[SQUASH] Address PR comments.
This commit is contained in:
Rokas Kupstys
parent
bb6ae682fc
commit
e88c4701bb
@ -652,9 +652,7 @@ In some situations it may be confusing to deal with stops relative to current ra
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??? Example "Returning a stoploss using absolute price from the custom stoploss function"
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Say the open price was $100, and `current_price` is $121 (`current_profit` will be `0.21`).
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If we want a stop price at $107 price we can call `stoploss_from_absolute(107, current_rate)` which will return `0.1157024793`. 11.57% below $121 is $107, which is the same as 7% above $100.
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If we want to trail a stop price at 2xATR below current proce we can call `stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate)`.
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``` python
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@ -664,18 +662,17 @@ In some situations it may be confusing to deal with stops relative to current ra
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class AwesomeStrategy(IStrategy):
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# ... populate_* methods
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use_custom_stoploss = True
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def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe['atr'] = ta.ATR(dataframe, timeperiod=14)
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return dataframe
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def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
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current_rate: float, current_profit: float, **kwargs) -> float:
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# once the profit has risen above 10%, keep the stoploss at 7% above the open price
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if current_profit > 0.10:
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return stoploss_from_absolute(trade.open_rate * 1.07, current_rate)
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return 1
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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candle = dataframe.iloc[-1].squeeze()
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return stoploss_from_absolute(current_rate - (candle['atr'] * 2), current_rate)
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```
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@ -3,6 +3,7 @@ from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timefr
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timeframe_to_prev_date, timeframe_to_seconds)
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from freqtrade.strategy.hyper import (BooleanParameter, CategoricalParameter, DecimalParameter,
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IntParameter, RealParameter)
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from freqtrade.strategy.informative_decorator import informative
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from freqtrade.strategy.interface import IStrategy
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from freqtrade.strategy.strategy_helper import (informative, merge_informative_pair,
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stoploss_from_absolute, stoploss_from_open)
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from freqtrade.strategy.strategy_helper import (merge_informative_pair, stoploss_from_absolute,
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stoploss_from_open)
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134
freqtrade/strategy/informative_decorator.py
Normal file
134
freqtrade/strategy/informative_decorator.py
Normal file
@ -0,0 +1,134 @@
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from typing import Any, Callable, NamedTuple, Optional, Union
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from mypy_extensions import KwArg
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from pandas import DataFrame
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from freqtrade.exceptions import OperationalException
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from freqtrade.strategy.strategy_helper import merge_informative_pair
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PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame]
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class InformativeData(NamedTuple):
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asset: Optional[str]
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timeframe: str
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fmt: Union[str, Callable[[KwArg(str)], str], None]
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ffill: bool
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def informative(timeframe: str, asset: str = '',
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fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None,
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ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]:
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"""
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A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to
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define informative indicators.
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Example usage:
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@informative('1h')
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def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
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return dataframe
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:param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe.
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:param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use
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current pair.
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:param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not
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specified, defaults to:
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* {base}_{column}_{timeframe} if asset is specified and quote currency does match stake
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currency.
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* {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match
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stake currency.
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* {column}_{timeframe} if asset is not specified.
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Format string supports these format variables:
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* {asset} - full name of the asset, for example 'BTC/USDT'.
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* {base} - base currency in lower case, for example 'eth'.
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* {BASE} - same as {base}, except in upper case.
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* {quote} - quote currency in lower case, for example 'usdt'.
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* {QUOTE} - same as {quote}, except in upper case.
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* {column} - name of dataframe column.
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* {timeframe} - timeframe of informative dataframe.
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:param ffill: ffill dataframe after merging informative pair.
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"""
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_asset = asset
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_timeframe = timeframe
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_fmt = fmt
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_ffill = ffill
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def decorator(fn: PopulateIndicators):
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informative_pairs = getattr(fn, '_ft_informative', [])
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informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill))
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setattr(fn, '_ft_informative', informative_pairs)
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return fn
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return decorator
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def _format_pair_name(config, pair: str) -> str:
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return pair.format(stake_currency=config['stake_currency'],
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stake=config['stake_currency']).upper()
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def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict,
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inf_data: InformativeData,
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populate_indicators: PopulateIndicators):
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asset = inf_data.asset or ''
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timeframe = inf_data.timeframe
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fmt = inf_data.fmt
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config = strategy.config
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if asset:
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# Insert stake currency if needed.
