adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #2803 from freqtrade/edge_no__init__

Browse Source 
Move edge-module out of __init__.py
This commit is contained in:
hroff-1902
2020-01-26 15:21:21 +03:00
committed by GitHub
parent f6278da23f 3f2542fcbc
commit 1ae3fb4d2f
2 changed files with 465 additions and 464 deletions
Download Patch File Download Diff File Expand all files Collapse all files

465
freqtrade/edge/__init__.py
View File

@@ -1,464 +1 @@
# pragma pylint: disable=W0603 from .edge_positioning import Edge, PairInfo # noqa: F401
""" Edge positioning package """
import logging
from typing import Any, Dict, NamedTuple
import arrow
import numpy as np
import utils_find_1st as utf1st
from pandas import DataFrame
from freqtrade import constants
from freqtrade.configuration import TimeRange
from freqtrade.data import history
from freqtrade.exceptions import OperationalException
from freqtrade.strategy.interface import SellType
logger = logging.getLogger(__name__)
class PairInfo(NamedTuple):
stoploss: float
winrate: float
risk_reward_ratio: float
required_risk_reward: float
expectancy: float
nb_trades: int
avg_trade_duration: float
class Edge:
"""
Calculates Win Rate, Risk Reward Ratio, Expectancy
against historical data for a give set of markets and a strategy
it then adjusts stoploss and position size accordingly
and force it into the strategy
Author: https://github.com/mishaker
"""
config: Dict = {}
_cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
def __init__(self, config: Dict[str, Any], exchange, strategy) -> None:
self.config = config
self.exchange = exchange
self.strategy = strategy
self.edge_config = self.config.get('edge', {})
self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
self._final_pairs: list = []
# checking max_open_trades. it should be -1 as with Edge
# the number of trades is determined by position size
if self.config['max_open_trades'] != float('inf'):
logger.critical('max_open_trades should be -1 in config !')
if self.config['stake_amount'] != constants.UNLIMITED_STAKE_AMOUNT:
raise OperationalException('Edge works only with unlimited stake amount')
# Deprecated capital_available_percentage. Will use tradable_balance_ratio in the future.
self._capital_percentage: float = self.edge_config.get(
'capital_available_percentage', self.config['tradable_balance_ratio'])
self._allowed_risk: float = self.edge_config.get('allowed_risk')
self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
self._last_updated: int = 0 # Timestamp of pairs last updated time
self._refresh_pairs = True
self._stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
self._stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
self._stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
# calculating stoploss range
self._stoploss_range = np.arange(
self._stoploss_range_min,
self._stoploss_range_max,
self._stoploss_range_step
)
self._timerange: TimeRange = TimeRange.parse_timerange("%s-" % arrow.now().shift(
days=-1 * self._since_number_of_days).format('YYYYMMDD'))
if config.get('fee'):
self.fee = config['fee']
else:
self.fee = self.exchange.get_fee(symbol=self.config['exchange']['pair_whitelist'][0])
def calculate(self) -> bool:
pairs = self.config['exchange']['pair_whitelist']
heartbeat = self.edge_config.get('process_throttle_secs')
if (self._last_updated > 0) and (
self._last_updated + heartbeat > arrow.utcnow().timestamp):
return False
data: Dict[str, Any] = {}
logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using local backtesting data (using whitelist in given config) ...')
if self._refresh_pairs:
history.refresh_data(
datadir=self.config['datadir'],
pairs=pairs,
exchange=self.exchange,
timeframe=self.strategy.ticker_interval,
timerange=self._timerange,
)
data = history.load_data(
datadir=self.config['datadir'],
pairs=pairs,
timeframe=self.strategy.ticker_interval,
timerange=self._timerange,
startup_candles=self.strategy.startup_candle_count,
)
if not data:
# Reinitializing cached pairs
self._cached_pairs = {}
logger.critical("No data found. Edge is stopped ...")
