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Added short and exit_short to strategy

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This commit is contained in:
Sam Germain
2021-08-08 03:38:34 -06:00
parent 98fe3e73de
commit d4a7d2d444
24 changed files with 862 additions and 152 deletions
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2
freqtrade/strategy/hyper.py
View File

@@ -22,6 +22,8 @@ from freqtrade.exceptions import OperationalException
logger = logging.getLogger(__name__)
# TODO-lev: This file
class BaseParameter(ABC):
"""

203
freqtrade/strategy/interface.py
View File

@@ -62,6 +62,8 @@ class IStrategy(ABC, HyperStrategyMixin):
_populate_fun_len: int = 0
_buy_fun_len: int = 0
_sell_fun_len: int = 0
_short_fun_len: int = 0
_exit_short_fun_len: int = 0
_ft_params_from_file: Dict = {}
# associated minimal roi
minimal_roi: Dict
@@ -135,7 +137,7 @@ class IStrategy(ABC, HyperStrategyMixin):
@abstractmethod
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Populate indicators that will be used in the Buy and Sell strategy
Populate indicators that will be used in the Buy, Sell, Short, Exit_short strategy
:param dataframe: DataFrame with data from the exchange
:param metadata: Additional information, like the currently traded pair
:return: a Dataframe with all mandatory indicators for the strategies
@@ -143,7 +145,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return dataframe
@abstractmethod
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
def populate_enter_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators, populates the buy signal for the given dataframe
:param dataframe: DataFrame
@@ -153,7 +155,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return dataframe
@abstractmethod
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators, populates the sell signal for the given dataframe
:param dataframe: DataFrame
@@ -164,9 +166,9 @@ class IStrategy(ABC, HyperStrategyMixin):
def check_buy_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
"""
Check buy timeout function callback.
This method can be used to override the buy-timeout.
It is called whenever a limit buy order has been created,
Check enter timeout function callback.
This method can be used to override the enter-timeout.
It is called whenever a limit buy/short order has been created,
and is not yet fully filled.
Configuration options in `unfilledtimeout` will be verified before this,
so ensure to set these timeouts high enough.
@@ -176,16 +178,16 @@ class IStrategy(ABC, HyperStrategyMixin):
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the buy-order is cancelled.
:return bool: When True is returned, then the buy/short-order is cancelled.
"""
return False
def check_sell_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool:
"""
Check sell timeout function callback.
This method can be used to override the sell-timeout.
It is called whenever a limit sell order has been created,
and is not yet fully filled.
Check exit timeout function callback.
This method can be used to override the exit-timeout.
It is called whenever a (long) limit sell order or (short) limit buy
has been created, and is not yet fully filled.
Configuration options in `unfilledtimeout` will be verified before this,
so ensure to set these timeouts high enough.
@@ -194,7 +196,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param trade: trade object.
:param order: Order dictionary as returned from CCXT.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the sell-order is cancelled.
:return bool: When True is returned, then the (long)sell/(short)buy-order is cancelled.
"""
return False
@@ -210,7 +212,7 @@ class IStrategy(ABC, HyperStrategyMixin):
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
time_in_force: str, current_time: datetime, **kwargs) -> bool:
"""
Called right before placing a buy order.
Called right before placing a buy/short order.
Timing for this function is critical, so avoid doing heavy computations or
network requests in this method.
@@ -218,7 +220,7 @@ class IStrategy(ABC, HyperStrategyMixin):
When not implemented by a strategy, returns True (always confirming).
:param pair: Pair that's about to be bought.
:param pair: Pair that's about to be bought/shorted.
:param order_type: Order type (as configured in order_types). usually limit or market.
:param amount: Amount in target (quote) currency that's going to be traded.
:param rate: Rate that's going to be used when using limit orders
@@ -234,7 +236,7 @@ class IStrategy(ABC, HyperStrategyMixin):
rate: float, time_in_force: str, sell_reason: str,
current_time: datetime, **kwargs) -> bool:
"""
Called right before placing a regular sell order.
Called right before placing a regular sell/exit_short order.
Timing for this function is critical, so avoid doing heavy computations or
network requests in this method.
