hyperopt mardingale
This commit is contained in:
zhangkun9038@dingtalk.com
parent
5490d392c5
commit
6dc6cade30
@ -8,6 +8,9 @@ import datetime
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import pandas as pd
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import math
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# 设置pandas选项以解决FutureWarning警告
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pd.set_option('future.no_silent_downcasting', True)
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logger = logging.getLogger(__name__)
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class MartinGale(IStrategy):
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@ -79,21 +82,21 @@ class MartinGale(IStrategy):
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timeframe = "3m" # 主时间框架为 3 分钟
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can_short = False # 禁用做空
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# 自定义指标参数 - 使用Hyperopt可优化参数
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# 自定义指标参数 - 设置为可通过Hyperopt优化
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# 从OKX App中获取的参数
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rsi_length = IntParameter(7, 21, default=14, optimize=False, load=True, space='buy') # RSI周期为14
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rsi_oversold = IntParameter(20, 40, default=30, optimize=False, load=True, space='buy') # RSI触发阈值为30
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rsi_length = IntParameter(7, 21, default=14, optimize=True, load=True, space='buy') # RSI周期为14，可优化范围7-21
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rsi_oversold = IntParameter(20, 40, default=30, optimize=True, load=True, space='buy') # RSI触发阈值为30，可优化范围20-40
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# 马丁格尔策略参数 - 基于OKX App界面设置
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max_entry_adjustments = IntParameter(5, 15, default=10, optimize=False, load=True, space='buy') # 最大加仓次数10次
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add_position_callback = DecimalParameter(0.005, 0.015, decimals=3, default=0.0066, optimize=False, load=True, space='buy') # 跌幅加仓阈值0.66%
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max_entry_adjustments = IntParameter(5, 15, default=10, optimize=True, load=True, space='buy') # 最大加仓次数10次，可优化范围5-15
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add_position_callback = DecimalParameter(0.005, 0.015, decimals=3, default=0.0066, optimize=True, load=True, space='buy') # 跌幅加仓阈值0.66%，可优化范围0.5%-1.5%
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# 马丁格尔加仓比例参数
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step_coefficient = DecimalParameter(1.0, 1.1, decimals=2, default=1.05, optimize=False, load=True, space='buy') # 加仓比例1.05倍
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stake_divisor = DecimalParameter(0.9, 1.1, decimals=2, default=1.0, optimize=False, load=True, space='buy') # 初始比例
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step_coefficient = DecimalParameter(1.0, 1.1, decimals=2, default=1.05, optimize=True, load=True, space='buy') # 加仓比例1.05倍，可优化范围1.0-1.1
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stake_divisor = DecimalParameter(0.9, 1.1, decimals=2, default=1.0, optimize=True, load=True, space='buy') # 初始比例，可优化范围0.9-1.1
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# 止盈目标参数 - 对应OKX App中的单周期止盈目标2.50%
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take_profit_target = DecimalParameter(0.02, 0.03, decimals=3, default=0.025, optimize=False, load=True, space='sell')
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take_profit_target = DecimalParameter(0.02, 0.03, decimals=3, default=0.025, optimize=True, load=True, space='sell') # 止盈目标2.5%，可优化范围2.0%-3.0%
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def informative_pairs(self):
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"""定义辅助时间框架"""
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@ -156,10 +159,12 @@ class MartinGale(IStrategy):
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df_1h['rsi_1h'] = ta.rsi(df_1h['close'], length=rsi_length_value)
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df_1h['ema_50_1h'] = ta.ema(df_1h['close'], length=50) # 1h 50周期EMA
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df_1h['ema_200_1h'] = ta.ema(df_1h['close'], length=200) # 1h 200周期EMA
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df_1h['trend_1h'] = df_1h['close'] > df_1h['ema_50_1h'] # 1h上涨趋势
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# 将1h数据重新索引到主时间框架(3m)，并填充缺失值
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df_1h = df_1h.set_index('date').reindex(dataframe['date']).ffill().bfill().reset_index()
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# 计算1h上涨趋势，确保不包含None值
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df_1h['trend_1h'] = df_1h['close'] > df_1h['ema_50_1h'] # 1h上涨趋势
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df_1h = df_1h.rename(columns={'index': 'date'})
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df_1h = df_1h[['date', 'rsi_1h', 'trend_1h', 'ema_50_1h', 'ema_200_1h']].ffill()
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@ -13,20 +13,21 @@ if [ ! -f ".env" ]; then
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fi
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# 加载 .env 文件中的变量
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export $(grep -v '^#' .env | xargs)
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if [ -f .env ]; then
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set -a
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source .env
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set +a
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fi
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# 设置默认值
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STRATEGY_NAME=${STRATEGY_NAME:-TheForceV7}
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CONFIG_FILE=${CONFIG_FILE:-basic.json}
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echo "Using strategy: $STRATEGY_NAME"
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echo "Using config: $CONFIG_FILE"
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echo "Using testBranch: $TEST_BRANCH"
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TEST_BRANCH=${TEST_BRANCH:-develop}
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# Function to extract the value of a parameter
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get_param_value() {
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local param="$1"
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shift
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local args=("$@")
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local args=($@)
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local i=0
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while [ $i -lt ${#args[@]} ]; do
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@ -58,6 +59,7 @@ for arg in "$@"; do
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HAS_NAMED_PARAMS=true
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break
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fi
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done
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# Initialize variables
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@ -78,6 +80,7 @@ if [ "$HAS_NAMED_PARAMS" = true ]; then