return False
preprocessed = self.strategy.tickerdata_to_dataframe(data)
# Print timeframe
min_date, max_date = history.get_timerange(preprocessed)
logger.info(
'Measuring data from %s up to %s (%s days) ...',
min_date.isoformat(),
max_date.isoformat(),
(max_date - min_date).days
)
headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low']
trades: list = []
for pair, pair_data in preprocessed.items():
# Sorting dataframe by date and reset index
pair_data = pair_data.sort_values(by=['date'])
pair_data = pair_data.reset_index(drop=True)
ticker_data = self.strategy.advise_sell(
self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
trades += self._find_trades_for_stoploss_range(ticker_data, pair, self._stoploss_range)
# If no trade found then exit
if len(trades) == 0:
logger.info("No trades found.")
return False
# Fill missing, calculable columns, profit, duration , abs etc.
trades_df = self._fill_calculable_fields(DataFrame(trades))
self._cached_pairs = self._process_expectancy(trades_df)
self._last_updated = arrow.utcnow().timestamp
return True
def stake_amount(self, pair: str, free_capital: float,
total_capital: float, capital_in_trade: float) -> float:
stoploss = self.stoploss(pair)
available_capital = (total_capital + capital_in_trade) * self._capital_percentage
allowed_capital_at_risk = available_capital * self._allowed_risk
max_position_size = abs(allowed_capital_at_risk / stoploss)
position_size = min(max_position_size, free_capital)
if pair in self._cached_pairs:
logger.info(
'winrate: %s, expectancy: %s, position size: %s, pair: %s,'
' capital in trade: %s, free capital: %s, total capital: %s,'
' stoploss: %s, available capital: %s.',
self._cached_pairs[pair].winrate,
self._cached_pairs[pair].expectancy,
position_size, pair,
capital_in_trade, free_capital, total_capital,
stoploss, available_capital
)
return round(position_size, 15)
def stoploss(self, pair: str) -> float:
if pair in self._cached_pairs:
return self._cached_pairs[pair].stoploss
else:
logger.warning('tried to access stoploss of a non-existing pair, '
'strategy stoploss is returned instead.')
return self.strategy.stoploss
def adjust(self, pairs) -> list:
"""
Filters out and sorts "pairs" according to Edge calculated pairs
"""
final = []
for pair, info in self._cached_pairs.items():
if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \
info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)) and \
pair in pairs:
final.append(pair)
if self._final_pairs != final:
self._final_pairs = final
if self._final_pairs:
logger.info(
'Minimum expectancy and minimum winrate are met only for %s,'
' so other pairs are filtered out.',
self._final_pairs
)
else:
logger.info(
'Edge removed all pairs as no pair with minimum expectancy '
'and minimum winrate was found !'
)
return self._final_pairs
def accepted_pairs(self) -> list:
"""
return a list of accepted pairs along with their winrate, expectancy and stoploss
"""
final = []
for pair, info in self._cached_pairs.items():
if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \
info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)):
final.append({
'Pair': pair,
'Winrate': info.winrate,
'Expectancy': info.expectancy,
'Stoploss': info.stoploss,
})
return final
def _fill_calculable_fields(self, result: DataFrame) -> DataFrame:
"""
The result frame contains a number of columns that are calculable
from other columns. These are left blank till all rows are added,
to be populated in single vector calls.
Columns to be populated are:
- Profit
- trade duration
- profit abs
:param result Dataframe
:return: result Dataframe
"""
# stake and fees
# stake = 0.015
# 0.05% is 0.0005
# fee = 0.001
# we set stake amount to an arbitrary amount.
# as it doesn't change the calculation.
# all returned values are relative. they are percentages.
stake = 0.015
fee = self.fee
open_fee = fee / 2
close_fee = fee / 2
result['trade_duration'] = result['close_time'] - result['open_time']
result['trade_duration'] = result['trade_duration'].map(
lambda x: int(x.total_seconds() / 60))
# Spends, Takes, Profit, Absolute Profit
# Buy Price
result['buy_vol'] = stake / result['open_rate'] # How many target are we buying
result['buy_fee'] = stake * open_fee
result['buy_spend'] = stake + result['buy_fee'] # How much we're spending
# Sell price
result['sell_sum'] = result['buy_vol'] * result['close_rate']
result['sell_fee'] = result['sell_sum'] * close_fee
result['sell_take'] = result['sell_sum'] - result['sell_fee']
# profit_percent
result['profit_percent'] = (result['sell_take'] - result['buy_spend']) / result['buy_spend']
# Absolute profit
result['profit_abs'] = result['sell_take'] - result['buy_spend']
return result
def _process_expectancy(self, results: DataFrame) -> Dict[str, Any]:
"""
This calculates WinRate, Required Risk Reward, Risk Reward and Expectancy of all pairs
The calulation will be done per pair and per strategy.
