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add strategy v4

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longyu
2022-10-14 12:22:58 +02:00
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from typing import Dict, List, Optional, Tuple, Union
import logging
from functools import reduce
from turtle import update
from h11 import Data
from datetime import datetime, timedelta, timezone
import pandas as pd
import talib.abstract as ta
from pandas_ta.trend import adx
from pandas import DataFrame
from technical import qtpylib
import numpy as np
from scipy.signal import argrelextrema
from sklearn.metrics import precision_recall_curve
from freqtrade.exchange import timeframe_to_prev_date
from freqtrade.persistence import Trade
from technical.util import resample_to_interval, resampled_merge
from freqtrade.strategy import DecimalParameter, IntParameter, merge_informative_pair
from freqtrade.strategy.interface import IStrategy
logger = logging.getLogger(__name__)
def find_support_levels(df: DataFrame) -> DataFrame:
"""
cond1 = df['Low'][i] < df['Low'][i-1]
cond2 = df['Low'][i] < df['Low'][i+1]
cond3 = df['Low'][i+1] < df['Low'][i+2]
cond4 = df['Low'][i-1] < df['Low'][i-2]
"""
cond1 = df["low"] < df["low"].shift(1)
cond2 = df["low"] < df["low"].shift(-1)
cond3 = df["low"].shift(-1) < df["low"].shift(-2)
cond4 = df["low"].shift(1) < df["low"].shift(2)
return (cond1 & cond2 & cond3 & cond4)
def get_max_labels(df: DataFrame, alpha: float = 0.5) -> DataFrame:
price = (df['high'] + df['low'] + df['close']) / 3
max_peaks = argrelextrema(price.values, np.greater, order=12)[0]
out = adx(df["high"], df["low"], df["close"], window=12)
diplus = out["DMP_14"]
di_thr = diplus[max_peaks].mean() + diplus[max_peaks].std() * alpha
nn = 2
labels = np.zeros(len(df), dtype=np.int32)
for mp in max_peaks:
ref_close = price.iloc[mp]
start = max(0, mp-nn)
end = min(df.shape[0], mp+nn+1)
pct = np.abs(price[start:end] / ref_close - 1)
is_close = np.where(pct <= 0.005)[0]
left_idx = is_close[0]
right_idx = is_close[-1]
# locality labeling
if diplus[mp-nn+left_idx:mp-nn+right_idx].mean() >= di_thr:
labels[mp-nn+left_idx:mp-nn+right_idx] = 1
if labels.max() == 0: # if not any positive label is found, we force it
idx = np.nanargmax(diplus[max_peaks])
labels[max_peaks[idx]] = 1
return labels
def get_min_labels(df: DataFrame, alpha : float = 0.5) -> DataFrame:
price = (df['high'] + df['low'] + df['close']) / 3
min_peaks = argrelextrema(price.values, np.less, order=12)[0]
out = adx(df["high"], df["low"], df["close"], window=12)
diminus = out["DMN_14"]
di_thr = diminus[min_peaks].mean() + diminus[min_peaks].std() * alpha
nn = 2
labels = np.zeros(len(df), dtype=np.int32)
for mp in min_peaks:
ref_close = price.iloc[mp]
start = max(0, mp-nn)
end = min(df.shape[0], mp+nn+1)
pct = np.abs(price[start:end] / ref_close - 1)
is_close = np.where(pct <= 0.005)[0]
left_idx = is_close[0]
right_idx = is_close[-1]
# locality labeling
if diminus[mp-nn+left_idx:mp-nn+right_idx].mean() >= di_thr:
labels[mp-nn+left_idx:mp-nn+right_idx] = 1
# return np.array([str(x) for x in labels]).astype(np.object0)
if labels.max() == 0: # if not any positive label is found, we force it
idx = np.nanargmax(diminus[min_peaks])
labels[min_peaks[idx]] = 1
return labels
def expand_labels(df: DataFrame, peaks: List[int]):
nn = 2
labels = np.zeros(len(df), dtype=np.int32)
price = (df['high'] + df['low'] + df['close']) / 3
for p in peaks:
ref_price = price[p]
start = max(0, p - nn)
end = min(df.shape[0], p + nn + 1)
pct = np.abs(price[start:end] / ref_price - 1)
is_close = np.where(pct <= 0.005)[0]
left_idx = is_close[0]
right_idx = is_close[-1]
# locality labeling
labels[p-nn+left_idx:p-nn+right_idx] = 1
return labels
def find_labels(df: DataFrame, alpha=0.1) -> DataFrame:
"""Find min/max locals."""
