Hyperopt参数优化
This commit is contained in:
zhangkun
parent
0e4480d383
commit
b0504384d8
@ -1,19 +1,7 @@
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{
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"strategy_name": "FreqaiPrimer",
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"export_time": "2025-12-03 00:03:56.464370+00:00",
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"ft_stratparam_v": 1,
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"params": {
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"roi": {},
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"stoploss": {
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"stoploss": -0.085
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},
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"trailing": {
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"trailing_stop": true,
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"trailing_stop_positive": 0.012,
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"trailing_stop_positive_offset": 0.025,
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"trailing_only_offset_is_reached": true
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},
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"max_open_trades": {
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"max_open_trades": 5
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},
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"buy": {
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"add_bb_lower_proximity": 0.871,
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"add_position_callback": 0.057,
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@ -21,22 +9,27 @@
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"add_rsi_oversold_threshold": 37,
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"add_stochrsi_oversold": 14,
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"adjust_multiplier": 0.87,
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"bb_length": 58,
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"bb_lower_deviation": 0.931,
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"bb_std": 4.4,
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"bb_length": 38,
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"bb_lower_deviation": 0.937,
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"bb_std": 5.89,
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"bb_width_threshold": 0.016,
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"h1_max_candles": 40,
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"h1_max_consecutive_candles": 1,
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"h1_rapid_rise_threshold": 0.166,
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"max_entry_adjustments": 6,
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"min_condition_count": 2,
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"min_condition_count": 1,
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"rsi_bull_threshold": 44,
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"rsi_length": 30,
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"rsi_length": 14,
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"rsi_oversold": 27,
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"stochrsi_bull_threshold": 33,
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"stochrsi_bull_threshold": 43,
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"stochrsi_neutral_threshold": 18,
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"volume_multiplier": 3.4
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"volume_multiplier": 5.4
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},
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"max_open_trades": {
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"max_open_trades": 5
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},
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"protection": {},
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"roi": {},
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"sell": {
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"exit_bb_upper_deviation": 0.913,
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"exit_profit_tier1": 0.034,
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@ -49,8 +42,17 @@
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"reduce_coefficient": 0.229,
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"reduce_profit_base": 0.02
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},
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"protection": {}
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"stoploss": {
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"stoploss": -0.085
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},
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"trailing": {
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"trailing_only_offset_is_reached": true,
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"trailing_stop": true,
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"trailing_stop_positive": 0.012,
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"trailing_stop_positive_offset": 0.025
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}
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},
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"ft_stratparam_v": 1,
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"export_time": "2025-12-03 00:03:56.464370+00:00"
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}
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"strategy_name": "FreqaiPrimer",
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"trailing_only_offset_is_reached": false,
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"trailing_stop": false
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}
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@ -81,50 +81,52 @@ class FreqaiPrimer(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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# [propertiesGrp_List]--------------------------------------------------------------------------------------------------------------------------------------
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# [propertiesGrp step="1" name="第一轮优化" epochs="160" space="buy" description="入场基础条件优化,入场确认条件优化"]
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bb_std = DecimalParameter(2.0, 6.0, decimals=2, default=3.2, optimize=True, load=True, space='buy') # 安全：2.0-5.0
