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Matthias
2024-05-12 16:41:08 +02:00
parent 6bfe7aa72d
commit 439b8a0320
7 changed files with 721 additions and 446 deletions
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156
freqtrade/strategy/parameters.py
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@@ -2,6 +2,7 @@
IHyperStrategy interface, hyperoptable Parameter class.
This module defines a base class for auto-hyperoptable strategies.
"""
import logging
from abc import ABC, abstractmethod
from contextlib import suppress
@@ -26,14 +27,22 @@ class BaseParameter(ABC):
"""
Defines a parameter that can be optimized by hyperopt.
"""
category: Optional[str]
default: Any
value: Any
in_space: bool = False
name: str
def __init__(self, *, default: Any, space: Optional[str] = None,
optimize: bool = True, load: bool = True, **kwargs):
def __init__(
self,
*,
default: Any,
space: Optional[str] = None,
optimize: bool = True,
load: bool = True,
**kwargs,
):
"""
Initialize hyperopt-optimizable parameter.
:param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
@@ -43,9 +52,10 @@ class BaseParameter(ABC):
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.(Integer|Real|Categorical).
"""
if 'name' in kwargs:
if "name" in kwargs:
raise OperationalException(
'Name is determined by parameter field name and can not be specified manually.')
"Name is determined by parameter field name and can not be specified manually."
)
self.category = space
self._space_params = kwargs
self.value = default
@@ -53,10 +63,10 @@ class BaseParameter(ABC):
self.load = load
def __repr__(self):
return f'{self.__class__.__name__}({self.value})'
return f"{self.__class__.__name__}({self.value})"
@abstractmethod
def get_space(self, name: str) -> Union['Integer', 'Real', 'SKDecimal', 'Categorical']:
def get_space(self, name: str) -> Union["Integer", "Real", "SKDecimal", "Categorical"]:
"""
Get-space - will be used by Hyperopt to get the hyperopt Space
"""
@@ -70,14 +80,23 @@ class BaseParameter(ABC):
class NumericParameter(BaseParameter):
""" Internal parameter used for Numeric purposes """
"""Internal parameter used for Numeric purposes"""
float_or_int = Union[int, float]
default: float_or_int
value: float_or_int
def __init__(self, low: Union[float_or_int, Sequence[float_or_int]],
high: Optional[float_or_int] = None, *, default: float_or_int,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
def __init__(
self,
low: Union[float_or_int, Sequence[float_or_int]],
high: Optional[float_or_int] = None,
*,
default: float_or_int,
space: Optional[str] = None,
optimize: bool = True,
load: bool = True,
**kwargs,
):
"""
Initialize hyperopt-optimizable numeric parameter.
Cannot be instantiated, but provides the validation for other numeric parameters
@@ -92,17 +111,16 @@ class NumericParameter(BaseParameter):
:param kwargs: Extra parameters to skopt.space.*.
"""
if high is not None and isinstance(low, Sequence):
raise OperationalException(f'{self.__class__.__name__} space invalid.')
raise OperationalException(f"{self.__class__.__name__} space invalid.")
if high is None or isinstance(low, Sequence):
if not isinstance(low, Sequence) or len(low) != 2:
raise OperationalException(f'{self.__class__.__name__} space must be [low, high]')
raise OperationalException(f"{self.__class__.__name__} space must be [low, high]")
self.low, self.high = low
else:
self.low = low
self.high = high
super().__init__(default=default, space=space, optimize=optimize,
load=load, **kwargs)
super().__init__(default=default, space=space, optimize=optimize, load=load, **kwargs)
class IntParameter(NumericParameter):
@@ -111,8 +129,17 @@ class IntParameter(NumericParameter):
low: int
high: int
def __init__(self, low: Union[int, Sequence[int]], high: Optional[int] = None, *, default: int,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
def __init__(
self,
low: Union[int, Sequence[int]],
high: Optional[int] = None,
*,
default: int,
space: Optional[str] = None,
optimize: bool = True,
load: bool = True,
**kwargs,
):
"""
Initialize hyperopt-optimizable integer parameter.
:param low: Lower end (inclusive) of optimization space or [low, high].
@@ -126,10 +153,11 @@ class IntParameter(NumericParameter):
:param kwargs: Extra parameters to skopt.space.Integer.
"""
super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
load=load, **kwargs)
super().__init__(
low=low, high=high, default=default, space=space, optimize=optimize, load=load, **kwargs
)
def get_space(self, name: str) -> 'Integer':
def get_space(self, name: str) -> "Integer":
"""
Create skopt optimization space.