max_peaks = get_max_labels(df, alpha=alpha).nonzero()[0]
min_peaks = get_min_labels(df, alpha=alpha).nonzero()[0]
price = (df['high'] + df['low'] + df['close']) / 3
peaks = sorted(set(min_peaks).union(set(max_peaks)))
updown = None
max_peaks2 = []
min_peaks2 = []
for idx in peaks:
if (idx in min_peaks and idx in max_peaks):
# one peak cant be at both sides.
continue
if idx in min_peaks:
if updown is None or updown == True:
updown = False
min_peaks2.append(idx)
else:
if price[min_peaks2[-1]] < price[idx]:
continue
else:
min_peaks2[-1] = idx
elif idx in max_peaks:
if updown is None or updown == False:
updown = True
max_peaks2.append(idx)
else:
if price[max_peaks2[-1]] > price[idx]:
continue
else:
max_peaks2[-1] = idx
min_peaks = expand_labels(df, min_peaks2)
max_peaks = expand_labels(df, max_peaks2)
return min_peaks, max_peaks
class FreqaiBinaryClassStrategy_v4(IStrategy):
"""
Example strategy showing how the user connects their own
IFreqaiModel to the strategy. Namely, the user uses:
self.model = CustomModel(self.config)
self.model.bridge.start(dataframe, metadata)
to make predictions on their data. populate_any_indicators() automatically
generates the variety of features indicated by the user in the
canonical freqtrade configuration file under config['freqai'].
"""
minimal_roi = {"0": 0.1, "240": -1}
plot_config = {
"main_plot": {},
"subplots": {
"do_predict": {
"do_predict": {
"color": "brown"
}
},
"DI_values": {
"DI_values": {
"color": "#8115a9",
"type": "line"
}
},
"GTs": {
"tp_max": {
"color": "#69796a",
"type": "bar"
},
"tp_min": {
"color": "#e2517f",
"type": "bar"
},
"max": {
"color": "#69796a",
"type": "line"
},
"min": {
"color": "#e2517f",
"type": "line"
},
"neutral": {
"color": "#ffffff",
"type": "line"
}
}
}
}
position_adjustment_enable = False
process_only_new_candles = True
stoploss = -0.05
use_exit_signal = True
startup_candle_count: int = 300
can_short = True
linear_roi_offset = DecimalParameter(
0.00, 0.02, default=0.005, space="sell", optimize=False, load=True
)
max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True)
def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist()
corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"]
informative_pairs = []
for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]:
for pair in whitelist_pairs:
informative_pairs.append((pair, tf))
for pair in corr_pairs:
if pair in whitelist_pairs:
continue # avoid duplication
informative_pairs.append((pair, tf))
return informative_pairs
def populate_any_indicators(
self, pair, df, tf, informative=None, set_generalized_indicators=False
):
"""
Function designed to automatically generate, name and merge features
from user indicated timeframes in the configuration file. User controls the indicators
passed to the training/prediction by prepending indicators with `'%-' + coin `
(see convention below). I.e. user should not prepend any supporting metrics
(e.g. bb_lowerband below) with % unless they explicitly want to pass that metric to the
model.
:params:
:pair: pair to be used as informative
:df: strategy dataframe which will receive merges from informatives
:tf: timeframe of the dataframe which will modify the feature names
:informative: the dataframe associated with the informative pair
:coin: the name of the coin which will modify the feature names.