@@ -242,18 +244,18 @@ class IStrategy(ABC, HyperStrategyMixin):
When not implemented by a strategy, returns True (always confirming).
:param pair: Pair that's about to be sold.
:param pair: Pair for trade that's about to be exited.
:param trade: trade object.
:param order_type: Order type (as configured in order_types). usually limit or market.
:param amount: Amount in quote currency.
:param rate: Rate that's going to be used when using limit orders
:param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
:param sell_reason: Sell reason.
:param sell_reason: Exit reason.
Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss',
'sell_signal', 'force_sell', 'emergency_sell']
:param current_time: datetime object, containing the current datetime
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return bool: When True is returned, then the sell-order is placed on the exchange.
:return bool: When True, then the sell-order/exit_short-order is placed on the exchange.
False aborts the process
"""
return True
@@ -283,15 +285,15 @@ class IStrategy(ABC, HyperStrategyMixin):
def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
current_profit: float, **kwargs) -> Optional[Union[str, bool]]:
"""
Custom sell signal logic indicating that specified position should be sold. Returning a
string or True from this method is equal to setting sell signal on a candle at specified
time. This method is not called when sell signal is set.
Custom exit signal logic indicating that specified position should be sold. Returning a
string or True from this method is equal to setting exit signal on a candle at specified
time. This method is not called when exit signal is set.
This method should be overridden to create sell signals that depend on trade parameters. For
example you could implement a sell relative to the candle when the trade was opened,
This method should be overridden to create exit signals that depend on trade parameters. For
example you could implement an exit relative to the candle when the trade was opened,
or a custom 1:2 risk-reward ROI.
Custom sell reason max length is 64. Exceeding characters will be removed.
Custom exit reason max length is 64. Exceeding characters will be removed.
:param pair: Pair that's currently analyzed
:param trade: trade object.
@@ -299,7 +301,7 @@ class IStrategy(ABC, HyperStrategyMixin):
:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return: To execute sell, return a string with custom sell reason or True. Otherwise return
:return: To execute exit, return a string with custom sell reason or True. Otherwise return
None or False.
"""
return None
@@ -371,7 +373,7 @@ class IStrategy(ABC, HyperStrategyMixin):
Checks if a pair is currently locked
The 2nd, optional parameter ensures that locks are applied until the new candle arrives,
and not stop at 14:00:00 - while the next candle arrives at 14:00:02 leaving a gap
of 2 seconds for a buy to happen on an old signal.
of 2 seconds for a buy/short to happen on an old signal.
:param pair: "Pair to check"
:param candle_date: Date of the last candle. Optional, defaults to current date
:returns: locking state of the pair in question.
@@ -387,15 +389,17 @@ class IStrategy(ABC, HyperStrategyMixin):
def analyze_ticker(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Parses the given candle (OHLCV) data and returns a populated DataFrame
add several TA indicators and buy signal to it
add several TA indicators and buy/short signal to it
:param dataframe: Dataframe containing data from exchange
:param metadata: Metadata dictionary with additional data (e.g. 'pair')
:return: DataFrame of candle (OHLCV) data with indicator data and signals added
"""
logger.debug("TA Analysis Launched")
dataframe = self.advise_indicators(dataframe, metadata)
dataframe = self.advise_buy(dataframe, metadata)
dataframe = self.advise_sell(dataframe, metadata)
dataframe = self.advise_enter(dataframe, metadata, is_short=False)
dataframe = self.advise_exit(dataframe, metadata, is_short=False)
dataframe = self.advise_enter(dataframe, metadata, is_short=True)
dataframe = self.advise_exit(dataframe, metadata, is_short=True)
return dataframe
def _analyze_ticker_internal(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
@@ -422,7 +426,10 @@ class IStrategy(ABC, HyperStrategyMixin):
logger.debug("Skipping TA Analysis for already analyzed candle")
dataframe['buy'] = 0
dataframe['sell'] = 0
dataframe['short'] = 0
dataframe['exit_short'] = 0
dataframe['buy_tag'] = None
dataframe['short_tag'] = None
# Other Defs in strategy that want to be called every loop here
# twitter_sell = self.watch_twitter_feed(dataframe, metadata)
@@ -482,6 +489,7 @@ class IStrategy(ABC, HyperStrategyMixin):
if dataframe is None:
message = "No dataframe returned (return statement missing?)."
