Merge pull request #4703 from freqtrade/decimal_space

Add SKDecimal Space

freqtrade/optimize/decimalspace.py

@@ -0,0 +1,32 @@
+import numpy as np
+from skopt.space import Integer
+
+
+class SKDecimal(Integer):
+
+    def __init__(self, low, high, decimals=3, prior="uniform", base=10, transform=None,
+                 name=None, dtype=np.int64):
+        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
+
+        super().__init__(_low, _high, prior, base, transform, name, dtype)
+
+    def __repr__(self):
+        return "Decimal(low={}, high={}, decimals={}, prior='{}', transform='{}')".format(
+            self.low_orig, self.high_orig, self.decimals, self.prior, self.transform_)
+
+    def __contains__(self, point):
+        if isinstance(point, list):
+            point = np.array(point)
+        return self.low_orig <= point <= self.high_orig
+
+    def transform(self, Xt):
+        aa = [int(x * pow(10, self.decimals)) for x in Xt]
+        return super().transform(aa)
+
+    def inverse_transform(self, Xt):
+        res = super().inverse_transform(Xt)
+        return [round(x * pow(0.1, self.decimals), self.decimals) for x in res]

freqtrade/optimize/hyperopt_auto.py

@@ -27,7 +27,7 @@ class HyperOptAuto(IHyperOpt):
             for attr_name, attr in self.strategy.enumerate_parameters('buy'):
                 if attr.optimize:
                     # noinspection PyProtectedMember
-                    attr._set_value(params[attr_name])
+                    attr.value = params[attr_name]
             return self.strategy.populate_buy_trend(dataframe, metadata)
 
         return populate_buy_trend
@@ -37,7 +37,7 @@ class HyperOptAuto(IHyperOpt):
             for attr_name, attr in self.strategy.enumerate_parameters('sell'):
                 if attr.optimize:
                     # noinspection PyProtectedMember
-                    attr._set_value(params[attr_name])
+                    attr.value = params[attr_name]
             return self.strategy.populate_sell_trend(dataframe, metadata)
 
         return populate_sell_trend

freqtrade/strategy/hyper.py

@@ -10,6 +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.exceptions import OperationalException
 
@@ -24,9 +25,8 @@ class BaseParameter(ABC):
     category: Optional[str]
     default: Any
     value: Any
-    opt_range: Sequence[Any]
 
-    def __init__(self, *, opt_range: Sequence[Any], default: Any, space: Optional[str] = None,
+    def __init__(self, *, default: Any, space: Optional[str] = None,
                  optimize: bool = True, load: bool = True, **kwargs):
         """
         Initialize hyperopt-optimizable parameter.
@@ -43,7 +43,6 @@ class BaseParameter(ABC):
         self.category = space
         self._space_params = kwargs
         self.value = default
-        self.opt_range = opt_range
         self.optimize = optimize
         self.load = load
 
@@ -51,24 +50,51 @@ class BaseParameter(ABC):
         return f'{self.__class__.__name__}({self.value})'
 
     @abstractmethod
-    def get_space(self, name: str) -> Union['Integer', 'Real', 'Categorical']:
+    def get_space(self, name: str) -> Union['Integer', 'Real', 'SKDecimal', 'Categorical']:
         """
         Get-space - will be used by Hyperopt to get the hyperopt Space
         """
 
-    def _set_value(self, value: Any):
+
+class NumericParameter(BaseParameter):
+    """ 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):
         """
-        Update current value. Used by hyperopt functions for the purpose where optimization and
-         value spaces differ.
-        :param value: A numerical value.
+        Initialize hyperopt-optimizable numeric parameter.
+        Cannot be instantiated, but provides the validation for other numeric parameters
+        :param low: Lower end (inclusive) of optimization space or [low, high].
+        :param high: Upper end (inclusive) of optimization space.
+                     Must be none of entire range is passed first parameter.
+        :param default: A default value.
+        :param space: A parameter category. Can be 'buy' or 'sell'. This parameter is optional if
+                      parameter fieldname is prefixed with 'buy_' or 'sell_'.
+        :param optimize: Include parameter in hyperopt optimizations.
+        :param load: Load parameter value from {space}_params.
+        :param kwargs: Extra parameters to skopt.space.*.
         """
-        self.value = value
+        if high is not None and isinstance(low, Sequence):
+            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]')
+            self.low, self.high = low
+        else:
+            self.low = low
+            self.high = high
+
+        super().__init__(default=default, space=space, optimize=optimize,
+                         load=load, **kwargs)
 
 
-class IntParameter(BaseParameter):
+class IntParameter(NumericParameter):
     default: int
     value: int
-    opt_range: Sequence[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):
@@ -84,15 +110,8 @@ class IntParameter(BaseParameter):
         :param load: Load parameter value from {space}_params.
         :param kwargs: Extra parameters to skopt.space.Integer.
         """
-        if high is not None and isinstance(low, Sequence):
-            raise OperationalException('IntParameter space invalid.')
-        if high is None or isinstance(low, Sequence):
-            if not isinstance(low, Sequence) or len(low) != 2:
-                raise OperationalException('IntParameter space must be [low, high]')
-            opt_range = low
-        else:
-            opt_range = [low, high]
-        super().__init__(opt_range=opt_range, default=default, space=space, optimize=optimize,
+
+        super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
                          load=load, **kwargs)
 
     def get_space(self, name: str) -> 'Integer':
@@ -100,13 +119,12 @@ class IntParameter(BaseParameter):
         Create skopt optimization space.
         :param name: A name of parameter field.
         """
-        return Integer(*self.opt_range, name=name, **self._space_params)
+        return Integer(low=self.low, high=self.high, name=name, **self._space_params)
 
