Reattach optimization session

[Dominik Ettinger]

It would be great if I can reattach the optimization process after closing the browser tab or a lost network connection.
At the moment Jesse is working in the background but its not possible to get any results or to see the current progress after closing a browser tab or a lost network connection.
I always have to kill the processes at OS level when something like this happens, because they are using a lot of CPU and the results are lost.
It would also be very helpful for long running optimization sessions.

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[Martin Schultheiß]

bump or +1

[justcruzinby]

Joined github just to bump this as a problem too please. Spent 3 days straight crunching through a complex strategy and was really sad to have lost the results near to the end.

[movy]

I was about to open the same issue. Jesse being great, really lacks in this crucial optimisation area. Most notable issues:

• cannot reattach, even though I can see there's load_progress and save_progress commented out in Optimize.py, so I assume this can be fixed. As a matter of fact, I wasn't able to finish a single optimisation session due to wi-fi switches or VPN reconnections. As soon as websocket drops, the optimisation stays on its own.
• cannot easily see best hyperparams selected as a result of optimisation. The multi-letter "imprints" are cute and all, but what I really need is a final set of best params to feed them to backtester and maybe adjust a little.
• cannot select which metric to optimize for. Right now Jesse uses number of trades as some kinda fitness indicator, but this can be unrepresentative and misleading for many strategies. Manual selection of metric would be great.
• hyperparameters do not allow floats. I know this can be mitigated by modifying params before feeding them to indicators, but when using ML libs to optimize, in many cases floats are preferrable to avoid grid search-like behaviour
• sub-optimal WFO period selection. Right now Jesse simply divides date range into 85%/15% rungs, but best practice is to divide testing range into several overlapping rungs, test them separately and leave out the latest "live" period for final manual backtest to confirm that strategy works on unseen data. This would also allow to make optimisation more efficient by early stopping bad iterations.

These are just off the top of my head, but as a result, I had to implement my own optimisation routine, see below.

[movy]

As a temporary (I hope) solution for the drawbacks outlined, I switched to amazing Ray Tune library, https://docs.ray.io/en/latest/tune, and it pretty much solved all problems. Basic code:

import jesse.helpers as jh
from jesse import research
from jesse.research import backtest

import time

import ray
from ray import air, tune
from ray.air import session
from ray.air.checkpoint import Checkpoint
from ray.tune.schedulers import PopulationBasedTraining

ray.init()


exchange = 'Binance Spot'
symbol = 'ADA-USDT'
timeframe = '2h'

config = {
    'starting_balance': 1000,
    'fee': 0.001,
    'type': 'spot',
    'exchange': exchange,
    'warm_up_candles': 0
}

routes = [
    {'exchange': exchange, 'strategy': buy_low_sell_high, 'symbol': symbol, 'timeframe': timeframe}
]

config_ref = ray.put(config)
routes_ref = ray.put(routes)

test_dates = [('2021-06-01', '2021-10-01'),
              ('2021-09-01', '2022-01-01'),
              ('2021-11-01', '2022-05-01'),
              ('2022-04-01', '2022-08-01')]
test_candles_rungs = []
test_candles_refs = []

start = time.process_time()
print(f"Fetching data for {symbol} from {exchange}...")
# get candles for each test date range and store references to them to be used by ray later
for date_range in test_dates:
    candles_rung = {
        jh.key(exchange, symbol): {
            'exchange': exchange,
            'symbol': symbol,
            'candles': research.get_candles(exchange, symbol, '1m', date_range[0], date_range[1]),
        }
    }
    test_candles_rungs.append(candles_rung)
    test_candles_refs.append(ray.put(candles_rung))
print("Import done", time.process_time() - start, 'seconds')

def trainable(params, checkpoint_dir=None):
    for candles_ref in test_candles_refs:
        result = backtest(ray.get(config_ref),  # starting balance, fees etc.
                          ray.get(routes_ref),  # exchange, strategy, symbol, timeframe
                          [],  # alternative routes, empty for now
                          ray.get(candles_ref),  # candles within backtest date range
                          hyperparameters=params)
        checkpoint_data = result['metrics']
        checkpoint = Checkpoint.from_dict(checkpoint_data)
        session.report(result['metrics'], checkpoint=checkpoint)


hyperparams = {
    'red_mult': tune.quniform(0.3, 4.4, 0.05),
    'tp_perc': tune.quniform(0.4, 2.5, 0.1),
    'bars': tune.randint(1, 200),
    'red_limit_on_val': tune.grid_search([0, 1]), 
}

pbt_scheduler = PopulationBasedTraining(
    time_attr='training_iteration',
    metric='smart_sharpe',
    mode='max',
    perturbation_interval=20,
    require_attrs=False,
    hyperparam_mutations=hyperparams)

tune_config = tune.TuneConfig(num_samples=1000, scheduler=pbt_scheduler)
run_config = air.RunConfig(
    name=f'{symbol}-{timeframe}-{exchange}',
    local_dir="/mnt/air/",
    verbose=2, 
    sync_config=tune.SyncConfig(
        syncer=None  
    ),
    checkpoint_config=air.CheckpointConfig(
        num_to_keep=40,
    )
)
tune_hp = tune.Tuner(trainable, param_space=hyperparams, tune_config=tune_config, run_config=run_config)

results = tune_hp.fit()
best_result = results.get_best_result(metric="smart_sharpe", mode="max")  # Get best result object
best_config = best_result.config  # Get best trial's hyperparameters
df = results.get_dataframe(filter_metric="smart_sharpe", filter_mode="max")  # Get a dataframe of results for a specific score or mode

[Saleh Mir]

@movy wow, that's awesome. Could you please host this on a separate repository (or a Github Gist if it's easier that way) and submit it to https://github.com/ysdede/awesome-jesse?

[Bruno Tagliani]

@saleh-mir I've been trying to use that code, and I'm getting this error:

(trainable pid=77273) 2022-11-07 17:47:39,706   ERROR function_trainable.py:298 -- Runner Thread raised error.
(trainable pid=77273) Traceback (most recent call last):
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/ray/tune/trainable/function_trainable.py", line 289, in run
(trainable pid=77273)     self._entrypoint()
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/ray/tune/trainable/function_trainable.py", line 362, in entrypoint
(trainable pid=77273)     return self._trainable_func(
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/ray/util/tracing/tracing_helper.py", line 466, in _resume_span
(trainable pid=77273)     return method(self, *_args, **_kwargs)
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/ray/tune/trainable/function_trainable.py", line 684, in _trainable_func
(trainable pid=77273)     output = fn()
(trainable pid=77273)   File "/Users/bruno/Documents/Code/conda/my-bot/optimize-ray.py", line 63, in trainable
(trainable pid=77273)     result = backtest(ray.get(config_ref),  # starting balance, fees etc.
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/jesse/research/backtest.py", line 50, in backtest
(trainable pid=77273)     return _isolated_backtest(
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/jesse/research/backtest.py", line 136, in _isolated_backtest
(trainable pid=77273)     backtest_result = simulator(
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/jesse/modes/backtest_mode.py", line 302, in simulator
(trainable pid=77273)     short_candle = _get_fixed_jumped_candle(previous_short_candle, short_candle)
(trainable pid=77273)   File "/Users/bruno/miniforge3/envs/jesse_env/lib/python3.9/site-packages/jesse/modes/backtest_mode.py", line 403, in _get_fixed_jumped_candle
(trainable pid=77273)     candle[1] = previous_candle[2]
(trainable pid=77273) ValueError: assignment destination is read-only

Not sure if that code should still be ran (_get_fixed_jumped_candle) or not.

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