elif 'buy' not in dataframe:
# TODO-lev: Something?
message = "Buy column not set."
elif df_len != len(dataframe):
message = message_template.format("length")
@@ -499,15 +507,18 @@ class IStrategy(ABC, HyperStrategyMixin):
self,
pair: str,
timeframe: str,
dataframe: DataFrame
dataframe: DataFrame,
is_short: bool = False
) -> Tuple[bool, bool, Optional[str]]:
"""
Calculates current signal based based on the buy / sell columns of the dataframe.
Used by Bot to get the signal to buy or sell
Calculates current signal based based on the buy/short or sell/exit_short
columns of the dataframe.
Used by Bot to get the signal to buy, sell, short, or exit_short
:param pair: pair in format ANT/BTC
:param timeframe: timeframe to use
:param dataframe: Analyzed dataframe to get signal from.
:return: (Buy, Sell) A bool-tuple indicating buy/sell signal
:return: (Buy, Sell)/(Short, Exit_short) A bool-tuple indicating
(buy/sell)/(short/exit_short) signal
"""
if not isinstance(dataframe, DataFrame) or dataframe.empty:
logger.warning(f'Empty candle (OHLCV) data for pair {pair}')
@@ -528,42 +539,49 @@ class IStrategy(ABC, HyperStrategyMixin):
)
return False, False, None
buy = latest[SignalType.BUY.value] == 1
(enter_type, enter_tag) = (
(SignalType.SHORT, SignalTagType.SHORT_TAG)
if is_short else
(SignalType.BUY, SignalTagType.BUY_TAG)
)
exit_type = SignalType.EXIT_SHORT if is_short else SignalType.SELL
sell = False
if SignalType.SELL.value in latest:
sell = latest[SignalType.SELL.value] == 1
enter = latest[enter_type.value] == 1
buy_tag = latest.get(SignalTagType.BUY_TAG.value, None)
exit = False
if exit_type.value in latest:
exit = latest[exit_type.value] == 1
logger.debug('trigger: %s (pair=%s) buy=%s sell=%s',
latest['date'], pair, str(buy), str(sell))
enter_tag_value = latest.get(enter_tag.value, None)
logger.debug(f'trigger: %s (pair=%s) {enter_type.value}=%s {exit_type.value}=%s',
latest['date'], pair, str(enter), str(exit))
timeframe_seconds = timeframe_to_seconds(timeframe)
if self.ignore_expired_candle(latest_date=latest_date,
current_time=datetime.now(timezone.utc),
timeframe_seconds=timeframe_seconds,
buy=buy):
return False, sell, buy_tag
return buy, sell, buy_tag
enter=enter):
return False, exit, enter_tag_value
return enter, exit, enter_tag_value
def ignore_expired_candle(self, latest_date: datetime, current_time: datetime,
timeframe_seconds: int, buy: bool):
if self.ignore_buying_expired_candle_after and buy:
timeframe_seconds: int, enter: bool):
if self.ignore_buying_expired_candle_after and enter:
time_delta = current_time - (latest_date + timedelta(seconds=timeframe_seconds))
return time_delta.total_seconds() > self.ignore_buying_expired_candle_after
else:
return False
def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,
sell: bool, low: float = None, high: float = None,
def should_sell(self, trade: Trade, rate: float, date: datetime, enter: bool,
exit: bool, low: float = None, high: float = None,
force_stoploss: float = 0) -> SellCheckTuple:
"""
This function evaluates if one of the conditions required to trigger a sell
has been reached, which can either be a stop-loss, ROI or sell-signal.
:param low: Only used during backtesting to simulate stoploss
:param high: Only used during backtesting, to simulate ROI
This function evaluates if one of the conditions required to trigger a sell/exit_short
has been reached, which can either be a stop-loss, ROI or exit-signal.
