stable/tests/strategy/strats/freqai_rl_test_strat.py

import logging
from functools import reduce
from typing import Dict

import talib.abstract as ta
from pandas import DataFrame

from freqtrade.strategy import IStrategy


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}

    process_only_new_candles = True
    stoploss = -0.05
    use_exit_signal = True
    startup_candle_count: int = 300
    can_short = False

    def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
                                       metadata: Dict, **kwargs):

        dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)

        return dataframe

    def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):

        dataframe["%-pct-change"] = dataframe["close"].pct_change()
        dataframe["%-raw_volume"] = dataframe["volume"]

        return dataframe

    def feature_engineering_standard(self, dataframe: DataFrame, metadata: Dict, **kwargs):

        dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek
        dataframe["%-hour_of_day"] = dataframe["date"].dt.hour

        dataframe["%-raw_close"] = dataframe["close"]
        dataframe["%-raw_open"] = dataframe["open"]
        dataframe["%-raw_high"] = dataframe["high"]
        dataframe["%-raw_low"] = dataframe["low"]

        return dataframe

    def set_freqai_targets(self, dataframe: DataFrame, metadata: Dict, **kwargs):

        dataframe["&-action"] = 0

        return dataframe

    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