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Simplify hyperopt drawdown logic

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Reduces tons of fallback logic
This commit is contained in:
Matthias
2024-05-19 17:57:05 +02:00
parent a9f13d29fd
commit 3bf02c8a64
2 changed files with 9 additions and 16 deletions
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23
freqtrade/optimize/hyperopt_tools.py
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@@ -358,14 +358,15 @@ class HyperoptTools:
) )
@staticmethod @staticmethod
def prepare_trials_columns(trials: pd.DataFrame, has_drawdown: bool) -> pd.DataFrame: def prepare_trials_columns(trials: pd.DataFrame) -> pd.DataFrame:
trials["Best"] = "" trials["Best"] = ""
if "results_metrics.winsdrawslosses" not in trials.columns: if "results_metrics.winsdrawslosses" not in trials.columns:
# Ensure compatibility with older versions of hyperopt results # Ensure compatibility with older versions of hyperopt results
trials["results_metrics.winsdrawslosses"] = "N/A" trials["results_metrics.winsdrawslosses"] = "N/A"
if not has_drawdown: has_account_drawdown = "results_metrics.max_drawdown_account" in trials.columns
if not has_account_drawdown:
# Ensure compatibility with older versions of hyperopt results # Ensure compatibility with older versions of hyperopt results
trials["results_metrics.max_drawdown_account"] = None trials["results_metrics.max_drawdown_account"] = None
if "is_random" not in trials.columns: if "is_random" not in trials.columns:
@@ -389,7 +390,6 @@ class HyperoptTools:
"results_metrics.profit_total_abs", "results_metrics.profit_total_abs",
"results_metrics.profit_total", "results_metrics.profit_total",
"results_metrics.holding_avg", "results_metrics.holding_avg",
"results_metrics.max_drawdown",
"results_metrics.max_drawdown_account", "results_metrics.max_drawdown_account",
"results_metrics.max_drawdown_abs", "results_metrics.max_drawdown_abs",
"loss", "loss",
@@ -408,7 +408,6 @@ class HyperoptTools:
"Total profit", "Total profit",
"Profit", "Profit",
"Avg duration", "Avg duration",
"max_drawdown",
"max_drawdown_account", "max_drawdown_account",
"max_drawdown_abs", "max_drawdown_abs",
"Objective", "Objective",
@@ -437,9 +436,7 @@ class HyperoptTools:
tabulate.PRESERVE_WHITESPACE = True tabulate.PRESERVE_WHITESPACE = True
trials = json_normalize(results, max_level=1) trials = json_normalize(results, max_level=1)
has_account_drawdown = "results_metrics.max_drawdown_account" in trials.columns trials = HyperoptTools.prepare_trials_columns(trials)
trials = HyperoptTools.prepare_trials_columns(trials, has_account_drawdown)
trials["is_profit"] = False trials["is_profit"] = False
trials.loc[trials["is_initial_point"] | trials["is_random"], "Best"] = "* " trials.loc[trials["is_initial_point"] | trials["is_random"], "Best"] = "* "
@@ -471,23 +468,19 @@ class HyperoptTools:
stake_currency = config["stake_currency"] stake_currency = config["stake_currency"]
trials[f"Max Drawdown{' (Acct)' if has_account_drawdown else ''}"] = trials.apply( trials["Max Drawdown (Acct)"] = trials.apply(
lambda x: ( lambda x: (
"{} {}".format( "{} {}".format(
fmt_coin(x["max_drawdown_abs"], stake_currency, keep_trailing_zeros=True), fmt_coin(x["max_drawdown_abs"], stake_currency, keep_trailing_zeros=True),
( (f"({x['max_drawdown_account']:,.2%})").rjust(10, " "),
f"({x['max_drawdown_account']:,.2%})"
if has_account_drawdown
else f"({x['max_drawdown']:,.2%})"
).rjust(10, " "),
).rjust(25 + len(stake_currency)) ).rjust(25 + len(stake_currency))
if x["max_drawdown"] != 0.0 or x["max_drawdown_account"] != 0.0 if x["max_drawdown_account"] != 0.0
else "--".rjust(25 + len(stake_currency)) else "--".rjust(25 + len(stake_currency))
), ),
axis=1, axis=1,
) )
trials = trials.drop(columns=["max_drawdown_abs", "max_drawdown", "max_drawdown_account"]) trials = trials.drop(columns=["max_drawdown_abs", "max_drawdown_account"])
trials["Profit"] = trials.apply( trials["Profit"] = trials.apply(
lambda x: ( lambda x: (

2
tests/optimize/test_hyperopt.py
View File

@@ -47,7 +47,7 @@ def generate_result_metrics():
"profit_total_abs": 0.001, "profit_total_abs": 0.001,
"profit_total": 0.01, "profit_total": 0.01,
"holding_avg": timedelta(minutes=20), "holding_avg": timedelta(minutes=20),
"max_drawdown": 0.001, "max_drawdown_account": 0.001,
"max_drawdown_abs": 0.001, "max_drawdown_abs": 0.001,
"loss": 0.001, "loss": 0.001,
"is_initial_point": 0.001, "is_initial_point": 0.001,