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if [ -z "$STRATEGY_ARG" ]; then
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STRATEGY_ARG=$(get_param_value "-t" "$@")
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fi
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CONFIG_ARG=$(get_param_value "--config" "$@")
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else
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# Use positional parameter parsing
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if [ $# -gt 0 ]; then
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@ -92,18 +95,25 @@ else
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if [[ "$THIRD_PARAM" == http://* ]] || [[ "$THIRD_PARAM" == https://* ]]; then
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PAIR_REMOTE_LIST_URL="$THIRD_PARAM"
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echo "Detected URL parameter: $PAIR_REMOTE_LIST_URL"
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# Check if it's a pair like \"*/USDT\"
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# Check if it's a pair like "*/USDT"
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elif [[ "$THIRD_PARAM" == */USDT ]] || [[ "$THIRD_PARAM" == */BUSD ]] || [[ "$THIRD_PARAM" == */USDC ]]; then
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PAIRS_ARG="$THIRD_PARAM"
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echo "Detected pair parameter: $PAIRS_ARG"
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# Check if it's a strategy name
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elif [[ "$THIRD_PARAM" =~ ^[a-zA-Z0-9]+$ ]]; then
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elif [[ "$THIRD_PARAM" == *.py ]] || [[ "$THIRD_PARAM" != -* ]]; then
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STRATEGY_ARG="$THIRD_PARAM"
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echo "Detected strategy parameter: $STRATEGY_ARG"
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else
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echo "Warning: Third parameter '$THIRD_PARAM' is neither a URL nor a pair nor a strategy"
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fi
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fi
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if [ $# -gt 3 ]; then
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FOURTH_PARAM="$4"
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if [[ "$FOURTH_PARAM" == *.json ]]; then
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CONFIG_ARG="$FOURTH_PARAM"
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echo "Detected config parameter: $CONFIG_ARG"
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fi
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fi
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fi
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# Set default values if parameters not provided
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@ -129,52 +139,120 @@ else
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END_DATE=$(date -d "${END_DATE_RAW:0:4}-${END_DATE_RAW:4:2}-${END_DATE_RAW:6:2} 00:00:00" +"%s")
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fi
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# Format end_date for URL parameter (YYYY-MM-DD format)
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END_DATE_FORMATTED=$(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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# 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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# 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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# 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 "$pairs_json" | python3 -c "
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import sys, json
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data = json.load(sys.stdin)
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pairs = [pair.replace('-', '/') for pair in data.get('pairlist', [])]
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print(' '.join(pairs) if pairs else '')")
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# 如果命令行提供了策略参数，覆盖 .env 文件中的设置
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if [ -n "$STRATEGY_ARG" ]; then
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STRATEGY_NAME="$STRATEGY_ARG"
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echo "Overriding strategy from command line: $STRATEGY_NAME"
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# 如果解析成功且有交易对
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if [[ -n "$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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else
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# 没有提供任何交易对参数，使用默认值
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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 "No pairs parameter provided, using default pairs: $DEFAULT_PAIRS"
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fi
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# 如果命令行提供了策略参数，覆盖.env文件设置
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if [ -n "$STRATEGY_ARG" ]; then
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# 策略类名保持不变（如MyStrategy），但文件名使用小写
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STRATEGY_CLASS_NAME="$STRATEGY_ARG"
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STRATEGY_FILE_NAME="$(echo "$STRATEGY_ARG" | tr '[:upper:]' '[:lower:]').py"
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STRATEGY_NAME="$STRATEGY_FILE_NAME"
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echo "Overriding strategy with command line parameter: $STRATEGY_CLASS_NAME"
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echo "Strategy class name: $STRATEGY_CLASS_NAME"
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echo "Strategy file name: $STRATEGY_FILE_NAME"
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# 自动匹配策略对应的配置文件（使用小写）
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STRATEGY_CONFIG_LOWER="$(echo "$STRATEGY_ARG" | tr '[:upper:]' '[:lower:]').json"
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echo "Checking auto-matched config file: freqtrade/templates/$STRATEGY_CONFIG_LOWER"
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# 检查小写配置文件
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if [ -f "../freqtrade/templates/$STRATEGY_CONFIG_LOWER" ]; then
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CONFIG_FILE="$STRATEGY_CONFIG_LOWER"
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echo "Auto-matched config file for strategy: $CONFIG_FILE"
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else
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echo "Warning: Auto-matched config file '$STRATEGY_CONFIG_LOWER' not found in templates directory"
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echo "Available config files in templates directory:"
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ls ../freqtrade/templates/*.json 2>/dev/null | sed 's|.*/||' || echo "No JSON config files found"
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echo "Using current config: $CONFIG_FILE"
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fi
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fi
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# 如果命令行提供了配置参数，覆盖.env文件设置
