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ENH: Add tqdm to skopt optimization #282

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Merged
merged 11 commits into from
Mar 31, 2021
Merged

ENH: Add tqdm to skopt optimization #282

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ab55fb2
ENH: Add tqdm to skopt
crazy25000 Mar 20, 2021
b190520
MNT: Format long line
crazy25000 Mar 20, 2021
093b5c7
ENH: Pass max_tries as total len, update desc wording
crazy25000 Mar 20, 2021
5a5851f
ENH: Replace skopt class with variable
crazy25000 Mar 21, 2021
dc7ee31
ENH: Pass single skopt callback directly instead of in a list
crazy25000 Mar 21, 2021
4fdb3c9
ENH: Check if tqdm object has update attr
crazy25000 Mar 21, 2021
0deb783
MNT: Update tqdm description text
crazy25000 Mar 24, 2021
547ded5
FMT: Use single quotes
crazy25000 Mar 24, 2021
5c4f047
MNT: Refactor pbar to use iter
crazy25000 Mar 24, 2021
23029be
MNT: Refactor to meet max line length
crazy25000 Mar 24, 2021
bfa2e78
bikeshedding
kernc Mar 31, 2021
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17 changes: 16 additions & 1 deletion backtesting/backtesting.py
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Original file line number Diff line number Diff line change
Expand Up @@ -39,6 +39,18 @@ def _tqdm(seq, **_):
}


class SkoptProgressBar:
"""
Progress bar using tqdm for scikit-optimize
Open feature request: https://github.com/scikit-optimize/scikit-optimize/issues/674
"""
def __init__(self, **kwargs):
self._tqdm = _tqdm(**kwargs)

def __call__(self, result):
self._tqdm.update()


class Strategy(metaclass=ABCMeta):
"""
A trading strategy base class. Extend this class and
Expand Down Expand Up @@ -1446,7 +1458,10 @@ def objective_function(**params):
kappa=3,
n_initial_points=min(max_tries, 20 + 3 * len(kwargs)),
initial_point_generator='lhs', # 'sobel' requires n_initial_points ~ 2**N
callback=DeltaXStopper(9e-7),
callback=[
DeltaXStopper(9e-7),
SkoptProgressBar(total=max_tries, desc="Skopt optimizations")
],
random_state=random_state)

stats = self.run(**dict(zip(kwargs.keys(), res.x)))
Expand Down