def describe(params):
i, j, k, l, candleTerm, cost, fileName, core = params
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.candleTerm = candleTerm
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
if core == 1:
logging.info('================================')
logging.info(
'entryTerm:%s closeTerm:%s rangePercent:%s rangePercentTerm:%s rangeTerm:%s rangeTh:%s waitTerm:%s waitTh:%s',
i[0], i[1], l[0], l[1], j[1], j[0], k[0], k[1])
else:
pass
#テスト
pl, profitFactor = channelBreakOut.describeResult()
return [pl, profitFactor, i, l, j, k]
def describe(params):
i, j, k, l, candleTerm, cost, fileName = params
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.candleTerm = candleTerm
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
logging.info("===========Test pattern===========")
logging.info('entryTerm:%s closeTerm:%s', channelBreakOut.entryTerm,
channelBreakOut.closeTerm)
logging.info('rangePercent:%s rangePercentTerm:%s',
channelBreakOut.rangePercent,
channelBreakOut.rangePercentTerm)
logging.info('rangeTerm:%s rangeTh:%s', channelBreakOut.rangeTerm,
channelBreakOut.rangeTh)
logging.info('waitTerm:%s waitTh:%s', channelBreakOut.waitTerm,
channelBreakOut.waitTh)
logging.info("===========Backtest===========")
pl, profitFactor = channelBreakOut.describeResult()
logging.info("===========Assessment===========")
return -pl
def describe(params):
i, j, k, l, candleTerm, cost, mlMode, fileName = params
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.candleTerm = candleTerm
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
logging.info("===========Test pattern===========")
logging.info('entryTerm:%s closeTerm:%s', channelBreakOut.entryTerm,
channelBreakOut.closeTerm)
logging.info('rangePercent:%s rangePercentTerm:%s',
channelBreakOut.rangePercent,
channelBreakOut.rangePercentTerm)
logging.info('rangeTerm:%s rangeTh:%s', channelBreakOut.rangeTerm,
channelBreakOut.rangeTh)
logging.info('waitTerm:%s waitTh:%s', channelBreakOut.waitTerm,
channelBreakOut.waitTh)
logging.info("===========Backtest===========")
pl, profitFactor, maxLoss, winPer, ev, nOfTrade, winTotal, loseTotal = channelBreakOut.describeResult(
)
if "PFDD" in mlMode:
result = profitFactor / maxLoss
elif "PL" in mlMode:
result = -pl
elif "PF" in mlMode:
result = -profitFactor
elif "DD" in mlMode:
result = maxLoss
elif "WIN" in mlMode:
result = -winPer
elif "EV" in mlMode:
result = -ev
# 逆張り評価
result = -result
# 取引回数は裁定200は欲しい
if nOfTrade < 200:
result = 1
logging.info("===========Assessment===========")
logging.info('Result:%s', result)
return result
def describe(params):
i, j, k, l, m, n, o, p, q, cost, fileName, core, useBlackList = params
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.candleTerm = str(m) + "T"
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
channelBreakOut.method = n
channelBreakOut.price_range_limit = o
channelBreakOut.tmp2 = p
channelBreakOut.tmp1 = q
if core == 1:
logging.info('================================')
logging.info(
'entryTerm:%s closeTerm:%s rangePercent:%s rangePercentTerm:%s rangeTerm:%s rangeTh:%s waitTerm:%s waitTh:%s candleTerm:%s method:%s price_range_limit:%s tmp2:%s tmp1:%s',
i[0], i[1], l[0], l[1], j[1], j[0], k[0], k[1], m, n, o, p, q)
else:
pass
# ブラックリスト判定
is_blacklist = False
if useBlackList:
bl = read_blacklist()
co = bl.columns.values
is_blacklist = ((bl[co[0]] == m) & (eq(bl[co[1]], i[0])) &
(eq(bl[co[2]], i[1])) & (eq(bl[co[3]], j[0])) &
(eq(bl[co[4]], j[1])) & (eq(bl[co[5]], k[1])) &
(eq(bl[co[6]], k[0])) & (eq(bl[co[7]], l[0])) &
