Merge branch 'freqtrade:develop' into RangeStabilityFilterMax
This commit is contained in:
sauces1313
GitHub
@@ -52,6 +52,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
|
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| `stake_currency` | **Required.** Crypto-currency used for trading. <br> **Datatype:** String
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| `stake_amount` | **Required.** Amount of crypto-currency your bot will use for each trade. Set it to `"unlimited"` to allow the bot to use all available balance. [More information below](#configuring-amount-per-trade). <br> **Datatype:** Positive float or `"unlimited"`.
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| `tradable_balance_ratio` | Ratio of the total account balance the bot is allowed to trade. [More information below](#configuring-amount-per-trade). <br>*Defaults to `0.99` 99%).*<br> **Datatype:** Positive float between `0.1` and `1.0`.
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| `available_capital` | Available starting capital for the bot. Useful when running multiple bots on the same exchange account.[More information below](#configuring-amount-per-trade). <br> **Datatype:** Positive float.
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| `amend_last_stake_amount` | Use reduced last stake amount if necessary. [More information below](#configuring-amount-per-trade). <br>*Defaults to `false`.* <br> **Datatype:** Boolean
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| `last_stake_amount_min_ratio` | Defines minimum stake amount that has to be left and executed. Applies only to the last stake amount when it's amended to a reduced value (i.e. if `amend_last_stake_amount` is set to `true`). [More information below](#configuring-amount-per-trade). <br>*Defaults to `0.5`.* <br> **Datatype:** Float (as ratio)
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| `amount_reserve_percent` | Reserve some amount in min pair stake amount. The bot will reserve `amount_reserve_percent` + stoploss value when calculating min pair stake amount in order to avoid possible trade refusals. <br>*Defaults to `0.05` (5%).* <br> **Datatype:** Positive Float as ratio.
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@@ -164,7 +165,7 @@ Values set in the configuration file always overwrite values set in the strategy
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### Configuring amount per trade
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There are several methods to configure how much of the stake currency the bot will use to enter a trade. All methods respect the [available balance configuration](#available-balance) as explained below.
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There are several methods to configure how much of the stake currency the bot will use to enter a trade. All methods respect the [available balance configuration](#tradable-balance) as explained below.
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#### Minimum trade stake
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@@ -183,7 +184,7 @@ To limit this calculation in case of large stoploss values, the calculated minim
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!!! Warning
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Since the limits on exchanges are usually stable and are not updated often, some pairs can show pretty high minimum limits, simply because the price increased a lot since the last limit adjustment by the exchange.
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#### Available balance
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#### Tradable balance
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By default, the bot assumes that the `complete amount - 1%` is at it's disposal, and when using [dynamic stake amount](#dynamic-stake-amount), it will split the complete balance into `max_open_trades` buckets per trade.
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Freqtrade will reserve 1% for eventual fees when entering a trade and will therefore not touch that by default.
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@@ -192,9 +193,25 @@ You can configure the "untouched" amount by using the `tradable_balance_ratio` s
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For example, if you have 10 ETH available in your wallet on the exchange and `tradable_balance_ratio=0.5` (which is 50%), then the bot will use a maximum amount of 5 ETH for trading and considers this as available balance. The rest of the wallet is untouched by the trades.
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!!! Danger
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This setting should **not** be used when running multiple bots on the same account. Please look at [Available Capital to the bot](#assign-available-capital) instead.
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!!! Warning
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The `tradable_balance_ratio` setting applies to the current balance (free balance + tied up in trades). Therefore, assuming the starting balance of 1000, a configuration with `tradable_balance_ratio=0.99` will not guarantee that 10 currency units will always remain available on the exchange. For example, the free amount may reduce to 5 units if the total balance is reduced to 500 (either by a losing streak, or by withdrawing balance).
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#### Assign available Capital
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To fully utilize compounding profits when using multiple bots on the same exchange account, you'll want to limit each bot to a certain starting balance.