 
-class RealParameter(BaseParameter):
+class RealParameter(NumericParameter):
     default: float
     value: float
-    opt_range: Sequence[float]
 
     def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
                  default: float, space: Optional[str] = None, optimize: bool = True,
@@ -123,15 +141,7 @@ class RealParameter(BaseParameter):
         :param load: Load parameter value from {space}_params.
         :param kwargs: Extra parameters to skopt.space.Real.
         """
-        if high is not None and isinstance(low, Sequence):
-            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]')
-            opt_range = low
-        else:
-            opt_range = [low, high]
-        super().__init__(opt_range=opt_range, default=default, space=space, optimize=optimize,
+        super().__init__(low=low, high=high, default=default, space=space, optimize=optimize,
                          load=load, **kwargs)
 
     def get_space(self, name: str) -> 'Real':
@@ -139,13 +149,12 @@ class RealParameter(BaseParameter):
         Create skopt optimization space.
         :param name: A name of parameter field.
         """
-        return Real(*self.opt_range, name=name, **self._space_params)
+        return Real(low=self.low, high=self.high, name=name, **self._space_params)
 
 
-class DecimalParameter(RealParameter):
+class DecimalParameter(NumericParameter):
     default: float
     value: float
-    opt_range: Sequence[float]
 
     def __init__(self, low: Union[float, Sequence[float]], high: Optional[float] = None, *,
                  default: float, decimals: int = 3, space: Optional[str] = None,
@@ -161,29 +170,21 @@ class DecimalParameter(RealParameter):
                       parameter fieldname is prefixed with 'buy_' or 'sell_'.
         :param optimize: Include parameter in hyperopt optimizations.
         :param load: Load parameter value from {space}_params.
-        :param kwargs: Extra parameters to skopt.space.Real.
+        :param kwargs: Extra parameters to skopt.space.Integer.
         """
         self._decimals = decimals
         default = round(default, self._decimals)
+
         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) -> 'SKDecimal':
         """
         Create skopt optimization space.
         :param name: A name of parameter field.
         """
-        low = int(self.opt_range[0] * pow(10, self._decimals))
-        high = int(self.opt_range[1] * pow(10, self._decimals))
-        return Integer(low, high, name=name, **self._space_params)
-
-    def _set_value(self, value: int):
-        """
-        Update current value. Used by hyperopt functions for the purpose where optimization and
-         value spaces differ.
-        :param value: An integer value.
-        """
-        self.value = round(value * pow(0.1, self._decimals), self._decimals)
+        return SKDecimal(low=self.low, high=self.high, decimals=self._decimals, name=name,
+                         **self._space_params)
 
 
 class CategoricalParameter(BaseParameter):
@@ -208,7 +209,8 @@ class CategoricalParameter(BaseParameter):
         if len(categories) < 2:
             raise OperationalException(
                 'CategoricalParameter space must be [a, b, ...] (at least two parameters)')
-        super().__init__(opt_range=categories, default=default, space=space, optimize=optimize,
+        self.opt_range = categories
+        super().__init__(default=default, space=space, optimize=optimize,
                          load=load, **kwargs)
 
     def get_space(self, name: str) -> 'Categorical':

tests/optimize/test_hyperopt.py

@@ -15,6 +15,7 @@ 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
@@ -1104,3 +1105,20 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir) -> None:
     assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto)
 
     hyperopt.start()
+
+
+def test_SKDecimal():
+    space = SKDecimal(1, 2, decimals=2)
+    assert 1.5 in space
+    assert 2.5 not in space
+    assert space.low == 100
+    assert space.high == 200
+
+    assert space.inverse_transform([200]) == [2.0]
+    assert space.inverse_transform([100]) == [1.0]
+    assert space.inverse_transform([150, 160]) == [1.5, 1.6]
+
+    assert space.transform([1.5]) == [150]
+    assert space.transform([2.0]) == [200]
+    assert space.transform([1.0]) == [100]
+    assert space.transform([1.5, 1.6]) == [150, 160]

tests/strategy/test_interface.py

@@ -596,8 +596,6 @@ def test_hyperopt_parameters():
     fltpar = DecimalParameter(low=0.0, high=5.5, default=1.0004, decimals=3, space='buy')
     assert isinstance(fltpar.get_space(''), Integer)
     assert fltpar.value == 1
-    fltpar._set_value(2222)
-    assert fltpar.value == 2.222
 
     catpar = CategoricalParameter(['buy_rsi', 'buy_macd', 'buy_none'],
                                   default='buy_macd', space='buy')