(eq(bl[co[8]], l[1]))).any()
if is_blacklist:
pl = 0
profitFactor = 0
else:
#テスト
pl, profitFactor, maxLoss, winPer, ev, nOfTrade, winTotal, loseTotal = channelBreakOut.describeResult(
)
return [
pl, profitFactor, i, l, j, k, m, n, o, p, q, is_blacklist, maxLoss,
winPer, ev, nOfTrade, winTotal, loseTotal
]
def optimization(candleTerm, cost, fileName, hyperopt, showTradeDetail):
#optimizeList.jsonの読み込み
f = open('optimizeList.json', 'r', encoding="utf-8")
config = json.load(f)
entryAndCloseTerm = config["entryAndCloseTerm"]
rangeThAndrangeTerm = config["rangeThAndrangeTerm"]
waitTermAndwaitTh = config["waitTermAndwaitTh"]
rangePercentList = config["rangePercentList"]
total = len(entryAndCloseTerm) * len(rangeThAndrangeTerm) * len(
waitTermAndwaitTh) * len(rangePercentList)
logging.info('Total pattern:%s Searches:%s', total, hyperopt)
logging.info("======Optimization start======")
space = [
hp.choice('i', entryAndCloseTerm),
hp.choice('j', rangeThAndrangeTerm),
hp.choice('k', waitTermAndwaitTh),
hp.choice('l', rangePercentList), candleTerm, cost, fileName
]
result = fmin(describe, space, algo=tpe.suggest, max_evals=hyperopt)
logging.info("======Optimization finished======")
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = entryAndCloseTerm[result['i']][0]
channelBreakOut.closeTerm = entryAndCloseTerm[result['i']][1]
channelBreakOut.rangeTh = rangeThAndrangeTerm[result['j']][0]
channelBreakOut.rangeTerm = rangeThAndrangeTerm[result['j']][1]
channelBreakOut.waitTerm = waitTermAndwaitTh[result['k']][0]
channelBreakOut.waitTh = waitTermAndwaitTh[result['k']][1]
channelBreakOut.rangePercent = rangePercentList[result['l']][0]
channelBreakOut.rangePercentTerm = rangePercentList[result['l']][1]
channelBreakOut.candleTerm = candleTerm
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
channelBreakOut.showTradeDetail = showTradeDetail
logging.info("======Best pattern======")
logging.info('entryTerm:%s closeTerm:%s', channelBreakOut.entryTerm,
channelBreakOut.closeTerm)
logging.info('rangePercent:%s rangePercentTerm:%s',
channelBreakOut.rangePercent,
channelBreakOut.rangePercentTerm)
logging.info('rangeTerm:%s rangeTh:%s', channelBreakOut.rangeTerm,
channelBreakOut.rangeTh)
logging.info('waitTerm:%s waitTh:%s', channelBreakOut.waitTerm,
channelBreakOut.waitTh)
logging.info("======Backtest======")
pl, profitFactor = channelBreakOut.describeResult()
def optimization(candleTerm, cost, fileName, core):
#optimizeList.jsonの読み込み
f = open('optimizeList.json', 'r')
config = json.load(f)
entryAndCloseTerm = config["entryAndCloseTerm"]
rangeThAndrangeTerm = config["rangeThAndrangeTerm"]
waitTermAndwaitTh = config["waitTermAndwaitTh"]
rangePercentList = config["rangePercentList"]
total = len(entryAndCloseTerm) * len(rangeThAndrangeTerm) * len(
waitTermAndwaitTh) * len(rangePercentList)
paramList = []
params = []
for i, j, k, l in itertools.product(entryAndCloseTerm, rangeThAndrangeTerm,
waitTermAndwaitTh, rangePercentList):
params.append([i, j, k, l, candleTerm, cost, fileName, core])
if core == 1:
# 同期処理
for param in params:
result = describe(param)
paramList.append(result)
logging.info('[%s/%s]', len(paramList), total)
else:
# 非同期処理
with ProcessPoolExecutor(max_workers=core) as executor:
for result in executor.map(describe, params):
paramList.append(result)
logging.info('[%s/%s] result:%s', len(paramList), total,
paramList[-1])
pF = [i[1] for i in paramList]
pL = [i[0] for i in paramList]
logging.info("======Optimization finished======")
logging.info('Search pattern :%s', len(paramList))
