Merge pull request #419 from enarjord/v6.0.1_slices

v6.0.1 slices

README.md

@@ -4,7 +4,7 @@
 
 :warning: **Use at own risk** :warning:
 
-v6.0.0
+v6.0.1
 
 
 ## Overview

configs/optimize/default.hjson

@@ -17,6 +17,9 @@
   n_cpus: 6
   iters: 4000
 
+  # to reduce overfitting, perform backtest with multiple start dates, taking mean of metrics as final analysis
+  n_backtest_slices: 10
+
   # score = adg per exposure weighted according to adg subdivisions
   # (see configs/backtest/default.hjson)
 
@@ -96,7 +99,7 @@
       n_close_orders: [2, 16]
       auto_unstuck_wallet_exposure_threshold: [0.1, 0.9]
       auto_unstuck_ema_dist: [-0.1, 0.003]
-      auto_unstuck_delay_minutes: [120.0, 1440.0]
+      auto_unstuck_delay_minutes: [1.0, 1440.0]
       auto_unstuck_qty_pct: [0.01, 0.1]
     }
     short:
@@ -114,7 +117,7 @@
       n_close_orders: [2, 16]
       auto_unstuck_wallet_exposure_threshold: [0.1, 0.9]
       auto_unstuck_ema_dist: [-0.1, 0.003]
-      auto_unstuck_delay_minutes: [120.0, 1440.0]
+      auto_unstuck_delay_minutes: [1.0, 1440.0]
       auto_unstuck_qty_pct: [0.01, 0.1]
     }
   }
@@ -136,7 +139,7 @@
       n_close_orders: [2, 16]
       auto_unstuck_wallet_exposure_threshold: [0.1, 0.9]
       auto_unstuck_ema_dist: [-0.1, 0.003]
-      auto_unstuck_delay_minutes: [120.0, 1440.0]
+      auto_unstuck_delay_minutes: [1.0, 1440.0]
       auto_unstuck_qty_pct: [0.01, 0.1]
     }
     short:
@@ -155,7 +158,7 @@
       n_close_orders: [2, 16]
       auto_unstuck_wallet_exposure_threshold: [0.1, 0.9]
       auto_unstuck_ema_dist: [-0.1, 0.003]
-      auto_unstuck_delay_minutes: [120.0, 1440.0]
+      auto_unstuck_delay_minutes: [1.0, 1440.0]
       auto_unstuck_qty_pct: [0.01, 0.1]
     }
   }
@@ -167,9 +170,9 @@
       ema_span_1: [5.0, 1440.0]
       ema_dist_entry: [-0.05, 0.003]
       ema_dist_close: [-0.01, 0.003]
-      qty_pct_entry: [0.01, 0.1]
+      qty_pct_entry: [0.01, 0.05]
       qty_pct_close: [0.01, 0.05]
-      we_multiplier_entry: [0.0, 50.0]
+      we_multiplier_entry: [0.0, 10.0]
       we_multiplier_close: [0.0, 0.0]
       delay_weight_entry: [0.0, 100.0]
       delay_weight_close: [0.0, 100.0]
@@ -186,9 +189,9 @@
       ema_span_1: [5.0, 1440.0]
       ema_dist_entry: [-0.05, 0.003]
       ema_dist_close: [-0.01, 0.003]
-      qty_pct_entry: [0.01, 0.1]
+      qty_pct_entry: [0.01, 0.05]
       qty_pct_close: [0.01, 0.05]
-      we_multiplier_entry: [0.0, 50.0]
+      we_multiplier_entry: [0.0, 10.0]
       we_multiplier_close: [0.0, 0.0]
       delay_weight_entry: [0.0, 100.0]
       delay_weight_close: [0.0, 100.0]