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This can be accomplished by setting `available_capital` to the desired starting balance.
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Assuming your account has 10.000 USDT and you want to run 2 different strategies on this exchange.
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You'd set `available_capital=5000` - granting each bot an initial capital of 5000 USDT.
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The bot will then split this starting balance equally into `max_open_trades` buckets.
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Profitable trades will result in increased stake-sizes for this bot - without affecting stake-sizes of the other bot.
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!!! Warning "Incompatible with `tradable_balance_ratio`"
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Setting this option will replace any configuration of `tradable_balance_ratio`.
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#### Amend last stake amount
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Assuming we have the tradable balance of 1000 USDT, `stake_amount=400`, and `max_open_trades=3`.
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@@ -556,7 +573,7 @@ You should also make sure to read the [Exchanges](exchanges.md) section of the d
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To use a proxy with freqtrade, add the kwarg `"aiohttp_trust_env"=true` to the `"ccxt_async_kwargs"` dict in the exchange section of the configuration.
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An example for this can be found in `config_full.json.example`
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An example for this can be found in `config_examples/config_full.example.json`
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``` json
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"ccxt_async_config": {
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@@ -2,7 +2,7 @@
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This page is intended for developers of Freqtrade, people who want to contribute to the Freqtrade codebase or documentation, or people who want to understand the source code of the application they're running.
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All contributions, bug reports, bug fixes, documentation improvements, enhancements and ideas are welcome. We [track issues](https://github.com/freqtrade/freqtrade/issues) on [GitHub](https://github.com) and also have a dev channel on [discord](https://discord.gg/p7nuUNVfP7) or [slack](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw) where you can ask questions.
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All contributions, bug reports, bug fixes, documentation improvements, enhancements and ideas are welcome. We [track issues](https://github.com/freqtrade/freqtrade/issues) on [GitHub](https://github.com) and also have a dev channel on [discord](https://discord.gg/p7nuUNVfP7) where you can ask questions.
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## Documentation
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@@ -172,7 +172,7 @@ freqtrade hyperopt --hyperopt SampleHyperopt --hyperopt-loss SharpeHyperOptLossD
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### Why does it take a long time to run hyperopt?
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* Discovering a great strategy with Hyperopt takes time. Study www.freqtrade.io, the Freqtrade Documentation page, join the Freqtrade [Slack community](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw) - or the Freqtrade [discord community](https://discord.gg/p7nuUNVfP7). While you patiently wait for the most advanced, free crypto bot in the world, to hand you a possible golden strategy specially designed just for you.
|
||||
* Discovering a great strategy with Hyperopt takes time. Study www.freqtrade.io, the Freqtrade Documentation page, join the Freqtrade [discord community](https://discord.gg/p7nuUNVfP7). While you patiently wait for the most advanced, free crypto bot in the world, to hand you a possible golden strategy specially designed just for you.
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* If you wonder why it can take from 20 minutes to days to do 1000 epochs here are some answers:
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@@ -23,6 +23,7 @@ You may also use something like `.*DOWN/BTC` or `.*UP/BTC` to exclude leveraged
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* [`StaticPairList`](#static-pair-list) (default, if not configured differently)
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* [`VolumePairList`](#volume-pair-list)
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* [`AgeFilter`](#agefilter)
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* [`OffsetFilter`](#offsetfilter)
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* [`PerformanceFilter`](#performancefilter)
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* [`PrecisionFilter`](#precisionfilter)
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* [`PriceFilter`](#pricefilter)
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@@ -63,17 +64,56 @@ The `refresh_period` setting allows to define the period (in seconds), at which
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The pairlist cache (`refresh_period`) on `VolumePairList` is only applicable to generating pairlists.
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Filtering instances (not the first position in the list) will not apply any cache and will always use up-to-date data.
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`VolumePairList` is based on the ticker data from exchange, as reported by the ccxt library:
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`VolumePairList` is per default based on the ticker data from exchange, as reported by the ccxt library:
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* The `quoteVolume` is the amount of quote (stake) currency traded (bought or sold) in last 24 hours.