logging.info("Parameters:")
logging.info(
"(entryTerm, closeTerm), (rangePercent, rangePercentTerm), (rangeTh, rangeTerm), (waitTerm, waitTh)"
)
logging.info("ProfitFactor max:")
logging.info(paramList[pF.index(max(pF))])
logging.info("PL max:")
logging.info(paramList[pL.index(max(pL))])
message = "Optimization finished.\n ProfitFactor max:{}\n PL max:{}".format(
paramList[pF.index(max(pF))], paramList[pL.index(max(pL))])
channel.ChannelBreakOut().lineNotify(message)
def describe(params):
i, j, k, l, m, cost, mlMode, fileName = params
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.candleTerm = str(m) + "T"
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
logging.info("===========Test pattern===========")
logging.info('candleTerm:%s', channelBreakOut.candleTerm)
logging.info('entryTerm:%s closeTerm:%s', channelBreakOut.entryTerm,
channelBreakOut.closeTerm)
logging.info('rangePercent:%s rangePercentTerm:%s',
channelBreakOut.rangePercent,
channelBreakOut.rangePercentTerm)
logging.info('rangeTerm:%s rangeTh:%s', channelBreakOut.rangeTerm,
channelBreakOut.rangeTh)
logging.info('waitTerm:%s waitTh:%s', channelBreakOut.waitTerm,
channelBreakOut.waitTh)
logging.info("===========Backtest===========")
pl, profitFactor, maxLoss, winPer, ev = channelBreakOut.describeResult()
if "PFDD" in mlMode:
result = profitFactor / maxLoss
elif "PL" in mlMode:
result = -pl
elif "PF" in mlMode:
result = -profitFactor
elif "DD" in mlMode:
result = -maxLoss
elif "WIN" in mlMode:
result = -winPer
elif "EV" in mlMode:
result = -ev
logging.info("===========Assessment===========")
logging.info('Result:%s', result)
return result
def describe(params):
i, j, k, l, candleTerm, cost, fileName, core, useBlackList = params
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.candleTerm = candleTerm
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
if core == 1:
logging.info('================================')
logging.info('entryTerm:%s closeTerm:%s rangePercent:%s rangePercentTerm:%s rangeTerm:%s rangeTh:%s waitTerm:%s waitTh:%s',i[0],i[1],l[0],l[1],j[1],j[0],k[0],k[1])
else:
pass
# ブラックリスト判定
is_blacklist = False
if useBlackList:
bl = read_blacklist()
co = bl.columns.values
is_blacklist = ((bl[co[0]] == candleTerm) &
(eq(bl[co[1]], i[0])) &
(eq(bl[co[2]], i[1])) &
(eq(bl[co[3]], j[0])) &
(eq(bl[co[4]], j[1])) &
(eq(bl[co[5]], k[1])) &
(eq(bl[co[6]], k[0])) &
(eq(bl[co[7]], l[0])) &
(eq(bl[co[8]], l[1]))).any()
if is_blacklist:
pl = 0
profitFactor = 0
else:
#テスト
pl, profitFactor, maxLoss, winPer = channelBreakOut.describeResult()
return [pl, profitFactor, i, l, j, k, is_blacklist]
def optimization(candleTerm, cost, fileName):
entryAndCloseTerm = [(2,2),(3,2),(2,3),(3,3),(4,2),(2,4),(4,3),(3,4),(4,4),(5,2),(2,5),(5,3),(3,5),(5,4),(4,5),(5,5),(10,10)]
rangeThAndrangeTerm = [(None,3),(5000,3),(10000,3),(None,5),(5000,5),(10000,5),(None,10),(5000,10),(10000,10),(None,15),(5000,15),(10000,15),(None,None)]
waitTermAndwaitTh = [(0,0),(3,10000),(3,15000),(3,20000),(5,10000),(5,15000),(5,20000),(10,10000),(10,15000),(10,20000),(15,10000),(15,15000),(15,20000)]
rangePercentList = [(None,None),(1.5,5),(2,5),(2.5,5)]
total = len(entryAndCloseTerm) * len(rangeThAndrangeTerm) * len(waitTermAndwaitTh) * len(rangePercentList)
paramList = []
for i in entryAndCloseTerm:
for j in rangeThAndrangeTerm:
for k in waitTermAndwaitTh:
for l in rangePercentList:
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.fileName = fileName
channelBreakOut.candleTerm = candleTerm
channelBreakOut.cost = cost
