Moved hyperopt params to strategy file

This commit is contained in:
Stephen Dade 2018-02-28 23:09:43 +11:00
parent 4dca84817e
commit 41b9165495
4 changed files with 247 additions and 283 deletions

View File

@ -61,126 +61,6 @@ TRIALS = Trials()
main._CONF = OPTIMIZE_CONFIG main._CONF = OPTIMIZE_CONFIG
def populate_indicators(dataframe: DataFrame) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame
"""
dataframe['adx'] = ta.ADX(dataframe)
dataframe['ao'] = qtpylib.awesome_oscillator(dataframe)
dataframe['cci'] = ta.CCI(dataframe)
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
dataframe['macdhist'] = macd['macdhist']
dataframe['mfi'] = ta.MFI(dataframe)
dataframe['minus_dm'] = ta.MINUS_DM(dataframe)
dataframe['minus_di'] = ta.MINUS_DI(dataframe)
dataframe['plus_dm'] = ta.PLUS_DM(dataframe)
dataframe['plus_di'] = ta.PLUS_DI(dataframe)
dataframe['roc'] = ta.ROC(dataframe)
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)
# Inverse Fisher transform on RSI normalized, value [0.0, 100.0] (https://goo.gl/2JGGoy)
dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1)
# Stoch
stoch = ta.STOCH(dataframe)
dataframe['slowd'] = stoch['slowd']
dataframe['slowk'] = stoch['slowk']
# Stoch fast
stoch_fast = ta.STOCHF(dataframe)
dataframe['fastd'] = stoch_fast['fastd']
dataframe['fastk'] = stoch_fast['fastk']
# Stoch RSI
stoch_rsi = ta.STOCHRSI(dataframe)
dataframe['fastd_rsi'] = stoch_rsi['fastd']
dataframe['fastk_rsi'] = stoch_rsi['fastk']
# Bollinger bands
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_middleband'] = bollinger['mid']
dataframe['bb_upperband'] = bollinger['upper']
# EMA - Exponential Moving Average
dataframe['ema3'] = ta.EMA(dataframe, timeperiod=3)
dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100)
# SAR Parabolic
dataframe['sar'] = ta.SAR(dataframe)
# SMA - Simple Moving Average
dataframe['sma'] = ta.SMA(dataframe, timeperiod=40)
# TEMA - Triple Exponential Moving Average
dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)
# Hilbert Transform Indicator - SineWave
hilbert = ta.HT_SINE(dataframe)
dataframe['htsine'] = hilbert['sine']
dataframe['htleadsine'] = hilbert['leadsine']
# Pattern Recognition - Bullish candlestick patterns
# ------------------------------------
"""
# Hammer: values [0, 100]
dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe)
# Inverted Hammer: values [0, 100]
dataframe['CDLINVERTEDHAMMER'] = ta.CDLINVERTEDHAMMER(dataframe)
# Dragonfly Doji: values [0, 100]
dataframe['CDLDRAGONFLYDOJI'] = ta.CDLDRAGONFLYDOJI(dataframe)
# Piercing Line: values [0, 100]
dataframe['CDLPIERCING'] = ta.CDLPIERCING(dataframe) # values [0, 100]
# Morningstar: values [0, 100]
dataframe['CDLMORNINGSTAR'] = ta.CDLMORNINGSTAR(dataframe) # values [0, 100]
# Three White Soldiers: values [0, 100]
dataframe['CDL3WHITESOLDIERS'] = ta.CDL3WHITESOLDIERS(dataframe) # values [0, 100]
"""
# Pattern Recognition - Bearish candlestick patterns
# ------------------------------------
"""
# Hanging Man: values [0, 100]
dataframe['CDLHANGINGMAN'] = ta.CDLHANGINGMAN(dataframe)
# Shooting Star: values [0, 100]
dataframe['CDLSHOOTINGSTAR'] = ta.CDLSHOOTINGSTAR(dataframe)
# Gravestone Doji: values [0, 100]
dataframe['CDLGRAVESTONEDOJI'] = ta.CDLGRAVESTONEDOJI(dataframe)
# Dark Cloud Cover: values [0, 100]
dataframe['CDLDARKCLOUDCOVER'] = ta.CDLDARKCLOUDCOVER(dataframe)
# Evening Doji Star: values [0, 100]
dataframe['CDLEVENINGDOJISTAR'] = ta.CDLEVENINGDOJISTAR(dataframe)