"""
# Removing pairs having less than min_trades_number
min_trades_number = self.edge_config.get('min_trade_number', 10)
results = results.groupby(['pair', 'stoploss']).filter(lambda x: len(x) > min_trades_number)
###################################
# Removing outliers (Only Pumps) from the dataset
# The method to detect outliers is to calculate standard deviation
# Then every value more than (standard deviation + 2*average) is out (pump)
#
# Removing Pumps
if self.edge_config.get('remove_pumps', False):
results = results.groupby(['pair', 'stoploss']).apply(
lambda x: x[x['profit_abs'] < 2 * x['profit_abs'].std() + x['profit_abs'].mean()])
##########################################################################
# Removing trades having a duration more than X minutes (set in config)
max_trade_duration = self.edge_config.get('max_trade_duration_minute', 1440)
results = results[results.trade_duration < max_trade_duration]
#######################################################################
if results.empty:
return {}
groupby_aggregator = {
'profit_abs': [
('nb_trades', 'count'), # number of all trades
('profit_sum', lambda x: x[x > 0].sum()), # cumulative profit of all winning trades
('loss_sum', lambda x: abs(x[x < 0].sum())), # cumulative loss of all losing trades
('nb_win_trades', lambda x: x[x > 0].count()) # number of winning trades
],
'trade_duration': [('avg_trade_duration', 'mean')]
}
# Group by (pair and stoploss) by applying above aggregator
df = results.groupby(['pair', 'stoploss'])['profit_abs', 'trade_duration'].agg(
groupby_aggregator).reset_index(col_level=1)
# Dropping level 0 as we don't need it
df.columns = df.columns.droplevel(0)
# Calculating number of losing trades, average win and average loss
df['nb_loss_trades'] = df['nb_trades'] - df['nb_win_trades']
df['average_win'] = df['profit_sum'] / df['nb_win_trades']
df['average_loss'] = df['loss_sum'] / df['nb_loss_trades']
# Win rate = number of profitable trades / number of trades
df['winrate'] = df['nb_win_trades'] / df['nb_trades']
# risk_reward_ratio = average win / average loss
df['risk_reward_ratio'] = df['average_win'] / df['average_loss']
# required_risk_reward = (1 / winrate) - 1
df['required_risk_reward'] = (1 / df['winrate']) - 1
# expectancy = (risk_reward_ratio * winrate) - (lossrate)
df['expectancy'] = (df['risk_reward_ratio'] * df['winrate']) - (1 - df['winrate'])
# sort by expectancy and stoploss
df = df.sort_values(by=['expectancy', 'stoploss'], ascending=False).groupby(
'pair').first().sort_values(by=['expectancy'], ascending=False).reset_index()
final = {}
for x in df.itertuples():
final[x.pair] = PairInfo(
x.stoploss,
x.winrate,
x.risk_reward_ratio,
x.required_risk_reward,
x.expectancy,
x.nb_trades,
x.avg_trade_duration
)
# Returning a list of pairs in order of "expectancy"
return final
def _find_trades_for_stoploss_range(self, ticker_data, pair, stoploss_range):
buy_column = ticker_data['buy'].values
sell_column = ticker_data['sell'].values
date_column = ticker_data['date'].values
ohlc_columns = ticker_data[['open', 'high', 'low', 'close']].values
result: list = []
for stoploss in stoploss_range:
result += self._detect_next_stop_or_sell_point(
buy_column, sell_column, date_column, ohlc_columns, round(stoploss, 6), pair
)
return result
def _detect_next_stop_or_sell_point(self, buy_column, sell_column, date_column,
ohlc_columns, stoploss, pair):
"""
Iterate through ohlc_columns in order to find the next trade
Next trade opens from the first buy signal noticed to
The sell or stoploss signal after it.
It then cuts OHLC, buy_column, sell_column and date_column.
Cut from (the exit trade index) + 1.
