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✨ Feature/timeframe zoom #5

Merged
merged 6 commits into from
Apr 17, 2021
Merged

✨ Feature/timeframe zoom #5

merged 6 commits into from
Apr 17, 2021

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mattangus
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This PR adds a timeframe zoom feature. When backtesting it will check that you are using 1 or 5m timeframe and throws an error if otherwise. It's a bit annoying to change all the time but I don't think there is a good solution to do it automatically (without a bunch of overhead when running live). It also makes sure that you don't forget to change it back and start running the strat live at 5m.

This is pretty much ripped off of Obelisk with a few small improvements.

  • Automatic startup_candle_count conversion when backtesting
  • filtering out informative pair data from before the start date of backtesting

Here are some backtesting results using v0.8.1 weights and original coin list:

    Backtesting with 1h candles                             Backtesting with 5m candles                         Backtesting with 1m candles
    and 1h indicators                                       and 1h indicators                                   and 1h indicators

=============== SUMMARY METRICS ===============    =============== SUMMARY METRICS ===============    =============== SUMMARY METRICS ===============
| Metric                | Value               |    | Metric                | Value               |    | Metric                | Value               |
|-----------------------+---------------------|    |-----------------------+---------------------|    |-----------------------+---------------------|
| Backtesting from      | 2021-03-16 00:00:00 |    | Backtesting from      | 2021-03-16 00:00:00 |    | Backtesting from      | 2021-03-16 00:00:00 |
| Backtesting to        | 2021-04-12 18:00:00 |    | Backtesting to        | 2021-04-12 20:05:00 |    | Backtesting to        | 2021-04-12 20:15:00 |
| Max open trades       | 15                  |    | Max open trades       | 15                  |    | Max open trades       | 15                  |
|                       |                     |    |                       |                     |    |                       |                     |
| Total trades          | 519                 |    | Total trades          | 543                 |    | Total trades          | 557                 |
| Starting balance      | 0.03000000 BTC      |    | Starting balance      | 0.03000000 BTC      |    | Starting balance      | 0.03000000 BTC      |
| Final balance         | 0.03439923 BTC      |    | Final balance         | 0.03122258 BTC      |    | Final balance         | 0.03177557 BTC      |
| Absolute profit       | 0.00439923 BTC      |    | Absolute profit       | 0.00122258 BTC      |    | Absolute profit       | 0.00177557 BTC      |
| Total profit %        | 14.66%              |    | Total profit %        | 4.08%               |    | Total profit %        | 5.92%               |
| Trades per day        | 19.22               |    | Trades per day        | 20.11               |    | Trades per day        | 20.63               |
| Avg. stake amount     | 0.00100000 BTC      |    | Avg. stake amount     | 0.00100000 BTC      |    | Avg. stake amount     | 0.00100000 BTC      |
| Total trade volume    | 0.51900000 BTC      |    | Total trade volume    | 0.54300000 BTC      |    | Total trade volume    | 0.55700000 BTC      |
|                       |                     |    |                       |                     |    |                       |                     |
| Best Pair             | XRP/BTC 117.26%     |    | Best Pair             | XRP/BTC 52.1%       |    | Best Pair             | XRP/BTC 47.27%      |
| Worst Pair            | ATOM/BTC -7.2%      |    | Worst Pair            | ATOM/BTC -14.56%    |    | Worst Pair            | ALGO/BTC -10.52%    |
| Best trade            | BAT/BTC 14.53%      |    | Best trade            | IOTA/BTC 11.82%     |    | Best trade            | IOTA/BTC 11.82%     |
| Worst trade           | BAT/BTC -16.7%      |    | Worst trade           | BAT/BTC -16.7%      |    | Worst trade           | BAT/BTC -16.7%      |
| Best day              | 0.00118662 BTC      |    | Best day              | 0.00077558 BTC      |    | Best day              | 0.00083949 BTC      |
| Worst day             | -0.00058256 BTC     |    | Worst day             | -0.00069658 BTC     |    | Worst day             | -0.00068235 BTC     |
| Days win/draw/lose    | 18 / 0 / 10         |    | Days win/draw/lose    | 17 / 0 / 11         |    | Days win/draw/lose    | 18 / 0 / 10         |
| Avg. Duration Winners | 7:02:00             |    | Avg. Duration Winners | 7:31:00             |    | Avg. Duration Winners | 7:18:00             |
| Avg. Duration Loser   | 21:35:00            |    | Avg. Duration Loser   | 22:17:00            |    | Avg. Duration Loser   | 22:03:00            |
|                       |                     |    |                       |                     |    |                       |                     |
| Min balance           | 0.03002119 BTC      |    | Min balance           | 0.03001877 BTC      |    | Min balance           | 0.03002380 BTC      |
| Max balance           | 0.03502614 BTC      |    | Max balance           | 0.03228575 BTC      |    | Max balance           | 0.03272172 BTC      |
| Drawdown              | 63.05%              |    | Drawdown              | 106.67%             |    | Drawdown              | 94.52%              |
| Drawdown              | 0.00063117 BTC      |    | Drawdown              | 0.00106771 BTC      |    | Drawdown              | 0.00094615 BTC      |
| Drawdown high         | 0.00182573 BTC      |    | Drawdown high         | 0.00228575 BTC      |    | Drawdown high         | 0.00272172 BTC      |
| Drawdown low          | 0.00119456 BTC      |    | Drawdown low          | 0.00121804 BTC      |    | Drawdown low          | 0.00177557 BTC      |
| Drawdown Start        | 2021-03-18 03:00:00 |    | Drawdown Start        | 2021-04-07 05:50:00 |    | Drawdown Start        | 2021-04-07 05:54:00 |
| Drawdown End          | 2021-03-19 18:00:00 |    | Drawdown End          | 2021-04-12 20:05:00 |    | Drawdown End          | 2021-04-12 20:15:00 |
| Market change         | 36.19%              |    | Market change         | 49.78%              |    | Market change         | 45.3%               |
===============================================    ===============================================    ===============================================