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rsi_length = IntParameter(10, 30, default=30, optimize=True, load=True, space='buy') # 安全：10-30
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bb_lower_deviation = DecimalParameter(0.92, 1.15, decimals=3, default=1.006, optimize=True, load=True, space='buy') # 安全：0.92-1.15
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stochrsi_bull_threshold = IntParameter(20, 50, default=48, optimize=True, load=True, space='buy') # 安全：20-50
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volume_multiplier = DecimalParameter(1.5, 6.0, decimals=1, default=3.6, optimize=True, load=True, space='buy') # 安全：1.5-6.0
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min_condition_count = IntParameter(1, 2, default=2, optimize=True, load=True, space='buy') # 最多只允许2个条件！
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bb_length = IntParameter(20, 60, default=21, optimize=True, load=True, space='buy') # 安全：20-60
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# [/propertiesGrp]
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# [propertiesGrp step="2" name="第二轮优化 - 剧烈拉升检测" epochs="240" space="buy" description="防追高核心参数，绝对不能放宽！"]
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rsi_oversold = IntParameter(20, 50, default=23, optimize=True, load=True, space='buy') # 安全：20-50
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rsi_bull_threshold = IntParameter(40, 68, default=45, optimize=True, load=True, space='buy') # 安全：40-68
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stochrsi_neutral_threshold = IntParameter(15, 40, default=16, optimize=True, load=True, space='buy') # 安全：15-40
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bb_width_threshold = DecimalParameter(0.003, 0.030, decimals=3, default=0.011, optimize=True, load=True, space='buy') # 安全：0.003-0.030
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h1_max_candles = IntParameter(16, 50, default=19, optimize=True, load=True, space='buy') # 黄金区间！绝不能超过50
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h1_rapid_rise_threshold = DecimalParameter(0.08, 0.22, decimals=3, default=0.192, optimize=True, load=True, space='buy') # 0.08-0.22 实盘最稳
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h1_max_consecutive_candles = IntParameter(1, 2, default=1, optimize=True, load=True, space='buy') # 固定为1最稳，2也行
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# [/propertiesGrp]
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# [propertiesGrp step="3" name="第三轮优化 - 加仓策略" epochs="220" space="buy" description="加仓精准度与金额管理，严防爆仓"]
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add_position_callback = DecimalParameter(0.047, 0.090, decimals=3, default=0.067, optimize=True, load=True, space='buy') # 2.5%-7.0% 回调才加
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add_rsi_oversold_threshold = IntParameter(15, 40, default=23, optimize=True, load=True, space='buy') # 不能太低
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add_stochrsi_oversold = IntParameter(10, 35, default=23, optimize=True, load=True, space='buy')
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add_bb_lower_proximity = DecimalParameter(0.85, 1.20, decimals=3, default=0.987, optimize=True, load=True, space='buy') # 不能离下轨太远
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add_position_decrease_ratio= DecimalParameter(0.30, 0.80, decimals=2, default=0.55, optimize=True, load=True, space='buy') # 递减比例别太激进
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max_entry_adjustments = IntParameter(2, 7, default=6, optimize=True, load=True, space='buy') # 最多7次加仓，防爆仓
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adjust_multiplier = DecimalParameter(0.6, 1.6, decimals=2, default=0.98, optimize=True, load=True, space='buy') # 别让加仓金额指数爆炸
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# [/propertiesGrp]
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# [propertiesGrp step="4" name="第四轮优化 - 出场与分级止盈" epochs="200" space="sell" description="出场条件与分级止盈,减仓与风险管理"]
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exit_bb_upper_deviation = DecimalParameter(0.90, 1.15, decimals=3, default=0.919, optimize=True, load=True, space='sell')
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exit_volume_multiplier = DecimalParameter(2.0, 7.0, decimals=1, default=2.2, optimize=True, load=True, space='sell')
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exit_rsi_threshold = IntParameter(55, 72, default=57, optimize=True, load=True, space='sell') # 牛市也能出得了场
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exit_profit_tier1 = DecimalParameter(0.03, 0.12, decimals=3, default=0.116, optimize=True, load=True, space='sell')
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exit_reduce_tier1 = DecimalParameter(0.20, 0.70, decimals=2, default=0.21, optimize=True, load=True, space='sell')
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exit_profit_tier2 = DecimalParameter(0.08, 0.20, decimals=3, default=0.152, optimize=True, load=True, space='sell')
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exit_reduce_tier2 = DecimalParameter(0.15, 0.60, decimals=2, default=0.17, optimize=True, load=True, space='sell')
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reduce_profit_base = DecimalParameter(0.02, 0.12, decimals=3, default=0.081, optimize=True, load=True, space='sell')
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reduce_coefficient = DecimalParameter(0.15, 0.55, decimals=3, default=0.326, optimize=True, load=True, space='sell')
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max_reduce_adjustments = IntParameter(1, 4, default=2, optimize=True, load=True, space='sell') # 最多4次减仓就够了
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# [/propertiesGrp]
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# [/propertiesGrp_List]-----------------------------------------------------------------------------------------------------------------------------
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# [propertiesGrp_List]
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# [propertiesGrp step="1" name="第一轮优化" space="buy" epochs="160" description="入场基础条件优化,入场确认条件优化"]
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bb_length=IntParameter(20, 60, optimize=True, load=True, default=21, space='buy') # [PARAM]
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bb_lower_deviation=DecimalParameter(0.92, 1.15, decimals=3, optimize=True, load=True, default=1.006, space='buy') # [PARAM]
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bb_std=DecimalParameter(2, 6, decimals=2, optimize=True, load=True, default=3.2, space='buy') # [PARAM]