Author: https://github.com/mishaker
"""
result: list = []
start_point = 0
while True:
open_trade_index = utf1st.find_1st(buy_column, 1, utf1st.cmp_equal)
# Return empty if we don't find trade entry (i.e. buy==1) or
# we find a buy but at the end of array
if open_trade_index == -1 or open_trade_index == len(buy_column) - 1:
break
else:
# When a buy signal is seen,
# trade opens in reality on the next candle
open_trade_index += 1
stop_price_percentage = stoploss + 1
open_price = ohlc_columns[open_trade_index, 0]
stop_price = (open_price * stop_price_percentage)
# Searching for the index where stoploss is hit
stop_index = utf1st.find_1st(
ohlc_columns[open_trade_index:, 2], stop_price, utf1st.cmp_smaller)
# If we don't find it then we assume stop_index will be far in future (infinite number)
if stop_index == -1:
stop_index = float('inf')
# Searching for the index where sell is hit
sell_index = utf1st.find_1st(sell_column[open_trade_index:], 1, utf1st.cmp_equal)
# If we don't find it then we assume sell_index will be far in future (infinite number)
if sell_index == -1:
sell_index = float('inf')
# Check if we don't find any stop or sell point (in that case trade remains open)
# It is not interesting for Edge to consider it so we simply ignore the trade
# And stop iterating there is no more entry
if stop_index == sell_index == float('inf'):
break
if stop_index <= sell_index:
exit_index = open_trade_index + stop_index
exit_type = SellType.STOP_LOSS
exit_price = stop_price
elif stop_index > sell_index:
# If exit is SELL then we exit at the next candle
exit_index = open_trade_index + sell_index + 1
# Check if we have the next candle
if len(ohlc_columns) - 1 < exit_index:
break
exit_type = SellType.SELL_SIGNAL
exit_price = ohlc_columns[exit_index, 0]
trade = {'pair': pair,
'stoploss': stoploss,
'profit_percent': '',
'profit_abs': '',
'open_time': date_column[open_trade_index],
'close_time': date_column[exit_index],
'open_index': start_point + open_trade_index,
'close_index': start_point + exit_index,
'trade_duration': '',
'open_rate': round(open_price, 15),
'close_rate': round(exit_price, 15),
'exit_type': exit_type
}
result.append(trade)
# Giving a view of exit_index till the end of array
buy_column = buy_column[exit_index:]
sell_column = sell_column[exit_index:]
date_column = date_column[exit_index:]
ohlc_columns = ohlc_columns[exit_index:]
start_point += exit_index
return result

464
freqtrade/edge/edge_positioning.py Normal file
View File

@@ -0,0 +1,464 @@
# pragma pylint: disable=W0603
""" Edge positioning package """
import logging
from typing import Any, Dict, NamedTuple
import arrow
import numpy as np
import utils_find_1st as utf1st
from pandas import DataFrame
from freqtrade import constants
from freqtrade.configuration import TimeRange
from freqtrade.data import history
from freqtrade.exceptions import OperationalException
from freqtrade.strategy.interface import SellType
logger = logging.getLogger(__name__)
class PairInfo(NamedTuple):
stoploss: float
winrate: float
risk_reward_ratio: float
required_risk_reward: float
expectancy: float
nb_trades: int
avg_trade_duration: float
class Edge:
"""
Calculates Win Rate, Risk Reward Ratio, Expectancy
against historical data for a give set of markets and a strategy
it then adjusts stoploss and position size accordingly
and force it into the strategy
Author: https://github.com/mishaker
"""
config: Dict = {}
_cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
def __init__(self, config: Dict[str, Any], exchange, strategy) -> None:
self.config = config
self.exchange = exchange
self.strategy = strategy
self.edge_config = self.config.get('edge', {})
self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
self._final_pairs: list = []
# checking max_open_trades. it should be -1 as with Edge
# the number of trades is determined by position size
if self.config['max_open_trades'] != float('inf'):
logger.critical('max_open_trades should be -1 in config !')