Running a hyperopt with this new feature gives less tight results for trailing stoploss:

trailing_stop = True
trailing_stop_positive = 0.2886
trailing_stop_positive_offset = 0.30253
trailing_only_offset_is_reached = False

@mattangus
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Some hyperopt results with this PR:

+--------+-----------+----------+------------------+--------------+--------------+-----------------+---------------+------------------------------+----------------+-------------+
|   Best |     Epoch |   Trades |    Win Draw Loss |   Avg profit |   Profit STD |   Profit Median |   Profit Skew |                       Profit |   Avg duration |   Objective |
|--------+-----------+----------+------------------+--------------+--------------+-----------------+---------------+------------------------------+----------------+-------------|
| * Best |    1/1000 |      194 |     51   34  109 |       -0.23% |        4.50% |          -0.73% |         5.421 |   -0.00044144 BTC  (-44.10%) |        527.5 m |     4.08573 |
| * Best |    2/1000 |      379 |    160  114  105 |        0.04% |        2.26% |           0.00% |        -0.282 |    0.00014883 BTC   (14.86%) |        432.7 m |     0.42294 |                        
| * Best |    3/1000 |      254 |    134   91   29 |        0.45% |        2.15% |           0.06% |        -1.236 |    0.00113242 BTC  (113.12%) |        449.5 m |    -14.6017 |
| * Best |    7/1000 |      183 |     91   41   51 |        0.32% |        1.81% |           0.00% |         0.587 |    0.00058981 BTC   (58.92%) |        374.1 m |    -17.4184 |
| * Best |   10/1000 |      180 |     54  121    5 |        1.76% |        6.35% |           0.00% |          5.22 |    0.00316690 BTC  (316.37%) |      2,383.4 m |    -125.093 |
|   Best |   71/1000 |      204 |     73  126    5 |        1.64% |        5.98% |           0.00% |         5.551 |    0.00334239 BTC  (333.90%) |      2,187.0 m |    -221.266 |                        
|   Best |  137/1000 |      266 |    113  151    2 |        0.62% |        1.27% |           0.00% |         0.826 |    0.00165039 BTC  (164.87%) |        637.2 m |    -290.658 |                        
|   Best |  213/1000 |      251 |    129  121    1 |        0.73% |        1.15% |           0.05% |          1.82 |    0.00183552 BTC  (183.38%) |        700.5 m | -1,293.18562 |                       
|   Best |  598/1000 |      154 |     70   77    7 |        2.57% |        7.69% |           0.00% |         4.388 |    0.00396557 BTC  (396.16%) |      3,043.1 m | -1,596.88689 |                       
|   Best |  823/1000 |       96 |     58   31    7 |        1.43% |        3.18% |           0.43% |         2.437 |    0.00137816 BTC  (137.68%) |      1,184.3 m | -2,261.59710 |                       
 [Epoch 1000 of 1000 (100%)] ||                                                                                                                                  | [Time:  0:28:20, Elapsed Time: 0:28:20]
2021-04-12 23:58:28,441 - freqtrade.optimize.hyperopt - INFO - 1000 epochs saved to 'mgm_user_data/hyperopt_results/strategy_MoniGoManiHyperStrategy_hyperopt_results_2021-04-12_23-29-54.pickle'.