:param name: A name of parameter field.
@@ -155,9 +183,17 @@ class RealParameter(NumericParameter):
default: float
value: float
def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
default: float, space: Optional[str] = None, optimize: bool = True,
load: bool = True, **kwargs):
def __init__(
self,
low: Union[float, Sequence[float]],
high: Optional[float] = None,
*,
default: float,
space: Optional[str] = None,
optimize: bool = True,
load: bool = True,
**kwargs,
):
"""
Initialize hyperopt-optimizable floating point parameter with unlimited precision.
:param low: Lower end (inclusive) of optimization space or [low, high].
@@ -170,10 +206,11 @@ class RealParameter(NumericParameter):
:param load: Load parameter value from {space}_params.
:param kwargs: Extra parameters to skopt.space.Real.
"""
super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
load=load, **kwargs)
super().__init__(
low=low, high=high, default=default, space=space, optimize=optimize, load=load, **kwargs
)
def get_space(self, name: str) -> 'Real':
def get_space(self, name: str) -> "Real":
"""
Create skopt optimization space.
:param name: A name of parameter field.
@@ -185,9 +222,18 @@ class DecimalParameter(NumericParameter):
default: float
value: float
def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
default: float, decimals: int = 3, space: Optional[str] = None,
optimize: bool = True, load: bool = True, **kwargs):
def __init__(
self,
low: Union[float, Sequence[float]],
high: Optional[float] = None,
*,
default: float,
decimals: int = 3,
space: Optional[str] = None,
optimize: bool = True,
load: bool = True,
**kwargs,
):
"""
Initialize hyperopt-optimizable decimal parameter with a limited precision.
:param low: Lower end (inclusive) of optimization space or [low, high].
@@ -204,16 +250,18 @@ class DecimalParameter(NumericParameter):
self._decimals = decimals
default = round(default, self._decimals)
super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
load=load, **kwargs)
super().__init__(
low=low, high=high, default=default, space=space, optimize=optimize, load=load, **kwargs
)
def get_space(self, name: str) -> 'SKDecimal':
def get_space(self, name: str) -> "SKDecimal":
"""
Create skopt optimization space.
:param name: A name of parameter field.
"""
return SKDecimal(low=self.low, high=self.high, decimals=self._decimals, name=name,
**self._space_params)
return SKDecimal(
low=self.low, high=self.high, decimals=self._decimals, name=name, **self._space_params
)
@property
def range(self):
@@ -236,8 +284,16 @@ class CategoricalParameter(BaseParameter):
value: Any
opt_range: Sequence[Any]
def __init__(self, categories: Sequence[Any], *, default: Optional[Any] = None,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
def __init__(
self,
categories: Sequence[Any],
*,
default: Optional[Any] = None,
space: Optional[str] = None,
optimize: bool = True,
load: bool = True,
**kwargs,
):
"""
Initialize hyperopt-optimizable parameter.
:param categories: Optimization space, [a, b, ...].
@@ -252,12 +308,12 @@ class CategoricalParameter(BaseParameter):
"""
if len(categories) < 2:
raise OperationalException(
'CategoricalParameter space must be [a, b, ...] (at least two parameters)')
"CategoricalParameter space must be [a, b, ...] (at least two parameters)"
)
self.opt_range = categories
super().__init__(default=default, space=space, optimize=optimize,
load=load, **kwargs)
super().__init__(default=default, space=space, optimize=optimize, load=load, **kwargs)
def get_space(self, name: str) -> 'Categorical':
def get_space(self, name: str) -> "Categorical":
"""
Create skopt optimization space.
:param name: A name of parameter field.
@@ -279,9 +335,15 @@ class CategoricalParameter(BaseParameter):
class BooleanParameter(CategoricalParameter):
def __init__(self, *, default: Optional[Any] = None,
space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs):
def __init__(
self,
*,
default: Optional[Any] = None,
space: Optional[str] = None,
optimize: bool = True,
load: bool = True,
**kwargs,
):
"""
Initialize hyperopt-optimizable Boolean Parameter.
It's a shortcut to `CategoricalParameter([True, False])`.
@@ -296,5 +358,11 @@ class BooleanParameter(CategoricalParameter):
"""
categories = [True, False]
super().__init__(categories=categories, default=default, space=space, optimize=optimize,
load=load, **kwargs)
super().__init__(
categories=categories,
default=default,
space=space,
optimize=optimize,
load=load,
**kwargs,
)