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min_condition_count=IntParameter(1, 2, optimize=True, load=True, default=2, space='buy') # [PARAM]
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rsi_length=IntParameter(10, 30, optimize=True, load=True, default=30, space='buy') # [PARAM]
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stochrsi_bull_threshold=IntParameter(20, 50, optimize=True, load=True, default=48, space='buy') # [PARAM]
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volume_multiplier=DecimalParameter(1.5, 6, decimals=1, optimize=True, load=True, default=3.6, space='buy') # [PARAM]
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# [/propertiesGrp]
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# [propertiesGrp step="2" name="第二轮优化 - 剧烈拉升检测" space="buy" epochs="240" description="防追高核心参数，绝对不能放宽！"]
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bb_width_threshold=DecimalParameter(0.003, 0.03, decimals=3, optimize=True, load=True, default=0.011, space='buy') # [PARAM]
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h1_max_candles=IntParameter(16, 50, optimize=True, load=True, default=19, space='buy') # [PARAM]
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h1_max_consecutive_candles=IntParameter(1, 2, optimize=True, load=True, default=1, space='buy') # [PARAM]
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h1_rapid_rise_threshold=DecimalParameter(0.08, 0.22, decimals=3, optimize=True, load=True, default=0.192, space='buy') # [PARAM]
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rsi_bull_threshold=IntParameter(40, 68, optimize=True, load=True, default=45, space='buy') # [PARAM]
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rsi_oversold=IntParameter(20, 50, optimize=True, load=True, default=23, space='buy') # [PARAM]
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stochrsi_neutral_threshold=IntParameter(15, 40, optimize=True, load=True, default=16, space='buy') # [PARAM]
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# [/propertiesGrp]
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# [propertiesGrp step="3" name="第三轮优化 - 加仓策略" space="buy" epochs="220" description="加仓精准度与金额管理，严防爆仓"]
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add_bb_lower_proximity=DecimalParameter(0.85, 1.2, decimals=3, optimize=True, load=True, default=0.987, space='buy') # [PARAM]
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add_position_callback=DecimalParameter(0.047, 0.09, decimals=3, optimize=True, load=True, default=0.067, space='buy') # [PARAM]
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add_position_decrease_ratio=DecimalParameter(0.3, 0.8, decimals=2, optimize=True, load=True, default=0.55, space='buy') # [PARAM]
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add_rsi_oversold_threshold=IntParameter(15, 40, optimize=True, load=True, default=23, space='buy') # [PARAM]
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add_stochrsi_oversold=IntParameter(10, 35, optimize=True, load=True, default=23, space='buy') # [PARAM]
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adjust_multiplier=DecimalParameter(0.6, 1.6, decimals=2, optimize=True, load=True, default=0.98, space='buy') # [PARAM]
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max_entry_adjustments=IntParameter(2, 7, optimize=True, load=True, default=6, space='buy') # [PARAM]
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# [/propertiesGrp]
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# [propertiesGrp step="4" name="第四轮优化 - 出场与分级止盈" space="sell" epochs="200" description="出场条件与分级止盈,减仓与风险管理"]
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exit_bb_upper_deviation=DecimalParameter(0.9, 1.15, decimals=3, optimize=True, load=True, default=0.919, space='sell') # [PARAM]
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exit_profit_tier1=DecimalParameter(0.03, 0.12, decimals=3, optimize=True, load=True, default=0.116, space='sell') # [PARAM]
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exit_profit_tier2=DecimalParameter(0.08, 0.2, decimals=3, optimize=True, load=True, default=0.152, space='sell') # [PARAM]
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exit_reduce_tier1=DecimalParameter(0.2, 0.7, decimals=2, optimize=True, load=True, default=0.21, space='sell') # [PARAM]
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exit_reduce_tier2=DecimalParameter(0.15, 0.6, decimals=2, optimize=True, load=True, default=0.17, space='sell') # [PARAM]
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exit_rsi_threshold=IntParameter(55, 72, optimize=True, load=True, default=57, space='sell') # [PARAM]
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exit_volume_multiplier=DecimalParameter(2, 7, decimals=1, optimize=True, load=True, default=2.2, space='sell') # [PARAM]
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max_reduce_adjustments=IntParameter(1, 4, optimize=True, load=True, default=2, space='sell') # [PARAM]
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reduce_coefficient=DecimalParameter(0.15, 0.55, decimals=3, optimize=True, load=True, default=0.326, space='sell') # [PARAM]
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reduce_profit_base=DecimalParameter(0.02, 0.12, decimals=3, optimize=True, load=True, default=0.081, space='sell') # [PARAM]
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# [/propertiesGrp]
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# [/propertiesGrp_List]
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def informative_pairs(self):
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pairs = self.dp.current_whitelist()
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70
jsons/best_backtest.json
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70
jsons/best_backtest.json
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@ -0,0 +1,70 @@
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{
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"id": "Vb2VXEaACSVF",
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"vmName": "rose",
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"startTime": "2025-12-06T06:46:55.004449609Z",
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"endTime": "2025-12-06T07:46:55.004449649Z",
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"fullHyperoptEventID": "hkx4d4r8u4D1",
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"propertyGroupListID": "pglist-lX0QQ64Y2YxOujDn-MOa6LxdkkdmcDQrs-DIpUszYeSJ6RA9pj-b0LWHhOimHanPmOc",