exchanges/bybit.py

@@ -458,7 +458,10 @@ async def init_exchange_config(self):
             )
             logging.info(f"cross mode set {res}")
         except Exception as e:
-            logging.error(f"error setting cross mode: {e}")
+            if "margin mode is not modified" in str(e):
+                logging.info(str(e))
+            else:
+                logging.error(f"error setting cross mode: {e}")
         try:
             res = await self.cc.set_position_mode(hedged=True)
             logging.info(f"hedge mode set {res}")
@@ -468,4 +471,7 @@ async def init_exchange_config(self):
             res = await self.cc.set_leverage(int(self.leverage), symbol=self.symbol)
             logging.info(f"leverage set {res}")
         except Exception as e:
-            logging.error(f"error setting leverage: {e}")
+            if "leverage not modified" in str(e):
+                logging.info(str(e))
+            else:
+                logging.error(f"error setting leverage: {e}")

exchanges/kucoin.py

@@ -475,7 +475,7 @@ async def fetch_fills(
     async def fetch_latest_fills(self):
         fetched = None
         try:
-            fetched = await self.private_get(self.endpoints["recent_orders"])
+            fetched = await self.private_get(self.endpoints["recent_orders"], {"symbol": self.symbol})
             return [
                 {
                     "order_id": elm["id"],

forager.py

@@ -127,9 +127,11 @@ def generate_yaml(
     shorts_on_gs = [sym for sym in current_positions_short if sym not in active_shorts]
 
     if config["graceful_stop"]:
-        longs_on_gs = sorted(set(longs_on_gs + active_longs))
+        longs_on_gs = current_positions_long
+        lw = round(twe_long / len(longs_on_gs), 4) if len(longs_on_gs) > 0 else 0.1
         active_longs = []
-        shorts_on_gs = sorted(set(shorts_on_gs + active_shorts))
+        shorts_on_gs = current_positions_short
+        sw = round(twe_short / len(shorts_on_gs), 4) if len(shorts_on_gs) > 0 else 0.1
         active_shorts = []
 
     print("ideal_longs", sorted(ideal_longs))
@@ -457,7 +459,7 @@ async def main():
         "--graceful_stop",
         "--graceful-stop",
         dest="graceful_stop",
-        help="set all bots to graceful stop",
+        help="set all bots to graceful stop; WE_limit = TWE / n_bots",
         action="store_true",
     )
     args = parser.parse_args()

harmony_search.py

@@ -249,16 +249,7 @@ def start_new_harmony(self, wi: int):
                 "long": deepcopy(template["long"]),
                 "short": deepcopy(template["short"]),
             },
-            **{
-                k: self.config[k]
-                for k in [
-                    "starting_balance",
-                    "latency_simulation_ms",
-                    "market_type",
-                    "adg_n_subdivisions",
-                    "slim_analysis",
-                ]
-            },
+            **{k: self.config[k] for k in self.config["keys_to_include"]},
             **{"symbol": self.symbols[0], "config_no": self.iter_counter},
         }
         for side in ["long", "short"]:
@@ -324,16 +315,7 @@ def start_new_initial_eval(self, wi: int, hm_key: str):
                 "long": deepcopy(self.hm[hm_key]["long"]["config"]),
                 "short": deepcopy(self.hm[hm_key]["short"]["config"]),
             },
-            **{
-                k: self.config[k]
-                for k in [
-                    "starting_balance",
-                    "latency_simulation_ms",
-                    "market_type",
-                    "adg_n_subdivisions",
-                    "slim_analysis",
-                ]
-            },
+            **{k: self.config[k] for k in self.config["keys_to_include"]},
             **{"symbol": self.symbols[0], "initial_eval_key": hm_key, "config_no": self.iter_counter},
         }
         line = f"starting new initial eval {config['config_no']} of {self.n_harmonies} "

