防止hyperopt结果冲掉roi, protection, trailing设置; 退出阈值使用hyperopt优化
This commit is contained in:
zhangkun9038@dingtalk.com
parent
3edab44e32
commit
6414b7dbae
@ -102,6 +102,23 @@ class FreqaiPrimer(IStrategy):
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volume_spike_multiplier = DecimalParameter(1.0, 3.0, default=1.5, decimals=1, space="buy", optimize=True, load=True)
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bb_width_min = DecimalParameter(0.01, 0.05, default=0.02, decimals=3, space="buy", optimize=True, load=True)
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# 出场条件hyperopt参数 (space="sell")
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exit_volume_multiplier = DecimalParameter(1.5, 3.0, default=2.0, decimals=1, space="sell", optimize=True, load=True) # 成交量放大倍数
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exit_rsi_threshold = IntParameter(60, 80, default=65, space="sell", optimize=True, load=True) # 出场RSI阈值
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exit_max_hold_hours = IntParameter(8, 12, default=9, space="sell", optimize=True, load=True) # 最大持仓时间(小时)
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# 渐进式止盈参数
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strong_bull_take_profit_1 = DecimalParameter(0.02, 0.04, default=0.03, decimals=2, space="sell", optimize=True, load=True)
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strong_bull_take_profit_2 = DecimalParameter(0.05, 0.07, default=0.06, decimals=2, space="sell", optimize=True, load=True)
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strong_bull_take_profit_3 = DecimalParameter(0.08, 0.10, default=0.09, decimals=2, space="sell", optimize=True, load=True)
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strong_bull_take_profit_4 = DecimalParameter(0.11, 0.13, default=0.12, decimals=2, space="sell", optimize=True, load=True)
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strong_bull_take_profit_5 = DecimalParameter(0.14, 0.16, default=0.15, decimals=2, space="sell", optimize=True, load=True)
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weak_bull_take_profit_1 = DecimalParameter(0.01, 0.03, default=0.02, decimals=2, space="sell", optimize=True, load=True)
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weak_bull_take_profit_2 = DecimalParameter(0.03, 0.05, default=0.04, decimals=2, space="sell", optimize=True, load=True)
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weak_bull_take_profit_3 = DecimalParameter(0.05, 0.07, default=0.06, decimals=2, space="sell", optimize=True, load=True)
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weak_bull_take_profit_4 = DecimalParameter(0.07, 0.09, default=0.08, decimals=2, space="sell", optimize=True, load=True)
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def informative_pairs(self):
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pairs = self.dp.current_whitelist()
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@ -486,14 +503,14 @@ class FreqaiPrimer(IStrategy):
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# 条件1: 价格突破布林带上轨
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breakout_condition = dataframe['close'] >= dataframe['bb_upper_1h']
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# 条件2: 成交量显著放大
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volume_spike = dataframe['volume'] > dataframe['volume_ma'] * 2
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# 条件2: 成交量显著放大（使用hyperopt优化参数）
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volume_spike = dataframe['volume'] > dataframe['volume_ma'] * self.exit_volume_multiplier.value
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# 条件3: MACD 下降趋势
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macd_downward = dataframe['macd_1h'] < dataframe['macd_signal_1h']
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# 条件4: RSI 进入超买区域
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rsi_overbought = dataframe['rsi_1h'] > self.rsi_overbought.value
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# 条件4: RSI 进入超买区域（使用hyperopt优化参数）
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rsi_overbought = dataframe['rsi_1h'] > self.exit_rsi_threshold.value
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# 合并所有条件
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final_condition = breakout_condition | volume_spike | macd_downward | rsi_overbought
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@ -713,9 +730,9 @@ class FreqaiPrimer(IStrategy):
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# 如果current_time没有时区信息，直接计算
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holding_time = (current_time - trade.open_date).total_seconds() / 3600
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# 如果持仓时间超过9小时，强制平仓
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if holding_time >= 9:
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logger.info(f"[{pair}] 持仓时间超过9小时，强制平仓")
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# 如果持仓时间超过最大持仓时间，强制平仓（使用hyperopt优化参数）
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if holding_time >= self.exit_max_hold_hours.value:
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logger.info(f"[{pair}] 持仓时间超过{self.exit_max_hold_hours.value}小时，强制平仓")
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return 1.0 # 全部退出
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"""渐进式止盈逻辑"""
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@ -723,11 +740,22 @@ class FreqaiPrimer(IStrategy):
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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current_state = dataframe['market_state'].iloc[-1] if 'market_state' in dataframe.columns else 'unknown'
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# 定义更激进的渐进式止盈水平，提高收益上限
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# 定义渐进式止盈水平（使用hyperopt优化参数）
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profit_levels = {
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# 状态: [(止盈触发利润, 止盈比例)]
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'strong_bull': [(0.03, 0.2), (0.06, 0.4), (0.09, 0.6), (0.12, 0.8), (0.15, 1.0)], # 强劲牛市的渐进止盈，降低目标
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'weak_bull': [(0.02, 0.3), (0.04, 0.5), (0.06, 0.7), (0.08, 0.9)], # 弱牛市的渐进止盈
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'strong_bull': [
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(self.strong_bull_take_profit_1.value, 0.2),
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(self.strong_bull_take_profit_2.value, 0.4),
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(self.strong_bull_take_profit_3.value, 0.6),
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(self.strong_bull_take_profit_4.value, 0.8),
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(self.strong_bull_take_profit_5.value, 1.0)
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], # 强劲牛市的渐进止盈
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'weak_bull': [
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(self.weak_bull_take_profit_1.value, 0.3),
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(self.weak_bull_take_profit_2.value, 0.5),
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(self.weak_bull_take_profit_3.value, 0.7),
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(self.weak_bull_take_profit_4.value, 0.9)
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], # 弱牛市的渐进止盈
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'neutral': [(0.015, 0.4), (0.03, 0.6), (0.045, 0.8), (0.06, 1.0)], # 中性市场的渐进止盈
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'bear': [(0.01, 0.6), (0.015, 0.8), (0.02, 1.0)] # 熊市的渐进止盈（更保守）
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}
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0
