stable/freqtrade/templates/FreqaiExampleHybridStrategy.py

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import logging
from typing import Dict
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import numpy as np # noqa
import pandas as pd # noqa
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import talib.abstract as ta
from pandas import DataFrame
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from technical import qtpylib
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from freqtrade.strategy import IntParameter, IStrategy, merge_informative_pair # noqa
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logger = logging.getLogger(__name__)
class FreqaiExampleHybridStrategy(IStrategy):
"""
Example of a hybrid FreqAI strat, designed to illustrate how a user may employ
FreqAI to bolster a typical Freqtrade strategy.
Launching this strategy would be:
freqtrade trade --strategy FreqaiExampleHybridStrategy --strategy-path freqtrade/templates
--freqaimodel CatboostClassifier --config config_examples/config_freqai.example.json
or the user simply adds this to their config:
"freqai": {
"enabled": true,
"purge_old_models": 2,
"train_period_days": 15,
"identifier": "uniqe-id",
"feature_parameters": {
"include_timeframes": [
"3m",
"15m",
"1h"
],
"include_corr_pairlist": [
"BTC/USDT",
"ETH/USDT"
],
"label_period_candles": 20,
"include_shifted_candles": 2,
"DI_threshold": 0.9,
"weight_factor": 0.9,
"principal_component_analysis": false,
"use_SVM_to_remove_outliers": true,
"indicator_periods_candles": [10, 20]
},
"data_split_parameters": {
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"test_size": 0,
"random_state": 1
},
"model_training_parameters": {
"n_estimators": 800
}
},
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Thanks to @smarmau and @johanvulgt for developing and sharing the strategy.
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"""
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minimal_roi = {
"60": 0.01,
"30": 0.02,
"0": 0.04
}
plot_config = {
'main_plot': {
'tema': {},
},
'subplots': {
"MACD": {
'macd': {'color': 'blue'},
'macdsignal': {'color': 'orange'},
},
"RSI": {
'rsi': {'color': 'red'},
},
"Up_or_down": {
'&s-up_or_down': {'color': 'green'},
}
}
}
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process_only_new_candles = True
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stoploss = -0.05
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use_exit_signal = True
startup_candle_count: int = 30
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can_short = True
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# Hyperoptable parameters
buy_rsi = IntParameter(low=1, high=50, default=30, space='buy', optimize=True, load=True)
sell_rsi = IntParameter(low=50, high=100, default=70, space='sell', optimize=True, load=True)
short_rsi = IntParameter(low=51, high=100, default=70, space='sell', optimize=True, load=True)
exit_short_rsi = IntParameter(low=1, high=50, default=30, space='buy', optimize=True, load=True)
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def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
metadata: Dict, **kwargs):
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"""
*Only functional with FreqAI enabled strategies*
This function will automatically expand the defined features on the config defined
`indicator_periods_candles`, `include_timeframes`, `include_shifted_candles`, and
`include_corr_pairs`. In other words, a single feature defined in this function
will automatically expand to a total of
`indicator_periods_candles` * `include_timeframes` * `include_shifted_candles` *
`include_corr_pairs` numbers of features added to the model.
All features must be prepended with `%` to be recognized by FreqAI internals.
More details on how these config defined parameters accelerate feature engineering
in the documentation at:
https://www.freqtrade.io/en/latest/freqai-parameter-table/#feature-parameters
https://www.freqtrade.io/en/latest/freqai-feature-engineering/#defining-the-features
:param dataframe: strategy dataframe which will receive the features
:param period: period of the indicator - usage example:
:param metadata: metadata of current pair
dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period)
"""
dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period)
dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period)
dataframe["%-sma-period"] = ta.SMA(dataframe, timeperiod=period)
dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period)
bollinger = qtpylib.bollinger_bands(
qtpylib.typical_price(dataframe), window=period, stds=2.2
)
dataframe["bb_lowerband-period"] = bollinger["lower"]
dataframe["bb_middleband-period"] = bollinger["mid"]
dataframe["bb_upperband-period"] = bollinger["upper"]
dataframe["%-bb_width-period"] = (
dataframe["bb_upperband-period"]
- dataframe["bb_lowerband-period"]
) / dataframe["bb_middleband-period"]
dataframe["%-close-bb_lower-period"] = (
dataframe["close"] / dataframe["bb_lowerband-period"]
)
dataframe["%-roc-period"] = ta.ROC(dataframe, timeperiod=period)
dataframe["%-relative_volume-period"] = (
dataframe["volume"] / dataframe["volume"].rolling(period).mean()
)
return dataframe
def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):
"""
*Only functional with FreqAI enabled strategies*
This function will automatically expand the defined features on the config defined
`include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`.
In other words, a single feature defined in this function
will automatically expand to a total of
`include_timeframes` * `include_shifted_candles` * `include_corr_pairs`
numbers of features added to the model.
Features defined here will *not* be automatically duplicated on user defined
`indicator_periods_candles`
All features must be prepended with `%` to be recognized by FreqAI internals.