# Evening Star: values [0, 100]
dataframe['CDLEVENINGSTAR'] = ta.CDLEVENINGSTAR(dataframe)
"""
# Pattern Recognition - Bullish/Bearish candlestick patterns
# ------------------------------------
"""
# Three Line Strike: values [0, -100, 100]
dataframe['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(dataframe)
# Spinning Top: values [0, -100, 100]
dataframe['CDLSPINNINGTOP'] = ta.CDLSPINNINGTOP(dataframe) # values [0, -100, 100]
# Engulfing: values [0, -100, 100]
dataframe['CDLENGULFING'] = ta.CDLENGULFING(dataframe) # values [0, -100, 100]
# Harami: values [0, -100, 100]
dataframe['CDLHARAMI'] = ta.CDLHARAMI(dataframe) # values [0, -100, 100]
# Three Outside Up/Down: values [0, -100, 100]
dataframe['CDL3OUTSIDE'] = ta.CDL3OUTSIDE(dataframe) # values [0, -100, 100]
# Three Inside Up/Down: values [0, -100, 100]
dataframe['CDL3INSIDE'] = ta.CDL3INSIDE(dataframe) # values [0, -100, 100]
"""
# Chart type
# ------------------------------------
# Heikinashi stategy
heikinashi = qtpylib.heikinashi(dataframe)
dataframe['ha_open'] = heikinashi['open']
dataframe['ha_close'] = heikinashi['close']
dataframe['ha_high'] = heikinashi['high']
dataframe['ha_low'] = heikinashi['low']
return dataframe
def save_trials(trials, trials_path=TRIALS_FILE): def save_trials(trials, trials_path=TRIALS_FILE):
"""Save hyperopt trials to file""" """Save hyperopt trials to file"""
logger.info('Saving Trials to \'{}\''.format(trials_path)) logger.info('Saving Trials to \'{}\''.format(trials_path))
@ -235,188 +115,35 @@ def generate_roi_table(params) -> Dict[int, float]:
return roi_table return roi_table
def roi_space() -> Dict[str, Any]:
return {
'roi_t1': hp.quniform('roi_t1', 10, 120, 20),
'roi_t2': hp.quniform('roi_t2', 10, 60, 15),
'roi_t3': hp.quniform('roi_t3', 10, 40, 10),
'roi_p1': hp.quniform('roi_p1', 0.01, 0.04, 0.01),
'roi_p2': hp.quniform('roi_p2', 0.01, 0.07, 0.01),
'roi_p3': hp.quniform('roi_p3', 0.01, 0.20, 0.01),
}
def stoploss_space() -> Dict[str, Any]:
return {
'stoploss': hp.quniform('stoploss', -0.5, -0.02, 0.02),
}
def indicator_space() -> Dict[str, Any]:
"""
Define your Hyperopt space for searching strategy parameters
"""
return {
'macd_below_zero': hp.choice('macd_below_zero', [
{'enabled': False},
{'enabled': True}
]),
'mfi': hp.choice('mfi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('mfi-value', 10, 25, 5)}
]),
'fastd': hp.choice('fastd', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('fastd-value', 15, 45, 5)}
]),
'adx': hp.choice('adx', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('adx-value', 20, 50, 5)}
]),
'rsi': hp.choice('rsi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 5)}
]),
'uptrend_long_ema': hp.choice('uptrend_long_ema', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_short_ema': hp.choice('uptrend_short_ema', [
{'enabled': False},
{'enabled': True}
]),
'over_sar': hp.choice('over_sar', [
{'enabled': False},
{'enabled': True}
]),
'green_candle': hp.choice('green_candle', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_sma': hp.choice('uptrend_sma', [
{'enabled': False},
{'enabled': True}
]),
'trigger': hp.choice('trigger', [
{'type': 'lower_bb'},
{'type': 'lower_bb_tema'},
{'type': 'faststoch10'},
{'type': 'ao_cross_zero'},
{'type': 'ema3_cross_ema10'},
{'type': 'macd_cross_signal'},
{'type': 'sar_reversal'},
{'type': 'ht_sine'},
{'type': 'heiken_reversal_bull'},
{'type': 'di_cross'},
]),
}
def has_space(spaces, space): def has_space(spaces, space):