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asset = _format_pair_name(config, asset)
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else:
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# Not specifying an asset will define informative dataframe for current pair.
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asset = metadata['pair']
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if '/' in asset:
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base, quote = asset.split('/')
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else:
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# When futures are supported this may need reevaluation.
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# base, quote = asset, None
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raise OperationalException('Not implemented.')
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# Default format. This optimizes for the common case: informative pairs using same stake
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# currency. When quote currency matches stake currency, column name will omit base currency.
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# This allows easily reconfiguring strategy to use different base currency. In a rare case
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# where it is desired to keep quote currency in column name at all times user should specify
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# fmt='{base}_{quote}_{column}_{timeframe}' format or similar.
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if not fmt:
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fmt = '{column}_{timeframe}' # Informatives of current pair
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if quote != config['stake_currency']:
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fmt = '{quote}_' + fmt # Informatives of different quote currency
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if inf_data.asset:
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fmt = '{base}_' + fmt # Informatives of other pair
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inf_metadata = {'pair': asset, 'timeframe': timeframe}
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inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe)
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inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata)
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formatter: Any = None
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if callable(fmt):
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formatter = fmt # A custom user-specified formatter function.
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else:
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formatter = fmt.format # A default string formatter.
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fmt_args = {
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'BASE': base.upper(),
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'QUOTE': quote.upper(),
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'base': base.lower(),
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'quote': quote.lower(),
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'asset': asset,
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'timeframe': timeframe,
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}
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inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args),
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inplace=True)
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date_column = formatter(column='date', **fmt_args)
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if date_column in dataframe.columns:
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raise OperationalException(f'Duplicate column name {date_column} exists in '
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f'dataframe! Ensure column names are unique!')
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dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe,
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ffill=inf_data.ffill, append_timeframe=False,
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date_column=date_column)
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return dataframe
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@ -19,7 +19,7 @@ from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
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from freqtrade.exchange.exchange import timeframe_to_next_date
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from freqtrade.persistence import PairLocks, Trade
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from freqtrade.strategy.hyper import HyperStrategyMixin
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from freqtrade.strategy.strategy_helper import (InformativeData, PopulateIndicators,
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from freqtrade.strategy.informative_decorator import (InformativeData, PopulateIndicators,
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_create_and_merge_informative_pair,
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_format_pair_name)
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from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
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@ -121,7 +121,7 @@ class IStrategy(ABC, HyperStrategyMixin):
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# Class level variables (intentional) containing
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# the dataprovider (dp) (access to other candles, historic data, ...)
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# and wallets - access to the current balance.
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dp: DataProvider
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dp: Optional[DataProvider]
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wallets: Optional[Wallets] = None
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# Filled from configuration
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stake_currency: str
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@ -408,6 +408,9 @@ class IStrategy(ABC, HyperStrategyMixin):
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pair_tf = (_format_pair_name(self.config, inf_data.asset), inf_data.timeframe)
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informative_pairs.append(pair_tf)
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else:
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if not self.dp:
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raise OperationalException('@informative decorator with unspecified asset '
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'requires DataProvider instance.')
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for pair in self.dp.current_whitelist():
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informative_pairs.append((pair, inf_data.timeframe))
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return list(set(informative_pairs))
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@ -1,23 +1,8 @@
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from typing import Any, Callable, NamedTuple, Optional, Union
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import pandas as pd
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from mypy_extensions import KwArg
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from pandas import DataFrame
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import timeframe_to_minutes
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PopulateIndicators = Callable[[Any, DataFrame, dict], DataFrame]
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class InformativeData(NamedTuple):
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asset: Optional[str]
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timeframe: str
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fmt: Union[str, Callable[[KwArg(str)], str], None]
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ffill: bool
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def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
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timeframe: str, timeframe_inf: str, ffill: bool = True,
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append_timeframe: bool = True,
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@ -117,120 +102,3 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float:
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:return: Positive stop loss value relative to current price
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"""
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return 1 - (stop_rate / current_rate)
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def informative(timeframe: str, asset: str = '',
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fmt: Optional[Union[str, Callable[[KwArg(str)], str]]] = None,
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ffill: bool = True) -> Callable[[PopulateIndicators], PopulateIndicators]:
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"""
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A decorator for populate_indicators_Nn(self, dataframe, metadata), allowing these functions to
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define informative indicators.