test_adx.py
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0
test_adx.py
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@ -183,7 +183,8 @@ rm -rf ./freqtrade/user_data/data/backtest_results/*
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rm -fr ./user_data/dryrun_results/*
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rm result/*
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hyperopt_config="${STRATEGY_NAME%.py}.json"
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# 将 STRATEGY_NAME 转换为小写并生成 hyperopt_config
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hyperopt_config="$(echo "${STRATEGY_NAME%.py}" | tr '[:upper:]' '[:lower:]').json"
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echo "docker-compose run --rm freqtrade backtesting $PAIRS_FLAG \
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--logfile /freqtrade/user_data/logs/freqtrade.log \
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@ -197,11 +198,19 @@ echo "docker-compose run --rm freqtrade backtesting $PAIRS_FLAG \
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--breakdown day \
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--cache none >output.log"
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# 在此之前插入逻辑以编辑 JSON 文件
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hyperopt_config_path="../freqtrade/templates/${STRATEGY_NAME}.json"
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# 使用 sed 清理空的 roi, sell, protection 元素
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sed -i '/"roi": {},/d' "$hyperopt_config_path"
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sed -i '/"sell": {},/d' "$hyperopt_config_path"
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sed -i '/"protection": {},/d' "$hyperopt_config_path"
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docker-compose run --rm freqtrade backtesting $PAIRS_FLAG \
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--logfile /freqtrade/user_data/logs/freqtrade.log \
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--freqaimodel LightGBMRegressorMultiTarget \
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--config /freqtrade/config_examples/$CONFIG_FILE \
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--config /freqtrade/templates/freqaiprimer.json \
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--config /freqtrade/templates/$hyperopt_config \
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--strategy-path /freqtrade/templates \
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--enable-protections \
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--strategy $STRATEGY_NAME \
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@ -236,4 +245,4 @@ cp output.log result/ -f
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cd tools/
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python tradestocsv.py
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python analytic.py >../result/analytic.log
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cd ../
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cd ../
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@ -123,93 +123,104 @@ fi
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# Format end_date for URL parameter (YYYY-MM-DD format)
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END_DATE_FORMATTED=$(date -d "@$END_DATE" "+%Y-%m-%d")
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# 处理交易对参数：优先级为 --pairRemoteList > --pairs > 默认值
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if [ -n "$PAIR_REMOTE_LIST_URL" ]; then
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# 从远程API获取交易对列表
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echo "Fetching pairs from remote URL: $PAIR_REMOTE_LIST_URL"
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pairs_json=$(curl -s "$PAIR_REMOTE_LIST_URL")
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# # 处理交易对参数：优先级为 --pairRemoteList > --pairs > 默认值
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# if [ -n "$PAIR_REMOTE_LIST_URL" ]; then
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# # 从远程API获取交易对列表
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# echo "Fetching pairs from remote URL: $PAIR_REMOTE_LIST_URL"
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# pairs_json=$(curl -s "$PAIR_REMOTE_LIST_URL")
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#
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# # 检查API响应是否成功
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# if [[ $? -ne 0 || -z "$pairs_json" ]]; then
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# echo "Error: Failed to fetch pairs from remote URL, using --pairs parameter or default"
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# if [ -n "$PAIRS_ARG" ]; then
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# PAIRS_FLAG="--pairs $PAIRS_ARG"
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# echo "Using pairs from --pairs parameter: $PAIRS_ARG"
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# else
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# # 使用默认的交易对列表
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# DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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# PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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# echo "Using default pairs: $DEFAULT_PAIRS"
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# fi
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# else
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# # 解析JSON并提取交易对，将连字符替换为斜杠
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# remote_pairs=$(echo "$pairs_json" | python3 -c "
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# import sys, json
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# data = json.load(sys.stdin)
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# pairs = [pair.replace('-', '/') for pair in data.get('pairlist', [])]
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# print(' '.join(pairs) if pairs else '')
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# ")
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#
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# # 如果解析成功且有交易对
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# if [[ -n "$remote_pairs" ]]; then
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# PAIRS_FLAG="--pairs $remote_pairs"
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# echo "Successfully fetched $(echo "$remote_pairs" | wc -w) pairs from remote URL"
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# echo "Pairs: $remote_pairs"
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# else
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# echo "Error: Failed to parse or empty pairlist from remote URL, using --pairs parameter or default"
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# if [ -n "$PAIRS_ARG" ]; then
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# PAIRS_FLAG="--pairs $PAIRS_ARG"
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# echo "Using pairs from --pairs parameter: $PAIRS_ARG"
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# else
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# # 使用默认的交易对列表
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# DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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# PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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# echo "Using default pairs: $DEFAULT_PAIRS"
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# fi
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# fi
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# fi
