feat: use get_dry_run_wallet helper

This commit is contained in:
Matthias
2024-12-03 07:27:45 +01:00
parent c082e5f6a6
commit 7a8971b9b6
10 changed files with 20 additions and 12 deletions

View File

@@ -4,6 +4,7 @@ from typing import Any
from freqtrade import constants
from freqtrade.enums import RunMode
from freqtrade.exceptions import ConfigurationError, OperationalException
from freqtrade.util import get_dry_run_wallet
logger = logging.getLogger(__name__)
@@ -26,7 +27,7 @@ def setup_optimize_configuration(args: dict[str, Any], method: RunMode) -> dict[
RunMode.HYPEROPT: "hyperoptimization",
}
if method in no_unlimited_runmodes.keys():
wallet_size = config["dry_run_wallet"] * config["tradable_balance_ratio"]
wallet_size = get_dry_run_wallet(config) * config["tradable_balance_ratio"]
# tradable_balance_ratio
if (
config["stake_amount"] != constants.UNLIMITED_STAKE_AMOUNT

View File

@@ -10,7 +10,7 @@ from freqtrade.constants import Config
from freqtrade.exceptions import OperationalException
from freqtrade.optimize.analysis.lookahead import LookaheadAnalysis
from freqtrade.resolvers import StrategyResolver
from freqtrade.util import print_rich_table
from freqtrade.util import get_dry_run_wallet, print_rich_table
logger = logging.getLogger(__name__)
@@ -163,7 +163,7 @@ class LookaheadAnalysisSubFunctions:
config["max_open_trades"] = len(config["pairs"])
min_dry_run_wallet = 1000000000
if config["dry_run_wallet"] < min_dry_run_wallet:
if get_dry_run_wallet(config) < min_dry_run_wallet:
logger.info(
"Dry run wallet was not set to 1 billion, pushing it up there "
"just to avoid false positives"

View File

@@ -12,6 +12,7 @@ from pandas import DataFrame
from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_calmar
from freqtrade.optimize.hyperopt import IHyperOptLoss
from freqtrade.util import get_dry_run_wallet
class CalmarHyperOptLoss(IHyperOptLoss):
@@ -36,7 +37,7 @@ class CalmarHyperOptLoss(IHyperOptLoss):
Uses Calmar Ratio calculation.
"""
starting_balance = config["dry_run_wallet"]
starting_balance = get_dry_run_wallet(config)
calmar_ratio = calculate_calmar(results, min_date, max_date, starting_balance)
# print(expected_returns_mean, max_drawdown, calmar_ratio)
return -calmar_ratio

View File

@@ -10,6 +10,7 @@ from pandas import DataFrame
from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_underwater
from freqtrade.optimize.hyperopt import IHyperOptLoss
from freqtrade.util import get_dry_run_wallet
class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
@@ -31,7 +32,7 @@ class MaxDrawDownRelativeHyperOptLoss(IHyperOptLoss):
total_profit = results["profit_abs"].sum()
try:
drawdown_df = calculate_underwater(
results, value_col="profit_abs", starting_balance=config["dry_run_wallet"]
results, value_col="profit_abs", starting_balance=get_dry_run_wallet(config)
)
max_drawdown = abs(min(drawdown_df["drawdown"]))
relative_drawdown = max(drawdown_df["drawdown_relative"])

View File

@@ -36,6 +36,7 @@ from pandas import DataFrame
from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_expectancy, calculate_max_drawdown
from freqtrade.optimize.hyperopt import IHyperOptLoss
from freqtrade.util import get_dry_run_wallet
# smaller numbers penalize drawdowns more severely
@@ -83,7 +84,7 @@ class MultiMetricHyperOptLoss(IHyperOptLoss):
# Calculate drawdown
try:
drawdown = calculate_max_drawdown(
results, starting_balance=config["dry_run_wallet"], value_col="profit_abs"
results, starting_balance=get_dry_run_wallet(config), value_col="profit_abs"
)
relative_account_drawdown = drawdown.relative_account_drawdown
except ValueError:

View File

@@ -13,6 +13,7 @@ from pandas import DataFrame
from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_max_drawdown
from freqtrade.optimize.hyperopt import IHyperOptLoss
from freqtrade.util import get_dry_run_wallet
# smaller numbers penalize drawdowns more severely
@@ -26,7 +27,7 @@ class ProfitDrawDownHyperOptLoss(IHyperOptLoss):
try:
drawdown = calculate_max_drawdown(
results, starting_balance=config["dry_run_wallet"], value_col="profit_abs"
results, starting_balance=get_dry_run_wallet(config), value_col="profit_abs"
)
relative_account_drawdown = drawdown.relative_account_drawdown
except ValueError:

View File

@@ -12,6 +12,7 @@ from pandas import DataFrame
from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_sharpe
from freqtrade.optimize.hyperopt import IHyperOptLoss
from freqtrade.util.dry_run_wallet import get_dry_run_wallet
class SharpeHyperOptLoss(IHyperOptLoss):
@@ -36,7 +37,7 @@ class SharpeHyperOptLoss(IHyperOptLoss):
Uses Sharpe Ratio calculation.
"""
starting_balance = config["dry_run_wallet"]
starting_balance = get_dry_run_wallet(config)
sharp_ratio = calculate_sharpe(results, min_date, max_date, starting_balance)
# print(expected_returns_mean, up_stdev, sharp_ratio)
return -sharp_ratio

View File

@@ -12,6 +12,7 @@ from pandas import DataFrame
from freqtrade.constants import Config
from freqtrade.data.metrics import calculate_sortino
from freqtrade.optimize.hyperopt import IHyperOptLoss
from freqtrade.util import get_dry_run_wallet
class SortinoHyperOptLoss(IHyperOptLoss):
@@ -36,7 +37,7 @@ class SortinoHyperOptLoss(IHyperOptLoss):
Uses Sortino Ratio calculation.
"""
starting_balance = config["dry_run_wallet"]
starting_balance = get_dry_run_wallet(config)
sortino_ratio = calculate_sortino(results, min_date, max_date, starting_balance)
# print(expected_returns_mean, down_stdev, sortino_ratio)
return -sortino_ratio

View File

@@ -18,7 +18,7 @@ from freqtrade.data.metrics import (
calculate_sortino,
)
from freqtrade.ft_types import BacktestResultType
from freqtrade.util import decimals_per_coin, fmt_coin
from freqtrade.util import decimals_per_coin, fmt_coin, get_dry_run_wallet
logger = logging.getLogger(__name__)
@@ -373,7 +373,7 @@ def generate_strategy_stats(
return {}
config = content["config"]
max_open_trades = min(config["max_open_trades"], len(pairlist))
start_balance = config["dry_run_wallet"]
start_balance = get_dry_run_wallet(config)
stake_currency = config["stake_currency"]
pair_results = generate_pair_metrics(

View File

@@ -28,6 +28,7 @@ from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
from freqtrade.resolvers import ExchangeResolver, StrategyResolver
from freqtrade.strategy import IStrategy
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from freqtrade.util import get_dry_run_wallet
logger = logging.getLogger(__name__)
@@ -706,7 +707,7 @@ def plot_profit(config: Config) -> None:
trades,
config["timeframe"],
config.get("stake_currency", ""),
config.get("available_capital", config["dry_run_wallet"]),
config.get("available_capital", get_dry_run_wallet(config)),
)
store_plot_file(
fig,