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"backTestResult": {
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"task_id": "hkx4d4r8u4D1",
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"start_time": "2025-12-06T06:46:55.004441724Z",
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"end_time": "2025-12-06T07:46:55.004442035Z",
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"performance": {
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"total_profit": 0.0028000000000000004,
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"win_rate": 0.8333333333333334,
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"max_drawdown": 0.0097,
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"calmar_ratio": 109.56,
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"sharpe_ratio": 8.41,
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"sqn": 0.48,
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"trades": 20,
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"profit_factor": 1.28,
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"expectancy": 0.28,
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"total_days": 0,
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"avg_trade_duration": 0,
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"cagr": 0.2237,
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"market_change": 0.0032,
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"best_pair": "SOL/USDT",
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"best_pair_profit": 0.0033,
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"worst_pair": "TRB/USDT",
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"worst_pair_profit": -0.0022
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},
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"full_hyperopt_event_id": "hkx4d4r8u4D1",
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"parameters": {
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"add_bb_lower_proximity": "0.944",
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"add_position_callback": "0.067",
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"add_position_decrease_ratio": "0.57",
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"add_rsi_oversold_threshold": "33",
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"add_stochrsi_oversold": "10",
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"adjust_multiplier": "1.5",
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"bb_length": "38",
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"bb_lower_deviation": "0.937",
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"bb_std": "5.89",
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"bb_width_threshold": "0.026",
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"exit_bb_upper_deviation": "0.938",
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"exit_profit_tier1": "0.068",
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"exit_profit_tier2": "0.161",
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"exit_reduce_tier1": "0.67",
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"exit_reduce_tier2": "0.55",
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"exit_rsi_threshold": "62",
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"exit_volume_multiplier": "6.6",
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"h1_max_candles": "17",
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"h1_max_consecutive_candles": "1",
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"h1_rapid_rise_threshold": "0.207",
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"max_entry_adjustments": "4",
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"max_reduce_adjustments": "4",
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"min_condition_count": "1",
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"reduce_coefficient": "0.322",
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"reduce_profit_base": "0.054",
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"rsi_bull_threshold": "61",
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"rsi_length": "14",
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"rsi_oversold": "38",
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"stochrsi_bull_threshold": "43",
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"stochrsi_neutral_threshold": "33",
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"volume_multiplier": "5.4"
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},
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"type": "postTest",
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"property_group_list_id": ""
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},
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"backTestStartTime": "2025-10-17T00:00:00Z",
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"backTestEndTime": "2025-10-22T00:00:00Z"
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}
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19
jsons/best_performance.json
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19
jsons/best_performance.json
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{
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"total_profit": 0.0028000000000000004,
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"win_rate": 0.8333333333333334,
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"max_drawdown": 0.0097,
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"calmar_ratio": 109.56,
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"sharpe_ratio": 8.41,
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"sqn": 0.48,
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"trades": 20,
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"profit_factor": 1.28,
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"expectancy": 0.28,
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"total_days": 0,
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"avg_trade_duration": 0,
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"cagr": 0.2237,
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"market_change": 0.0032,
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"best_pair": "SOL/USDT",
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"best_pair_profit": 0.0033,
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"worst_pair": "TRB/USDT",
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"worst_pair_profit": -0.0022
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}
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