logging.info('================================')
logging.info('[%s/%s] entryTerm:%s closeTerm:%s rangePercent:%s rangePercentTerm:%s rangeTerm:%s rangeTh:%s waitTerm:%s waitTh:%s candleTerm:%s cost:%s',len(paramList)+1,total,i[0],i[1],l[0],l[1],j[1],j[0],k[0],k[1],candleTerm,cost)
#テスト
pl, profitFactor = channelBreakOut.describeResult()
paramList.append([pl,profitFactor, i,l,j,k])
pF = [i[1] for i in paramList]
pL = [i[0] for i in paramList]
logging.info("======Optimization finished======")
logging.info('Search pattern :%s', len(paramList))
logging.info("Parameters:")
logging.info("(entryTerm, closeTerm), (rangePercent, rangePercentTerm), (rangeTh, rangeTerm), (waitTerm, waitTh)")
logging.info("ProfitFactor max:")
logging.info(paramList[pF.index(max(pF))])
logging.info("PL max:")
logging.info(paramList[pL.index(max(pL))])
message = "Optimization finished.\n ProfitFactor max:{}\n PL max:{}".format(paramList[pF.index(max(pF))], paramList[pL.index(max(pL))])
channelBreakOut.lineNotify(message)
def optimization(cost, fileName, hyperopt, mlMode, showTradeDetail):
#optimizeList.jsonの読み込み
f = open('config/optimizeList.json', 'r', encoding="utf-8")
config = json.load(f)
entryAndCloseTerm = config["entryAndCloseTerm"]
rangeThAndrangeTerm = config["rangeThAndrangeTerm"]
waitTermAndwaitTh = config["waitTermAndwaitTh"]
rangePercentList = config["rangePercentList"]
linePattern = config["linePattern"]
termUpper = config["termUpper"]
candleTerm = config["candleTerm"]
if "COMB" in linePattern:
entryAndCloseTerm = list(itertools.product(range(2,termUpper), range(2,termUpper)))
total = len(entryAndCloseTerm) * len(rangeThAndrangeTerm) * len(waitTermAndwaitTh) * len(rangePercentList) * len(candleTerm)
logging.info('Total pattern:%s Searches:%s',total,hyperopt)
logging.info("======Optimization start======")
#hyperoptによる最適値の算出
space = [hp.choice('i',entryAndCloseTerm), hp.choice('j',rangeThAndrangeTerm), hp.choice('k',waitTermAndwaitTh), hp.choice('l',rangePercentList), hp.choice('m',candleTerm), cost, mlMode, fileName]
result = fmin(describe,space,algo=tpe.suggest,max_evals=hyperopt)
logging.info("======Optimization finished======")
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = entryAndCloseTerm[result['i']][0]
channelBreakOut.closeTerm = entryAndCloseTerm[result['i']][1]
channelBreakOut.rangeTh = rangeThAndrangeTerm[result['j']][0]
channelBreakOut.rangeTerm = rangeThAndrangeTerm[result['j']][1]
channelBreakOut.waitTerm = waitTermAndwaitTh[result['k']][0]
channelBreakOut.waitTh = waitTermAndwaitTh[result['k']][1]
channelBreakOut.rangePercent = rangePercentList[result['l']][0]
channelBreakOut.rangePercentTerm = rangePercentList[result['l']][1]
channelBreakOut.candleTerm = str(candleTerm[result['m']]) + "T"
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
channelBreakOut.showTradeDetail = showTradeDetail
logging.info("======Best pattern======")
logging.info('candleTerm:%s mlMode:%s',channelBreakOut.candleTerm,mlMode)
logging.info('entryTerm:%s closeTerm:%s',channelBreakOut.entryTerm,channelBreakOut.closeTerm)
logging.info('rangePercent:%s rangePercentTerm:%s',channelBreakOut.rangePercent,channelBreakOut.rangePercentTerm)
logging.info('rangeTerm:%s rangeTh:%s',channelBreakOut.rangeTerm,channelBreakOut.rangeTh)
logging.info('waitTerm:%s waitTh:%s',channelBreakOut.waitTerm,channelBreakOut.waitTh)
logging.info("======Backtest======")
channelBreakOut.describeResult()
#config.json設定用ログ
print("======config======")
print(" \"entryTerm\" : ", channelBreakOut.entryTerm, ",", sep="")
