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Merge pull request #2378 from freqtrade/fix/1364

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Use crossed() in sample strategy
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Matthias 2019-10-15 21:22:19 +02:00 committed by GitHub
commit abc504412a
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3 changed files with 28 additions and 24 deletions
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17
docs/strategy-customization.md
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@ -138,15 +138,19 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
dataframe.loc[
(
(dataframe['adx'] > 30) &
(dataframe['tema'] <= dataframe['bb_middleband']) &
(dataframe['tema'] > dataframe['tema'].shift(1))
(qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30
(dataframe['tema'] <= dataframe['bb_middleband']) & # Guard
(dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard
(dataframe['volume'] > 0) # Make sure Volume is not 0
),
'buy'] = 1
return dataframe
```
!!! Note
Buying requires sellers to buy from - therefore volume needs to be > 0 (`dataframe['volume'] > 0`) to make sure that the bot does not buy/sell in no-activity periods.
### Sell signal rules
Edit the method `populate_sell_trend()` into your strategy file to update your sell strategy.
@ -168,9 +172,10 @@ def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame
"""
dataframe.loc[
(
(dataframe['adx'] > 70) &
(dataframe['tema'] > dataframe['bb_middleband']) &
(dataframe['tema'] < dataframe['tema'].shift(1))
(qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70
(dataframe['tema'] > dataframe['bb_middleband']) & # Guard
(dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard
(dataframe['volume'] > 0) # Make sure Volume is not 0
),
'sell'] = 1
return dataframe

4
tests/strategy/test_strategy.py
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@ -39,7 +39,7 @@ def test_search_strategy():
def test_load_strategy(default_conf, result):
default_conf.update({'strategy': 'SampleStrategy'})
resolver = StrategyResolver(default_conf)
assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
def test_load_strategy_base64(result, caplog, default_conf):
@ -48,7 +48,7 @@ def test_load_strategy_base64(result, caplog, default_conf):
default_conf.update({'strategy': 'SampleStrategy:{}'.format(encoded_string)})
resolver = StrategyResolver(default_conf)
assert 'adx' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
assert 'rsi' in resolver.strategy.advise_indicators(result, {'pair': 'ETH/BTC'})
# Make sure strategy was loaded from base64 (using temp directory)!!
assert log_has_re(r"Using resolved strategy SampleStrategy from '"
+ tempfile.gettempdir() + r"/.*/SampleStrategy\.py'\.\.\.", caplog)

31
user_data/strategies/sample_strategy.py
View File

@ -34,9 +34,8 @@ class SampleStrategy(IStrategy):
# Minimal ROI designed for the strategy.
# This attribute will be overridden if the config file contains "minimal_roi".
minimal_roi = {
"40": 0.0,
"30": 0.01,
"20": 0.02,
"60": 0.01,
"30": 0.02,
"0": 0.04
}
@ -99,13 +98,16 @@ class SampleStrategy(IStrategy):
:return: a Dataframe with all mandatory indicators for the strategies
"""
# Momentum Indicator
# Momentum Indicators
# ------------------------------------
# ADX
dataframe['adx'] = ta.ADX(dataframe)
# RSI
dataframe['rsi'] = ta.RSI(dataframe)
"""
# ADX
# dataframe['adx'] = ta.ADX(dataframe)
# Awesome oscillator
dataframe['ao'] = qtpylib.awesome_oscillator(dataframe)
@ -133,9 +135,6 @@ class SampleStrategy(IStrategy):
# ROC
dataframe['roc'] = ta.ROC(dataframe)
# 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)
@ -255,7 +254,7 @@ class SampleStrategy(IStrategy):
dataframe['ha_low'] = heikinashi['low']
"""
# Retrieve best bid and best ask
# Retrieve best bid and best ask from the orderbook
# ------------------------------------
"""
# first check if dataprovider is available
@ -277,9 +276,9 @@ class SampleStrategy(IStrategy):
"""
dataframe.loc[
(
(dataframe['adx'] > 30) &
(dataframe['tema'] <= dataframe['bb_middleband']) &
(dataframe['tema'] > dataframe['tema'].shift(1)) &
(qtpylib.crossed_above(dataframe['rsi'], 30)) & # Signal: RSI crosses above 30
(dataframe['tema'] <= dataframe['bb_middleband']) & # Guard: tema below BB middle
(dataframe['tema'] > dataframe['tema'].shift(1)) & # Guard: tema is raising
(dataframe['volume'] > 0) # Make sure Volume is not 0
),
'buy'] = 1
@ -295,9 +294,9 @@ class SampleStrategy(IStrategy):
"""
dataframe.loc[
(
(dataframe['adx'] > 70) &
(dataframe['tema'] > dataframe['bb_middleband']) &
(dataframe['tema'] < dataframe['tema'].shift(1)) &
(qtpylib.crossed_above(dataframe['rsi'], 70)) & # Signal: RSI crosses above 70
(dataframe['tema'] > dataframe['bb_middleband']) & # Guard: tema above BB middle
(dataframe['tema'] < dataframe['tema'].shift(1)) & # Guard: tema is falling
(dataframe['volume'] > 0) # Make sure Volume is not 0
),
'sell'] = 1