if space in spaces or 'all' in spaces: if space in spaces or 'all' in spaces:
return True return True
return False return False
def hyperopt_space(selected_spaces: str) -> Dict[str, Any]: def hyperopt_space(selected_spaces: str, strategy) -> Dict[str, Any]:
spaces = {} spaces = {}
if has_space(selected_spaces, 'buy'): if has_space(selected_spaces, 'buy'):
spaces = {**spaces, **indicator_space()} spaces = {**spaces, **strategy.indicator_space()}
if has_space(selected_spaces, 'roi'): if has_space(selected_spaces, 'roi'):
spaces = {**spaces, **roi_space()} spaces = {**spaces, **strategy.roi_space()}
if has_space(selected_spaces, 'stoploss'): if has_space(selected_spaces, 'stoploss'):
spaces = {**spaces, **stoploss_space()} spaces = {**spaces, **strategy.stoploss_space()}
return spaces return spaces
def buy_strategy_generator(params: Dict[str, Any]) -> Callable: def generate_optimizer(args, strategy):
"""
Define the buy strategy parameters to be used by hyperopt
"""
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if 'uptrend_long_ema' in params and params['uptrend_long_ema']['enabled']:
conditions.append(dataframe['ema50'] > dataframe['ema100'])
if 'macd_below_zero' in params and params['macd_below_zero']['enabled']:
conditions.append(dataframe['macd'] < 0)
if 'uptrend_short_ema' in params and params['uptrend_short_ema']['enabled']:
conditions.append(dataframe['ema5'] > dataframe['ema10'])
if 'mfi' in params and params['mfi']['enabled']:
conditions.append(dataframe['mfi'] < params['mfi']['value'])
if 'fastd' in params and params['fastd']['enabled']:
conditions.append(dataframe['fastd'] < params['fastd']['value'])
if 'adx' in params and params['adx']['enabled']:
conditions.append(dataframe['adx'] > params['adx']['value'])
if 'rsi' in params and params['rsi']['enabled']:
conditions.append(dataframe['rsi'] < params['rsi']['value'])
if 'over_sar' in params and params['over_sar']['enabled']:
conditions.append(dataframe['close'] > dataframe['sar'])
if 'green_candle' in params and params['green_candle']['enabled']:
conditions.append(dataframe['close'] > dataframe['open'])
if 'uptrend_sma' in params and params['uptrend_sma']['enabled']:
prevsma = dataframe['sma'].shift(1)
conditions.append(dataframe['sma'] > prevsma)
# TRIGGERS
triggers = {
'lower_bb': (
dataframe['close'] < dataframe['bb_lowerband']
),
'lower_bb_tema': (
dataframe['tema'] < dataframe['bb_lowerband']
),
'faststoch10': (qtpylib.crossed_above(
dataframe['fastd'], 10.0
)),
'ao_cross_zero': (qtpylib.crossed_above(
dataframe['ao'], 0.0
)),
'ema3_cross_ema10': (qtpylib.crossed_above(
dataframe['ema3'], dataframe['ema10']
)),
'macd_cross_signal': (qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal']
)),
'sar_reversal': (qtpylib.crossed_above(
dataframe['close'], dataframe['sar']
)),
'ht_sine': (qtpylib.crossed_above(
dataframe['htleadsine'], dataframe['htsine']
)),
'heiken_reversal_bull': (
(qtpylib.crossed_above(dataframe['ha_close'], dataframe['ha_open'])) &
(dataframe['ha_low'] == dataframe['ha_open'])
),
'di_cross': (qtpylib.crossed_above(
dataframe['plus_di'], dataframe['minus_di']
)),
}
conditions.append(triggers.get(params['trigger']['type']))
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy'] = 1
return dataframe
return populate_buy_trend
def generate_optimizer(args):
def optimizer(params): def optimizer(params):
global _CURRENT_TRIES global _CURRENT_TRIES
strategy = Strategy()
