Merge remote-tracking branch 'origin/master' into dna_rules

jesse/helpers.py

@@ -260,6 +260,29 @@ def get_strategy_class(strategy_name):
         return locate('strategies.{}.{}'.format(strategy_name, strategy_name))
 
 
+def hp_rules_valid(hp, rules):
+    check = np.full((len(rules)), False, dtype=bool)
+
+    for i, rule in enumerate(rules):
+        if rule['operator'] not in ["<", ">", "<=", ">="]:
+            raise ValueError("{} is not a supported operator. Choose from < > <= >=".format(rule['operator']))
+        if rule['hp_name1'] not in hp:
+            raise ValueError("The hp name {} doesn't exist.".format(rule['hp_name1']))
+        if rule['hp_name2'] not in hp:
+            raise ValueError("The hp name {} doesn't exist.".format(rule['hp_name2']))
+
+        if rule['operator'] == ">":
+            check[i] = hp[rule['hp_name1']] > hp[rule['hp_name2']]
+        elif rule['operator'] == "<":
+            check[i] = hp[rule['hp_name1']] < hp[rule['hp_name2']]
+        elif rule['operator'] == ">=":
+            check[i] = hp[rule['hp_name1']] >= hp[rule['hp_name2']]
+        elif rule['operator'] == "<=":
+            check[i] = hp[rule['hp_name1']] <= hp[rule['hp_name2']]
+
+    return np.all(check == True)
+
+
 def insecure_hash(msg: str) -> str:
     return hashlib.md5(msg.encode()).hexdigest()
 

jesse/modes/optimize_mode/Genetics.py

@@ -92,7 +92,14 @@ class Genetics(ABC):
 
                     try:
                         for _ in range(self.cpu_cores):
-                            dna = ''.join(choices(self.charset, k=self.solution_len))
+
+                            while True:
+                                dna = ''.join(choices(self.charset, k=self.solution_len))
+                                hp = jh.dna_to_hp(self.options['strategy_hp'], dna)
+                                if jh.hp_rules_valid(hp, self.options['hyperparameters_rules']) or len(
+                                        self.options['hyperparameters_rules']) == 0:
+                                    break
+
                             w = Process(target=get_fitness, args=(dna, dna_bucket))
                             w.start()
                             workers.append(w)
@@ -165,9 +172,16 @@ class Genetics(ABC):
         self.population = list(sorted(self.population, key=lambda x: x['fitness'], reverse=True))
 
     def mutate(self, baby):
-        replace_at = randint(0, self.solution_len - 1)
-        replace_with = choice(self.charset)
-        dna = '{}{}{}'.format(baby['dna'][:replace_at], replace_with, baby['dna'][replace_at + 1:])
+
+        while True:
+            replace_at = randint(0, self.solution_len - 1)
+            replace_with = choice(self.charset)
+            dna = '{}{}{}'.format(baby['dna'][:replace_at], replace_with, baby['dna'][replace_at + 1:])
+            hp = jh.dna_to_hp(self.options['strategy_hp'], dna)
+            if jh.hp_rules_valid(hp, self.options['hyperparameters_rules']) or len(
+                    self.options['hyperparameters_rules']) == 0:
+                break
+
         fitness_score, fitness_log = self.fitness(dna)
 
         return {
@@ -182,11 +196,16 @@ class Genetics(ABC):
 
         dna = ''
 
-        for i in range(self.solution_len):
-            if i % 2 == 0:
-                dna += daddy['dna'][i]
-            else:
-                dna += mommy['dna'][i]
+        while True:
+            for i in range(self.solution_len):
+                if i % 2 == 0:
+                    dna += daddy['dna'][i]
+                else:
+                    dna += mommy['dna'][i]
+            hp = jh.dna_to_hp(self.options['strategy_hp'], dna)
+            if jh.hp_rules_valid(hp, self.options['hyperparameters_rules']) or len(
+                    self.options['hyperparameters_rules']) == 0:
+                break
 
         fitness_score, fitness_log = self.fitness(dna)
 

jesse/modes/optimize_mode/__init__.py

@@ -30,6 +30,7 @@ class Optimizer(Genetics):
         self.timeframe = router.routes[0].timeframe
         StrategyClass = jh.get_strategy_class(self.strategy_name)
         self.strategy_hp = StrategyClass.hyperparameters(None)
+        self.hyperparameters_rules = StrategyClass.hyperparameters_rules(None)
         solution_len = len(self.strategy_hp)
 
         if solution_len == 0:
@@ -43,7 +44,9 @@ class Optimizer(Genetics):
                 'strategy_name': self.strategy_name,
                 'exchange': self.exchange,
                 'symbol': self.symbol,
-                'timeframe': self.timeframe
+                'timeframe': self.timeframe,
+                'strategy_hp': self.strategy_hp,
+                'hyperparameters_rules': self.hyperparameters_rules
             }
         )
 

jesse/strategies/Strategy.py

@@ -138,6 +138,9 @@ class Strategy(ABC):
     def hyperparameters(self):
         return []
 
+    def hyperparameters_rules(self):
+        return []
+
     def _execute_long(self):
         self.go_long()
 

tests/test_helpers.py

@@ -216,6 +216,17 @@ def test_get_strategy_class():
     assert issubclass(jh.get_strategy_class("Test01"), Strategy)
 
 
+def test_hp_rules_valid():
+    hp = {'hp1': 0.08518987341772151, 'hp2': 3, 'hp3': 16, 'hp4': 10}
+
+    rules = [
+        {'hp_name1': 'hp1', 'operator': "<", 'hp_name2': 'hp2'},
+        {'hp_name1': 'hp3', 'operator': ">=", 'hp_name2': 'hp4'},
+    ]
+
+    assert jh.hp_rules_valid(hp, rules) == True
+
+
 def test_insecure_hash():
     assert jh.insecure_hash("test") == "098f6bcd4621d373cade4e832627b4f6"