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```json
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"pairlists": [{
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"pairlists": [
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{
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"method": "VolumePairList",
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"number_assets": 20,
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"sort_key": "quoteVolume",
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"refresh_period": 1800
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}],
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}
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],
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```
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`VolumePairList` can also operate in an advanced mode to build volume over a given timerange of specified candle size. It utilizes exchange historical candle data, builds a typical price (calculated by (open+high+low)/3) and multiplies the typical price with every candle's volume. The sum is the `quoteVolume` over the given range. This allows different scenarios, for a more smoothened volume, when using longer ranges with larger candle sizes, or the opposite when using a short range with small candles.
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For convenience `lookback_days` can be specified, which will imply that 1d candles will be used for the lookback. In the example below the pairlist would be created based on the last 7 days:
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```json
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"pairlists": [
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{
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"method": "VolumePairList",
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"number_assets": 20,
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"sort_key": "quoteVolume",
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"refresh_period": 86400,
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"lookback_days": 7
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}
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],
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```
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!!! Warning "Range look back and refresh period"
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When used in conjunction with `lookback_days` and `lookback_timeframe` the `refresh_period` can not be smaller than the candle size in seconds. As this will result in unnecessary requests to the exchanges API.
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!!! Warning "Performance implications when using lookback range"
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If used in first position in combination with lookback, the computation of the range based volume can be time and resource consuming, as it downloads candles for all tradable pairs. Hence it's highly advised to use the standard approach with `VolumeFilter` to narrow the pairlist down for further range volume calculation.
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More sophisticated approach can be used, by using `lookback_timeframe` for candle size and `lookback_period` which specifies the amount of candles. This example will build the volume pairs based on a rolling period of 3 days of 1h candles:
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```json
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"pairlists": [
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{
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"method": "VolumePairList",
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"number_assets": 20,
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"sort_key": "quoteVolume",
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"refresh_period": 3600,
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"lookback_timeframe": "1h",
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"lookback_period": 72
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}
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],
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```
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!!! Note
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@@ -81,13 +121,39 @@ Filtering instances (not the first position in the list) will not apply any cach
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#### AgeFilter
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Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`).
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Removes pairs that have been listed on the exchange for less than `min_days_listed` days (defaults to `10`) or more than `max_days_listed` days (defaults `None` mean infinity).
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When pairs are first listed on an exchange they can suffer huge price drops and volatility
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in the first few days while the pair goes through its price-discovery period. Bots can often
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be caught out buying before the pair has finished dropping in price.
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This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days.
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This filter allows freqtrade to ignore pairs until they have been listed for at least `min_days_listed` days and listed before `max_days_listed`.
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#### OffsetFilter
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Offsets an incoming pairlist by a given `offset` value.
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As an example it can be used in conjunction with `VolumeFilter` to remove the top X volume pairs. Or to split
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a larger pairlist on two bot instances.
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Example to remove the first 10 pairs from the pairlist:
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```json
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"pairlists": [
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{
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"method": "OffsetFilter",
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"offset": 10
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}
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],
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```
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!!! Warning
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When `OffsetFilter` is used to split a larger pairlist among multiple bots in combination with `VolumeFilter`
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it can not be guaranteed that pairs won't overlap due to slightly different refresh intervals for the
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`VolumeFilter`.
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!!! Note
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An offset larger then the total length of the incoming pairlist will result in an empty pairlist.
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#### PerformanceFilter
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@@ -1,7 +1,7 @@
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## Protections
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!!! Warning "Beta feature"
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This feature is still in it's testing phase. Should you notice something you think is wrong please let us know via Discord, Slack or via Github Issue.
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This feature is still in it's testing phase. Should you notice something you think is wrong please let us know via Discord or via Github Issue.
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Protections will protect your strategy from unexpected events and market conditions by temporarily stop trading for either one pair, or for all pairs.