Best result:

   823/1000:     96 trades. 58/31/7 Wins/Draws/Losses. Avg profit   1.43%. Median profit   0.43%. Total profit  0.00137816 BTC ( 137.68Σ%). Avg duration 1184.3 min. Objective: -2261.59710


    # Buy hyperspace params:
    buy_params = {
        'buy__downwards_trend_total_signal_needed': 73,
        'buy__sideways_trend_total_signal_needed': 32,
        'buy__upwards_trend_total_signal_needed': 33,
        'buy_downwards_trend_adx_strong_up_weight': 96,
        'buy_downwards_trend_bollinger_bands_weight': 71,
        'buy_downwards_trend_ema_long_golden_cross_weight': 31,
        'buy_downwards_trend_ema_short_golden_cross_weight': 93,
        'buy_downwards_trend_macd_weight': 15,
        'buy_downwards_trend_rsi_weight': 77,
        'buy_downwards_trend_sma_long_golden_cross_weight': 84,
        'buy_downwards_trend_sma_short_golden_cross_weight': 84,
        'buy_downwards_trend_vwap_cross_weight': 85,
        'buy_sideways_trend_adx_strong_up_weight': 6,
        'buy_sideways_trend_bollinger_bands_weight': 75,
        'buy_sideways_trend_ema_long_golden_cross_weight': 2,
        'buy_sideways_trend_ema_short_golden_cross_weight': 42,
        'buy_sideways_trend_macd_weight': 50,
        'buy_sideways_trend_rsi_weight': 7,
        'buy_sideways_trend_sma_long_golden_cross_weight': 26,
        'buy_sideways_trend_sma_short_golden_cross_weight': 29,
        'buy_sideways_trend_vwap_cross_weight': 50,
        'buy_upwards_trend_adx_strong_up_weight': 71,
        'buy_upwards_trend_bollinger_bands_weight': 83,
        'buy_upwards_trend_ema_long_golden_cross_weight': 10,
        'buy_upwards_trend_ema_short_golden_cross_weight': 3,
        'buy_upwards_trend_macd_weight': 63,
        'buy_upwards_trend_rsi_weight': 56,
        'buy_upwards_trend_sma_long_golden_cross_weight': 83,
        'buy_upwards_trend_sma_short_golden_cross_weight': 47,
        'buy_upwards_trend_vwap_cross_weight': 59
    }

    # Sell hyperspace params:
    sell_params = {
        'sell___trades_when_downwards': False,
        'sell___trades_when_sideways': False,
        'sell___trades_when_upwards': True,
        'sell__downwards_trend_total_signal_needed': 38,
        'sell__sideways_trend_total_signal_needed': 3,
        'sell__upwards_trend_total_signal_needed': 0,
        'sell_downwards_trend_adx_strong_down_weight': 65,
        'sell_downwards_trend_bollinger_bands_weight': 41,
        'sell_downwards_trend_ema_long_death_cross_weight': 9,
        'sell_downwards_trend_ema_short_death_cross_weight': 51,
        'sell_downwards_trend_macd_weight': 25,
        'sell_downwards_trend_rsi_weight': 90,
        'sell_downwards_trend_sma_long_death_cross_weight': 14,
        'sell_downwards_trend_sma_short_death_cross_weight': 59,
        'sell_downwards_trend_vwap_cross_weight': 65,
        'sell_sideways_trend_adx_strong_down_weight': 64,
        'sell_sideways_trend_bollinger_bands_weight': 75,
        'sell_sideways_trend_ema_long_death_cross_weight': 26,
        'sell_sideways_trend_ema_short_death_cross_weight': 2,
        'sell_sideways_trend_macd_weight': 7,
        'sell_sideways_trend_rsi_weight': 94,
        'sell_sideways_trend_sma_long_death_cross_weight': 91,
        'sell_sideways_trend_sma_short_death_cross_weight': 74,
        'sell_sideways_trend_vwap_cross_weight': 9,
        'sell_upwards_trend_adx_strong_down_weight': 48,
        'sell_upwards_trend_bollinger_bands_weight': 65,
        'sell_upwards_trend_ema_long_death_cross_weight': 0,
        'sell_upwards_trend_ema_short_death_cross_weight': 8,
        'sell_upwards_trend_macd_weight': 95,
        'sell_upwards_trend_rsi_weight': 89,
        'sell_upwards_trend_sma_long_death_cross_weight': 72,
        'sell_upwards_trend_sma_short_death_cross_weight': 88,
        'sell_upwards_trend_vwap_cross_weight': 40
    }