print(" \"closeTerm\" : ", channelBreakOut.closeTerm, ",", sep="")
if channelBreakOut.rangePercent is None:
print(" \"rangePercent\" : ", "null,", sep="")
else:
print(" \"rangePercent\" : ", channelBreakOut.rangePercent, ",", sep="")
if channelBreakOut.rangePercentTerm is None:
print(" \"rangePercentTerm\" : ", "null,", sep="")
else:
print(" \"rangePercentTerm\" : ", channelBreakOut.rangePercentTerm, ",", sep="")
if channelBreakOut.rangeTerm is None:
print(" \"rangeTerm\" : ", "null,", sep="")
else:
print(" \"rangeTerm\" : ", channelBreakOut.rangeTerm, ",", sep="")
if channelBreakOut.rangeTh is None:
print(" \"rangeTh\" : ", "null,", sep="")
else:
print(" \"rangeTh\" : ", channelBreakOut.rangeTh, ",", sep="")
print(" \"waitTerm\" : ", channelBreakOut.waitTerm, ",", sep="")
print(" \"waitTh\" : ", channelBreakOut.waitTh, ",", sep="")
print(" \"candleTerm\" : \"", channelBreakOut.candleTerm, "\",", sep="")
print("==================")
def optimization(cost, fileName, core, useBlackList):
#optimizeList.jsonの読み込み
f = open('config/optimizeList.json', 'r', encoding="utf-8")
config = json.load(f)
entryAndCloseTerm = config["entryAndCloseTerm"]
rangeThAndrangeTerm = config["rangeThAndrangeTerm"]
waitTermAndwaitTh = config["waitTermAndwaitTh"]
rangePercentList = config["rangePercentList"]
linePattern = config["linePattern"]
termUpper = config["termUpper"]
candleTerm = config["candleTerm"]
if "COMB" in linePattern:
entryAndCloseTerm = list(
itertools.product(range(2, termUpper), range(2, termUpper)))
total = len(entryAndCloseTerm) * len(rangeThAndrangeTerm) * len(
waitTermAndwaitTh) * len(rangePercentList) * len(candleTerm)
paramList = []
params = []
for i, j, k, l, m in itertools.product(entryAndCloseTerm,
rangeThAndrangeTerm,
waitTermAndwaitTh, rangePercentList,
candleTerm):
params.append([i, j, k, l, m, cost, fileName, core, useBlackList])
black_list = read_blacklist()
if core == 1:
# 同期処理
for param in params:
result = describe(param)
paramList.append(result)
logging.info('[%s/%s]', len(paramList), total)
else:
# 非同期処理
with ProcessPoolExecutor(max_workers=core) as executor:
for result in executor.map(describe, params):
skiped = '(skip)' if result[7] == True else ''
paramList.append(result)
logging.info('[%s/%s] result%s:%s', len(paramList), total,
skiped, paramList[-1])
# ブラックリスト追加
if (useBlackList == True) & (result[0] < 0) & (result[7]
== False):
new_bl = pd.DataFrame([[
result[6], result[2][0], result[2][1], result[4][0],
result[4][1], result[5][1], result[5][0], result[3][0],
result[3][1]
]],
columns=black_list.columns.values)
black_list = black_list.append(new_bl)
# ブラックリスト書き込み
if useBlackList: black_list.to_csv('blacklist.csv', index=False, sep=',')
pF = [i[1] for i in paramList]
pL = [i[0] for i in paramList]
logging.info("======Optimization finished======")
logging.info('Search pattern :%s', len(paramList))
logging.info("Parameters:")
logging.info(
"[entryTerm, closeTerm], [rangePercent, rangePercentTerm], [rangeTh, rangeTerm], [waitTerm, waitTh], [candleTerm]"
)
logging.info("ProfitFactor max:")
logging.info(paramList[pF.index(max(pF))])
logging.info("PL max:")
logging.info(paramList[pL.index(max(pL))])
message = "Optimization finished.\n ProfitFactor max:{}\n PL max:{}".format(
paramList[pF.index(max(pF))], paramList[pL.index(max(pL))])
channel.ChannelBreakOut().lineNotify(message)
#config.json設定用ログ
print("*********PF max*********")
print("PL", paramList[pF.index(max(pF))][0])
print("PF", paramList[pF.index(max(pF))][1])
print(" \"entryTerm\" : ",
paramList[pF.index(max(pF))][2][0],
