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Merge pull request #2752 from freqtrade/plotting/indicator_strategy

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Allow enhanced plot-dataframe configuration
This commit is contained in:
Matthias
2020-01-13 19:53:15 +01:00
committed by GitHub
parent 845e27542a af36635769
commit d12a2a5888
12 changed files with 278 additions and 52 deletions
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6
freqtrade/configuration/cli_options.py
View File

@@ -363,15 +363,13 @@ AVAILABLE_CLI_OPTIONS = {
"indicators1": Arg(
'--indicators1',
help='Set indicators from your strategy you want in the first row of the graph. '
'Space-separated list. Example: `ema3 ema5`. Default: `%(default)s`.',
default=['sma', 'ema3', 'ema5'],
"Space-separated list. Example: `ema3 ema5`. Default: `['sma', 'ema3', 'ema5']`.",
nargs='+',
),
"indicators2": Arg(
'--indicators2',
help='Set indicators from your strategy you want in the third row of the graph. '
'Space-separated list. Example: `fastd fastk`. Default: `%(default)s`.',
default=['macd', 'macdsignal'],
"Space-separated list. Example: `fastd fastk`. Default: `['macd', 'macdsignal']`.",
nargs='+',
),
"plot_limit": Arg(

135
freqtrade/plot/plotting.py
View File

@@ -54,21 +54,27 @@ def init_plotscript(config):
}
def add_indicators(fig, row, indicators: List[str], data: pd.DataFrame) -> make_subplots:
def add_indicators(fig, row, indicators: Dict[str, Dict], data: pd.DataFrame) -> make_subplots:
"""
Generator all the indicator selected by the user for a specific row
Generate all the indicators selected by the user for a specific row, based on the configuration
:param fig: Plot figure to append to
:param row: row number for this plot
:param indicators: List of indicators present in the dataframe
:param indicators: Dict of Indicators with configuration options.
Dict key must correspond to dataframe column.
:param data: candlestick DataFrame
"""
for indicator in indicators:
for indicator, conf in indicators.items():
logger.debug(f"indicator {indicator} with config {conf}")
if indicator in data:
kwargs = {'x': data['date'],
'y': data[indicator].values,
'mode': 'lines',
'name': indicator
}
if 'color' in conf:
kwargs.update({'line': {'color': conf['color']}})
scatter = go.Scatter(
x=data['date'],
y=data[indicator].values,
mode='lines',
name=indicator
**kwargs
)
fig.add_trace(scatter, row, 1)
else:
@@ -107,11 +113,31 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
"""
# Trades can be empty
if trades is not None and len(trades) > 0:
# Create description for sell summarizing the trade
trades['desc'] = trades.apply(lambda row: f"{round(row['profitperc'] * 100, 1)}%, "
f"{row['sell_reason']}, {row['duration']} min",
axis=1)
trade_buys = go.Scatter(
x=trades["open_time"],
y=trades["open_rate"],
mode='markers',
name='trade_buy',
name='Trade buy',
text=trades["desc"],
marker=dict(
symbol='circle-open',
size=11,
line=dict(width=2),
color='cyan'
)
)
trade_sells = go.Scatter(
x=trades.loc[trades['profitperc'] > 0, "close_time"],
y=trades.loc[trades['profitperc'] > 0, "close_rate"],
text=trades.loc[trades['profitperc'] > 0, "desc"],
mode='markers',
name='Sell - Profit',
marker=dict(
symbol='square-open',
size=11,
@@ -119,16 +145,12 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
color='green'
)
)
# Create description for sell summarizing the trade
desc = trades.apply(lambda row: f"{round(row['profitperc'] * 100, 1)}%, "
f"{row['sell_reason']}, {row['duration']} min",
axis=1)
trade_sells = go.Scatter(
x=trades["close_time"],
y=trades["close_rate"],
text=desc,
trade_sells_loss = go.Scatter(
x=trades.loc[trades['profitperc'] <= 0, "close_time"],
y=trades.loc[trades['profitperc'] <= 0, "close_rate"],
text=trades.loc[trades['profitperc'] <= 0, "desc"],
mode='markers',
name='trade_sell',
name='Sell - Loss',
marker=dict(
symbol='square-open',
size=11,
@@ -138,14 +160,53 @@ def plot_trades(fig, trades: pd.DataFrame) -> make_subplots:
)
fig.add_trace(trade_buys, 1, 1)
fig.add_trace(trade_sells, 1, 1)
fig.add_trace(trade_sells_loss, 1, 1)
else:
logger.warning("No trades found.")
return fig
def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFrame = None,