    # ROI table:
    minimal_roi = {
        "0": 0.23559,
        "35": 0.10767,
        "53": 0.03859,
        "68": 0
    }

    # Stoploss:
    stoploss = -0.2861

    # Trailing stop:
    trailing_stop = True
    trailing_stop_positive = 0.33797
    trailing_stop_positive_offset = 0.34327
    trailing_only_offset_is_reached = False

============================================================ BACKTESTING REPORT ============================================================
|     Pair |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % |     Avg Duration |   Wins |   Draws |   Losses |
|----------+--------+----------------+----------------+------------------+----------------+------------------+--------+---------+----------|
| IOTA/BTC |     51 |           2.46 |         125.35 |       0.00125473 |           4.18 |   1 day, 3:21:00 |     22 |      22 |        7 |
|  BRD/BTC |     39 |           2.84 |         110.87 |       0.00110983 |           3.70 |   1 day, 0:56:00 |     22 |      10 |        7 |
| ATOM/BTC |     38 |           2.20 |          83.75 |       0.00083833 |           2.79 |  1 day, 14:24:00 |     16 |      12 |       10 |
| ALGO/BTC |     69 |           1.09 |          75.10 |       0.00075177 |           2.51 |         19:53:00 |     29 |      31 |        9 |
|  NXS/BTC |     24 |           2.14 |          51.26 |       0.00051315 |           1.71 |  1 day, 17:49:00 |     15 |       4 |        5 |
|  XTZ/BTC |     52 |           0.93 |          48.46 |       0.00048510 |           1.62 |   1 day, 1:21:00 |     23 |      21 |        8 |
|  BAT/BTC |     59 |           0.68 |          39.92 |       0.00039960 |           1.33 |         23:41:00 |     25 |      24 |       10 |
|  ETH/BTC |     33 |           0.88 |          29.15 |       0.00029177 |           0.97 |  1 day, 21:07:00 |     12 |      16 |        5 |
| LINK/BTC |     26 |           0.21 |           5.35 |       0.00005358 |           0.18 | 2 days, 10:54:00 |     11 |       7 |        8 |
|  NEO/BTC |     40 |           0.09 |           3.77 |       0.00003778 |           0.13 |  1 day, 12:14:00 |     13 |      19 |        8 |
|  EOS/BTC |     45 |          -0.24 |         -10.65 |      -0.00010660 |          -0.36 |   1 day, 7:27:00 |     15 |      20 |       10 |
|  LTC/BTC |     46 |          -0.41 |         -19.02 |      -0.00019037 |          -0.63 |   1 day, 6:32:00 |     16 |      23 |        7 |
|  BCH/BTC |     48 |          -0.43 |         -20.61 |      -0.00020627 |          -0.69 |   1 day, 4:35:00 |     14 |      25 |        9 |
|  XMR/BTC |     38 |          -0.79 |         -30.19 |      -0.00030215 |          -1.01 |  1 day, 11:21:00 |     14 |      16 |        8 |
|  XRP/BTC |     26 |          -1.67 |         -43.46 |      -0.00043503 |          -1.45 | 2 days, 10:19:00 |      7 |       9 |       10 |
|    TOTAL |    634 |           0.71 |         449.07 |       0.00449522 |          14.98 |   1 day, 8:14:00 |    254 |     259 |      121 |
======================================================== SELL REASON STATS =========================================================
|        Sell Reason |   Sells |   Wins |   Draws |   Losses |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % |
|--------------------+---------+--------+---------+----------+----------------+----------------+------------------+----------------|
|                roi |     506 |    247 |     259 |        0 |           2.25 |        1140.5  |       0.0114164  |          76.03 |
|        sell_signal |     100 |      1 |       0 |       99 |          -4.63 |        -463.07 |      -0.0046353  |         -30.87 |
| trailing_stop_loss |      16 |      3 |       0 |       13 |         -10.93 |        -174.93 |      -0.00175108 |         -11.66 |
|         force_sell |      12 |      3 |       0 |        9 |          -4.45 |         -53.43 |      -0.00053484 |          -3.56 |
========================================================= LEFT OPEN TRADES REPORT ==========================================================