if has_space(args.spaces, 'roi'): if has_space(args.spaces, 'roi'):
strategy.minimal_roi = generate_roi_table(params) strategy.minimal_roi = generate_roi_table(params)
if has_space(args.spaces, 'buy'): if has_space(args.spaces, 'buy'):
backtesting.populate_buy_trend = buy_strategy_generator(params) backtesting.populate_buy_trend = strategy.buy_strategy_generator(params)
if has_space(args.spaces, 'stoploss'): if has_space(args.spaces, 'stoploss'):
strategy.stoploss = params['stoploss'] strategy.stoploss = params['stoploss']
results = backtest({'stake_amount': OPTIMIZE_CONFIG['stake_amount'], results = backtest({'stake_amount': OPTIMIZE_CONFIG['stake_amount'],
'processed': PROCESSED, 'processed': PROCESSED,
'realistic': args.realistic_simulation, 'realistic': args.realistic_simulation,
@ -497,7 +224,7 @@ def start(args):
ticker_interval=strategy.ticker_interval, ticker_interval=strategy.ticker_interval,
timerange=timerange) timerange=timerange)
if has_space(args.spaces, 'buy'): if has_space(args.spaces, 'buy'):
optimize.populate_indicators = populate_indicators optimize.populate_indicators = strategy.populate_indicators
PROCESSED = optimize.tickerdata_to_dataframe(data) PROCESSED = optimize.tickerdata_to_dataframe(data)
if args.mongodb: if args.mongodb:
@ -521,8 +248,8 @@ def start(args):
try: try:
best_parameters = fmin( best_parameters = fmin(
fn=generate_optimizer(args), fn=generate_optimizer(args, strategy),
space=hyperopt_space(args.spaces), space=hyperopt_space(args.spaces, strategy),
algo=tpe.suggest, algo=tpe.suggest,
max_evals=TOTAL_TRIES, max_evals=TOTAL_TRIES,
trials=TRIALS trials=TRIALS
@ -539,7 +266,7 @@ def start(args):
# Improve best parameter logging display # Improve best parameter logging display
if best_parameters: if best_parameters:
best_parameters = space_eval( best_parameters = space_eval(
hyperopt_space(args.spaces), hyperopt_space(args.spaces, strategy),
best_parameters best_parameters
) )

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@ -2,7 +2,10 @@
import talib.abstract as ta import talib.abstract as ta
from pandas import DataFrame from pandas import DataFrame
from typing import Dict, Any, Callable
import freqtrade.vendor.qtpylib.indicators as qtpylib import freqtrade.vendor.qtpylib.indicators as qtpylib
from hyperopt import STATUS_FAIL, STATUS_OK, Trials, fmin, hp, space_eval, tpe
from functools import reduce
from freqtrade.strategy.interface import IStrategy from freqtrade.strategy.interface import IStrategy
from freqtrade.indicator_helpers import fishers_inverse from freqtrade.indicator_helpers import fishers_inverse
@ -239,3 +242,151 @@ class DefaultStrategy(IStrategy):
), ),
'sell'] = 1 'sell'] = 1
return dataframe return dataframe
def indicator_space(self) -> Dict[str, Any]:
"""
Define your Hyperopt space for searching strategy parameters
"""
return {
'macd_below_zero': hp.choice('macd_below_zero', [
{'enabled': False},
{'enabled': True}
]),
'mfi': hp.choice('mfi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('mfi-value', 10, 25, 5)}
]),
'fastd': hp.choice('fastd', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('fastd-value', 15, 45, 5)}
]),
'adx': hp.choice('adx', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('adx-value', 20, 50, 5)}
]),
'rsi': hp.choice('rsi', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 5)}
]),
'uptrend_long_ema': hp.choice('uptrend_long_ema', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_short_ema': hp.choice('uptrend_short_ema', [