def create_plotconfig(indicators1: List[str], indicators2: List[str],
plot_config: Dict[str, Dict]) -> Dict[str, Dict]:
"""
Combines indicators 1 and indicators 2 into plot_config if necessary
:param indicators1: List containing Main plot indicators
:param indicators2: List containing Sub plot indicators
:param plot_config: Dict of Dicts containing advanced plot configuration
:return: plot_config - eventually with indicators 1 and 2
"""
if plot_config:
if indicators1:
plot_config['main_plot'] = {ind: {} for ind in indicators1}
if indicators2:
plot_config['subplots'] = {'Other': {ind: {} for ind in indicators2}}
if not plot_config:
# If no indicators and no plot-config given, use defaults.
if not indicators1:
indicators1 = ['sma', 'ema3', 'ema5']
if not indicators2:
indicators2 = ['macd', 'macdsignal']
# Create subplot configuration if plot_config is not available.
plot_config = {
'main_plot': {ind: {} for ind in indicators1},
'subplots': {'Other': {ind: {} for ind in indicators2}},
}
if 'main_plot' not in plot_config:
plot_config['main_plot'] = {}
if 'subplots' not in plot_config:
plot_config['subplots'] = {}
return plot_config
def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFrame = None, *,
indicators1: List[str] = [],
indicators2: List[str] = [],) -> go.Figure:
indicators2: List[str] = [],
plot_config: Dict[str, Dict] = {},
) -> go.Figure:
"""
Generate the graph from the data generated by Backtesting or from DB
Volume will always be ploted in row2, so Row 1 and 3 are to our disposal for custom indicators
@@ -154,21 +215,26 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra
:param trades: All trades created
:param indicators1: List containing Main plot indicators
:param indicators2: List containing Sub plot indicators
:return: None
:param plot_config: Dict of Dicts containing advanced plot configuration
:return: Plotly figure
"""
plot_config = create_plotconfig(indicators1, indicators2, plot_config)
rows = 2 + len(plot_config['subplots'])
row_widths = [1 for _ in plot_config['subplots']]
# Define the graph
fig = make_subplots(
rows=3,
rows=rows,
cols=1,
shared_xaxes=True,
row_width=[1, 1, 4],
row_width=row_widths + [1, 4],
vertical_spacing=0.0001,
)
fig['layout'].update(title=pair)
fig['layout']['yaxis1'].update(title='Price')
fig['layout']['yaxis2'].update(title='Volume')
fig['layout']['yaxis3'].update(title='Other')
for i, name in enumerate(plot_config['subplots']):
fig['layout'][f'yaxis{3 + i}'].update(title=name)
fig['layout']['xaxis']['rangeslider'].update(visible=False)
# Common information
@@ -238,12 +304,13 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra
)
fig.add_trace(bb_lower, 1, 1)
fig.add_trace(bb_upper, 1, 1)
if 'bb_upperband' in indicators1 and 'bb_lowerband' in indicators1:
indicators1.remove('bb_upperband')
indicators1.remove('bb_lowerband')
if ('bb_upperband' in plot_config['main_plot']
and 'bb_lowerband' in plot_config['main_plot']):
del plot_config['main_plot']['bb_upperband']
del plot_config['main_plot']['bb_lowerband']
# Add indicators to main plot
fig = add_indicators(fig=fig, row=1, indicators=indicators1, data=data)
fig = add_indicators(fig=fig, row=1, indicators=plot_config['main_plot'], data=data)
fig = plot_trades(fig, trades)
@@ -254,11 +321,14 @@ def generate_candlestick_graph(pair: str, data: pd.DataFrame, trades: pd.DataFra
name='Volume',
marker_color='DarkSlateGrey',
marker_line_color='DarkSlateGrey'
)
)
fig.add_trace(volume, 2, 1)
# Add indicators to separate row
fig = add_indicators(fig=fig, row=3, indicators=indicators2, data=data)
for i, name in enumerate(plot_config['subplots']):
fig = add_indicators(fig=fig, row=3 + i,
indicators=plot_config['subplots'][name],
data=data)
return fig
@@ -359,8 +429,9 @@ def load_and_plot_trades(config: Dict[str, Any]):
pair=pair,
data=dataframe,
trades=trades_pair,
indicators1=config["indicators1"],
indicators2=config["indicators2"],
indicators1=config.get("indicators1", []),
indicators2=config.get("indicators2", []),
plot_config=strategy.plot_config if hasattr(strategy, 'plot_config') else {}
)
store_plot_file(fig, filename=generate_plot_filename(pair, config['ticker_interval']),