if self.config['stake_amount'] != constants.UNLIMITED_STAKE_AMOUNT:
raise OperationalException('Edge works only with unlimited stake amount')
# Deprecated capital_available_percentage. Will use tradable_balance_ratio in the future.
self._capital_percentage: float = self.edge_config.get(
'capital_available_percentage', self.config['tradable_balance_ratio'])
self._allowed_risk: float = self.edge_config.get('allowed_risk')
self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
self._last_updated: int = 0 # Timestamp of pairs last updated time
self._refresh_pairs = True
self._stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
self._stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
self._stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
# calculating stoploss range
self._stoploss_range = np.arange(
self._stoploss_range_min,
self._stoploss_range_max,
self._stoploss_range_step
)
self._timerange: TimeRange = TimeRange.parse_timerange("%s-" % arrow.now().shift(
days=-1 * self._since_number_of_days).format('YYYYMMDD'))
if config.get('fee'):
self.fee = config['fee']
else:
self.fee = self.exchange.get_fee(symbol=self.config['exchange']['pair_whitelist'][0])
def calculate(self) -> bool:
pairs = self.config['exchange']['pair_whitelist']
heartbeat = self.edge_config.get('process_throttle_secs')
if (self._last_updated > 0) and (
self._last_updated + heartbeat > arrow.utcnow().timestamp):
return False
data: Dict[str, Any] = {}
logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
logger.info('Using local backtesting data (using whitelist in given config) ...')
if self._refresh_pairs:
history.refresh_data(
datadir=self.config['datadir'],
pairs=pairs,
exchange=self.exchange,
timeframe=self.strategy.ticker_interval,
timerange=self._timerange,
)
data = history.load_data(
datadir=self.config['datadir'],
pairs=pairs,
timeframe=self.strategy.ticker_interval,
timerange=self._timerange,
startup_candles=self.strategy.startup_candle_count,
)
if not data:
# Reinitializing cached pairs
self._cached_pairs = {}
logger.critical("No data found. Edge is stopped ...")
return False
preprocessed = self.strategy.tickerdata_to_dataframe(data)
# Print timeframe
min_date, max_date = history.get_timerange(preprocessed)
logger.info(
'Measuring data from %s up to %s (%s days) ...',
min_date.isoformat(),
max_date.isoformat(),
(max_date - min_date).days
)
headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low']
trades: list = []
for pair, pair_data in preprocessed.items():
# Sorting dataframe by date and reset index
pair_data = pair_data.sort_values(by=['date'])
pair_data = pair_data.reset_index(drop=True)
ticker_data = self.strategy.advise_sell(
self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
trades += self._find_trades_for_stoploss_range(ticker_data, pair, self._stoploss_range)
# If no trade found then exit
if len(trades) == 0:
logger.info("No trades found.")
return False
# Fill missing, calculable columns, profit, duration , abs etc.
trades_df = self._fill_calculable_fields(DataFrame(trades))
self._cached_pairs = self._process_expectancy(trades_df)
self._last_updated = arrow.utcnow().timestamp
return True
def stake_amount(self, pair: str, free_capital: float,
total_capital: float, capital_in_trade: float) -> float:
stoploss = self.stoploss(pair)
available_capital = (total_capital + capital_in_trade) * self._capital_percentage
allowed_capital_at_risk = available_capital * self._allowed_risk
max_position_size = abs(allowed_capital_at_risk / stoploss)
position_size = min(max_position_size, free_capital)
if pair in self._cached_pairs:
logger.info(
'winrate: %s, expectancy: %s, position size: %s, pair: %s,'
' capital in trade: %s, free capital: %s, total capital: %s,'
' stoploss: %s, available capital: %s.',
self._cached_pairs[pair].winrate,
self._cached_pairs[pair].expectancy,
position_size, pair,
capital_in_trade, free_capital, total_capital,
stoploss, available_capital
)
return round(position_size, 15)
def stoploss(self, pair: str) -> float:
if pair in self._cached_pairs:
return self._cached_pairs[pair].stoploss
else:
logger.warning('tried to access stoploss of a non-existing pair, '
'strategy stoploss is returned instead.')
return self.strategy.stoploss
def adjust(self, pairs) -> list:
"""
Filters out and sorts "pairs" according to Edge calculated pairs
"""
final = []
for pair, info in self._cached_pairs.items():
if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \
info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)) and \
pair in pairs:
final.append(pair)
if self._final_pairs != final:
self._final_pairs = final
if self._final_pairs:
logger.info(
'Minimum expectancy and minimum winrate are met only for %s,'
' so other pairs are filtered out.',
self._final_pairs
)
else:
logger.info(
'Edge removed all pairs as no pair with minimum expectancy '
'and minimum winrate was found !'