More details on how these config defined parameters accelerate feature engineering
in the documentation at:
https://www.freqtrade.io/en/latest/freqai-parameter-table/#feature-parameters
https://www.freqtrade.io/en/latest/freqai-feature-engineering/#defining-the-features
:param dataframe: strategy dataframe which will receive the features
:param metadata: metadata of current pair
dataframe["%-pct-change"] = dataframe["close"].pct_change()
dataframe["%-ema-200"] = ta.EMA(dataframe, timeperiod=200)
"""
dataframe["%-pct-change"] = dataframe["close"].pct_change()
dataframe["%-raw_volume"] = dataframe["volume"]
dataframe["%-raw_price"] = dataframe["close"]
return dataframe
def feature_engineering_standard(self, dataframe: DataFrame, metadata: Dict, **kwargs):
"""
*Only functional with FreqAI enabled strategies*
This optional function will be called once with the dataframe of the base timeframe.
This is the final function to be called, which means that the dataframe entering this
function will contain all the features and columns created by all other
freqai_feature_engineering_* functions.
This function is a good place to do custom exotic feature extractions (e.g. tsfresh).
This function is a good place for any feature that should not be auto-expanded upon
(e.g. day of the week).
All features must be prepended with `%` to be recognized by FreqAI internals.
More details about feature engineering available:
https://www.freqtrade.io/en/latest/freqai-feature-engineering
:param dataframe: strategy dataframe which will receive the features
:param metadata: metadata of current pair
usage example: dataframe["%-day_of_week"] = (dataframe["date"].dt.dayofweek + 1) / 7
"""
dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek
dataframe["%-hour_of_day"] = dataframe["date"].dt.hour
return dataframe
def set_freqai_targets(self, dataframe: DataFrame, metadata: Dict, **kwargs):
"""
*Only functional with FreqAI enabled strategies*
Required function to set the targets for the model.
All targets must be prepended with `&` to be recognized by the FreqAI internals.
More details about feature engineering available:
https://www.freqtrade.io/en/latest/freqai-feature-engineering
:param dataframe: strategy dataframe which will receive the targets
:param metadata: metadata of current pair
usage example: dataframe["&-target"] = dataframe["close"].shift(-1) / dataframe["close"]
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"""
self.freqai.class_names = ["down", "up"]
dataframe['&s-up_or_down'] = np.where(dataframe["close"].shift(-50) >
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dataframe["close"], 'up', 'down')
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return dataframe
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # noqa: C901
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# User creates their own custom strat here. Present example is a supertrend
# based strategy.
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dataframe = self.freqai.start(dataframe, metadata, self)
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# TA indicators to combine with the Freqai targets
# RSI
dataframe['rsi'] = ta.RSI(dataframe)
# Bollinger Bands
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_middleband'] = bollinger['mid']
dataframe['bb_upperband'] = bollinger['upper']
dataframe["bb_percent"] = (
(dataframe["close"] - dataframe["bb_lowerband"]) /
(dataframe["bb_upperband"] - dataframe["bb_lowerband"])
)
dataframe["bb_width"] = (
(dataframe["bb_upperband"] - dataframe["bb_lowerband"]) / dataframe["bb_middleband"]
)
# TEMA - Triple Exponential Moving Average
dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
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return dataframe
def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
df.loc[
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(
# Signal: RSI crosses above 30
(qtpylib.crossed_above(df['rsi'], self.buy_rsi.value)) &
(df['tema'] <= df['bb_middleband']) & # Guard: tema below BB middle
(df['tema'] > df['tema'].shift(1)) & # Guard: tema is raising
(df['volume'] > 0) & # Make sure Volume is not 0
(df['do_predict'] == 1) & # Make sure Freqai is confident in the prediction
# Only enter trade if Freqai thinks the trend is in this direction
(df['&s-up_or_down'] == 'up')
),
'enter_long'] = 1
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df.loc[
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(
# Signal: RSI crosses above 70
(qtpylib.crossed_above(df['rsi'], self.short_rsi.value)) &
(df['tema'] > df['bb_middleband']) & # Guard: tema above BB middle
(df['tema'] < df['tema'].shift(1)) & # Guard: tema is falling
(df['volume'] > 0) & # Make sure Volume is not 0
(df['do_predict'] == 1) & # Make sure Freqai is confident in the prediction
# Only enter trade if Freqai thinks the trend is in this direction
(df['&s-up_or_down'] == 'down')
),
'enter_short'] = 1
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return df
def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
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df.loc[
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(
# Signal: RSI crosses above 70
(qtpylib.crossed_above(df['rsi'], self.sell_rsi.value)) &
(df['tema'] > df['bb_middleband']) & # Guard: tema above BB middle
(df['tema'] < df['tema'].shift(1)) & # Guard: tema is falling
(df['volume'] > 0) # Make sure Volume is not 0
),
'exit_long'] = 1
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df.loc[
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(
# Signal: RSI crosses above 30
(qtpylib.crossed_above(df['rsi'], self.exit_short_rsi.value)) &
# Guard: tema below BB middle
(df['tema'] <= df['bb_middleband']) &
(df['tema'] > df['tema'].shift(1)) & # Guard: tema is raising
(df['volume'] > 0) # Make sure Volume is not 0
),
'exit_short'] = 1
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return df