{'enabled': False},
{'enabled': True}
]),
'over_sar': hp.choice('over_sar', [
{'enabled': False},
{'enabled': True}
]),
'green_candle': hp.choice('green_candle', [
{'enabled': False},
{'enabled': True}
]),
'uptrend_sma': hp.choice('uptrend_sma', [
{'enabled': False},
{'enabled': True}
]),
'trigger': hp.choice('trigger', [
{'type': 'lower_bb'},
{'type': 'lower_bb_tema'},
{'type': 'faststoch10'},
{'type': 'ao_cross_zero'},
{'type': 'ema3_cross_ema10'},
{'type': 'macd_cross_signal'},
{'type': 'sar_reversal'},
{'type': 'ht_sine'},
{'type': 'heiken_reversal_bull'},
{'type': 'di_cross'},
]),
}
def buy_strategy_generator(self, params: Dict[str, Any]) -> Callable:
"""
Define the buy strategy parameters to be used by hyperopt
"""
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if 'uptrend_long_ema' in params and params['uptrend_long_ema']['enabled']:
conditions.append(dataframe['ema50'] > dataframe['ema100'])
if 'macd_below_zero' in params and params['macd_below_zero']['enabled']:
conditions.append(dataframe['macd'] < 0)
if 'uptrend_short_ema' in params and params['uptrend_short_ema']['enabled']:
conditions.append(dataframe['ema5'] > dataframe['ema10'])
if 'mfi' in params and params['mfi']['enabled']:
conditions.append(dataframe['mfi'] < params['mfi']['value'])
if 'fastd' in params and params['fastd']['enabled']:
conditions.append(dataframe['fastd'] < params['fastd']['value'])
if 'adx' in params and params['adx']['enabled']:
conditions.append(dataframe['adx'] > params['adx']['value'])
if 'rsi' in params and params['rsi']['enabled']:
conditions.append(dataframe['rsi'] < params['rsi']['value'])
if 'over_sar' in params and params['over_sar']['enabled']:
conditions.append(dataframe['close'] > dataframe['sar'])
if 'green_candle' in params and params['green_candle']['enabled']:
conditions.append(dataframe['close'] > dataframe['open'])
if 'uptrend_sma' in params and params['uptrend_sma']['enabled']:
prevsma = dataframe['sma'].shift(1)
conditions.append(dataframe['sma'] > prevsma)
# TRIGGERS
triggers = {
'lower_bb': (
dataframe['close'] < dataframe['bb_lowerband']
),
'lower_bb_tema': (
dataframe['tema'] < dataframe['bb_lowerband']
),
'faststoch10': (qtpylib.crossed_above(
dataframe['fastd'], 10.0
)),
'ao_cross_zero': (qtpylib.crossed_above(
dataframe['ao'], 0.0
)),
'ema3_cross_ema10': (qtpylib.crossed_above(
dataframe['ema3'], dataframe['ema10']
)),
'macd_cross_signal': (qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal']
)),
'sar_reversal': (qtpylib.crossed_above(
dataframe['close'], dataframe['sar']
)),
'ht_sine': (qtpylib.crossed_above(
dataframe['htleadsine'], dataframe['htsine']
)),
'heiken_reversal_bull': (
(qtpylib.crossed_above(dataframe['ha_close'], dataframe['ha_open'])) &
(dataframe['ha_low'] == dataframe['ha_open'])
),
'di_cross': (qtpylib.crossed_above(
dataframe['plus_di'], dataframe['minus_di']
)),
}
conditions.append(triggers.get(params['trigger']['type']))
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy'] = 1
return dataframe
return populate_buy_trend
def roi_space(self) -> Dict[str, Any]:
return {
'roi_t1': hp.quniform('roi_t1', 10, 120, 20),
'roi_t2': hp.quniform('roi_t2', 10, 60, 15),
'roi_t3': hp.quniform('roi_t3', 10, 40, 10),
'roi_p1': hp.quniform('roi_p1', 0.01, 0.04, 0.01),
'roi_p2': hp.quniform('roi_p2', 0.01, 0.07, 0.01),
'roi_p3': hp.quniform('roi_p3', 0.01, 0.20, 0.01),
}
def stoploss_space(self) -> Dict[str, Any]:
return {