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# elif [ -n "$PAIRS_ARG" ]; then
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# # 使用 --pairs 参数提供的交易对
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# PAIRS_FLAG="--pairs $PAIRS_ARG"
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# echo "Using pairs from --pairs parameter: $PAIRS_ARG"
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# echo "Number of pairs: $(echo "$PAIRS_ARG" | wc -w)"
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# else
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# # 优先从指定URL获取交易对列表
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# echo "Fetching pairs from primary URL with date parameter..."
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# PRIMARY_URL="http://pairlist.xl.home/api/pairlist?mute=true&count=30&date=${END_DATE_FORMATTED}"
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# echo "Requesting: $PRIMARY_URL"
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#
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# pairs_json=$(curl -s "$PRIMARY_URL")
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#
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# # 检查API响应是否成功
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# if [[ $? -ne 0 || -z "$pairs_json" ]]; then
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# echo "Error: Failed to fetch pairs from primary URL, using default pairs"
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# # 使用默认的交易对列表
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# DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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# PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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# echo "Using default pairs: $DEFAULT_PAIRS"
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# else
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# # 解析JSON并提取交易对，将连字符替换为斜杠
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# remote_pairs=$(echo "$pairs_json" | python3 -c "
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# import sys, json
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# data = json.load(sys.stdin)
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# pairs = [pair.replace('-', '/') for pair in data.get('pairlist', [])]
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# print(' '.join(pairs) if pairs else '')
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# ")
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#
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# # 如果解析成功且有交易对
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# if [[ -n "$remote_pairs" ]]; then
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# PAIRS_FLAG="--pairs $remote_pairs"
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# echo "Successfully fetched $(echo "$remote_pairs" | wc -w) pairs from primary URL"
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# echo "Pairs: $remote_pairs"
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# else
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# echo "Error: Failed to parse or empty pairlist from primary URL, using default pairs"
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# # 使用默认的交易对列表
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# DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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# PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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# echo "Using default pairs: $DEFAULT_PAIRS"
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# fi
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# fi
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# fi
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# 检查API响应是否成功
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if [[ $? -ne 0 || -z "$pairs_json" ]]; then
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echo "Error: Failed to fetch pairs from remote URL, using --pairs parameter or default"
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if [ -n "$PAIRS_ARG" ]; then
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PAIRS_FLAG="--pairs $PAIRS_ARG"
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echo "Using pairs from --pairs parameter: $PAIRS_ARG"
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else
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# 使用默认的交易对列表
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DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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echo "Using default pairs: $DEFAULT_PAIRS"
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fi
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else
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# 解析JSON并提取交易对，将连字符替换为斜杠
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remote_pairs=$(echo "$pairs_json" | python3 -c "
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import sys, json
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data = json.load(sys.stdin)
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pairs = [pair.replace('-', '/') for pair in data.get('pairlist', [])]
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print(' '.join(pairs) if pairs else '')
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")
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# 如果解析成功且有交易对
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if [[ -n "$remote_pairs" ]]; then
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PAIRS_FLAG="--pairs $remote_pairs"
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echo "Successfully fetched $(echo "$remote_pairs" | wc -w) pairs from remote URL"
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echo "Pairs: $remote_pairs"
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else
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echo "Error: Failed to parse or empty pairlist from remote URL, using --pairs parameter or default"
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if [ -n "$PAIRS_ARG" ]; then
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PAIRS_FLAG="--pairs $PAIRS_ARG"
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echo "Using pairs from --pairs parameter: $PAIRS_ARG"
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else
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# 使用默认的交易对列表
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DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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echo "Using default pairs: $DEFAULT_PAIRS"
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fi
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fi
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fi
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elif [ -n "$PAIRS_ARG" ]; then
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# 使用 --pairs 参数提供的交易对
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DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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# 如果提供了 --pairs 参数，则使用它；否则使用默认币对列表
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if [ -n "$PAIRS_ARG" ]; then
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PAIRS_FLAG="--pairs $PAIRS_ARG"
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echo "Using pairs from --pairs parameter: $PAIRS_ARG"
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echo "Number of pairs: $(echo "$PAIRS_ARG" | wc -w)"
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else
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# 优先从指定URL获取交易对列表
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echo "Fetching pairs from primary URL with date parameter..."