",",
sep="")
print(" \"closeTerm\" : ",
paramList[pF.index(max(pF))][2][1],
",",
sep="")
if paramList[pF.index(max(pF))][3][0] is None:
print(" \"rangePercent\" : ", "null,", sep="")
else:
print(" \"rangePercent\" : ",
paramList[pF.index(max(pF))][3][0],
",",
sep="")
if paramList[pF.index(max(pF))][3][1] is None:
print(" \"rangePercentTerm\" : ", "null,", sep="")
else:
print(" \"rangePercentTerm\" : ",
paramList[pF.index(max(pF))][3][1],
",",
sep="")
if paramList[pF.index(max(pF))][4][1] is None:
print(" \"rangeTerm\" : ", "null,", sep="")
else:
print(" \"rangeTerm\" : ",
paramList[pF.index(max(pF))][4][1],
",",
sep="")
if paramList[pF.index(max(pF))][4][0] is None:
print(" \"rangeTh\" : ", "null,", sep="")
else:
print(" \"rangeTh\" : ",
paramList[pF.index(max(pF))][4][0],
",",
sep="")
print(" \"waitTerm\" : ",
paramList[pF.index(max(pF))][5][0],
",",
sep="")
print(" \"waitTh\" : ", paramList[pF.index(max(pF))][5][1], ",", sep="")
print(" \"candleTerm\" : \"",
paramList[pF.index(max(pF))][6],
"T\",",
sep="")
print("*********PL max*********")
print("PL", paramList[pL.index(max(pL))][0])
print("PF", paramList[pL.index(max(pL))][1])
print(" \"entryTerm\" : ",
paramList[pL.index(max(pL))][2][0],
",",
sep="")
print(" \"closeTerm\" : ",
paramList[pL.index(max(pL))][2][1],
",",
sep="")
if paramList[pL.index(max(pL))][3][0] is None:
print(" \"rangePercent\" : ", "null,", sep="")
else:
print(" \"rangePercent\" : ",
paramList[pL.index(max(pL))][3][0],
",",
sep="")
if paramList[pL.index(max(pL))][3][1] is None:
print(" \"rangePercentTerm\" : ", "null,", sep="")
else:
print(" \"rangePercentTerm\" : ",
paramList[pL.index(max(pL))][3][1],
",",
sep="")
if paramList[pL.index(max(pL))][4][1] is None:
print(" \"rangeTerm\" : ", "null,", sep="")
else:
print(" \"rangeTerm\" : ",
paramList[pL.index(max(pL))][4][1],
",",
sep="")
if paramList[pL.index(max(pL))][4][0] is None:
print(" \"rangeTh\" : ", "null,", sep="")
else:
print(" \"rangeTh\" : ",
paramList[pL.index(max(pL))][4][0],
",",
sep="")
print(" \"waitTerm\" : ",
paramList[pL.index(max(pL))][5][0],
",",
sep="")
print(" \"waitTh\" : ", paramList[pL.index(max(pL))][5][1], ",", sep="")
print(" \"candleTerm\" : \"",
paramList[pF.index(max(pF))][6],
"T\",",
sep="")
datefmt='%Y-%m-%d %H:%M:%S')
logfile = logging.handlers.TimedRotatingFileHandler(
filename='log/trade.log', when='midnight')
logfile.setLevel(logging.INFO)
logfile.setFormatter(
logging.Formatter(fmt='%(asctime)s %(levelname)s: %(message)s',
datefmt='%Y-%m-%d %H:%M:%S'))
logging.getLogger('').addHandler(logfile)
logging.info('Wait...')
#config.jsonの読み込み
f = open('config.json', 'r', encoding="utf-8")
config = json.load(f)
#channelBreakOut設定値
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.lot = config["lotSize"]
channelBreakOut.entryTerm = config["entryTerm"]
channelBreakOut.closeTerm = config["closeTerm"]
channelBreakOut.rangePercent = config["rangePercent"]
channelBreakOut.rangePercentTerm = config["rangePercentTerm"]
channelBreakOut.rangeTerm = config["rangeTerm"]
channelBreakOut.rangeTh = config["rangeTh"]
channelBreakOut.waitTerm = config["waitTerm"]
channelBreakOut.waitTh = config["waitTh"]
channelBreakOut.candleTerm = config["candleTerm"]
channelBreakOut.fileName = None
# 約定履歴ファイルを引き継がない場合は削除
if config["keepPosition"] == False:
try:
def describe(params):
# パラメータごとに呼ばれる
i, j, k, l, m, cost, mlMode, fileName, n, o, p, q, r, s, t = params
# ファイル読み込みは最初の１回だけ
global channelBreakOut
if channelBreakOut:
pass
else:
channelBreakOut = channel.ChannelBreakOut()
