add freqao backend machinery, user interface, documentation
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robcaulk
179
freqtrade/templates/FreqaiExampleStrategy.py
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179
freqtrade/templates/FreqaiExampleStrategy.py
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import logging
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import talib.abstract as ta
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from pandas import DataFrame
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import pandas as pd
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from technical import qtpylib
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import numpy as np
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from freqtrade.strategy import (merge_informative_pair)
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from freqtrade.strategy.interface import IStrategy
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from freqtrade.freqai.strategy_bridge import CustomModel
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from functools import reduce
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logger = logging.getLogger(__name__)
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class FreqaiExampleStrategy(IStrategy):
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"""
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Example strategy showing how the user connects their own
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IFreqaiModel to the strategy. Namely, the user uses:
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self.model = CustomModel(self.config)
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self.model.bridge.start(dataframe, metadata)
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to make predictions on their data. populate_any_indicators() automatically
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generates the variety of features indicated by the user in the
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canonical freqtrade configuration file under config['freqai'].
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"""
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minimal_roi = {
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"0": 0.01,
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"240": -1
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}
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plot_config = {
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'main_plot': {
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},
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'subplots': {
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"prediction":{
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'prediction':{'color':'blue'}
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},
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"target_roi":{
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'target_roi':{'color':'brown'},
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},
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"do_predict":{
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'do_predict':{'color':'brown'},
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},
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}
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}
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stoploss = -0.05
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use_sell_signal = True
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startup_candle_count: int = 1000
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def informative_pairs(self):
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pairs = self.freqai_info['corr_pairlist']
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informative_pairs = []
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for tf in self.timeframes:
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informative_pairs.append([(pair, tf) for pair in pairs])
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return informative_pairs
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def populate_any_indicators(self, pair, df, tf, informative=None,coin=''):
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"""
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Function designed to automatically generate, name and merge features
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from user indicated timeframes in the configuration file. User can add
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additional features here, but must follow the naming convention.
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:params:
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:pair: pair to be used as informative
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:df: strategy dataframe which will receive merges from informatives
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:tf: timeframe of the dataframe which will modify the feature names
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:informative: the dataframe associated with the informative pair
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:coin: the name of the coin which will modify the feature names.
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"""
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if informative is None:
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informative = self.dp.get_pair_dataframe(pair, tf)
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informative[coin+'rsi'] = ta.RSI(informative, timeperiod=14)
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informative[coin+'mfi'] = ta.MFI(informative, timeperiod=25)
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informative[coin+'adx'] = ta.ADX(informative, window=20)
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informative[coin+'20sma'] = ta.SMA(informative,timeperiod=20)
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informative[coin+'21ema'] = ta.EMA(informative,timeperiod=21)
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informative[coin+'bmsb'] = np.where(informative[coin+'20sma'].lt(informative[coin+'21ema']),1,0)
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informative[coin+'close_over_20sma'] = informative['close']/informative[coin+'20sma']
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informative[coin+'mfi'] = ta.MFI(informative, timeperiod=25)
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informative[coin+'ema21'] = ta.EMA(informative, timeperiod=21)
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informative[coin+'sma20'] = ta.SMA(informative, timeperiod=20)
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stoch = ta.STOCHRSI(informative, 15, 20, 2, 2)
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informative[coin+'srsi-fk'] = stoch['fastk']
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informative[coin+'srsi-fd'] = stoch['fastd']
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bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=14, stds=2.2)
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informative[coin+'bb_lowerband'] = bollinger['lower']
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informative[coin+'bb_middleband'] = bollinger['mid']
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informative[coin+'bb_upperband'] = bollinger['upper']
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informative[coin+'bb_width'] = ((informative[coin+"bb_upperband"] - informative[coin+"bb_lowerband"]) / informative[coin+"bb_middleband"])
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informative[coin+'close-bb_lower'] = informative['close'] / informative[coin+'bb_lowerband']
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informative[coin+'roc'] = ta.ROC(informative, timeperiod=3)
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informative[coin+'adx'] = ta.ADX(informative, window=14)
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macd = ta.MACD(informative)
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informative[coin+'macd'] = macd['macd']
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informative[coin+'pct-change'] = informative['close'].pct_change()
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informative[coin+'relative_volume'] = informative['volume'] / informative['volume'].rolling(10).mean()
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informative[coin+'pct-change'] = informative['close'].pct_change()
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indicators = [col for col in informative if col.startswith(coin)]
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for n in range(self.freqai_info['feature_parameters']['shift']+1):
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if n==0: continue
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informative_shift = informative[indicators].shift(n)
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informative_shift = informative_shift.add_suffix('_shift-'+str(n))
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informative = pd.concat((informative,informative_shift),axis=1)
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df = merge_informative_pair(df, informative, self.config['timeframe'], tf, ffill=True)
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skip_columns = [(s + '_'+tf) for s in
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['date', 'open', 'high', 'low', 'close', 'volume']]
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df = df.drop(columns=skip_columns)
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return df
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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# the configuration file parameters are stored here
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self.freqai_info = self.config['freqai']
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# the model is instantiated here
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self.model = CustomModel(self.config)
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print('Populating indicators...')
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# the following loops are necessary for building the features
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# indicated by the user in the configuration file.
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for tf in self.freqai_info['timeframes']:
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dataframe = self.populate_any_indicators(metadata['pair'],
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dataframe.copy(), tf)
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for i in self.freqai_info['corr_pairlist']:
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dataframe = self.populate_any_indicators(i,
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dataframe.copy(), tf, coin=i.split("/")[0]+'-')
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# the model will return 4 values, its prediction, an indication of whether or not the prediction
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# should be accepted, the target mean/std values from the labels used during each training period.
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(dataframe['prediction'], dataframe['do_predict'],
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dataframe['target_mean'], dataframe['target_std']) = self.model.bridge.start(dataframe, metadata)
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dataframe['target_roi'] = dataframe['target_mean']+dataframe['target_std']*0.5
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dataframe['sell_roi'] = dataframe['target_mean']-dataframe['target_std']*1.5
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return dataframe
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def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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buy_conditions = [
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(dataframe['prediction'] > dataframe['target_roi'])
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&
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(dataframe['do_predict'] == 1)
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]
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if buy_conditions:
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dataframe.loc[reduce(lambda x, y: x | y, buy_conditions), 'buy'] = 1
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return dataframe
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def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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# sell_goal = eval('self.'+metadata['pair'].split("/")[0]+'_sell_goal.value')
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sell_conditions = [
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(dataframe['prediction'] < dataframe['sell_roi'])
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&
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(dataframe['do_predict'] == 1)
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]
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if sell_conditions:
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dataframe.loc[reduce(lambda x, y: x | y, sell_conditions), 'sell'] = 1
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return dataframe
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def get_ticker_indicator(self):
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return int(self.config['timeframe'][:-1])
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