diff --git a/docs/advanced-hyperopt.md b/docs/advanced-hyperopt.md index cc71f39a7..c86978b80 100644 --- a/docs/advanced-hyperopt.md +++ b/docs/advanced-hyperopt.md @@ -79,9 +79,31 @@ class MyAwesomeStrategy(IStrategy): class HyperOpt: # Define a custom stoploss space. def stoploss_space(self): - return [Real(-0.05, -0.01, name='stoploss')] + return [SKDecimal(-0.05, -0.01, decimals=3, name='stoploss')] ``` +## Space options + +For the additional spaces, scikit-optimize (in combination with Freqtrade) provides the following space types: + +* `Categorical` - Pick from a list of categories (e.g. `Categorical(['a', 'b', 'c'], name="cat")`) +* `Integer` - Pick from a range of whole numbers (e.g. `Integer(1, 10, name='rsi')`) +* `SKDecimal` - Pick from a range of decimal numbers with limited precision (e.g. `SKDecimal(0.1, 0.5, decimals=3, name='adx')`). *Available only with freqtrade*. +* `Real` - Pick from a range of decimal numbers with full precision (e.g. `Real(0.1, 0.5, name='adx')` + +You can import all of these from `freqtrade.optimize.space`, although `Categorical`, `Integer` and `Real` are only aliases for their corresponding scikit-optimize Spaces. `SKDecimal` is provided by freqtrade for faster optimizations. + +``` python +from freqtrade.optimize.space import Categorical, Dimension, Integer, SKDecimal, Real # noqa +``` + +!!! Hint "SKDecimal vs. Real" + We recommend to use `SKDecimal` instead of the `Real` space in almost all cases. While the Real space provides full accuracy (up to ~16 decimal places) - this precision is rarely needed, and leads to unnecessary long hyperopt times. + + Assuming the definition of a rather small space (`SKDecimal(0.10, 0.15, decimals=2, name='xxx')`) - SKDecimal will have 5 possibilities (`[0.10, 0.11, 0.12, 0.13, 0.14, 0.15]`). + + A corresponding real space `Real(0.10, 0.15 name='xxx')` on the other hand has an almost unlimited number of possibilities (`[0.10, 0.010000000001, 0.010000000002, ... 0.014999999999, 0.01500000000]`). + --- ## Legacy Hyperopt diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 07cc963cf..21cbadf7f 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -294,6 +294,7 @@ Based on the results, hyperopt will tell you which parameter combination produce ## Parameter types There are four parameter types each suited for different purposes. + * `IntParameter` - defines an integral parameter with upper and lower boundaries of search space. * `DecimalParameter` - defines a floating point parameter with a limited number of decimals (default 3). Should be preferred instead of `RealParameter` in most cases. * `RealParameter` - defines a floating point parameter with upper and lower boundaries and no precision limit. Rarely used as it creates a space with a near infinite number of possibilities. @@ -460,23 +461,26 @@ As stated in the comment, you can also use it as the value of the `minimal_roi` #### Default ROI Search Space -If you are optimizing ROI, Freqtrade creates the 'roi' optimization hyperspace for you -- it's the hyperspace of components for the ROI tables. By default, each ROI table generated by the Freqtrade consists of 4 rows (steps). Hyperopt implements adaptive ranges for ROI tables with ranges for values in the ROI steps that depend on the timeframe used. By default the values vary in the following ranges (for some of the most used timeframes, values are rounded to 5 digits after the decimal point): +If you are optimizing ROI, Freqtrade creates the 'roi' optimization hyperspace for you -- it's the hyperspace of components for the ROI tables. By default, each ROI table generated by the Freqtrade consists of 4 rows (steps). Hyperopt implements adaptive ranges for ROI tables with ranges for values in the ROI steps that depend on the timeframe used. By default the values vary in the following ranges (for some of the most used timeframes, values are rounded to 3 digits after the decimal point): -| # step | 1m | | 5m | | 1h | | 1d | | -| ------ | ------ | ----------------- | -------- | ----------- | ---------- | ----------------- | ------------ | ----------------- | -| 1 | 0 | 0.01161...0.11992 | 0 | 0.03...0.31 | 0 | 0.06883...0.71124 | 0 | 0.12178...1.25835 | -| 2 | 2...8 | 0.00774...0.04255 | 10...40 | 0.02...0.11 | 120...480 | 0.04589...0.25238 | 2880...11520 | 0.08118...0.44651 | -| 3 | 4...20 | 0.00387...0.01547 | 20...100 | 0.01...0.04 | 240...1200 | 0.02294...0.09177 | 5760...28800 | 0.04059...0.16237 | -| 4 | 6...44 | 0.0 | 30...220 | 0.0 | 360...2640 | 0.0 | 8640...63360 | 0.0 | +| # step | 1m | | 5m | | 1h | | 1d | | +| ------ | ------ | ------------- | -------- | ----------- | ---------- | ------------- | ------------ | ------------- | +| 1 | 0 | 0.011...0.119 | 0 | 0.03...0.31 | 0 | 0.068...0.711 | 0 | 0.121...1.258 | +| 2 | 2...8 | 0.007...0.042 | 10...40 | 0.02...0.11 | 120...480 | 0.045...0.252 | 2880...11520 | 0.081...0.446 | +| 3 | 4...20 | 0.003...0.015 | 20...100 | 0.01...0.04 | 240...1200 | 0.022...0.091 | 5760...28800 | 0.040...0.162 | +| 4 | 6...44 | 0.0 | 30...220 | 0.0 | 360...2640 | 0.0 | 8640...63360 | 0.0 | These ranges should be sufficient in most cases. The minutes in the steps (ROI dict keys) are scaled linearly depending on the timeframe used. The ROI values in the steps (ROI dict values) are scaled logarithmically depending on the timeframe used. If you have the `generate_roi_table()` and `roi_space()` methods in your custom hyperopt file, remove them in order to utilize these adaptive ROI tables and the ROI hyperoptimization space generated by Freqtrade by default. -Override the `roi_space()` method if you need components of the ROI tables to vary in other ranges. Override the `generate_roi_table()` and `roi_space()` methods and implement your own custom approach for generation of the ROI tables during hyperoptimization if you need a different structure of the ROI tables or other amount of rows (steps). +Override the `roi_space()` method if you need components of the ROI tables to vary in other ranges. Override the `generate_roi_table()` and `roi_space()` methods and implement your own custom approach for generation of the ROI tables during hyperoptimization if you need a different structure of the ROI tables or other amount of rows (steps). A sample for these methods can be found in [sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py). +!!! Note "Reduced search space" + To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. + ### Understand Hyperopt Stoploss results If you are optimizing stoploss values (i.e. if optimization search-space contains 'all', 'default' or 'stoploss'), your result will look as follows and include stoploss: @@ -516,6 +520,9 @@ If you have the `stoploss_space()` method in your custom hyperopt file, remove i Override the `stoploss_space()` method and define the desired range in it if you need stoploss values to vary in other range during hyperoptimization. A sample for this method can be found in [user_data/hyperopts/sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py). +!!! Note "Reduced search space" + To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. + ### Understand Hyperopt Trailing Stop results If you are optimizing trailing stop values (i.e. if optimization search-space contains 'all' or 'trailing'), your result will look as follows and include trailing stop parameters: @@ -551,6 +558,9 @@ If you are optimizing trailing stop values, Freqtrade creates the 'trailing' opt Override the `trailing_space()` method and define the desired range in it if you need values of the trailing stop parameters to vary in other ranges during hyperoptimization. A sample for this method can be found in [user_data/hyperopts/sample_hyperopt_advanced.py](https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_advanced.py). +!!! Note "Reduced search space" + To limit the search space further, Decimals are limited to 3 decimal places (a precision of 0.001). This is usually sufficient, every value more precise than this will usually result in overfitted results. You can however [overriding pre-defined spaces](advanced-hyperopt.md#pverriding-pre-defined-spaces) to change this to your needs. + ### Reproducible results The search for optimal parameters starts with a few (currently 30) random combinations in the hyperspace of parameters, random Hyperopt epochs. These random epochs are marked with an asterisk character (`*`) in the first column in the Hyperopt output. diff --git a/freqtrade/optimize/hyperopt_interface.py b/freqtrade/optimize/hyperopt_interface.py index 633c8bdd5..889854cad 100644 --- a/freqtrade/optimize/hyperopt_interface.py +++ b/freqtrade/optimize/hyperopt_interface.py @@ -7,11 +7,12 @@ import math from abc import ABC from typing import Any, Callable, Dict, List -from skopt.space import Categorical, Dimension, Integer, Real +from skopt.space import Categorical, Dimension, Integer from freqtrade.exceptions import OperationalException from freqtrade.exchange import timeframe_to_minutes from freqtrade.misc import round_dict +from freqtrade.optimize.space import SKDecimal from freqtrade.strategy import IStrategy @@ -139,7 +140,7 @@ class IHyperOpt(ABC): 'roi_p2': roi_limits['roi_p2_min'], 'roi_p3': roi_limits['roi_p3_min'], } - logger.info(f"Min roi table: {round_dict(self.generate_roi_table(p), 5)}") + logger.info(f"Min roi table: {round_dict(self.generate_roi_table(p), 3)}") p = { 'roi_t1': roi_limits['roi_t1_max'], 'roi_t2': roi_limits['roi_t2_max'], @@ -148,15 +149,18 @@ class IHyperOpt(ABC): 'roi_p2': roi_limits['roi_p2_max'], 'roi_p3': roi_limits['roi_p3_max'], } - logger.info(f"Max roi table: {round_dict(self.generate_roi_table(p), 5)}") + logger.info(f"Max roi table: {round_dict(self.generate_roi_table(p), 3)}") return [ Integer(roi_limits['roi_t1_min'], roi_limits['roi_t1_max'], name='roi_t1'), Integer(roi_limits['roi_t2_min'], roi_limits['roi_t2_max'], name='roi_t2'), Integer(roi_limits['roi_t3_min'], roi_limits['roi_t3_max'], name='roi_t3'), - Real(roi_limits['roi_p1_min'], roi_limits['roi_p1_max'], name='roi_p1'), - Real(roi_limits['roi_p2_min'], roi_limits['roi_p2_max'], name='roi_p2'), - Real(roi_limits['roi_p3_min'], roi_limits['roi_p3_max'], name='roi_p3'), + SKDecimal(roi_limits['roi_p1_min'], roi_limits['roi_p1_max'], decimals=3, + name='roi_p1'), + SKDecimal(roi_limits['roi_p2_min'], roi_limits['roi_p2_max'], decimals=3, + name='roi_p2'), + SKDecimal(roi_limits['roi_p3_min'], roi_limits['roi_p3_max'], decimals=3, + name='roi_p3'), ] def stoploss_space(self) -> List[Dimension]: @@ -167,7 +171,7 @@ class IHyperOpt(ABC): You may override it in your custom Hyperopt class. """ return [ - Real(-0.35, -0.02, name='stoploss'), + SKDecimal(-0.35, -0.02, decimals=3, name='stoploss'), ] def generate_trailing_params(self, params: Dict) -> Dict: @@ -197,14 +201,14 @@ class IHyperOpt(ABC): # other 'trailing' hyperspace parameters. Categorical([True], name='trailing_stop'), - Real(0.01, 0.35, name='trailing_stop_positive'), + SKDecimal(0.01, 0.35, decimals=3, name='trailing_stop_positive'), # 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive', # so this intermediate parameter is used as the value of the difference between # them. The value of the 'trailing_stop_positive_offset' is constructed in the # generate_trailing_params() method. # This is similar to the hyperspace dimensions used for constructing the ROI tables. - Real(0.001, 0.1, name='trailing_stop_positive_offset_p1'), + SKDecimal(0.001, 0.1, decimals=3, name='trailing_stop_positive_offset_p1'), Categorical([True, False], name='trailing_only_offset_is_reached'), ] diff --git a/freqtrade/optimize/space/__init__.py b/freqtrade/optimize/space/__init__.py new file mode 100644 index 000000000..bbdac4ab9 --- /dev/null +++ b/freqtrade/optimize/space/__init__.py @@ -0,0 +1,4 @@ +# flake8: noqa: F401 +from skopt.space import Categorical, Dimension, Integer, Real + +from .decimalspace import SKDecimal diff --git a/freqtrade/optimize/decimalspace.py b/freqtrade/optimize/space/decimalspace.py similarity index 83% rename from freqtrade/optimize/decimalspace.py rename to freqtrade/optimize/space/decimalspace.py index f5370b6d6..643999cc1 100644 --- a/freqtrade/optimize/decimalspace.py +++ b/freqtrade/optimize/space/decimalspace.py @@ -9,8 +9,9 @@ class SKDecimal(Integer): self.decimals = decimals _low = int(low * pow(10, self.decimals)) _high = int(high * pow(10, self.decimals)) - self.low_orig = low - self.high_orig = high + # trunc to precision to avoid points out of space + self.low_orig = round(_low * pow(0.1, self.decimals), self.decimals) + self.high_orig = round(_high * pow(0.1, self.decimals), self.decimals) super().