Merge pull request #36 from hroff-1902/hyperopt-MACDStrategy

hyperopt for MACDStrategy

user_data/hyperopts/MACDStrategy_hyperopt.py

@@ -0,0 +1,129 @@
+# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
+
+import talib.abstract as ta
+from pandas import DataFrame
+from typing import Dict, Any, Callable, List
+
+# import numpy as np
+from skopt.space import Categorical, Dimension, Integer, Real
+
+# import freqtrade.vendor.qtpylib.indicators as qtpylib
+from freqtrade.optimize.hyperopt_interface import IHyperOpt
+
+class_name = 'MACDStrategy_hyperopt'
+
+
+# This class is a sample. Feel free to customize it.
+class MACDStrategy_hyperopt(IHyperOpt):
+    """
+    This is an Example hyperopt to inspire you. - corresponding to MACDStrategy in this repository.
+
+    To run this, best use the following command (adjust to your environment
+    ```
+    freqtrade hyperopt --strategy MACDStrategy --hyperopts MACDStrategy_hyperopt --spaces buy sell
+    ```
+    The idea is to optimize only the CCI value.
+    - Buy side: CCI between -700 and 0
+    - Sell side: CCI between 0 and 700
+
+    More information in https://github.com/freqtrade/freqtrade/blob/develop/docs/hyperopt.md
+     """
+
+    @staticmethod
+    def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame:
+
+        macd = ta.MACD(dataframe)
+        dataframe['macd'] = macd['macd']
+        dataframe['macdsignal'] = macd['macdsignal']
+        dataframe['macdhist'] = macd['macdhist']
+        dataframe['cci'] = ta.CCI(dataframe)
+
+        return dataframe
+
+    @staticmethod
+    def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
+        """
+        Define the buy strategy parameters to be used by hyperopt
+        """
+        def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
+            """
+            Buy strategy Hyperopt will build and use
+            """
+            dataframe.loc[
+                (
+                    (dataframe['macd'] > dataframe['macdsignal']) &
+                    (dataframe['cci'] <= params['buy-cci-value'])
+                ),
+                'buy'] = 1
+
+            return dataframe
+
+        return populate_buy_trend
+
+    @staticmethod
+    def indicator_space() -> List[Dimension]:
+        """
+        Define your Hyperopt space for searching strategy parameters
+        """
+        return [
+            Integer(-700, 0, name='buy-cci-value'),
+        ]
+
+    @staticmethod
+    def sell_strategy_generator(params: Dict[str, Any]) -> Callable:
+        """
+        Define the sell strategy parameters to be used by hyperopt
+        """
+        def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
+            """
+            Sell strategy Hyperopt will build and use
+            """
+            dataframe.loc[
+                (
+                    (dataframe['macd'] < dataframe['macdsignal']) &
+                    (dataframe['cci'] >= params['sell-cci-value'])
+                ),
+                'sell'] = 1
+
+            return dataframe
+
+        return populate_sell_trend
+
+    @staticmethod
+    def sell_indicator_space() -> List[Dimension]:
+        """
+        Define your Hyperopt space for searching sell strategy parameters
+        """
+        return [
+            Integer(0, 700, name='sell-cci-value'),
+        ]
+
+    def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        """
+        Based on TA indicators. Should be a copy of from strategy
+        must align to populate_indicators in this file
+        Only used when --spaces does not include buy
+        """
+        dataframe.loc[
+            (
+                (dataframe['macd'] > dataframe['macdsignal']) &
+                (dataframe['cci'] <= -50.0)
+            ),
+            'buy'] = 1
+
+        return dataframe
+
+    def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        """
+        Based on TA indicators. Should be a copy of from strategy
+        must align to populate_indicators in this file
+        Only used when --spaces does not include sell
+        """
+        dataframe.loc[
+            (
+                (dataframe['macd'] < dataframe['macdsignal']) &
+                (dataframe['cci'] >= 100.0)
+            ),
+            'sell'] = 1
+
+        return dataframe