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replace coin by pair

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longyu
2022-11-26 15:11:53 +01:00
parent d6ed8f1980 64f92a9b32
commit 4dace9be20
105 changed files with 2024 additions and 1490 deletions
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56
user_data/strategies/FreqaiBinaryClassStrategy_v4.py
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@@ -208,7 +208,7 @@ class FreqaiBinaryClassStrategy_v4(IStrategy):
stoploss = -0.05
use_exit_signal = True
startup_candle_count: int = 300
can_short = False
can_short = True
linear_roi_offset = DecimalParameter(
0.00, 0.02, default=0.005, space="sell", optimize=False, load=True
@@ -259,45 +259,45 @@ class FreqaiBinaryClassStrategy_v4(IStrategy):
for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
informative[f"%-{pair}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{pair}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
out = adx(informative["high"], informative["low"], informative["close"], window=t)
informative[f"%-{coin}adx-period_{t}"] = out["ADX_14"]
informative[f"%-{coin}diplus-period_{t}"] = out["DMP_14"]
informative[f"%-{coin}diminus-period_{t}"] = out["DMN_14"]
informative[f"%-{pair}adx-period_{t}"] = out["ADX_14"]
informative[f"%-{pair}diplus-period_{t}"] = out["DMP_14"]
informative[f"%-{pair}diminus-period_{t}"] = out["DMN_14"]
informative[f"{coin}20sma-period_{t}"] = ta.SMA(informative, timeperiod=t)
#informative[f"{coin}21ema-period_{t}"] = ta.EMA(informative, timeperiod=t)
informative[f"%-{coin}close_over_20sma-period_{t}"] = (
informative["close"] / informative[f"{coin}20sma-period_{t}"]
informative[f"{pair}20sma-period_{t}"] = ta.SMA(informative, timeperiod=t)
#informative[f"{pair}21ema-period_{t}"] = ta.EMA(informative, timeperiod=t)
informative[f"%-{pair}close_over_20sma-period_{t}"] = (
informative["close"] / informative[f"{pair}20sma-period_{t}"]
)
bollinger = qtpylib.bollinger_bands(
qtpylib.typical_price(informative), window=t, stds=2.2
)
informative[f"{coin}bb_lowerband-period_{t}"] = bollinger["lower"]
informative[f"{coin}bb_middleband-period_{t}"] = bollinger["mid"]
informative[f"{coin}bb_upperband-period_{t}"] = bollinger["upper"]
informative[f"{pair}bb_lowerband-period_{t}"] = bollinger["lower"]
informative[f"{pair}bb_middleband-period_{t}"] = bollinger["mid"]
informative[f"{pair}bb_upperband-period_{t}"] = bollinger["upper"]
informative[f"%-{coin}bb_width-period_{t}"] = (
informative[f"{coin}bb_upperband-period_{t}"]
- informative[f"{coin}bb_lowerband-period_{t}"]
) / informative[f"{coin}bb_middleband-period_{t}"]
informative[f"%-{coin}close-bb_lower-period_{t}"] = (
informative["close"] / informative[f"{coin}bb_lowerband-period_{t}"]
informative[f"%-{pair}bb_width-period_{t}"] = (
informative[f"{pair}bb_upperband-period_{t}"]
- informative[f"{pair}bb_lowerband-period_{t}"]
) / informative[f"{pair}bb_middleband-period_{t}"]
informative[f"%-{pair}close-bb_lower-period_{t}"] = (
informative["close"] / informative[f"{pair}bb_lowerband-period_{t}"]
)
informative[f"%-{coin}roc-period_{t}"] = ta.ROC(informative, timeperiod=t)
informative[f"%-{pair}roc-period_{t}"] = ta.ROC(informative, timeperiod=t)
macd = ta.MACD(informative, timeperiod=t)
informative[f"%-{coin}macd-period_{t}"] = macd["macd"]
informative[f"%-{pair}macd-period_{t}"] = macd["macd"]
informative[f"%-{coin}relative_volume-period_{t}"] = (
informative[f"%-{pair}relative_volume-period_{t}"] = (
informative["volume"] / informative["volume"].rolling(t).mean()
)
informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
informative[f"%-{coin}raw_volume"] = informative["volume"]
informative[f"%-{coin}raw_price"] = informative["close"]
informative[f"%-{pair}pct-change"] = informative["close"].pct_change()
informative[f"%-{pair}raw_volume"] = informative["volume"]
informative[f"%-{pair}raw_price"] = informative["close"]
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
@@ -391,7 +391,8 @@ class FreqaiBinaryClassStrategy_v4(IStrategy):
if self.can_short:
exit_short_conditions = [df["do_predict"] == 1, df["min"] >= self.entry_thr.value]
if exit_short_conditions:
df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1
df.loc[reduce(lambda x, y: x & y, exit_short_conditions),
["exit_short", "exit_tag"]] = (1, "exit signal")
return df
def get_ticker_indicator(self):
@@ -403,6 +404,9 @@ class FreqaiBinaryClassStrategy_v4(IStrategy):
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
if dataframe.empty:
return None
trade_date = timeframe_to_prev_date(self.config["timeframe"], trade.open_date_utc)
trade_candle = dataframe.loc[(dataframe["date"] == trade_date)]