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PRIMARY_URL="http://pairlist.xl.home/api/pairlist?mute=true&count=30&date=${END_DATE_FORMATTED}"
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echo "Requesting: $PRIMARY_URL"
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pairs_json=$(curl -s "$PRIMARY_URL")
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# 检查API响应是否成功
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if [[ $? -ne 0 || -z "$pairs_json" ]]; then
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echo "Error: Failed to fetch pairs from primary URL, using default pairs"
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# 使用默认的交易对列表
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DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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echo "Using default pairs: $DEFAULT_PAIRS"
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else
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# 解析JSON并提取交易对，将连字符替换为斜杠
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remote_pairs=$(echo "$pairs_json" | python3 -c "
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import sys, json
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data = json.load(sys.stdin)
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pairs = [pair.replace('-', '/') for pair in data.get('pairlist', [])]
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print(' '.join(pairs) if pairs else '')
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")
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# 如果解析成功且有交易对
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if [[ -n "$remote_pairs" ]]; then
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PAIRS_FLAG="--pairs $remote_pairs"
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echo "Successfully fetched $(echo "$remote_pairs" | wc -w) pairs from primary URL"
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echo "Pairs: $remote_pairs"
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else
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echo "Error: Failed to parse or empty pairlist from primary URL, using default pairs"
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# 使用默认的交易对列表
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DEFAULT_PAIRS="BTC/USDT TON/USDT DOT/USDT XRP/USDT OKB/USDT SOL/USDT DOGE/USDT WCT/USDT TRUMP/USDT SUI/USDT PEPE/USDT TRB/USDT MASK/USDT UNI/USDT KAITO/USDT"
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PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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echo "Using default pairs: $DEFAULT_PAIRS"
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fi
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fi
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PAIRS_FLAG="--pairs $DEFAULT_PAIRS"
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echo "Using default pairs: $DEFAULT_PAIRS"
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fi
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||||
cd ../
|
||||
@ -243,8 +254,8 @@ docker-compose run --rm freqtrade hyperopt $PAIRS_FLAG \
|
||||
--enable-protections \
|
||||
--strategy-path /freqtrade/templates \
|
||||
--timerange ${START_DATE}-${END_DATE} \
|
||||
-e 100 \
|
||||
-e 200 \
|
||||
-j 4 \
|
||||
--hyperopt-loss OnlyProfitHyperOptLoss \
|
||||
--spaces buy \
|
||||
--fee 0.0016
|
||||
--fee 0.0016
|
||||
@ -254,6 +254,12 @@ rm -rf ./freqtrade/user_data/data/backtest_results/*
|
||||
rm -fr ./user_data/dryrun_results/*
|
||||
cd -
|
||||
|
||||
hyperopt_config_path="../freqtrade/templates/${PARAMS_NAME}.json"
|
||||
# 使用 sed 清理空的 roi, sell, protection 元素
|
||||
sed -i '/"roi": {},/d' "$hyperopt_config_path"
|
||||
sed -i '/"sell": {},/d' "$hyperopt_config_path"
|
||||
sed -i '/"protection": {},/d' "$hyperopt_config_path"
|
||||
|
||||
# 启动新容器
|
||||
echo "启动容器: $CONTAINER_NAME" >&2
|
||||
docker-compose run -d --rm \
|
||||
@ -275,4 +281,4 @@ if [ $? -eq 0 ]; then
|
||||
else
|
||||
echo "❌ 容器启动失败" >&2
|
||||
exit 1
|
||||
fi
|
||||
fi
|
||||
Loading…
x
Reference in New Issue
Block a user