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https://github.com/Rikj000/MoniGoMani.git
synced 2022-03-06 00:08:05 +03:00
✨ Added Configurable HyperOptable Protections
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Rik Helsen
@@ -63,9 +63,10 @@ class MasterMoniGoManiHyperStrategy(IStrategy, ABC):
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# MGM trend names
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mgm_trends = ['downwards', 'sideways', 'upwards']
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# Initialize empty buy/sell_params dictionaries
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# Initialize empty buy/sell/protection_params dictionaries
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buy_params = {}
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sell_params = {}
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protection_params = {}
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# Load the MoniGoMani config names from '.hurry'
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mgm_config_name = mgm_config_hyperopt_name = None
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@@ -134,7 +135,8 @@ class MasterMoniGoManiHyperStrategy(IStrategy, ABC):
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'stoploss_spaces']['trailing_stop_positive_offset_min_value']
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trailing_stop_positive_offset_max_value = mgm_config[
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'stoploss_spaces']['trailing_stop_positive_offset_max_value']
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mgm_unclogger_add_params = mgm_config['unclogger_spaces']
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mgm_unclogger_params = mgm_config['unclogger_spaces']
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mgm_protection_params = mgm_config['protection_spaces']
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minimal_roi = mgm_config['default_stub_values']['minimal_roi']
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stoploss = mgm_config['default_stub_values']['stoploss']
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trailing_stop = mgm_config['default_stub_values']['trailing_stop']
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@@ -170,12 +172,14 @@ class MasterMoniGoManiHyperStrategy(IStrategy, ABC):
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# Default stub values from 'mgm-config' are used otherwise.
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if mgm_config_hyperopt != {}:
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for space in mgm_config_hyperopt['params']:
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if space in ['buy', 'sell']:
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if space in ['buy', 'sell', 'protection']:
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for param, param_value in mgm_config_hyperopt['params'][space].items():
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if param.startswith('buy'):
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buy_params[param] = param_value
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else:
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elif param.startswith('sell'):
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sell_params[param] = param_value
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else:
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protection_params[param] = param_value
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if space == 'roi':
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minimal_roi = mgm_config_hyperopt['params'][space]
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@@ -334,95 +338,34 @@ class MasterMoniGoManiHyperStrategy(IStrategy, ABC):
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decimals=3, name='trailing_stop_positive_offset_p1'),
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Categorical([True, False], name='trailing_only_offset_is_reached')]
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# Initialize the hyperoptable cooldown protection parameter space
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use_protection_cooldown = BooleanParameter(default=False, space='protection', optimize=True, load=True)
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cooldown_lookback = IntParameter(2, 200, default=5, space='protection', optimize=True, load=True)
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# Initialize the hyperoptable drawdown protection parameter space
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use_protection_drawdown = BooleanParameter(default=False, space='protection', optimize=True, load=True)
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drawdown_lookback = IntParameter(2, 200, default=48, space='protection', optimize=True, load=True)
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drawdown_trade_limit = IntParameter(2, 100, default=10, space='protection', optimize=True, load=True)
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drawdown_stop_duration = IntParameter(2, 100, default=4, space='protection', optimize=True, load=True)
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drawdown_max = DecimalParameter(0, 1, default=0.2, space='protection', optimize=True, load=True)
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# Initialize the hyperoptable stoploss protection parameter space
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use_protection_stoploss = BooleanParameter(default=False, space='protection', optimize=True, load=True)
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stoploss_lookback = IntParameter(2, 200, default=48, space='protection', optimize=True, load=True)
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stoploss_trade_limit = IntParameter(2, 100, default=10, space='protection', optimize=True, load=True)
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stoploss_stop_duration = IntParameter(2, 100, default=4, space='protection', optimize=True, load=True)
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# Initialize the hyperoptable per pair stoploss protection parameter space
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use_protection_stoploss_pp = BooleanParameter(default=False, space='protection', optimize=True, load=True)
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stoploss_lookback_pp = IntParameter(2, 200, default=48, space='protection', optimize=True, load=True)
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stoploss_trade_limit_pp = IntParameter(2, 100, default=10, space='protection', optimize=True, load=True)
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stoploss_stop_duration_pp = IntParameter(2, 100, default=4, space='protection', optimize=True, load=True)
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# Initialize the first hyperoptable low profit protection parameter space
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use_protection_low_profit1 = BooleanParameter(default=False, space='protection', optimize=True, load=True)
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low_profit1_lookback = IntParameter(2, 200, default=6, space='protection', optimize=True, load=True)
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low_profit1_trade_limit = IntParameter(2, 100, default=2, space='protection', optimize=True, load=True)
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low_profit1_stop_duration = IntParameter(2, 100, default=60, space='protection', optimize=True, load=True)
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low_profit1_profit = DecimalParameter(0, 1, default=0.02, space='protection', optimize=True, load=True)
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# Initialize the second hyperoptable low profit protection parameter space
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use_protection_low_profit2 = BooleanParameter(default=False, space='protection', optimize=True, load=True)
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low_profit2_lookback = IntParameter(2, 200, default=624, space='protection', optimize=True, load=True)
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low_profit2_trade_limit = IntParameter(2, 100, default=4, space='protection', optimize=True, load=True)
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low_profit2_stop_duration = IntParameter(2, 100, default=2, space='protection', optimize=True, load=True)
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low_profit2_profit = DecimalParameter(0, 1, default=0.01, space='protection', optimize=True, load=True)
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# Initialize the hyperoptable freqtrade protections
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@property
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def protections(self):
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prot = []
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protections = []
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if self.use_protection_cooldown.value:
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prot.append({
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'method': 'CooldownPeriod',
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'stop_duration_candles': self.cooldown_lookback.value
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})
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if self.use_protection_drawdown.value:
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prot.append({
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'method': 'MaxDrawdown',
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'lookback_period_candles': self.drawdown_lookback.value,
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'trade_limit': self.drawdown_trade_limit.value,