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Example usage:
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@informative('1h')
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def populate_indicators_1h(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
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return dataframe
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:param timeframe: Informative timeframe. Must always be equal or higher than strategy timeframe.
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:param asset: Informative asset, for example BTC, BTC/USDT, ETH/BTC. Do not specify to use
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current pair.
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:param fmt: Column format (str) or column formatter (callable(name, asset, timeframe)). When not
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specified, defaults to:
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* {base}_{column}_{timeframe} if asset is specified and quote currency does match stake
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currency.
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* {base}_{quote}_{column}_{timeframe} if asset is specified and quote currency does not match
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stake currency.
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* {column}_{timeframe} if asset is not specified.
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Format string supports these format variables:
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* {asset} - full name of the asset, for example 'BTC/USDT'.
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* {base} - base currency in lower case, for example 'eth'.
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* {BASE} - same as {base}, except in upper case.
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* {quote} - quote currency in lower case, for example 'usdt'.
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* {QUOTE} - same as {quote}, except in upper case.
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* {column} - name of dataframe column.
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* {timeframe} - timeframe of informative dataframe.
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:param ffill: ffill dataframe after merging informative pair.
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"""
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_asset = asset
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_timeframe = timeframe
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_fmt = fmt
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_ffill = ffill
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def decorator(fn: PopulateIndicators):
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informative_pairs = getattr(fn, '_ft_informative', [])
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informative_pairs.append(InformativeData(_asset, _timeframe, _fmt, _ffill))
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setattr(fn, '_ft_informative', informative_pairs)
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return fn
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return decorator
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def _format_pair_name(config, pair: str) -> str:
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return pair.format(stake_currency=config['stake_currency'],
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stake=config['stake_currency']).upper()
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def _create_and_merge_informative_pair(strategy, dataframe: DataFrame, metadata: dict,
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inf_data: InformativeData,
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populate_indicators: PopulateIndicators):
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asset = inf_data.asset or ''
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timeframe = inf_data.timeframe
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fmt = inf_data.fmt
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config = strategy.config
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if asset:
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# Insert stake currency if needed.
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asset = _format_pair_name(config, asset)
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else:
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# Not specifying an asset will define informative dataframe for current pair.
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asset = metadata['pair']
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if '/' in asset:
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base, quote = asset.split('/')
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else:
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# When futures are supported this may need reevaluation.
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# base, quote = asset, None
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raise OperationalException('Not implemented.')
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# Default format. This optimizes for the common case: informative pairs using same stake
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# currency. When quote currency matches stake currency, column name will omit base currency.
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# This allows easily reconfiguring strategy to use different base currency. In a rare case
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# where it is desired to keep quote currency in column name at all times user should specify
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# fmt='{base}_{quote}_{column}_{timeframe}' format or similar.
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if not fmt:
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fmt = '{column}_{timeframe}' # Informatives of current pair
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if quote != config['stake_currency']:
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fmt = '{quote}_' + fmt # Informatives of different quote currency
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if inf_data.asset:
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fmt = '{base}_' + fmt # Informatives of other pair
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inf_metadata = {'pair': asset, 'timeframe': timeframe}
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inf_dataframe = strategy.dp.get_pair_dataframe(asset, timeframe)
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inf_dataframe = populate_indicators(strategy, inf_dataframe, inf_metadata)
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formatter: Any = None
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if callable(fmt):
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formatter = fmt # A custom user-specified formatter function.
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else:
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formatter = fmt.format # A default string formatter.
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fmt_args = {
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'BASE': base.upper(),
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'QUOTE': quote.upper(),
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'base': base.lower(),
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'quote': quote.lower(),
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'asset': asset,
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'timeframe': timeframe,
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}
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inf_dataframe.rename(columns=lambda column: formatter(column=column, **fmt_args),
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inplace=True)
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date_column = formatter(column='date', **fmt_args)
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if date_column in dataframe.columns:
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raise OperationalException(f'Duplicate column name {date_column} exists in '
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f'dataframe! Ensure column names are unique!')
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dataframe = merge_informative_pair(dataframe, inf_dataframe, strategy.timeframe, timeframe,
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ffill=inf_data.ffill, append_timeframe=False,
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date_column=date_column)
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return dataframe
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Block a user