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All protection end times are rounded up to the next candle to avoid sudden, unexpected intra-candle buys.
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@@ -73,13 +73,9 @@ Alternatively
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## Support
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### Help / Discord / Slack
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### Help / Discord
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For any questions not covered by the documentation or for further information about the bot, or to simply engage with like-minded individuals, we encourage you to join our slack channel.
|
||||
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||||
Please check out our [discord server](https://discord.gg/p7nuUNVfP7).
|
||||
|
||||
You can also join our [Slack channel](https://join.slack.com/t/highfrequencybot/shared_invite/zt-mm786y93-Fxo37glxMY9g8OQC5AoOIw).
|
||||
For any questions not covered by the documentation or for further information about the bot, or to simply engage with like-minded individuals, we encourage you to join the Freqtrade [discord server](https://discord.gg/p7nuUNVfP7).
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## Ready to try?
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||||
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||||
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@@ -1,4 +1,4 @@
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mkdocs==1.2.1
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mkdocs-material==7.1.9
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mkdocs==1.2.2
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mkdocs-material==7.1.11
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mdx_truly_sane_lists==1.2
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pymdown-extensions==8.2
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@@ -521,6 +521,39 @@ class AwesomeStrategy(IStrategy):
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```
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### Stake size management
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It is possible to manage your risk by reducing or increasing stake amount when placing a new trade.
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```python
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class AwesomeStrategy(IStrategy):
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def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
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proposed_stake: float, min_stake: float, max_stake: float,
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**kwargs) -> float:
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dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
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current_candle = dataframe.iloc[-1].squeeze()
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if current_candle['fastk_rsi_1h'] > current_candle['fastd_rsi_1h']:
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if self.config['stake_amount'] == 'unlimited':
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# Use entire available wallet during favorable conditions when in compounding mode.
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return max_stake
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else:
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# Compound profits during favorable conditions instead of using a static stake.
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return self.wallets.get_total_stake_amount() / self.config['max_open_trades']
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# Use default stake amount.
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return proposed_stake
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```
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Freqtrade will fall back to the `proposed_stake` value should your code raise an exception. The exception itself will be logged.
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!!! Tip
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You do not _have_ to ensure that `min_stake <= returned_value <= max_stake`. Trades will succeed as the returned value will be clamped to supported range and this acton will be logged.
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!!! Tip
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Returning `0` or `None` will prevent trades from being placed.
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---
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## Derived strategies
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@@ -148,13 +148,18 @@ import pandas as pd
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stats = load_backtest_stats(backtest_dir)
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strategy_stats = stats['strategy'][strategy]
|
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|
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dates = []
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profits = []
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for date_profit in strategy_stats['daily_profit']:
|
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dates.append(date_profit[0])
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profits.append(date_profit[1])
|
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|
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equity = 0
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equity_daily = []
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for dp in strategy_stats['daily_profit']:
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for daily_profit in profits:
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equity_daily.append(equity)
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equity += float(dp)
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equity += float(daily_profit)
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dates = pd.date_range(strategy_stats['backtest_start'], strategy_stats['backtest_end'])
|
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df = pd.DataFrame({'dates': dates,'equity_daily': equity_daily})
|
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@@ -245,10 +245,10 @@ current max
|
||||
Return a summary of your profit/loss and performance.
|
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|
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> **ROI:** Close trades
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> ∙ `0.00485701 BTC (258.45%)`
|
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> ∙ `0.00485701 BTC (2.2%) (15.2 Σ%)`
|
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> ∙ `62.968 USD`
|
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> **ROI:** All trades
|
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> ∙ `0.00255280 BTC (143.43%)`
|
||||
> ∙ `0.00255280 BTC (1.5%) (6.43 Σ%)`
|
||||
> ∙ `33.095 EUR`
|
||||
>
|
||||
> **Total Trade Count:** `138`
|
||||
@@ -257,6 +257,10 @@ Return a summary of your profit/loss and performance.