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if [ -n "$CONFIG_ARG" ]; then
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CONFIG_FILE="$CONFIG_ARG"
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echo "Overriding config with command line parameter: $CONFIG_FILE"
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fi
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# 检查指定的配置文件是否存在，如果不存在则使用默认配置
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echo "Checking config file: freqtrade/templates/$CONFIG_FILE"
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if [ ! -f "../freqtrade/templates/$CONFIG_FILE" ]; then
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echo "Warning: Config file freqtrade/templates/$CONFIG_FILE not found, using default configuration"
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CONFIG_FILE="basic.json"
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else
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echo "Config file found: freqtrade/templates/$CONFIG_FILE"
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fi
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# 在参数处理完成后输出最终使用的值
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echo "Using strategy: $STRATEGY_NAME"
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echo "Using config: $CONFIG_FILE"
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echo "Using testBranch: $TEST_BRANCH"
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cd ../
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source .venv/bin/activate
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rm -rf user_data/models/*
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rm -rf ./freqtrade/user_data/data/backtest_results/*
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rm -fr ./user_data/dryrun_results/*
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rm result/*
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rm -f result/*
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PARAMS_NAME=freqaiprimer
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hyperopt_config="${STRATEGY_NAME%.py}.json"
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echo "docker-compose run --rm freqtrade hyperopt $PAIRS_FLAG \
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--logfile /freqtrade/user_data/logs/freqtrade.log \
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--freqaimodel LightGBMRegressorMultiTarget \
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--strategy $STRATEGY_NAME \
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--config /freqtrade/config_examples/$CONFIG_FILE \
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--config /freqtrade/templates/${PARAMS_NAME}.json \
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--enable-protections \
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--strategy-path /freqtrade/templates \
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--timerange ${START_DATE}-${END_DATE} \
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-e 100 \
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-j 4 \
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--hyperopt-loss ShortTradeDurHyperOptLoss \
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--spaces buy sell trailing \
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--fee 0.0016"
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docker-compose run --rm freqtrade hyperopt $PAIRS_FLAG \
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--logfile /freqtrade/user_data/logs/freqtrade.log \
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--freqaimodel LightGBMRegressorMultiTarget \
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--strategy $STRATEGY_NAME \
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--strategy $STRATEGY_CLASS_NAME \
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--config /freqtrade/config_examples/$CONFIG_FILE \
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--config /freqtrade/templates/${PARAMS_NAME}.json \
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--enable-protections \
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@ -185,4 +263,48 @@ docker-compose run --rm freqtrade hyperopt $PAIRS_FLAG \
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-j 20 \
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--hyperopt-loss SharpeHyperOptLossDaily \
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--spaces sell \
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--fee 0.001
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--fee 0.001"
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docker-compose run --rm freqtrade hyperopt $PAIRS_FLAG \
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--logfile /freqtrade/user_data/logs/freqtrade.log \
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--freqaimodel LightGBMRegressorMultiTarget \
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--strategy $STRATEGY_CLASS_NAME \
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--config /freqtrade/config_examples/$CONFIG_FILE \
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--config /freqtrade/templates/${PARAMS_NAME}.json \
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--enable-protections \
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--strategy-path /freqtrade/templates \
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--timerange ${START_DATE}-${END_DATE} \
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--random-state 19 \
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-e 2500 \
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-j 20 \
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--hyperopt-loss SharpeHyperOptLossDaily \
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--spaces sell \
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--fee 0.001 >output.log 2>&1
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sed -i 's/\x1B\[[0-9;]*m//g' output.log
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rm ./result/*.json -fr
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rm ./result/*.py -fr
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mv ./user_data/backtest_results/* ./result/
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cd ./result
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# 查找当前目录下的所有 zip 文件
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zip_files=(*.zip)
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# 检查是否只有一个 zip 文件
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if [ ${#zip_files[@]} -eq 1 ]; then
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# 解压缩该 zip 文件到当前目录
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unzip "${zip_files[0]}"
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rm *.zip
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rm *.feather
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else
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echo "当前目录下没有 zip 文件或者有多个 zip 文件，无法操作。"
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fi
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cd -
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sed -i 's/\x1B\[[0-9;]*m//g' output.log
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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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