This page explains some advanced Hyperopt topics that may require higher coding skills and Python knowledge than creation of an ordinal hyperoptimization class.
Derived hyperopt classes¶
Custom hyperop classes can be derived in the same way it can be done for strategies.
Applying to hyperoptimization, as an example, you may override how dimensions are defined in your optimization hyperspace:
class MyAwesomeHyperOpt(IHyperOpt): ... # Uses default stoploss dimension class MyAwesomeHyperOpt2(MyAwesomeHyperOpt): @staticmethod def stoploss_space() -> List[Dimension]: # Override boundaries for stoploss return [ Real(-0.33, -0.01, name='stoploss'), ]
and then quickly switch between hyperopt classes, running optimization process with hyperopt class you need in each particular case:
$ freqtrade hyperopt --hyperopt MyAwesomeHyperOpt --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy ... or $ freqtrade hyperopt --hyperopt MyAwesomeHyperOpt2 --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy ...
Creating and using a custom loss function¶
To use a custom loss function class, make sure that the function
hyperopt_loss_function is defined in your custom hyperopt loss class.
For the sample below, you then need to add the command line parameter
--hyperopt-loss SuperDuperHyperOptLoss to your hyperopt call so this function is being used.
A sample of this can be found below, which is identical to the Default Hyperopt loss implementation. A full sample can be found in userdata/hyperopts.
from datetime import datetime from typing import Dict from pandas import DataFrame from freqtrade.optimize.hyperopt import IHyperOptLoss TARGET_TRADES = 600 EXPECTED_MAX_PROFIT = 3.0 MAX_ACCEPTED_TRADE_DURATION = 300 class SuperDuperHyperOptLoss(IHyperOptLoss): """ Defines the default loss function for hyperopt """ @staticmethod def hyperopt_loss_function(results: DataFrame, trade_count: int, min_date: datetime, max_date: datetime, config: Dict, processed: Dict[str, DataFrame], *args, **kwargs) -> float: """ Objective function, returns smaller number for better results This is the legacy algorithm (used until now in freqtrade). Weights are distributed as follows: * 0.4 to trade duration * 0.25: Avoiding trade loss * 1.0 to total profit, compared to the expected value (`EXPECTED_MAX_PROFIT`) defined above """ total_profit = results['profit_ratio'].sum() trade_duration = results['trade_duration'].mean() trade_loss = 1 - 0.25 * exp(-(trade_count - TARGET_TRADES) ** 2 / 10 ** 5.8) profit_loss = max(0, 1 - total_profit / EXPECTED_MAX_PROFIT) duration_loss = 0.4 * min(trade_duration / MAX_ACCEPTED_TRADE_DURATION, 1) result = trade_loss + profit_loss + duration_loss return result
Currently, the arguments are:
results: DataFrame containing the result
The following columns are available in results (corresponds to the output-file of backtesting when used with
pair, profit_ratio, profit_abs, open_date, open_rate, fee_open, close_date, close_rate, fee_close, amount, trade_duration, is_open, sell_reason, stake_amount, min_rate, max_rate, stop_loss_ratio, stop_loss_abs
trade_count: Amount of trades (identical to
min_date: Start date of the timerange used
min_date: End date of the timerange used
config: Config object used (Note: Not all strategy-related parameters will be updated here if they are part of a hyperopt space).
processed: Dict of Dataframes with the pair as keys containing the data used for backtesting.
This function needs to return a floating point number (
float). Smaller numbers will be interpreted as better results. The parameters and balancing for this is up to you.
This function is called once per iteration - so please make sure to have this as optimized as possible to not slow hyperopt down unnecessarily.
Please keep the arguments
**kwargs in the interface to allow us to extend this interface later.