|
||||
> **Avg. Duration:** `2:33:45`
|
||||
> **Best Performing:** `PAY/BTC: 50.23%`
|
||||
|
||||
The relative profit of `1.2%` is the average profit per trade.
|
||||
The relative profit of `15.2 Σ%` is be based on the starting capital - so in this case, the starting capital was `0.00485701 * 1.152 = 0.00738 BTC`.
|
||||
Starting capital is either taken from the `available_capital` setting, or calculated by using current wallet size - profits.
|
||||
|
||||
### /forcesell <trade_id>
|
||||
|
||||
> **BITTREX:** Selling BTC/LTC with limit `0.01650000 (profit: ~-4.07%, -0.00008168)`
|
||||
|
||||
@@ -614,6 +614,48 @@ Show whitelist when using a [dynamic pairlist](plugins.md#pairlists).
|
||||
freqtrade test-pairlist --config config.json --quote USDT BTC
|
||||
```
|
||||
|
||||
## Webserver mode
|
||||
|
||||
!!! Warning "Experimental"
|
||||
Webserver mode is an experimental mode to increase backesting and strategy development productivity.
|
||||
There may still be bugs - so if you happen to stumble across these, please report them as github issues, thanks.
|
||||
|
||||
Run freqtrade in webserver mode.
|
||||
Freqtrade will start the webserver and allow FreqUI to start and control backtesting processes.
|
||||
This has the advantage that data will not be reloaded between backtesting runs (as long as timeframe and timerange remain identical).
|
||||
FreqUI will also show the backtesting results.
|
||||
|
||||
```
|
||||
usage: freqtrade webserver [-h] [-v] [--logfile FILE] [-V] [-c PATH] [-d PATH]
|
||||
[--userdir PATH] [-s NAME] [--strategy-path PATH]
|
||||
|
||||
optional arguments:
|
||||
-h, --help show this help message and exit
|
||||
|
||||
Common arguments:
|
||||
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
|
||||
--logfile FILE Log to the file specified. Special values are:
|
||||
'syslog', 'journald'. See the documentation for more
|
||||
details.
|
||||
-V, --version show program's version number and exit
|
||||
-c PATH, --config PATH
|
||||
Specify configuration file (default:
|
||||
`userdir/config.json` or `config.json` whichever
|
||||
exists). Multiple --config options may be used. Can be
|
||||
set to `-` to read config from stdin.
|
||||
-d PATH, --datadir PATH
|
||||
Path to directory with historical backtesting data.
|
||||
--userdir PATH, --user-data-dir PATH
|
||||
Path to userdata directory.
|
||||
|
||||
Strategy arguments:
|
||||
-s NAME, --strategy NAME
|
||||
Specify strategy class name which will be used by the
|
||||
bot.
|
||||
--strategy-path PATH Specify additional strategy lookup path.
|
||||
|
||||
```
|
||||
|
||||
## List Hyperopt results
|
||||
|
||||
You can list the hyperoptimization epochs the Hyperopt module evaluated previously with the `hyperopt-list` sub-command.
|
||||
|
||||
@@ -23,7 +23,7 @@ git clone https://github.com/freqtrade/freqtrade.git
|
||||
|
||||
Install ta-lib according to the [ta-lib documentation](https://github.com/mrjbq7/ta-lib#windows).
|
||||
|
||||
As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial pre-compiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which needs to be downloaded and installed using `pip install TA_Lib‑0.4.20‑cp38‑cp38‑win_amd64.whl` (make sure to use the version matching your python version).
|
||||
As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial pre-compiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which need to be downloaded and installed using `pip install TA_Lib-0.4.21-cp38-cp38-win_amd64.whl` (make sure to use the version matching your python version).
|
||||
|
||||
Freqtrade provides these dependencies for the latest 2 Python versions (3.7 and 3.8) and for 64bit Windows.
|
||||
Other versions must be downloaded from the above link.
|
||||
|
||||
Reference in New Issue
Block a user