"""
coin = pair.split('/')[0]
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
# first loop is automatically duplicating indicators for time periods
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)
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"{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}"]
)
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"%-{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"%-{coin}roc-period_{t}"] = ta.ROC(informative, timeperiod=t)
macd = ta.MACD(informative, timeperiod=t)
informative[f"%-{coin}macd-period_{t}"] = macd["macd"]
informative[f"%-{coin}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"]
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
# find support levels
if tf == self.freqai_info["feature_parameters"]["include_timeframes"][-1]:
informative_6h = resample_to_interval(informative, "6h")
informative_6h["support_levels"] = find_support_levels(informative_6h)
df = merge_informative_pair(df, informative_6h, self.config["timeframe"], "6h", ffill=True)
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
#df["&s-minima"] = FreqaiBinaryClassStrategy.get_min_labels(df)
#df["&s-maxima"] = FreqaiBinaryClassStrategy.get_max_labels(df)
minmax = np.array(["neutral"] * len(df))
min_labels, max_labels = find_labels(df, alpha=-0.5)
minmax[min_labels == 1] = "min"
minmax[max_labels == 1] = "max"
df["&s-minmax"] = np.array([str(x) for x in minmax]).astype(np.object0)
return df
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
self.freqai_info = self.config["freqai"]
# the model will return 4 values, its prediction, an indication of whether or not the
# prediction should be accepted, the target mean/std values from the labels used during
# each training period.
dataframe = self.freqai.start(dataframe, metadata, self)
# dataframe["&s-minima"] = dataframe["&s-minima"].astype(np.float32)
# dataframe["&s-maxima"] = dataframe["&s-maxima"].astype(np.float32)
min_labels, max_labels = find_labels(dataframe, alpha=-0.5)
self.maxima_threhsold = 0.7 # dataframe["max"][dataframe["&s-minmax"] == "max"].mean()
self.minima_threhsold = 0.7 # dataframe["min"][dataframe["&s-minmax"] == "min"].mean()
dataframe["tp_max"] = max_labels.astype(np.float32)
dataframe["tp_min"] = min_labels.astype(np.float32)
dataframe["di-"] = ta.MINUS_DI(dataframe, window=12)
dataframe["di+"] = ta.PLUS_DI(dataframe, window=12)
return dataframe
def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
hours_candle_stability = 4
if df["do_predict"].rolling(12 * 4).sum().iloc[-1] == 12 * 4: # enter the market if last `hours_candle_stability` are stable
enter_long_conditions = [df["do_predict"] == 1, df["min"] >= self.minima_threhsold]
if enter_long_conditions:
df.loc[
reduce(lambda x, y: x & y, enter_long_conditions), ["enter_long", "enter_tag"]
] = (1, "long")
if self.can_short:
enter_short_conditions = [df["do_predict"] == 1, df["max"] >= self.maxima_threhsold]
if enter_short_conditions:
df.loc[
reduce(lambda x, y: x & y, enter_short_conditions), ["enter_short", "enter_tag"]
] = (1, "short")
else:
df["enter_long", "enter_tag"] = (0, "long")
if self.can_short:
df["enter_short", "enter_tag"] = (0, "short")
return df
def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
exit_long_conditions = [df["do_predict"] == 1, df["max"] >= self.maxima_threhsold]
if exit_long_conditions:
df.loc[reduce(lambda x, y: x & y, exit_long_conditions),
["exit_long", "exit_tag"]] = (1, "exit signal")
if self.can_short:
exit_short_conditions = [df["do_predict"] == 1, df["min"] >= self.minima_threhsold]
if exit_short_conditions:
df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1
if self.config['runmode'].value in ('live', 'dry_run'):
trades = Trade.get_trades_proxy(pair=metadata["pair"], is_open=True)
if trades:
if df["do_predict"].iloc[-1] != 1:
avg_entry_price = sum([trade.open_rate * trade.amount for trade in trades]) / sum([trade.amount for trade in trades])
if not trades[0].is_short:
profit = df["close"].iloc[-1] / avg_entry_price - 1