:param low: Only used during backtesting to simulate (long)stoploss/(short)ROI
:param high: Only used during backtesting, to simulate (short)stoploss/(long)ROI
:param force_stoploss: Externally provided stoploss
:return: True if trade should be sold, False otherwise
:return: True if trade should be exited, False otherwise
"""
current_rate = rate
current_profit = trade.calc_profit_ratio(current_rate)
@@ -578,8 +596,8 @@ class IStrategy(ABC, HyperStrategyMixin):
current_rate = high or rate
current_profit = trade.calc_profit_ratio(current_rate)
# if buy signal and ignore_roi is set, we don't need to evaluate min_roi.
roi_reached = (not (buy and self.ignore_roi_if_buy_signal)
# if enter signal and ignore_roi is set, we don't need to evaluate min_roi.
roi_reached = (not (enter and self.ignore_roi_if_buy_signal)
and self.min_roi_reached(trade=trade, current_profit=current_profit,
current_time=date))
@@ -592,10 +610,11 @@ class IStrategy(ABC, HyperStrategyMixin):
if (self.sell_profit_only and current_profit <= self.sell_profit_offset):
# sell_profit_only and profit doesn't reach the offset - ignore sell signal
pass
elif self.use_sell_signal and not buy:
if sell:
elif self.use_sell_signal and not enter:
if exit:
sell_signal = SellType.SELL_SIGNAL
else:
trade_type = "exit_short" if trade.is_short else "sell"
custom_reason = strategy_safe_wrapper(self.custom_sell, default_retval=False)(
pair=trade.pair, trade=trade, current_time=date, current_rate=current_rate,
current_profit=current_profit)
@@ -603,18 +622,18 @@ class IStrategy(ABC, HyperStrategyMixin):
sell_signal = SellType.CUSTOM_SELL
if isinstance(custom_reason, str):
if len(custom_reason) > CUSTOM_SELL_MAX_LENGTH:
logger.warning(f'Custom sell reason returned from custom_sell is too '
f'long and was trimmed to {CUSTOM_SELL_MAX_LENGTH} '
f'characters.')
logger.warning(f'Custom {trade_type} reason returned from '
f'custom_{trade_type} is too long and was trimmed'
f'to {CUSTOM_SELL_MAX_LENGTH} characters.')
custom_reason = custom_reason[:CUSTOM_SELL_MAX_LENGTH]
else:
custom_reason = None
# TODO: return here if sell-signal should be favored over ROI
# TODO: return here if exit-signal should be favored over ROI
# Start evaluations
# Sequence:
# ROI (if not stoploss)
# Sell-signal
# Exit-signal
# Stoploss
if roi_reached and stoplossflag.sell_type != SellType.STOP_LOSS:
logger.debug(f"{trade.pair} - Required profit reached. sell_type=SellType.ROI")
@@ -632,7 +651,7 @@ class IStrategy(ABC, HyperStrategyMixin):
return stoplossflag
# This one is noisy, commented out...
# logger.debug(f"{trade.pair} - No sell signal.")
# logger.debug(f"{trade.pair} - No exit signal.")
return SellCheckTuple(sell_type=SellType.NONE)
def stop_loss_reached(self, current_rate: float, trade: Trade,
@@ -641,7 +660,7 @@ class IStrategy(ABC, HyperStrategyMixin):
high: float = None) -> SellCheckTuple:
"""
Based on current profit of the trade and configured (trailing) stoploss,
decides to sell or not
decides to exit or not
:param current_profit: current profit as ratio
:param low: Low value of this candle, only set in backtesting
:param high: High value of this candle, only set in backtesting
@@ -651,7 +670,12 @@ class IStrategy(ABC, HyperStrategyMixin):
# Initiate stoploss with open_rate. Does nothing if stoploss is already set.
trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True)
if self.use_custom_stoploss and trade.stop_loss < (low or current_rate):
dir_correct = (
trade.stop_loss < (low or current_rate) and not trade.is_short or
trade.stop_loss > (low or current_rate) and trade.is_short
)
if self.use_custom_stoploss and dir_correct:
stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None
)(pair=trade.pair, trade=trade,
current_time=current_time,
@@ -735,7 +759,7 @@ class IStrategy(ABC, HyperStrategyMixin):
def ohlcvdata_to_dataframe(self, data: Dict[str, DataFrame]) -> Dict[str, DataFrame]:
"""
Populates indicators for given candle (OHLCV) data (for multiple pairs)
Does not run advise_buy or advise_sell!