)
return self._final_pairs
def accepted_pairs(self) -> list:
"""
return a list of accepted pairs along with their winrate, expectancy and stoploss
"""
final = []
for pair, info in self._cached_pairs.items():
if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \
info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)):
final.append({
'Pair': pair,
'Winrate': info.winrate,
'Expectancy': info.expectancy,
'Stoploss': info.stoploss,
})
return final
def _fill_calculable_fields(self, result: DataFrame) -> DataFrame:
"""
The result frame contains a number of columns that are calculable
from other columns. These are left blank till all rows are added,
to be populated in single vector calls.
Columns to be populated are:
- Profit
- trade duration
- profit abs
:param result Dataframe
:return: result Dataframe
"""
# stake and fees
# stake = 0.015
# 0.05% is 0.0005
# fee = 0.001
# we set stake amount to an arbitrary amount.
# as it doesn't change the calculation.
# all returned values are relative. they are percentages.
stake = 0.015
fee = self.fee
open_fee = fee / 2
close_fee = fee / 2
result['trade_duration'] = result['close_time'] - result['open_time']
result['trade_duration'] = result['trade_duration'].map(
lambda x: int(x.total_seconds() / 60))
# Spends, Takes, Profit, Absolute Profit
# Buy Price
result['buy_vol'] = stake / result['open_rate'] # How many target are we buying
result['buy_fee'] = stake * open_fee
result['buy_spend'] = stake + result['buy_fee'] # How much we're spending
# Sell price
result['sell_sum'] = result['buy_vol'] * result['close_rate']
result['sell_fee'] = result['sell_sum'] * close_fee
result['sell_take'] = result['sell_sum'] - result['sell_fee']
# profit_percent
result['profit_percent'] = (result['sell_take'] - result['buy_spend']) / result['buy_spend']
# Absolute profit
result['profit_abs'] = result['sell_take'] - result['buy_spend']
return result
def _process_expectancy(self, results: DataFrame) -> Dict[str, Any]:
"""
This calculates WinRate, Required Risk Reward, Risk Reward and Expectancy of all pairs
The calulation will be done per pair and per strategy.
"""
# Removing pairs having less than min_trades_number
min_trades_number = self.edge_config.get('min_trade_number', 10)
results = results.groupby(['pair', 'stoploss']).filter(lambda x: len(x) > min_trades_number)
###################################
# Removing outliers (Only Pumps) from the dataset
# The method to detect outliers is to calculate standard deviation
# Then every value more than (standard deviation + 2*average) is out (pump)
#
# Removing Pumps
if self.edge_config.get('remove_pumps', False):
results = results.groupby(['pair', 'stoploss']).apply(
lambda x: x[x['profit_abs'] < 2 * x['profit_abs'].std() + x['profit_abs'].mean()])
##########################################################################
# Removing trades having a duration more than X minutes (set in config)
max_trade_duration = self.edge_config.get('max_trade_duration_minute', 1440)
results = results[results.trade_duration < max_trade_duration]
#######################################################################
if results.empty:
return {}
groupby_aggregator = {
'profit_abs': [
('nb_trades', 'count'), # number of all trades
('profit_sum', lambda x: x[x > 0].sum()), # cumulative profit of all winning trades
('loss_sum', lambda x: abs(x[x < 0].sum())), # cumulative loss of all losing trades
('nb_win_trades', lambda x: x[x > 0].count()) # number of winning trades
],
'trade_duration': [('avg_trade_duration', 'mean')]
}
# Group by (pair and stoploss) by applying above aggregator
df = results.groupby(['pair', 'stoploss'])['profit_abs', 'trade_duration'].agg(
groupby_aggregator).reset_index(col_level=1)
# Dropping level 0 as we don't need it
df.columns = df.columns.droplevel(0)
# Calculating number of losing trades, average win and average loss
df['nb_loss_trades'] = df['nb_trades'] - df['nb_win_trades']
df['average_win'] = df['profit_sum'] / df['nb_win_trades']
df['average_loss'] = df['loss_sum'] / df['nb_loss_trades']