3
freqtrade/strategy/interface.py
View File

@@ -112,6 +112,9 @@ class IStrategy(ABC):
dp: Optional[DataProvider] = None
wallets: Optional[Wallets] = None
# Definition of plot_config. See plotting documentation for more details.
plot_config: Dict = {}
def __init__(self, config: dict) -> None:
self.config = config
# Dict to determine if analysis is necessary

2
freqtrade/templates/base_strategy.py.j2
View File

@@ -78,7 +78,7 @@ class {{ strategy }}(IStrategy):
'buy': 'gtc',
'sell': 'gtc'
}
{{ plot_config | indent(4) }}
def informative_pairs(self):
"""
Define additional, informative pair/interval combinations to be cached from the exchange.

16
freqtrade/templates/sample_strategy.py
View File

@@ -80,6 +80,22 @@ class SampleStrategy(IStrategy):
'sell': 'gtc'
}
plot_config = {
'main_plot': {
'tema': {},
'sar': {'color': 'white'},
},
'subplots': {
"MACD": {
'macd': {'color': 'blue'},
'macdsignal': {'color': 'orange'},
},
"RSI": {
'rsi': {'color': 'red'},
}
}
}
def informative_pairs(self):
"""
Define additional, informative pair/interval combinations to be cached from the exchange.

18
freqtrade/templates/subtemplates/plot_config_full.j2 Normal file
View File

@@ -0,0 +1,18 @@
plot_config = {
# Main plot indicators (Moving averages, ...)
'main_plot': {
'tema': {},
'sar': {'color': 'white'},
},
'subplots': {
# Subplots - each dict defines one additional plot
"MACD": {
'macd': {'color': 'blue'},
'macdsignal': {'color': 'orange'},
},
"RSI": {
'rsi': {'color': 'red'},
}
}
}

0
freqtrade/templates/subtemplates/plot_config_minimal.j2 Normal file
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2
freqtrade/utils.py
View File

@@ -102,12 +102,14 @@ def deploy_new_strategy(strategy_name, strategy_path: Path, subtemplate: str):
indicators = render_template(templatefile=f"subtemplates/indicators_{subtemplate}.j2",)
buy_trend = render_template(templatefile=f"subtemplates/buy_trend_{subtemplate}.j2",)
sell_trend = render_template(templatefile=f"subtemplates/sell_trend_{subtemplate}.j2",)
plot_config = render_template(templatefile=f"subtemplates/plot_config_{subtemplate}.j2",)
strategy_text = render_template(templatefile='base_strategy.py.j2',
arguments={"strategy": strategy_name,
"indicators": indicators,
"buy_trend": buy_trend,
"sell_trend": sell_trend,
"plot_config": plot_config,
})
logger.info(f"Writing strategy to `{strategy_path}`.")