best'] = is_best
self.print_results(val)
if is_best:
self.current_best_loss = val['loss']
self.epochs.append(val)
# Save results after each best epoch and every 100 epochs
if is_best or current % 100 == 0:
self._save_results()
pbar.update(current)
except KeyboardInterrupt:
print('User interrupted..')
self._save_results()
logger.info(
f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
f"saved to '{self.results_file}'.")
if self.epochs:
sorted_epochs = sorted(self.epochs, key=itemgetter('loss'))
best_epoch = sorted_epochs[0]
HyperoptTools.print_epoch_details(best_epoch, self.total_epochs,
self.print_json)
else:
# This is printed when Ctrl+C is pressed quickly, before first epochs have
# a chance to be evaluated.
print("No epochs evaluated yet, no best result.")