Does not run advise_enter or advise_exit!
Used by optimize operations only, not during dry / live runs.
Using .copy() to get a fresh copy of the dataframe for every strategy run.
Has positive effects on memory usage for whatever reason - also when
@@ -746,7 +770,7 @@ class IStrategy(ABC, HyperStrategyMixin):
def advise_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Populate indicators that will be used in the Buy and Sell strategy
Populate indicators that will be used in the Buy, Sell, short, exit_short strategy
This method should not be overridden.
:param dataframe: Dataframe with data from the exchange
:param metadata: Additional information, like the currently traded pair
@@ -760,37 +784,60 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
return self.populate_indicators(dataframe, metadata)
def advise_buy(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
def advise_enter(
self,
dataframe: DataFrame,
metadata: dict,
is_short: bool = False
) -> DataFrame:
"""
Based on TA indicators, populates the buy signal for the given dataframe
Based on TA indicators, populates the buy/short signal for the given dataframe
This method should not be overridden.
:param dataframe: DataFrame
:param metadata: Additional information dictionary, with details like the
currently traded pair
:return: DataFrame with buy column
"""
logger.debug(f"Populating buy signals for pair {metadata.get('pair')}.")
(type, fun_len) = (
("short", self._short_fun_len)
if is_short else
("buy", self._buy_fun_len)
)
if self._buy_fun_len == 2:
logger.debug(f"Populating {type} signals for pair {metadata.get('pair')}.")
if fun_len == 2:
warnings.warn("deprecated - check out the Sample strategy to see "
"the current function headers!", DeprecationWarning)
return self.populate_buy_trend(dataframe) # type: ignore
return self.populate_enter_trend(dataframe) # type: ignore
else:
return self.populate_buy_trend(dataframe, metadata)
return self.populate_enter_trend(dataframe, metadata)
def advise_sell(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
def advise_exit(
self,
dataframe: DataFrame,
metadata: dict,
is_short: bool = False
) -> DataFrame:
"""
Based on TA indicators, populates the sell signal for the given dataframe
Based on TA indicators, populates the sell/exit_short signal for the given dataframe
This method should not be overridden.
:param dataframe: DataFrame
:param metadata: Additional information dictionary, with details like the
currently traded pair
:return: DataFrame with sell column
"""
logger.debug(f"Populating sell signals for pair {metadata.get('pair')}.")
if self._sell_fun_len == 2:
(type, fun_len) = (
("exit_short", self._exit_short_fun_len)
if is_short else
("sell", self._sell_fun_len)
)
logger.debug(f"Populating {type} signals for pair {metadata.get('pair')}.")
if fun_len == 2:
warnings.warn("deprecated - check out the Sample strategy to see "
"the current function headers!", DeprecationWarning)
return self.populate_sell_trend(dataframe) # type: ignore
return self.populate_exit_trend(dataframe) # type: ignore
else:
return self.populate_sell_trend(dataframe, metadata)
return self.populate_exit_trend(dataframe, metadata)

15
freqtrade/strategy/strategy_helper.py
View File

@@ -58,7 +58,11 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
return dataframe
def stoploss_from_open(open_relative_stop: float, current_profit: float) -> float:
def stoploss_from_open(
open_relative_stop: float,
current_profit: float,
for_short: bool = False
) -> float:
"""
Given the current profit, and a desired stop loss value relative to the open price,
@@ -72,14 +76,17 @@ def stoploss_from_open(open_relative_stop: float, current_profit: float) -> floa
:param open_relative_stop: Desired stop loss percentage relative to open price
:param current_profit: The current profit percentage
:return: Positive stop loss value relative to current price
:return: Stop loss value relative to current price
"""
# formula is undefined for current_profit -1, return maximum value
if current_profit == -1:
return 1
stoploss = 1-((1+open_relative_stop)/(1+current_profit))
stoploss = 1-((1+open_relative_stop)/(1+current_profit)) # TODO-lev: Is this right?
# negative stoploss values indicate the requested stop price is higher than the current price
return max(stoploss, 0.0)
if for_short:
return min(stoploss, 0.0)
else:
return max(stoploss, 0.0)