else:
profit = avg_entry_price / df["close"].iloc[-1] - 1
logger.warning(f"Market changed, {metadata['pair']} profit is {profit}")
# if profit < 0: # force sell
last_candle = np.zeros(df.shape[0])
last_candle[-1] = 1
cond = [df["do_predict"] != 1, last_candle]
df.loc[reduce(lambda x, y : x & y, cond),
[f"exit_{'short' if trades[0].is_short else 'long'}", "exit_tag"]] = (1, "OOD Exit")
return df
def get_ticker_indicator(self):
return int(self.config["timeframe"][:-1])
"""
def custom_exit(
self, pair: str, trade: Trade, current_time, current_rate, current_profit, **kwargs
):
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
trade_date = timeframe_to_prev_date(self.config["timeframe"], trade.open_date_utc)
trade_candle = dataframe.loc[(dataframe["date"] == trade_date)]
if trade_candle.empty:
return None
trade_candle = trade_candle.squeeze()
follow_mode = self.config.get("freqai", {}).get("follow_mode", False)
if not follow_mode:
pair_dict = self.model.bridge.dd.pair_dict
else:
pair_dict = self.model.bridge.dd.follower_dict
entry_tag = trade.enter_tag
if (
"prediction" + entry_tag not in pair_dict[pair]
or pair_dict[pair]["prediction" + entry_tag] > 0
):
with self.model.bridge.lock:
if entry_tag == "long":
pair_dict[pair]["prediction" + entry_tag] = abs(trade_candle["&s-maxima"])
else:
pair_dict[pair]["prediction" + entry_tag] = abs(trade_candle["&-s_close"])
if not follow_mode:
self.model.bridge.dd.save_drawer_to_disk()
else:
self.model.bridge.dd.save_follower_dict_to_disk()
roi_price = pair_dict[pair]["prediction" + entry_tag]
roi_time = self.max_roi_time_long.value
roi_decay = roi_price * (
1 - ((current_time - trade.open_date_utc).seconds) / (roi_time * 60)
)
if roi_decay < 0:
roi_decay = self.linear_roi_offset.value
else:
roi_decay += self.linear_roi_offset.value
if current_profit > roi_decay:
return "roi_custom_win"
if current_profit < -roi_decay:
return "roi_custom_loss"
"""
def confirm_trade_exit(
self,
pair: str,
trade: Trade,
order_type: str,
amount: float,
rate: float,
time_in_force: str,
exit_reason: str,
current_time,
**kwargs,
) -> bool:
entry_tag = trade.enter_tag
follow_mode = self.config.get("freqai", {}).get("follow_mode", False)
if not follow_mode:
pair_dict = self.freqai.dd.pair_dict
else:
pair_dict = self.freqai.dd.follower_dict
pair_dict[pair]["prediction" + entry_tag] = 0
if not follow_mode:
self.freqai.dd.save_drawer_to_disk()
else:
self.freqai.dd.save_follower_dict_to_disk()
return True
def confirm_trade_entry(
self,
pair: str,
order_type: str,
amount: float,
rate: float,
time_in_force: str,
current_time,
entry_tag,
side: str,
**kwargs,
) -> bool:
df, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
last_candle = df.iloc[-1].squeeze()
if side == "long":
if rate > (last_candle["close"] * (1 + 0.0025)):
return False
else:
if rate < (last_candle["close"] * (1 - 0.0025)):
return False
return True
def adjust_trade_position(self, trade: Trade, current_time: datetime,
current_rate: float, current_profit: float,
min_stake: Optional[float], max_stake: float,
**kwargs) -> Optional[float]:
"""
Custom trade adjustment logic, returning the stake amount that a trade should be increased.
This means extra buy orders with additional fees.
Only called when `position_adjustment_enable` is set to True.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, returns None
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Current buy rate.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param min_stake: Minimal stake size allowed by exchange.
:param max_stake: Balance available for trading.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: Stake amount to adjust your trade
"""
if not trade.is_short:
if current_profit < -0.02:
df, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
try:
new_local_minima = [df["&s-minima"] > self.minima_threhsold,
(df["close"] / current_rate - 1) < 1e-3]
if df.shape[0] - df.loc[reduce(lambda x, y: x & y, new_local_minima)].index[-1] <= 10:
return 20
except:
pass
return None