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Merge branch 'develop' into feat/externalsignals

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This commit is contained in:
Timothy Pogue
2022-09-10 15:14:10 -06:00
parent 0bc18ea33c 075748b21a
commit 0f8eaf98e7
34 changed files with 546 additions and 344 deletions
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113
freqtrade/templates/FreqaiExampleStrategy.py
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@@ -6,9 +6,7 @@ import talib.abstract as ta
from pandas import DataFrame
from technical import qtpylib
from freqtrade.exchange import timeframe_to_prev_date
from freqtrade.persistence import Trade
from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy, merge_informative_pair
from freqtrade.strategy import CategoricalParameter, IStrategy, merge_informative_pair
logger = logging.getLogger(__name__)
@@ -31,9 +29,6 @@ class FreqaiExampleStrategy(IStrategy):
"main_plot": {},
"subplots": {
"prediction": {"prediction": {"color": "blue"}},
"target_roi": {
"target_roi": {"color": "brown"},
},
"do_predict": {
"do_predict": {"color": "brown"},
},
@@ -47,10 +42,10 @@ class FreqaiExampleStrategy(IStrategy):
startup_candle_count: int = 40
can_short = False
linear_roi_offset = DecimalParameter(
0.00, 0.02, default=0.005, space="sell", optimize=False, load=True
)
max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True)
std_dev_multiplier_buy = CategoricalParameter(
[0.75, 1, 1.25, 1.5, 1.75], default=1.25, space="buy", optimize=True)
std_dev_multiplier_sell = CategoricalParameter(
[0.1, 0.25, 0.4], space="sell", default=0.2, optimize=True)
def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist()
@@ -187,21 +182,26 @@ class FreqaiExampleStrategy(IStrategy):
# `populate_any_indicators()` for each training period.
dataframe = self.freqai.start(dataframe, metadata, self)
dataframe["target_roi"] = dataframe["&-s_close_mean"] + dataframe["&-s_close_std"] * 1.25
dataframe["sell_roi"] = dataframe["&-s_close_mean"] - dataframe["&-s_close_std"] * 1.25
for val in self.std_dev_multiplier_buy.range:
dataframe[f'target_roi_{val}'] = dataframe["&-s_close_mean"] + \
dataframe["&-s_close_std"] * val
for val in self.std_dev_multiplier_sell.range:
dataframe[f'sell_roi_{val}'] = dataframe["&-s_close_mean"] - \
dataframe["&-s_close_std"] * val
return dataframe
def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
enter_long_conditions = [df["do_predict"] == 1, df["&-s_close"] > df["target_roi"]]
enter_long_conditions = [df["do_predict"] == 1, df["&-s_close"]
> df[f"target_roi_{self.std_dev_multiplier_buy.value}"]]
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["&-s_close"] < df["sell_roi"]]
enter_short_conditions = [df["do_predict"] == 1, df["&-s_close"]
< df[f"sell_roi_{self.std_dev_multiplier_sell.value}"]]
if enter_short_conditions:
df.loc[
@@ -211,11 +211,13 @@ class FreqaiExampleStrategy(IStrategy):
return df
def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
exit_long_conditions = [df["do_predict"] == 1, df["&-s_close"] < df["sell_roi"] * 0.25]
exit_long_conditions = [df["do_predict"] == 1, df["&-s_close"] <
df[f"sell_roi_{self.std_dev_multiplier_sell.value}"] * 0.25]
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["&-s_close"] > df["target_roi"] * 0.25]
exit_short_conditions = [df["do_predict"] == 1, df["&-s_close"] >
df[f"target_roi_{self.std_dev_multiplier_buy.value}"] * 0.25]
if exit_short_conditions:
df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1
@@ -224,83 +226,6 @@ class FreqaiExampleStrategy(IStrategy):
def get_ticker_indicator(self):
return int(self.config["timeframe"][:-1])
def custom_exit(
self, pair: str, trade: Trade, current_time, current_rate, current_profit, **kwargs
):
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
trade_date = timeframe_to_prev_date(self.config["timeframe"], trade.open_date_utc)
trade_candle = dataframe.loc[(dataframe["date"] == trade_date)]
if trade_candle.empty:
return None
trade_candle = trade_candle.squeeze()
follow_mode = self.config.get("freqai", {}).get("follow_mode", False)
if not follow_mode:
pair_dict = self.freqai.dd.pair_dict
else:
pair_dict = self.freqai.dd.follower_dict
entry_tag = trade.enter_tag
if (
"prediction" + entry_tag not in pair_dict[pair]
or pair_dict[pair]['extras']["prediction" + entry_tag] == 0
):
pair_dict[pair]['extras']["prediction" + entry_tag] = abs(trade_candle["&-s_close"])
if not follow_mode:
self.freqai.dd.save_drawer_to_disk()
else:
self.freqai.dd.save_follower_dict_to_disk()
roi_price = pair_dict[pair]['extras']["prediction" + entry_tag]
roi_time = self.max_roi_time_long.value
roi_decay = roi_price * (
1 - ((current_time - trade.open_date_utc).seconds) / (roi_time * 60)
)
if roi_decay < 0:
roi_decay = self.linear_roi_offset.value
else:
roi_decay += self.linear_roi_offset.value
if current_profit > roi_decay:
return "roi_custom_win"
if current_profit < -roi_decay:
return "roi_custom_loss"
def confirm_trade_exit(
self,
pair: str,
trade: Trade,
order_type: str,
amount: float,
rate: float,
time_in_force: str,
exit_reason: str,
current_time,
**kwargs,
) -> bool:
entry_tag = trade.enter_tag
follow_mode = self.config.get("freqai", {}).get("follow_mode", False)
if not follow_mode:
pair_dict = self.freqai.dd.pair_dict
else:
pair_dict = self.freqai.dd.follower_dict
pair_dict[pair]['extras']["prediction" + entry_tag] = 0
if not follow_mode:
self.freqai.dd.save_drawer_to_disk()
else:
self.freqai.dd.save_follower_dict_to_disk()
return True
def confirm_trade_entry(
self,
pair: str,