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optimize

John Kearney edited this page Sep 17, 2022 · 1 revision

Optimize

Configs may be optimized with harmony search or particle swarm optimization algorithms.
Tens, hundreds or thousands of backtests with different configs are performed,
new candidate configs determined based on the backtest result of the previous iterations. More iterations lead to more optimal configs.

Too little historical data to optimize on may lead to overfitting.
Set bounds for config parameters in configs/optimize/harmony_search.hjson or configs/optimize/particle_swarm_optimization.hjson

Once the necessary price data has been downloaded, the optimizer will begin with optional starting candidate(s), test against the price history, and continue iterating through the ranges for each variable.

!!! Warning The optimizer is resource greedy and will typically take hours and days to converge, depending on number of symbols and time span.

Due to the heuristic nature of these optimization algorithms, repeated optimize runs do not necessarily return the exact same result.

Running an optimize session

To execute an optimize, execute the following command from the root folder:

python3 harmony_search.py

or

python3 particle_swarm_optimization.py

Note: the default market is Futures. Use one of the keys to define spot market if you want that.

!!! Info This page assumes you have already performed configuration to execute a backtest (like setting up your account). If you have not done so, you can read the instructions here.

Besides the configs/backtest/default.hjson file as input, the optimize process sets up the search space using the parameters defined in configs/optimize/harmony_search.hjson or configs/optimize/particle_swarm_optimization.hjson

The search parameters that can be specified for the optimize process are as follows.

Parameter Description
iters The number of iterations to perform during optimize
n_cpus The number of cores used to perform the optimize. Using more cores will speed up the optimize
score_formula The metric used to measure the objective on an individual optimize cycle
do_long Indicates if the optimize should perform long positions
do_short Indicates if the optimize should perform short positions

Other than the parameters specified in the table above, the parameters found in the live config file are also specified as a range. For a description of each of those individual parameters, please see Running live

!!! Info If you find that an optimize execution is taking longer than you expected, you can kill it using ctrl+c from the command-line. After doing so, you can still find the best result the optimize achieved so far by looking in
results_harmony_search_{recursive/static/neat} or results_particle_swarm_optimization_{recursive/static/neat}.

Command-line arguments

Other than modifying the configs/backtest/default.hjson and configs/optimize/default.hjson files, it is also possible to specify a number of configuration options to use via the commandline. One or more arguments are provided to the optimizer using the following syntax on the command line:

python3 harmony_search.py <key> <value>  
python3 particle_swarm_optimization.py <key> <value>

The following options can be provided to the backtester. Note that any argument provided will override a value specified in the backtest configuration file.

Key Description
-t / --start Specifies one specific live config (.json) file, a directory with multiple config files to use as starting point for optimizing or a harmony memory (hm_xxxxxx.json)
--nojit Disables the use of numba's just in time compiler during backtests
-b / --backtest_config The backtest config hjson file to use
Default value: configs/backtest/default.hjson
-o / --optimize_config The optimize config hjson file to use
Default value: configs/optimize/default.hjson
-d / --download-only Instructs the backtest to only download the data, but not dump the ticks caches to disk
-s / --symbol A CSV specifying the symbol(s) to optimize
-u / --user The name of the account used to download trade data
--start_date The starting date of the backtest
Syntax: YYYY-MM-DD
--end_date The end date of the backtest
Syntax: YYYY-MM-DD
-bd / --base_dir The base directory to place the output files
-m spot / --market_type spot Sets the market to spot instead of the default Futures
-pm / --passivbot_mode choices [r/recursive, s/static], static or recursive passivbot mode
-oh / --ohlcv if given, will use 1m ohlcv instead of 1s sampled ticks
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