stable/tests/strategy/strats/freqai_rl_test_strat.py

import logging
from functools import reduce

import pandas as pd
import talib.abstract as ta
from pandas import DataFrame

from freqtrade.strategy import IStrategy, merge_informative_pair


logger = logging.getLogger(__name__)


class freqai_rl_test_strat(IStrategy):
    """
    Test strategy - used for testing freqAI functionalities.
    DO not use in production.
    """

    minimal_roi = {"0": 0.1, "240": -1}

    plot_config = {
        "main_plot": {},
        "subplots": {
            "prediction": {"prediction": {"color": "blue"}},
            "target_roi": {
                "target_roi": {"color": "brown"},
            },
            "do_predict": {
                "do_predict": {"color": "brown"},
            },
        },
    }

    process_only_new_candles = True
    stoploss = -0.05
    use_exit_signal = True
    startup_candle_count: int = 30
    can_short = False

    def populate_any_indicators(
        self, pair, df, tf, informative=None, set_generalized_indicators=False
    ):

        if informative is None:
            informative = self.dp.get_pair_dataframe(pair, tf)

        # first loop is automatically duplicating indicators for time periods
        for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:

            t = int(t)
            informative[f"%-{pair}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
            informative[f"%-{pair}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
            informative[f"%-{pair}adx-period_{t}"] = ta.ADX(informative, window=t)

        # FIXME: add these outside the user strategy?
        # The following columns are necessary for RL models.
        informative[f"%-{pair}raw_close"] = informative["close"]
        informative[f"%-{pair}raw_open"] = informative["open"]
        informative[f"%-{pair}raw_high"] = informative["high"]
        informative[f"%-{pair}raw_low"] = informative["low"]

        indicators = [col for col in informative if col.startswith("%")]
        # This loop duplicates and shifts all indicators to add a sense of recency to data
        for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 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)

        # Add generalized indicators here (because in live, it will call this
        # function to populate indicators during training). Notice how we ensure not to
        # add them multiple times
        if set_generalized_indicators:
            df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
            df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25

            # For RL, there are no direct targets to set. This is filler (neutral)
            # until the agent sends an action.
            df["&-action"] = 0

        return df

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

        dataframe = self.freqai.start(dataframe, metadata, self)

        return dataframe

    def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:

        enter_long_conditions = [df["do_predict"] == 1, df["&-action"] == 1]

        if enter_long_conditions:
            df.loc[
                reduce(lambda x, y: x & y, enter_long_conditions), ["enter_long", "enter_tag"]
            ] = (1, "long")

        enter_short_conditions = [df["do_predict"] == 1, df["&-action"] == 3]

        if enter_short_conditions:
            df.loc[
                reduce(lambda x, y: x & y, enter_short_conditions), ["enter_short", "enter_tag"]
            ] = (1, "short")

        return df

    def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
        exit_long_conditions = [df["do_predict"] == 1, df["&-action"] == 2]
        if exit_long_conditions:
            df.loc[reduce(lambda x, y: x & y, exit_long_conditions), "exit_long"] = 1

        exit_short_conditions = [df["do_predict"] == 1, df["&-action"] == 4]
        if exit_short_conditions:
            df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1

        return df