njit_funcs.py

@@ -759,7 +759,7 @@ def calc_close_grid_frontwards_long(
             close_prices[0],
         )
         if auto_unstuck_close[0] != 0.0:
-            psize_ = round_(psize_ - auto_unstuck_close[0], qty_step)
+            psize_ = round_(psize_ - abs(auto_unstuck_close[0]), qty_step)
             if psize_ < calc_min_entry_qty(
                 auto_unstuck_close[1], inverse, qty_step, min_qty, min_cost
             ):
@@ -951,7 +951,7 @@ def calc_close_grid_frontwards_short(
             close_prices[0],
         )
         if auto_unstuck_close[0] != 0.0:
-            abs_psize_ = round_(abs_psize_ - auto_unstuck_close[0], qty_step)
+            abs_psize_ = round_(abs_psize_ - abs(auto_unstuck_close[0]), qty_step)
             if abs_psize_ < calc_min_entry_qty(
                 auto_unstuck_close[1], inverse, qty_step, min_qty, min_cost
             ):

njit_funcs_neat_grid.py

@@ -1113,7 +1113,7 @@ def backtest_neat_grid(
                         print("warning: long close qty greater than long psize")
                         print("psize_long", psize_long)
                         print("pprice_long", pprice_long)
-                        print("closes_long[0]", closes_long[0])
+                        print("closes_long", closes_long)
                         close_qty_long = -psize_long
                         new_psize_long, pprice_long = 0.0, 0.0
                     psize_long = new_psize_long

optimize.py

@@ -45,6 +45,88 @@
 logging.config.dictConfig({"version": 1, "disable_existing_loggers": True})
 
 
+def calc_metrics_mean(analyses):
+    # first analysis in analyses is full backtest
+    mins = [
+        "closest_bkr_long",
+        "closest_bkr_short",
+        "eqbal_ratio_mean_of_10_worst_long",
+        "eqbal_ratio_mean_of_10_worst_short",
+        "eqbal_ratio_min_long",
+        "eqbal_ratio_min_short",
+    ]
+    firsts = [
+        "n_days",
+        "exchange",
+        "adg_long",
+        "adg_per_exposure_long",
+        "adg_weighted_long",
+        "adg_weighted_per_exposure_long",
+        "adg_short",
+        "adg_per_exposure_short",
+        "adg_weighted_short",
+        "adg_weighted_per_exposure_short",
+        "fee_sum_long",
+        "fee_sum_short",
+        "final_balance_long",
+        "final_balance_short",
+        "final_equity_long",
+        "final_equity_short",
+        "gain_long",
+        "gain_short",
+        "loss_sum_long",
+        "loss_sum_short",
+        "n_closes_long",
+        "n_closes_short",
+        "n_days",
+        "n_entries_long",
+        "n_entries_short",
+        "n_fills_long",
+        "n_fills_short",
+        "n_ientries_long",
+        "n_ientries_short",
+        "n_normal_closes_long",
+        "n_normal_closes_short",
+        "n_rentries_long",
+        "n_rentries_short",
+        "n_unstuck_closes_long",
+        "n_unstuck_closes_short",
+        "n_unstuck_entries_long",
+        "n_unstuck_entries_short",
+        "net_pnl_plus_fees_long",
+        "net_pnl_plus_fees_short",
+        "pnl_sum_long",
+        "pnl_sum_short",
+        "profit_sum_long",
+        "profit_sum_short",
+        "starting_balance",
+        "symbol",
+        "volume_quote_long",
+        "volume_quote_short",
+    ]
+    maxs = [
+        "hrs_stuck_max_long",
+        "hrs_stuck_max_short",
+    ]
+    analysis_combined = {}
+    for key in mins:
+        if key in analyses[0]:
+            analysis_combined[key] = min([a[key] for a in analyses])
+    for key in firsts:
+        if key in analyses[0]:
+            analysis_combined[key] = analyses[0][key]
+    for key in maxs:
+        if key in analyses[0]:
+            analysis_combined[key] = max([a[key] for a in analyses])
+    for key in analyses[0]:
+        if key not in analysis_combined:
+            try:
+                analysis_combined[key] = np.mean([a[key] for a in analyses])
+            except:
+                analysis_combined[key] = analyses[0][key]
+    return analysis_combined
+
+
 def backtest_wrap(config_: dict, ticks_caches: dict):
     """
     loads historical data from disk, runs backtest and returns relevant metrics
@@ -60,6 +142,7 @@ def backtest_wrap(config_: dict, ticks_caches: dict):
                 "market_type",
                 "config_no",
                 "adg_n_subdivisions",
+                "n_backtest_slices",
                 "slim_analysis",
             ]
         },
@@ -71,11 +154,26 @@ def backtest_wrap(config_: dict, ticks_caches: dict):
         ticks = np.load(config_["ticks_cache_fname"])
     try:
         assert "adg_n_subdivisions" in config
-        fills_long, fills_short, stats = backtest(config, ticks)
-        if config["slim_analysis"]:
-            analysis = analyze_fills_slim(fills_long, fills_short, stats, config)
-        else:
-            longs, shorts, sdf, analysis = analyze_fills(fills_long, fills_short, stats, config)
+        analyses = []
+        n_slices = max(1, config["n_backtest_slices"])
+        slices = [(0, len(ticks))]
+        if n_slices > 2:
+            slices += [
+                (
+                    int(len(ticks) * (i / n_slices)),
+                    min(len(ticks), int(len(ticks) * ((i + 2) / n_slices))),
+                )
+                for i in range(max(1, n_slices - 1))
+            ]
+        for ia, ib in slices:
+            data = ticks[ia:ib]
+            fills_long, fills_short, stats = backtest(config, data)
+            if config["slim_analysis"]:
+                analysis = analyze_fills_slim(fills_long, fills_short, stats, config)
+            else:
+                longs, shorts, sdf, analysis = analyze_fills(fills_long, fills_short, stats, config)
+            analyses.append(analysis.copy())
+        analysis = calc_metrics_mean(analyses)
     except Exception as e:
         analysis = get_empty_analysis()
         logging.error(f'error with {config["symbol"]} {e}')
@@ -382,6 +480,14 @@ async def run_opt(args, config):
                             logging.error(f"error loading config {args.starting_configs}: {e}")
 