# channelBreakOut = maCross.MACross()
channelBreakOut.entryTerm = i[0]
channelBreakOut.closeTerm = i[1]
channelBreakOut.rangeTh = j[0]
channelBreakOut.rangeTerm = j[1]
channelBreakOut.waitTerm = k[0]
channelBreakOut.waitTh = k[1]
channelBreakOut.rangePercent = l[0]
channelBreakOut.rangePercentTerm = l[1]
channelBreakOut.candleTerm = str(m) + "T"
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
channelBreakOut.method = n
channelBreakOut.price_range_limit = o
channelBreakOut.tmp2 = p
channelBreakOut.tmp1 = q
channelBreakOut.filtter_param = r
channelBreakOut.filtter = s
channelBreakOut.offset_raitio = t
channelBreakOut.showFigure = False
logging.info("===========Test pattern===========")
logging.info('fileName:%s', channelBreakOut.fileName)
logging.info('method:%s', channelBreakOut.method)
logging.info('candleTerm:%s', channelBreakOut.candleTerm)
logging.info('rangePercent:%s rangePercentTerm:%s',
channelBreakOut.rangePercent,
channelBreakOut.rangePercentTerm)
logging.info('entryTerm:%s closeTerm:%s', channelBreakOut.entryTerm,
channelBreakOut.closeTerm)
logging.info('gyakubari:%s', channelBreakOut.gyakubari)
logging.info('filtter_param:%s', channelBreakOut.filtter_param)
logging.info('tmp1:%s', channelBreakOut.tmp1)
logging.info('tmp2:%s', channelBreakOut.tmp2)
logging.info('cost:%s', channelBreakOut.cost)
logging.info('filtter:%s', channelBreakOut.filtter)
logging.info('mlMode:%s', mlMode)
logging.info('trailingStop:%s', channelBreakOut.trailingStop)
logging.info('offset_raitio:%s', channelBreakOut.offset_raitio)
logging.info("===========Backtest===========")
channelBreakOut.readFile()
channelBreakOut.calcPriceRange()
pl, profitFactor, maxLoss, winPer, ev, nOfTrade, winTotal, loseTotal = channelBreakOut.describeResult(
)
a = None
b = None
if "PFDD" in mlMode:
result = profitFactor / maxLoss
elif "PL" in mlMode:
result = -pl
elif "PF" in mlMode:
result = -profitFactor
elif "DD" in mlMode:
result = maxLoss
elif "WIN" in mlMode:
result = -winPer
elif "EV" in mlMode:
result = -ev
elif "winTotal" in mlMode:
result = -winTotal
elif "SAITO":
if nOfTrade / channelBreakOut.nissuu < 1:
a = nOfTrade / channelBreakOut.nissuu * nOfTrade / channelBreakOut.nissuu
else:
a = math.sqrt(
math.sqrt(math.sqrt(nOfTrade / channelBreakOut.nissuu))) / 5
if channelBreakOut.candleTerm == "1T":
b = profitFactor
elif channelBreakOut.candleTerm == "5T":
b = math.sqrt(profitFactor)
elif channelBreakOut.candleTerm == "15T":
b = math.sqrt(math.sqrt(profitFactor))
result = -(pl / channelBreakOut.nissuu / 5000 + a + b)
logging.info("===========Assessment===========")
logging.info('1day pl:%s', pl / channelBreakOut.nissuu / 5000)
logging.info('1day trade:%s', a)
logging.info('PF:%s', b)
logging.info('Result:%s', result)
return result
def optimization(cost, fileName, hyperopt, mlMode, showTradeDetail):
#optimizeList.jsonの読み込み
f = open('config/optimizeList.json', 'r', encoding="utf-8")
config = json.load(f)
entryAndCloseTerm = config["entryAndCloseTerm"]
rangeThAndrangeTerm = config["rangeThAndrangeTerm"]
waitTermAndwaitTh = config["waitTermAndwaitTh"]
rangePercentList = config["rangePercentList"]
linePattern = config["linePattern"]
termUpper = config["termUpper"]
candleTerm = config["candleTerm"]
method = config["method"]
price_range_limit = config["price_range_limit"]
tmp2 = config["tmp2"]
tmp1 = config["tmp1"]
filtter_param = config["filtter_param"]
filtter = config["filtter"]
trailingStop = config["trailingStop"]
offset_raitio = config["offset_raitio"]
if "COMB" in linePattern:
if trailingStop == 'True':