|     Pair |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % |     Avg Duration |   Wins |   Draws |   Losses |
|----------+--------+----------------+----------------+------------------+----------------+------------------+--------+---------+----------|
|  EOS/BTC |      1 |           3.26 |           3.26 |       0.00003266 |           0.11 |         20:00:00 |      1 |       0 |        0 |
| ATOM/BTC |      1 |           0.87 |           0.87 |       0.00000875 |           0.03 |  5 days, 6:00:00 |      1 |       0 |        0 |
|  BAT/BTC |      1 |           0.76 |           0.76 |       0.00000758 |           0.03 |  1 day, 21:00:00 |      1 |       0 |        0 |
|  BCH/BTC |      1 |          -0.88 |          -0.88 |      -0.00000885 |          -0.03 |   1 day, 7:45:00 |      0 |       0 |        1 |
| ALGO/BTC |      1 |          -1.12 |          -1.12 |      -0.00001122 |          -0.04 |  6 days, 5:00:00 |      0 |       0 |        1 |
|  LTC/BTC |      1 |          -1.89 |          -1.89 |      -0.00001889 |          -0.06 |         14:00:00 |      0 |       0 |        1 |
| IOTA/BTC |      1 |          -2.93 |          -2.93 |      -0.00002936 |          -0.10 | 2 days, 18:00:00 |      0 |       0 |        1 |
|  NEO/BTC |      1 |          -4.33 |          -4.33 |      -0.00004334 |          -0.14 | 3 days, 18:00:00 |      0 |       0 |        1 |
|  ETH/BTC |      1 |          -5.57 |          -5.57 |      -0.00005578 |          -0.19 |  6 days, 0:00:00 |      0 |       0 |        1 |
|  XTZ/BTC |      1 |         -11.49 |         -11.49 |      -0.00011500 |          -0.38 | 5 days, 14:00:00 |      0 |       0 |        1 |
|  XRP/BTC |      1 |         -14.30 |         -14.30 |      -0.00014315 |          -0.48 | 8 days, 14:00:00 |      0 |       0 |        1 |
| LINK/BTC |      1 |         -15.81 |         -15.81 |      -0.00015824 |          -0.53 | 11 days, 6:55:00 |      0 |       0 |        1 |
|    TOTAL |     12 |          -4.45 |         -53.43 |      -0.00053484 |          -1.78 | 4 days, 12:03:00 |      3 |       0 |        9 |
=============== SUMMARY METRICS ===============
| Metric                | Value               |
|-----------------------+---------------------|
| Backtesting from      | 2021-01-01 00:00:00 |
| Backtesting to        | 2021-03-16 00:00:00 |
| Max open trades       | 15                  |
|                       |                     |
| Total trades          | 634                 |
| Starting balance      | 0.03000000 BTC      |
| Final balance         | 0.03449522 BTC      |
| Absolute profit       | 0.00449522 BTC      |
| Total profit %        | 14.98%              |
| Trades per day        | 8.57                |
| Avg. stake amount     | 0.00100000 BTC      |
| Total trade volume    | 0.63400000 BTC      |
|                       |                     |
| Best Pair             | IOTA/BTC 125.35%    |
| Worst Pair            | XRP/BTC -43.46%     |
| Best trade            | IOTA/BTC 80.97%     |
| Worst trade           | BCH/BTC -28.2%      |
| Best day              | 0.00141317 BTC      |
| Worst day             | -0.00095597 BTC     |
| Days win/draw/lose    | 45 / 2 / 28         |
| Avg. Duration Winners | 1 day, 5:13:00      |
| Avg. Duration Loser   | 3 days, 16:27:00    |
|                       |                     |
| Min balance           | 0.02984296 BTC      |
| Max balance           | 0.03727175 BTC      |
| Drawdown              | 277.37%             |
| Drawdown              | 0.00277653 BTC      |
| Drawdown high         | 0.00727175 BTC      |
| Drawdown low          | 0.00449522 BTC      |
| Drawdown Start        | 2021-02-19 12:00:00 |
| Drawdown End          | 2021-03-16 00:00:00 |
| Market change         | -4.05%              |
===============================================

Signal importance report
--------------------------------------------------------------------
Stake currency:                       BTC

