diff --git a/freqtrade/strategy/default_strategy.py b/freqtrade/strategy/default_strategy.py index 670cc2abe..9be7a67f8 100644 --- a/freqtrade/strategy/default_strategy.py +++ b/freqtrade/strategy/default_strategy.py @@ -45,7 +45,10 @@ class DefaultStrategy(IStrategy): # Awesome oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) - + """ + # Commodity Channel Index: values Oversold:<-100, Overbought:>100 + dataframe['cci'] = ta.CCI(dataframe) + """ # MACD macd = ta.MACD(dataframe) dataframe['macd'] = macd['macd'] @@ -62,14 +65,35 @@ class DefaultStrategy(IStrategy): # Plus Directional Indicator / Movement dataframe['plus_dm'] = ta.PLUS_DM(dataframe) dataframe['plus_di'] = ta.PLUS_DI(dataframe) + dataframe['minus_di'] = ta.MINUS_DI(dataframe) + """ + # 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) + # Inverse Fisher transform on RSI normalized, value [0.0, 100.0] (https://goo.gl/2JGGoy) + dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1) + # Stoch + stoch = ta.STOCH(dataframe) + dataframe['slowd'] = stoch['slowd'] + dataframe['slowk'] = stoch['slowk'] + """ # Stoch fast stoch_fast = ta.STOCHF(dataframe) dataframe['fastd'] = stoch_fast['fastd'] dataframe['fastk'] = stoch_fast['fastk'] + """ + # Stoch RSI + stoch_rsi = ta.STOCHRSI(dataframe) + dataframe['fastd_rsi'] = stoch_rsi['fastd'] + dataframe['fastk_rsi'] = stoch_rsi['fastk'] + """ # Overlap Studies # ------------------------------------ @@ -79,15 +103,15 @@ class DefaultStrategy(IStrategy): # returns middle band for all the three bands. Switch to qtpylib.bollinger_bands # and use middle band instead. dataframe['blower'] = ta.BBANDS(dataframe, nbdevup=2, nbdevdn=2)['lowerband'] - """ + # Bollinger bands bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) dataframe['bb_lowerband'] = bollinger['lower'] dataframe['bb_middleband'] = bollinger['mid'] dataframe['bb_upperband'] = bollinger['upper'] - """ # EMA - Exponential Moving Average + dataframe['ema3'] = ta.EMA(dataframe, timeperiod=3) dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5) dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10) dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50) @@ -109,6 +133,66 @@ class DefaultStrategy(IStrategy): dataframe['htsine'] = hilbert['sine'] dataframe['htleadsine'] = hilbert['leadsine'] + # Pattern Recognition - Bullish candlestick patterns + # ------------------------------------ + """ + # Hammer: values [0, 100] + dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe) + # Inverted Hammer: values [0, 100] + dataframe['CDLINVERTEDHAMMER'] = ta.CDLINVERTEDHAMMER(dataframe) + # Dragonfly Doji: values [0, 100] + dataframe['CDLDRAGONFLYDOJI'] = ta.CDLDRAGONFLYDOJI(dataframe) + # Piercing Line: values [0, 100] + dataframe['CDLPIERCING'] = ta.CDLPIERCING(dataframe) # values [0, 100] + # Morningstar: values [0, 100] + dataframe['CDLMORNINGSTAR'] = ta.CDLMORNINGSTAR(dataframe) # values [0, 100] + # Three White Soldiers: values [0, 100] + dataframe['CDL3WHITESOLDIERS'] = ta.CDL3WHITESOLDIERS(dataframe) # values [0, 100] + """ + + # Pattern Recognition - Bearish candlestick patterns + # ------------------------------------ + """ + # Hanging Man: values [0, 100] + dataframe['CDLHANGINGMAN'] = ta.CDLHANGINGMAN(dataframe) + # Shooting Star: values [0, 100] + dataframe['CDLSHOOTINGSTAR'] = ta.CDLSHOOTINGSTAR(dataframe) + # Gravestone Doji: values [0, 100] + dataframe['CDLGRAVESTONEDOJI'] = ta.CDLGRAVESTONEDOJI(dataframe) + # Dark Cloud Cover: values [0, 100] + dataframe['CDLDARKCLOUDCOVER'] = ta.CDLDARKCLOUDCOVER(dataframe) + # Evening Doji Star: values [0, 100] + dataframe['CDLEVENINGDOJISTAR'] = ta.CDLEVENINGDOJISTAR(dataframe) + # Evening Star: values [0, 100] + dataframe['CDLEVENINGSTAR'] = ta.CDLEVENINGSTAR(dataframe) + """ + + # Pattern Recognition - Bullish/Bearish candlestick patterns + # ------------------------------------ + """ + # Three Line Strike: values [0, -100, 