# クローズロジックないので1に固定
entryAndCloseTerm = list(
itertools.product(range(2, termUpper[0], 2), range(2, 3)))
else:
entryAndCloseTerm = list(
itertools.product(range(2, termUpper[0], 2),
range(2, termUpper[1], 2)))
entryAndCloseTerm = [i for i in entryAndCloseTerm if i[0] >= i[1]]
total = len(entryAndCloseTerm) * len(rangeThAndrangeTerm) * len(
waitTermAndwaitTh) * len(rangePercentList) * len(candleTerm) * len(
method) * len(price_range_limit) * len(tmp2) * len(tmp1) * len(
filtter_param) * len(filtter) * len(offset_raitio)
logging.info('Total pattern:%s Searches:%s', total, hyperopt)
logging.info("======Optimization start======")
#hyperoptによる最適値の算出
space = [
hp.choice('i', entryAndCloseTerm),
hp.choice('j', rangeThAndrangeTerm),
hp.choice('k', waitTermAndwaitTh),
hp.choice('l', rangePercentList),
hp.choice('m', candleTerm), cost, mlMode, fileName,
hp.choice('n', method),
hp.choice('o', price_range_limit),
hp.choice('p', tmp2),
hp.choice('q', tmp1),
hp.choice('r', filtter_param),
hp.choice('s', filtter),
hp.choice('t', offset_raitio)
]
result = fmin(describe, space, algo=tpe.suggest, max_evals=hyperopt)
logging.info("======Optimization finished======")
channelBreakOut = channel.ChannelBreakOut()
channelBreakOut.entryTerm = entryAndCloseTerm[result['i']][0]
channelBreakOut.closeTerm = entryAndCloseTerm[result['i']][1]
channelBreakOut.rangeTh = rangeThAndrangeTerm[result['j']][0]
channelBreakOut.rangeTerm = rangeThAndrangeTerm[result['j']][1]
channelBreakOut.waitTerm = waitTermAndwaitTh[result['k']][0]
channelBreakOut.waitTh = waitTermAndwaitTh[result['k']][1]
channelBreakOut.rangePercent = rangePercentList[result['l']][0]
channelBreakOut.rangePercentTerm = rangePercentList[result['l']][1]
channelBreakOut.candleTerm = str(candleTerm[result['m']]) + "T"
channelBreakOut.cost = cost
channelBreakOut.fileName = fileName
channelBreakOut.showTradeDetail = showTradeDetail
logging.info("======Best pattern======")
logging.info('candleTerm:%s mlMode:%s', channelBreakOut.candleTerm, mlMode)
logging.info('entryTerm:%s closeTerm:%s', channelBreakOut.entryTerm,
channelBreakOut.closeTerm)
logging.info('rangePercent:%s rangePercentTerm:%s',
channelBreakOut.rangePercent,
channelBreakOut.rangePercentTerm)
logging.info('rangeTerm:%s rangeTh:%s', channelBreakOut.rangeTerm,
channelBreakOut.rangeTh)
logging.info('waitTerm:%s waitTh:%s', channelBreakOut.waitTerm,
channelBreakOut.waitTh)
logging.info("======Backtest======")
channelBreakOut.describeResult()
#config.json設定用ログ
print("======config======")
print(" \"entryTerm\" : ", channelBreakOut.entryTerm, ",", sep="")
print(" \"closeTerm\" : ", channelBreakOut.closeTerm, ",", sep="")
if channelBreakOut.rangePercent is None:
print(" \"rangePercent\" : ", "null,", sep="")
else:
print(" \"rangePercent\" : ",
channelBreakOut.rangePercent,
",",
sep="")
if channelBreakOut.rangePercentTerm is None:
print(" \"rangePercentTerm\" : ", "null,", sep="")
else:
print(" \"rangePercentTerm\" : ",
channelBreakOut.rangePercentTerm,
",",
sep="")
if channelBreakOut.rangeTerm is None:
print(" \"rangeTerm\" : ", "null,", sep="")
else:
print(" \"rangeTerm\" : ", channelBreakOut.rangeTerm, ",", sep="")
if channelBreakOut.rangeTh is None:
print(" \"rangeTh\" : ", "null,", sep="")
else:
print(" \"rangeTh\" : ", channelBreakOut.rangeTh, ",", sep="")
print(" \"waitTerm\" : ", channelBreakOut.waitTerm, ",", sep="")
print(" \"waitTh\" : ", channelBreakOut.waitTh, ",", sep="")
print(" \"candleTerm\" : \"", channelBreakOut.candleTerm, "\",", sep="")
print("==================")