         config["starting_configs"] = cfgs
+        config["keys_to_include"] = [
+            "starting_balance",
+            "latency_simulation_ms",
+            "market_type",
+            "adg_n_subdivisions",
+            "n_backtest_slices",
+            "slim_analysis",
+        ]
 
         if config["algorithm"] == "particle_swarm_optimization":
             from particle_swarm_optimization import ParticleSwarmOptimization

particle_swarm_optimization.py

@@ -213,16 +213,7 @@ def start_new_particle_position(self, wi: int):
                 "long": deepcopy(template["long"]),
                 "short": deepcopy(template["short"]),
             },
-            **{
-                k: self.config[k]
-                for k in [
-                    "starting_balance",
-                    "latency_simulation_ms",
-                    "market_type",
-                    "adg_n_subdivisions",
-                    "slim_analysis",
-                ]
-            },
+            **{k: self.config[k] for k in self.config["keys_to_include"]},
             **{"symbol": self.symbols[0], "config_no": self.iter_counter},
         }
         for side in ["long", "short"]:
@@ -313,16 +304,7 @@ def start_new_initial_eval(self, wi: int, swarm_key: str):
                 "long": deepcopy(self.swarm[swarm_key]["long"]["config"]),
                 "short": deepcopy(self.swarm[swarm_key]["short"]["config"]),
             },
-            **{
-                k: self.config[k]
-                for k in [
-                    "starting_balance",
-                    "latency_simulation_ms",
-                    "market_type",
-                    "adg_n_subdivisions",
-                    "slim_analysis",
-                ]
-            },
+            **{k: self.config[k] for k in self.config["keys_to_include"]},
             **{
                 "symbol": self.symbols[0],
                 "initial_eval_key": swarm_key,