100] + dataframe['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(dataframe) + # Spinning Top: values [0, -100, 100] + dataframe['CDLSPINNINGTOP'] = ta.CDLSPINNINGTOP(dataframe) # values [0, -100, 100] + # Engulfing: values [0, -100, 100] + dataframe['CDLENGULFING'] = ta.CDLENGULFING(dataframe) # values [0, -100, 100] + # Harami: values [0, -100, 100] + dataframe['CDLHARAMI'] = ta.CDLHARAMI(dataframe) # values [0, -100, 100] + # Three Outside Up/Down: values [0, -100, 100] + dataframe['CDL3OUTSIDE'] = ta.CDL3OUTSIDE(dataframe) # values [0, -100, 100] + # Three Inside Up/Down: values [0, -100, 100] + dataframe['CDL3INSIDE'] = ta.CDL3INSIDE(dataframe) # values [0, -100, 100] + """ + + # Chart type + # ------------------------------------ + # Heikinashi stategy + heikinashi = qtpylib.heikinashi(dataframe) + dataframe['ha_open'] = heikinashi['open'] + dataframe['ha_close'] = heikinashi['close'] + dataframe['ha_high'] = heikinashi['high'] + dataframe['ha_low'] = heikinashi['low'] + return dataframe def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame: @@ -159,6 +243,10 @@ class DefaultStrategy(IStrategy): Define your Hyperopt space for the strategy """ space = { + 'macd_below_zero': hp.choice('macd_below_zero', [ + {'enabled': False}, + {'enabled': True} + ]), 'mfi': hp.choice('mfi', [ {'enabled': False}, {'enabled': True, 'value': hp.quniform('mfi-value', 5, 25, 1)} @@ -197,13 +285,15 @@ class DefaultStrategy(IStrategy): ]), 'trigger': hp.choice('trigger', [ {'type': 'lower_bb'}, + {'type': 'lower_bb_tema'}, {'type': 'faststoch10'}, {'type': 'ao_cross_zero'}, - {'type': 'ema5_cross_ema10'}, + {'type': 'ema3_cross_ema10'}, {'type': 'macd_cross_signal'}, {'type': 'sar_reversal'}, - {'type': 'stochf_cross'}, {'type': 'ht_sine'}, + {'type': 'heiken_reversal_bull'}, + {'type': 'di_cross'}, ]), 'stoploss': hp.uniform('stoploss', -0.5, -0.02), } @@ -218,6 +308,8 @@ class DefaultStrategy(IStrategy): # GUARDS AND TRENDS if params['uptrend_long_ema']['enabled']: conditions.append(dataframe['ema50'] > dataframe['ema100']) + if params['macd_below_zero']['enabled']: + conditions.append(dataframe['macd'] < 0) if params['uptrend_short_ema']['enabled']: conditions.append(dataframe['ema5'] > dataframe['ema10']) if params['mfi']['enabled']: @@ -238,18 +330,37 @@ class DefaultStrategy(IStrategy): # TRIGGERS triggers = { - 'lower_bb': dataframe['tema'] <= dataframe['blower'], - 'faststoch10': (qtpylib.crossed_above(dataframe['fastd'], 10.0)), - 'ao_cross_zero': (qtpylib.crossed_above(dataframe['ao'], 0.0)), - 'ema5_cross_ema10': ( - qtpylib.crossed_above(dataframe['ema5'], dataframe['ema10']) + 'lower_bb': ( + dataframe['close'] < dataframe['bb_lowerband'] ), - 'macd_cross_signal': ( - qtpylib.crossed_above(dataframe['macd'], dataframe['macdsignal']) + 'lower_bb_tema': ( + dataframe['tema'] < dataframe['bb_lowerband'] ), - 'sar_reversal': (qtpylib.crossed_above(dataframe['close'], dataframe['sar'])), - 'stochf_cross': (qtpylib.crossed_above(dataframe['fastk'], dataframe['fastd'])), - 'ht_sine': (qtpylib.crossed_above(dataframe['htleadsine'], dataframe['htsine'])), + 'faststoch10': (qtpylib.crossed_above( + dataframe['fastd'], 10.0 + )), + 'ao_cross_zero': (qtpylib.crossed_above( + dataframe['ao'], 0.0 + )), + 'ema3_cross_ema10': (qtpylib.crossed_above( + dataframe['ema3'], dataframe['ema10'] + )), + 'macd_cross_signal': (qtpylib.crossed_above( + dataframe['macd'], dataframe['macdsignal'] + )), + 'sar_reversal': (qtpylib.crossed_above( + dataframe['close'], dataframe['sar'] + )), + 'ht_sine': (qtpylib.crossed_above( + dataframe['htleadsine'], dataframe['htsine'] + )), + 'heiken_reversal_bull': ( + (qtpylib.crossed_above(dataframe['ha_close'], dataframe['ha_open'])) & + (dataframe['ha_low'] == dataframe['ha_open']) + ), + 'di_cross': (qtpylib.crossed_above( + dataframe['plus_di'], dataframe['minus_di'] + )), } conditions.append(triggers.get(params['trigger']['type']))