# Win rate = number of profitable trades / number of trades
df['winrate'] = df['nb_win_trades'] / df['nb_trades']
# risk_reward_ratio = average win / average loss
df['risk_reward_ratio'] = df['average_win'] / df['average_loss']
# required_risk_reward = (1 / winrate) - 1
df['required_risk_reward'] = (1 / df['winrate']) - 1
# expectancy = (risk_reward_ratio * winrate) - (lossrate)
df['expectancy'] = (df['risk_reward_ratio'] * df['winrate']) - (1 - df['winrate'])
# sort by expectancy and stoploss
df = df.sort_values(by=['expectancy', 'stoploss'], ascending=False).groupby(
'pair').first().sort_values(by=['expectancy'], ascending=False).reset_index()
final = {}
for x in df.itertuples():
final[x.pair] = PairInfo(
x.stoploss,
x.winrate,
x.risk_reward_ratio,
x.required_risk_reward,
x.expectancy,
x.nb_trades,
x.avg_trade_duration
)
# Returning a list of pairs in order of "expectancy"
return final
def _find_trades_for_stoploss_range(self, ticker_data, pair, stoploss_range):
buy_column = ticker_data['buy'].values
sell_column = ticker_data['sell'].values
date_column = ticker_data['date'].values
ohlc_columns = ticker_data[['open', 'high', 'low', 'close']].values
result: list = []
for stoploss in stoploss_range:
result += self._detect_next_stop_or_sell_point(
buy_column, sell_column, date_column, ohlc_columns, round(stoploss, 6), pair
)
return result
def _detect_next_stop_or_sell_point(self, buy_column, sell_column, date_column,
ohlc_columns, stoploss, pair):
"""
Iterate through ohlc_columns in order to find the next trade
Next trade opens from the first buy signal noticed to
The sell or stoploss signal after it.
It then cuts OHLC, buy_column, sell_column and date_column.
Cut from (the exit trade index) + 1.
Author: https://github.com/mishaker
"""
result: list = []
start_point = 0
while True:
open_trade_index = utf1st.find_1st(buy_column, 1, utf1st.cmp_equal)
# Return empty if we don't find trade entry (i.e. buy==1) or
# we find a buy but at the end of array
if open_trade_index == -1 or open_trade_index == len(buy_column) - 1:
break
else:
# When a buy signal is seen,
# trade opens in reality on the next candle
open_trade_index += 1
stop_price_percentage = stoploss + 1
open_price = ohlc_columns[open_trade_index, 0]
stop_price = (open_price * stop_price_percentage)
# Searching for the index where stoploss is hit
stop_index = utf1st.find_1st(
ohlc_columns[open_trade_index:, 2], stop_price, utf1st.cmp_smaller)
# If we don't find it then we assume stop_index will be far in future (infinite number)
if stop_index == -1:
stop_index = float('inf')
# Searching for the index where sell is hit
sell_index = utf1st.find_1st(sell_column[open_trade_index:], 1, utf1st.cmp_equal)
# If we don't find it then we assume sell_index will be far in future (infinite number)
if sell_index == -1:
sell_index = float('inf')
# Check if we don't find any stop or sell point (in that case trade remains open)
# It is not interesting for Edge to consider it so we simply ignore the trade
# And stop iterating there is no more entry
if stop_index == sell_index == float('inf'):
break
if stop_index <= sell_index:
exit_index = open_trade_index + stop_index
exit_type = SellType.STOP_LOSS
exit_price = stop_price
elif stop_index > sell_index:
# If exit is SELL then we exit at the next candle
exit_index = open_trade_index + sell_index + 1
# Check if we have the next candle
if len(ohlc_columns) - 1 < exit_index:
break
exit_type = SellType.SELL_SIGNAL
exit_price = ohlc_columns[exit_index, 0]
trade = {'pair': pair,
'stoploss': stoploss,
'profit_percent': '',
'profit_abs': '',
'open_time': date_column[open_trade_index],
'close_time': date_column[exit_index],
'open_index': start_point + open_trade_index,
'close_index': start_point + exit_index,
'trade_duration': '',
'open_rate': round(open_price, 15),
'close_rate': round(exit_price, 15),
'exit_type': exit_type
}
result.append(trade)
# Giving a view of exit_index till the end of array
buy_column = buy_column[exit_index:]
sell_column = sell_column[exit_index:]
date_column = date_column[exit_index:]
ohlc_columns = ohlc_columns[exit_index:]
start_point += exit_index
return result