Total Overall Signal Importance:
--------------------------------------------------------------------
                                      avg |   down |   side |     up
adx_strong_up_down:                58.33% |  80.5% |  35.0% |  59.5%
bollinger_bands:                   68.33% |  56.0% |  75.0% |  74.0%
ema_long_golden_death_cross:        13.0% |  20.0% |  14.0% |   5.0%
ema_short_golden_death_cross:      33.17% |  72.0% |  22.0% |   5.5%
macd:                               42.5% |  20.0% |  28.5% |  79.0%
rsi:                               68.83% |  83.5% |  50.5% |  72.5%
sma_long_golden_death_cross:       61.67% |  49.0% |  58.5% |  77.5%
sma_short_golden_death_cross:       63.5% |  71.5% |  51.5% |  67.5%
vwap_cross:                        51.33% |  75.0% |  29.5% |  49.5%

Total Overall Buy Signal Importance:
--------------------------------------------------------------------
                                      avg |   down |   side |     up
adx_strong_up:                     57.67% |    96% |     6% |    71%
bollinger_bands:                   76.33% |    71% |    75% |    83%
ema_long_golden_cross:             14.33% |    31% |     2% |    10%
ema_short_golden_cross:             46.0% |    93% |    42% |     3%
macd:                              42.67% |    15% |    50% |    63%
rsi:                               46.67% |    77% |     7% |    56%
sma_long_golden_cross:             64.33% |    84% |    26% |    83%
sma_short_golden_cross:            53.33% |    84% |    29% |    47%
vwap_cross:                        64.67% |    85% |    50% |    59%

Total Overall Sell Signal Importance:
--------------------------------------------------------------------
                                      avg |   down |   side |     up
adx_strong_down:                    59.0% |    65% |    64% |    48%
bollinger_bands:                   60.33% |    41% |    75% |    65%
ema_long_death_cross:              11.67% |     9% |    26% |     0%
ema_short_death_cross:             20.33% |    51% |     2% |     8%
macd:                              42.33% |    25% |     7% |    95%
rsi:                                91.0% |    90% |    94% |    89%
sma_long_death_cross:               59.0% |    14% |    91% |    72%
sma_short_death_cross:             73.67% |    59% |    74% |    88%
vwap_cross:                         38.0% |    65% |     9% |    40%

Rikj000
Rikj000 reviewed Apr 12, 2021
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Seems to have hurt the total profit hyperopt spits out badly but at least now we should be able to get way more reliable test results!
I will pull this in for review/merging after I finish up the unclogger 😉
For readers unfamiliar with that this would fix:
https://brookmiles.github.io/freqtrade-stuff/backtesting-traps/

user_data/strategies/MoniGoManiHyperStrategy.py Outdated Show resolved Hide resolved
user_data/strategies/MoniGoManiHyperStrategy.py Outdated Show resolved Hide resolved
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Rikj000 commented Apr 17, 2021

Just updated the unclogger so it should be compatible with this PR now, about to start the merging 😉

However, I noticed that the hyperopted version with the used unclogger doesn't appear to be having issues with backtest exploitation at first sight.
Thus I believe testing with/without TimeFrame zooming in will still be interesting!

@Rikj000 Rikj000 merged commit 32ac982 into Rikj000:development Apr 17, 2021
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PoCk3T commented Apr 19, 2021

What this feature tested with the 'OnlyProfitHyperOptLoss' objective? It seems like it exacerbate the backtest trap

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Rikj000 commented Apr 19, 2021

What this feature tested with the OnlyProfitHyperOptLoss objective? It seems like it exacerbate the backtest trap

I have been testing this feature with SortinoHyperOptLossDaily but I'm not yet fully convinced behind of the benefit of the TimeFrame-Zoom feature.
But we can't tell for sure until a lot more testing has been done (Mostly in dry-run, so we can actually see if the bot will behave better even though HyperOpts total profit column shows lower results).
However the theory behind it appears very logical to me & if backtesting/hyperopting like this the test should indeed behave more like it would during dry/live running (Since then intra-candle price fluctuations are also taken into account).

If needed this feature can easily be turned off by setting both timeframe & backtest_timeframe to the same values!

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PoCk3T commented Apr 19, 2021

Sounds good, I will probably start dry-running myself now that I now the trick about removing 'timeframe' from the config JSON file :)

@Rikj000 Rikj000 added Feature - Enhancement Update or improvement to existing feature Feature - New New feature or pull request and removed Feature - Enhancement Update or improvement to existing feature labels Jun 1, 2021
@DevNadd DevNadd mentioned this pull request Jun 1, 2021
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@Rikj000 Rikj000 changed the title Feature/timeframe zoom ✨ Feature/timeframe zoom Sep 5, 2021
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