stable/freqtrade/templates/FreqaiExampleStrategy.py

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import logging
from functools import reduce
import numpy as np
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from technical import qtpylib
from freqtrade.freqai.strategy_bridge import CustomModel
from freqtrade.strategy import merge_informative_pair
from freqtrade.strategy.interface import IStrategy
logger = logging.getLogger(__name__)
class FreqaiExampleStrategy(IStrategy):
"""
Example strategy showing how the user connects their own
IFreqaiModel to the strategy. Namely, the user uses:
self.model = CustomModel(self.config)
self.model.bridge.start(dataframe, metadata)
to make predictions on their data. populate_any_indicators() automatically
generates the variety of features indicated by the user in the
canonical freqtrade configuration file under config['freqai'].
"""
minimal_roi = {"0": 0.01, "240": -1}
plot_config = {
"main_plot": {},
"subplots": {
"prediction": {"prediction": {"color": "blue"}},
"target_roi": {
"target_roi": {"color": "brown"},
},
"do_predict": {
"do_predict": {"color": "brown"},
},
},
}
stoploss = -0.05
use_sell_signal = True
startup_candle_count: int = 300
def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist()
corr_pairs = self.config["freqai"]["corr_pairlist"]
informative_pairs = []
for tf in self.config["freqai"]["timeframes"]:
for pair in whitelist_pairs:
informative_pairs.append((pair, tf))
for pair in corr_pairs:
if pair in whitelist_pairs:
continue # avoid duplication
informative_pairs.append((pair, tf))
return informative_pairs
def bot_start(self):
self.model = CustomModel(self.config)
def populate_any_indicators(self, pair, df, tf, informative=None, coin=""):
"""
Function designed to automatically generate, name and merge features
from user indicated timeframes in the configuration file. User controls the indicators
passed to the training/prediction by prepending indicators with `'%-' + coin `
(see convention below). I.e. user should not prepend any supporting metrics
(e.g. bb_lowerband below) with % unless they explicitly want to pass that metric to the
model.
:params:
:pair: pair to be used as informative
:df: strategy dataframe which will receive merges from informatives
:tf: timeframe of the dataframe which will modify the feature names
:informative: the dataframe associated with the informative pair
:coin: the name of the coin which will modify the feature names.
"""
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
informative['%-' + coin + "rsi"] = ta.RSI(informative, timeperiod=14)
informative['%-' + coin + "mfi"] = ta.MFI(informative, timeperiod=25)
informative['%-' + coin + "adx"] = ta.ADX(informative, window=20)
informative[coin + "20sma"] = ta.SMA(informative, timeperiod=20)
informative[coin + "21ema"] = ta.EMA(informative, timeperiod=21)
informative['%-' + coin + "bmsb"] = np.where(
informative[coin + "20sma"].lt(informative[coin + "21ema"]), 1, 0
)
informative['%-' + coin + "close_over_20sma"] = informative["close"] / informative[
coin + "20sma"]
informative['%-' + coin + "mfi"] = ta.MFI(informative, timeperiod=25)
informative[coin + "ema21"] = ta.EMA(informative, timeperiod=21)
informative[coin + "sma20"] = ta.SMA(informative, timeperiod=20)
stoch = ta.STOCHRSI(informative, 15, 20, 2, 2)
informative['%-' + coin + "srsi-fk"] = stoch["fastk"]
informative['%-' + coin + "srsi-fd"] = stoch["fastd"]
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=14, stds=2.2)
informative[coin + "bb_lowerband"] = bollinger["lower"]
informative[coin + "bb_middleband"] = bollinger["mid"]
informative[coin + "bb_upperband"] = bollinger["upper"]
informative['%-' + coin + "bb_width"] = (
informative[coin + "bb_upperband"] - informative[coin + "bb_lowerband"]
) / informative[coin + "bb_middleband"]
informative['%-' + coin + "close-bb_lower"] = (
informative["close"] / informative[coin + "bb_lowerband"]
)
informative['%-' + coin + "roc"] = ta.ROC(informative, timeperiod=3)
informative['%-' + coin + "adx"] = ta.ADX(informative, window=14)
macd = ta.MACD(informative)
informative['%-' + coin + "macd"] = macd["macd"]
informative[coin + "pct-change"] = informative["close"].pct_change()
informative['%-' + coin + "relative_volume"] = (
informative["volume"] / informative["volume"].rolling(10).mean()
)
informative[coin + "pct-change"] = informative["close"].pct_change()
indicators = [col for col in informative if col.startswith('%')]
for n in range(self.freqai_info["feature_parameters"]["shift"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]]
df = df.drop(columns=skip_columns)
return df
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# the configuration file parameters are stored here
self.freqai_info = self.config["freqai"]
self.pair = metadata['pair']
print("Populating indicators...")
# the following loops are necessary for building the features
# indicated by the user in the configuration file.
for tf in self.freqai_info["timeframes"]:
dataframe = self.populate_any_indicators(self.pair, dataframe.copy(), tf,
coin=self.pair.split("/")[0] + "-")
for pair in self.freqai_info["corr_pairlist"]:
if metadata['pair'] in pair:
continue # do not include whitelisted pair twice if it is in corr_pairlist
dataframe = self.populate_any_indicators(
pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-"
)
# the model will return 4 values, its prediction, an indication of whether or not the
# prediction should be accepted, the target mean/std values from the labels used during
# each training period.
(
dataframe["prediction"],
dataframe["do_predict"],
dataframe["target_mean"],
dataframe["target_std"],
) = self.model.bridge.start(dataframe, metadata, self)
dataframe["target_roi"] = dataframe["target_mean"] + dataframe["target_std"] * 0.5
dataframe["sell_roi"] = dataframe["target_mean"] - dataframe["target_std"] * 1.5
return dataframe
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
buy_conditions = [
(dataframe["prediction"] > dataframe["target_roi"]) & (dataframe["do_predict"] == 1)
]
if buy_conditions:
dataframe.loc[reduce(lambda x, y: x | y, buy_conditions), "buy"] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
sell_conditions = [
(dataframe["prediction"] < dataframe["sell_roi"]) & (dataframe["do_predict"] == 1)
]
if sell_conditions:
dataframe.loc[reduce(lambda x, y: x | y, sell_conditions), "sell"] = 1
return dataframe
def get_ticker_indicator(self):
return int(self.config["timeframe"][:-1])