__init__(_low, _high, prior, base, transform, name, dtype) diff --git a/freqtrade/strategy/hyper.py b/freqtrade/strategy/hyper.py index 3fedda974..16b576a73 100644 --- a/freqtrade/strategy/hyper.py +++ b/freqtrade/strategy/hyper.py @@ -10,7 +10,7 @@ from typing import Any, Iterator, Optional, Sequence, Tuple, Union with suppress(ImportError): from skopt.space import Integer, Real, Categorical - from freqtrade.optimize.decimalspace import SKDecimal + from freqtrade.optimize.space import SKDecimal from freqtrade.exceptions import OperationalException diff --git a/freqtrade/templates/sample_hyperopt_advanced.py b/freqtrade/templates/sample_hyperopt_advanced.py index 7736570f7..cc13b6ba3 100644 --- a/freqtrade/templates/sample_hyperopt_advanced.py +++ b/freqtrade/templates/sample_hyperopt_advanced.py @@ -7,7 +7,7 @@ from typing import Any, Callable, Dict, List import numpy as np # noqa import pandas as pd # noqa from pandas import DataFrame -from skopt.space import Categorical, Dimension, Integer, Real # noqa +from freqtrade.optimize.space import Categorical, Dimension, Integer, SKDecimal, Real # noqa from freqtrade.optimize.hyperopt_interface import IHyperOpt @@ -223,9 +223,9 @@ class AdvancedSampleHyperOpt(IHyperOpt): Integer(10, 120, name='roi_t1'), Integer(10, 60, name='roi_t2'), Integer(10, 40, name='roi_t3'), - Real(0.01, 0.04, name='roi_p1'), - Real(0.01, 0.07, name='roi_p2'), - Real(0.01, 0.20, name='roi_p3'), + SKDecimal(0.01, 0.04, decimals=3, name='roi_p1'), + SKDecimal(0.01, 0.07, decimals=3, name='roi_p2'), + SKDecimal(0.01, 0.20, decimals=3, name='roi_p3'), ] @staticmethod @@ -237,7 +237,7 @@ class AdvancedSampleHyperOpt(IHyperOpt): 'stoploss' optimization hyperspace. """ return [ - Real(-0.35, -0.02, name='stoploss'), + SKDecimal(-0.35, -0.02, decimals=3, name='stoploss'), ] @staticmethod @@ -256,14 +256,14 @@ class AdvancedSampleHyperOpt(IHyperOpt): # other 'trailing' hyperspace parameters. Categorical([True], name='trailing_stop'), - Real(0.01, 0.35, name='trailing_stop_positive'), + SKDecimal(0.01, 0.35, decimals=3, name='trailing_stop_positive'), # 'trailing_stop_positive_offset' should be greater than 'trailing_stop_positive', # so this intermediate parameter is used as the value of the difference between # them. The value of the 'trailing_stop_positive_offset' is constructed in the # generate_trailing_params() method. # This is similar to the hyperspace dimensions used for constructing the ROI tables. - Real(0.001, 0.1, name='trailing_stop_positive_offset_p1'), + SKDecimal(0.001, 0.1, decimals=3, name='trailing_stop_positive_offset_p1'), Categorical([True, False], name='trailing_only_offset_is_reached'), ] diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 129fe53d9..59bc4aefb 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -15,10 +15,10 @@ from filelock import Timeout from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_hyperopt from freqtrade.data.history import load_data from freqtrade.exceptions import OperationalException -from freqtrade.optimize.decimalspace import SKDecimal from freqtrade.optimize.hyperopt import Hyperopt from freqtrade.optimize.hyperopt_auto import HyperOptAuto from freqtrade.optimize.hyperopt_tools import HyperoptTools +from freqtrade.optimize.space import SKDecimal from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver from freqtrade.state import RunMode from tests.conftest import (get_args, log_has, log_has_re, patch_exchange,