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hyperopt for AverageStrategy.py #58

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Apr 16, 2020
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151 changes: 151 additions & 0 deletions user_data/hyperopts/AverageHyperopt.py
Original file line number Diff line number Diff line change
@@ -0,0 +1,151 @@
import talib.abstract as ta
from pandas import DataFrame
from typing import Dict, Any, Callable, List
from functools import reduce

from skopt.space import Categorical, Dimension, Integer, Real

import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.optimize.hyperopt_interface import IHyperOpt

shortRangeBegin = 10
shortRangeEnd = 20
mediumRangeBegin = 100
mediumRangeEnd = 120


class AverageHyperopt(IHyperOpt):
"""
Hyperopt file for optimizing AverageStrategy.
Uses ranges of EMA periods to find the best parameter combination.
"""

@staticmethod
def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame:

for short in range(shortRangeBegin, shortRangeEnd):
dataframe[f'maShort({short})'] = ta.EMA(dataframe, timeperiod=short)

for medium in range(mediumRangeBegin, mediumRangeEnd):
dataframe[f'maMedium({medium})'] = ta.EMA(dataframe, timeperiod=medium)

return dataframe

@staticmethod
def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the buy strategy parameters to be used by hyperopt
"""
def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Buy strategy Hyperopt will build and use
"""
conditions = []
# TRIGGERS
if 'trigger' in params:
conditions.append(qtpylib.crossed_above(
dataframe[f"maShort({params['trigger'][0]})"],
dataframe[f"maMedium({params['trigger'][1]})"])
)

if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy'] = 1

return dataframe

return populate_buy_trend

@staticmethod
def indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching strategy parameters
"""
buyTriggerList = []
for short in range(shortRangeBegin, shortRangeEnd):
for medium in range(mediumRangeBegin, mediumRangeEnd):
# The output will be (short, long)
buyTriggerList.append(
(short, medium)
)
return [
Categorical(buyTriggerList, name='trigger')
]

@staticmethod
def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
"""
Define the sell strategy parameters to be used by hyperopt
"""
def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Sell strategy Hyperopt will build and use
"""
# print(params)
conditions = []

# TRIGGERS
if 'sell-trigger' in params:
conditions.append(qtpylib.crossed_above(
dataframe[f"maMedium({params['sell-trigger'][1]})"],
dataframe[f"maShort({params['sell-trigger'][0]})"])
)

if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'sell'] = 1

return dataframe

return populate_sell_trend

@staticmethod
def sell_indicator_space() -> List[Dimension]:
"""
Define your Hyperopt space for searching sell strategy parameters
"""
sellTriggerList = []
for short in range(shortRangeBegin, shortRangeEnd):
for medium in range(mediumRangeBegin, mediumRangeEnd):
# The output will be (short, long)
sellTriggerList.append(
(short, medium)
)

return [
Categorical(sellTriggerList, name='sell-trigger')
]

def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of from strategy
must align to populate_indicators in this file
Only used when --spaces does not include buy
"""
dataframe.loc[
(
qtpylib.crossed_above(
dataframe[f'maShort({shortRangeBegin})'],
dataframe[f'maMedium({mediumRangeBegin})'])
),
'buy'] = 1

return dataframe

def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of from strategy
must align to populate_indicators in this file
Only used when --spaces does not include sell
"""
dataframe.loc[
(
qtpylib.crossed_above(
dataframe[f'maMedium({mediumRangeBegin})'],
dataframe[f'maShort({shortRangeBegin})'])
),
'sell'] = 1

return dataframe
3 changes: 0 additions & 3 deletions user_data/strategies/berlinguyinca/AverageStrategy.py
Original file line number Diff line number Diff line change
@@ -1,7 +1,5 @@
# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from typing import Dict, List
from functools import reduce
from pandas import DataFrame
# --------------------------------

Expand Down Expand Up @@ -32,7 +30,6 @@ class AverageStrategy(IStrategy):
ticker_interval = '4h'

def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
macd = ta.MACD(dataframe)

dataframe['maShort'] = ta.EMA(dataframe, timeperiod=8)
dataframe['maMedium'] = ta.EMA(dataframe, timeperiod=21)
Expand Down