'stoploss': hp.quniform('stoploss', -0.5, -0.02, 0.02),
}

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@ -8,6 +8,7 @@ import sys
import logging import logging
import importlib import importlib
from collections import OrderedDict from collections import OrderedDict
from typing import Dict, Any, Callable
from pandas import DataFrame from pandas import DataFrame
from freqtrade.strategy.interface import IStrategy from freqtrade.strategy.interface import IStrategy
@ -178,3 +179,22 @@ class Strategy(object):
:return: DataFrame with buy column :return: DataFrame with buy column
""" """
return self.custom_strategy.populate_sell_trend(dataframe) return self.custom_strategy.populate_sell_trend(dataframe)
def indicator_space(self) -> Dict[str, Any]:
"""
Define your Hyperopt space for searching strategy parameters
"""
return self.custom_strategy.indicator_space()
def buy_strategy_generator(self, params: Dict[str, Any]) -> Callable:
"""
Define the buy strategy parameters to be used by hyperopt
"""
return self.custom_strategy.buy_strategy_generator(params)
def roi_space(self) -> Dict[str, Any]:
return self.custom_strategy.roi_space()
def stoploss_space(self) -> Dict[str, Any]:
return self.custom_strategy.stoploss_space()

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@ -2,6 +2,9 @@
# --- Do not remove these libs --- # --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy from freqtrade.strategy.interface import IStrategy
from pandas import DataFrame from pandas import DataFrame
from typing import Dict, Any, Callable
from hyperopt import STATUS_FAIL, STATUS_OK, Trials, fmin, hp, space_eval, tpe
from functools import reduce
# -------------------------------- # --------------------------------
# Add your lib to import here # Add your lib to import here
@ -244,3 +247,66 @@ class TestStrategy(IStrategy):
), ),
'sell'] = 1 'sell'] = 1
return dataframe return dataframe
def indicator_space(self) -> Dict[str, Any]:
"""
Define your Hyperopt space for searching strategy parameters
"""
return {
'adx': hp.choice('adx', [
{'enabled': False},
{'enabled': True, 'value': hp.quniform('adx-value', 50, 80, 5)}
]),
'uptrend_tema': hp.choice('uptrend_tema', [
{'enabled': False},
{'enabled': True}
]),
'trigger': hp.choice('trigger', [
{'type': 'middle_bb_tema'},
]),
}
def buy_strategy_generator(self, params: Dict[str, Any]) -> Callable:
"""
Define the buy strategy parameters to be used by hyperopt
"""
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if 'adx' in params and params['adx']['enabled']:
conditions.append(dataframe['adx'] > params['adx']['value'])
if 'uptrend_tema' in params and params['uptrend_tema']['enabled']:
prevtema = dataframe['tema'].shift(1)
conditions.append(dataframe['tema'] > prevtema)
# TRIGGERS
triggers = {
'middle_bb_tema': (
dataframe['tema'] > dataframe['bb_middleband']
),
}
conditions.append(triggers.get(params['trigger']['type']))
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy'] = 1
return dataframe
return populate_buy_trend
def roi_space(self) -> Dict[str, Any]:
return {
'roi_t1': hp.quniform('roi_t1', 10, 120, 20),
'roi_t2': hp.quniform('roi_t2', 10, 60, 15),
'roi_t3': hp.quniform('roi_t3', 10, 40, 10),
'roi_p1': hp.quniform('roi_p1', 0.01, 0.04, 0.01),
'roi_p2': hp.quniform('roi_p2', 0.01, 0.07, 0.01),
'roi_p3': hp.quniform('roi_p3', 0.01, 0.20, 0.01),
}
def stoploss_space(self) -> Dict[str, Any]:
return {
'stoploss': hp.quniform('stoploss', -0.5, -0.02, 0.02),
}