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'stop_duration_candles': self.drawdown_stop_duration.value,
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'max_allowed_drawdown': self.drawdown_max.value
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})
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if self.use_protection_stoploss.value:
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prot.append({
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'method': 'StoplossGuard',
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'lookback_period_candles': self.stoploss_lookback.value,
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'trade_limit': self.stoploss_trade_limit.value,
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'stop_duration_candles': self.stoploss_stop_duration.value,
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'only_per_pair': False
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})
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if self.use_protection_stoploss_pp.value:
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prot.append({
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'method': 'StoplossGuard',
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'lookback_period_candles': self.stoploss_lookback_pp.value,
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'trade_limit': self.stoploss_trade_limit_pp.value,
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'stop_duration_candles': self.stoploss_stop_duration_pp.value,
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'only_per_pair': True
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})
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if self.use_protection_low_profit1.value:
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prot.append({
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'method': 'LowProfitPairs',
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'lookback_period_candles': self.low_profit1_lookback.value,
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'trade_limit': self.low_profit1_trade_limit.value,
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'stop_duration_candles': self.low_profit1_stop_duration.value,
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'required_profit': self.low_profit1_profit.value
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})
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if self.use_protection_low_profit2.value:
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prot.append({
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'method': 'LowProfitPairs',
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'lookback_period_candles': self.low_profit2_lookback.value,
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'trade_limit': self.low_profit2_trade_limit.value,
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'stop_duration_candles': self.low_profit2_stop_duration.value,
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'required_profit': self.low_profit2_profit.value
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})
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# Generates the hyperoptable protections with the correct spaces
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for protection_config in self.mgm_protection_params:
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protection = {}
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return prot
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if isinstance(protection_config, dict) is True:
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for protection_parameter_key in protection_config:
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protection_parameter_value = protection_config[protection_parameter_key]
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# If the protection parameter value is a dict, then fetch the hyperoptable parameter value from MGM
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if isinstance(protection_parameter_value, dict) is True:
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protection_parameter_name = (
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f'{protection_config["method"]}_{protection_parameter_key}' if 'id' not in protection_config
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else f'{protection_config["method"]}_{protection_config["id"]}_{protection_parameter_key}')
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protection_parameter = getattr(self, f'protection_{protection_parameter_name}')
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protection[protection_parameter_key] = protection_parameter.value
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# Else just append the protection parameter value
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elif protection_parameter_key != 'id':
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protection[protection_parameter_key] = protection_parameter_value
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protections.append(protection)
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return protections
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def __init__(self, config: dict):
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"""
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@@ -1397,9 +1340,10 @@ class MasterMoniGoManiHyperStrategy(IStrategy, ABC):
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def init_util_params(cls, base_cls):
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"""
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Generates custom utility parameters used by:
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- unclogger_spaces
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- protection_spaces
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- trading_during_trends
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- weighted_signal_spaces
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- unclogger_spaces
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:param base_cls: The inheritor class of the MGM where the attributes will be added
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"""
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@@ -1415,6 +1359,28 @@ class MasterMoniGoManiHyperStrategy(IStrategy, ABC):
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parameter_threshold=unclogger_config['threshold'],
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precision=cls.precision, overrideable=False)
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# Generates the utility attributes for the protection_spaces
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for protection_config in cls.mgm_protection_params:
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if isinstance(protection_config, dict) is True:
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for protection_parameter_key in protection_config:
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protection_parameter_value = protection_config[protection_parameter_key]
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# Only generate a hyperoptable parameter for dictionary entries
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if isinstance(protection_parameter_value, dict) is True:
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protection_parameter_name = (
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f'{protection_config["method"]}_{protection_parameter_key}' if 'id' not in protection_config
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else f'{protection_config["method"]}_{protection_config["id"]}_{protection_parameter_key}')
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protection_parameter_value['threshold'] = (
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protection_parameter_value['threshold'] if 'threshold' in protection_parameter_value
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else cls.search_threshold_weighted_signal_values)
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cls._init_vars(base_cls=base_cls, space='protection', parameter_name=protection_parameter_name,
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parameter_min_value=protection_parameter_value['min'],
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parameter_max_value=protection_parameter_value['max'],
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parameter_threshold=protection_parameter_value['threshold'],
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precision=cls.precision, overrideable=False,
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parameter_type=protection_parameter_value['type'])
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# Generate the utility attributes for the logic of the weighted_signal_spaces
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for trend in cls.mgm_trends:
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for space in ['buy', 'sell']:
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@@ -1467,7 +1433,7 @@ class MasterMoniGoManiHyperStrategy(IStrategy, ABC):
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setattr(base_cls, 'number_of_weighted_buy_signals', len(buy_signals))
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setattr(base_cls, 'number_of_weighted_sell_signals', len(sell_signals))
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# Sets the useful parameters of the MGM, such as unclogger and etc
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# Sets utility hyperoptable parameters for MoniGoMani (unclogger, protections, weighted signals, ...)
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base_cls.init_util_params(base_cls)
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# Registering signals attributes on class
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