From 39458d1db841fb68f887b537cb70c606de05009c Mon Sep 17 00:00:00 2001 From: kecheon Date: Sun, 11 Apr 2021 08:35:55 +0900 Subject: [PATCH] Strategy002 added --- tests/rpc/test_rpc_apiserver.py | 7 +- tests/strategy/strats/Strategy002.py | 135 ++++++++++++++++++++++++ tests/strategy/test_strategy_loading.py | 6 +- 3 files changed, 142 insertions(+), 6 deletions(-) create mode 100644 tests/strategy/strats/Strategy002.py diff --git a/tests/rpc/test_rpc_apiserver.py b/tests/rpc/test_rpc_apiserver.py index d113a8802..a6e0b990f 100644 --- a/tests/rpc/test_rpc_apiserver.py +++ b/tests/rpc/test_rpc_apiserver.py @@ -888,7 +888,7 @@ def test_api_whitelist(botclient): "whitelist": ['ETH/BTC', 'LTC/BTC', 'XRP/BTC', 'NEO/BTC'], "length": 4, "method": ["StaticPairList"] - } + } def test_api_forcebuy(botclient, mocker, fee): @@ -980,7 +980,7 @@ def test_api_forcebuy(botclient, mocker, fee): 'strategy': 'DefaultStrategy', 'timeframe': 5, 'exchange': 'bittrex', - } + } def test_api_forcesell(botclient, mocker, ticker, fee, markets): @@ -1150,8 +1150,9 @@ def test_api_strategies(botclient): assert rc.json() == {'strategies': [ 'DefaultStrategy', 'HyperoptableStrategy', + 'Strategy002', 'TestStrategyLegacy' - ]} + ]} def test_api_strategy(botclient): diff --git a/tests/strategy/strats/Strategy002.py b/tests/strategy/strats/Strategy002.py new file mode 100644 index 000000000..993890f4e --- /dev/null +++ b/tests/strategy/strats/Strategy002.py @@ -0,0 +1,135 @@ + +# --- Do not remove these libs --- +from freqtrade.strategy.interface import IStrategy +from typing import Dict, List +from functools import reduce +from pandas import DataFrame +# -------------------------------- + +import talib.abstract as ta +import freqtrade.vendor.qtpylib.indicators as qtpylib +import numpy # noqa + + +class Strategy002(IStrategy): + """ + Strategy 002 + author@: Gerald Lonlas + github@: https://github.com/freqtrade/freqtrade-strategies + + How to use it? + > python3 ./freqtrade/main.py -s Strategy002 + """ + + # Minimal ROI designed for the strategy. + # This attribute will be overridden if the config file contains "minimal_roi" + minimal_roi = { + "60": 0.01, + "30": 0.03, + "20": 0.04, + "0": 0.05 + } + + # Optimal stoploss designed for the strategy + # This attribute will be overridden if the config file contains "stoploss" + stoploss = -0.10 + + # Optimal timeframe for the strategy + timeframe = '5m' + + # trailing stoploss + trailing_stop = False + trailing_stop_positive = 0.01 + trailing_stop_positive_offset = 0.02 + + # run "populate_indicators" only for new candle + process_only_new_candles = False + + # Experimental settings (configuration will overide these if set) + use_sell_signal = True + sell_profit_only = True + ignore_roi_if_buy_signal = False + + # Optional order type mapping + order_types = { + 'buy': 'limit', + 'sell': 'limit', + 'stoploss': 'market', + 'stoploss_on_exchange': False + } + + def informative_pairs(self): + """ + Define additional, informative pair/interval combinations to be cached from the exchange. + These pair/interval combinations are non-tradeable, unless they are part + of the whitelist as well. + For more information, please consult the documentation + :return: List of tuples in the format (pair, interval) + """ + return [ + ("ETH/USDT", "15m"), + ("BTC/USDT", "5m"), + ] + + def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + """ + Adds several different TA indicators to the given DataFrame + + Performance Note: For the best performance be frugal on the number of indicators + you are using. Let uncomment only the indicator you are using in your strategies + or your hyperopt configuration, otherwise you will waste your memory and CPU usage. + """ + + # Stoch + stoch = ta.STOCH(dataframe) + dataframe['slowk'] = stoch['slowk'] + + # RSI + dataframe['rsi'] = ta.RSI(dataframe) + + # Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy) + rsi = 0.1 * (dataframe['rsi'] - 50) + dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1) + + # Bollinger bands + bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) + dataframe['bb_lowerband'] = bollinger['lower'] + + # SAR Parabol + dataframe['sar'] = ta.SAR(dataframe) + + # Hammer: values [0, 100] + dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe) + + return dataframe + + def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + """ + Based on TA indicators, populates the buy signal for the given dataframe + :param dataframe: DataFrame + :return: DataFrame with buy column + """ + dataframe.loc[ + ( + (dataframe['rsi'] < 30) & + (dataframe['slowk'] < 20) & + (dataframe['bb_lowerband'] > dataframe['close']) & + (dataframe['CDLHAMMER'] == 100) + ), + 'buy'] = 1 + + return dataframe + + def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: + """ + Based on TA indicators, populates the sell signal for the given dataframe + :param dataframe: DataFrame + :return: DataFrame with buy column + """ + dataframe.loc[ + ( + (dataframe['sar'] > dataframe['close']) & + (dataframe['fisher_rsi'] > 0.3) + ), + 'sell'] = 1 + return dataframe \ No newline at end of file diff --git a/tests/strategy/test_strategy_loading.py b/tests/strategy/test_strategy_loading.py index 965c3d37b..9f6afe0d5 100644 --- a/tests/strategy/test_strategy_loading.py +++ b/tests/strategy/test_strategy_loading.py @@ -35,7 +35,7 @@ def test_search_all_strategies_no_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=False) assert isinstance(strategies, list) - assert len(strategies) == 3 + assert len(strategies) == 4 assert isinstance(strategies[0], dict) @@ -43,10 +43,10 @@ def test_search_all_strategies_with_failed(): directory = Path(__file__).parent / "strats" strategies = StrategyResolver.search_all_objects(directory, enum_failed=True) assert isinstance(strategies, list) - assert len(strategies) == 4 + assert len(strategies) == 5 # with enum_failed=True search_all_objects() shall find 2 good strategies # and 1 which fails to load - assert len([x for x in strategies if x['class'] is not None]) == 3 + assert len([x for x in strategies if x['class'] is not None]) == 4 assert len([x for x in strategies if x['class'] is None]) == 1