# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement from functools import reduce from typing import Any, Callable, Dict, List import talib.abstract as ta from pandas import DataFrame from skopt.space import Categorical, Dimension, Integer import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.optimize.hyperopt_interface import IHyperOpt class DefaultHyperOpts(IHyperOpt): """ Default hyperopt provided by the Freqtrade bot. You can override it with your own hyperopt """ @staticmethod def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['adx'] = ta.ADX(dataframe) macd = ta.MACD(dataframe) dataframe['macd'] = macd['macd'] dataframe['macdsignal'] = macd['macdsignal'] dataframe['mfi'] = ta.MFI(dataframe) dataframe['rsi'] = ta.RSI(dataframe) stoch_fast = ta.STOCHF(dataframe) dataframe['fastd'] = stoch_fast['fastd'] dataframe['minus_di'] = ta.MINUS_DI(dataframe) # Bollinger bands bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) dataframe['bb_lowerband'] = bollinger['lower'] dataframe['bb_upperband'] = bollinger['upper'] dataframe['sar'] = ta.SAR(dataframe) return dataframe @staticmethod def buy_strategy_generator(params: Dict[str, Any]) -> Callable: """ Define the buy strategy parameters to be used by hyperopt """ def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: """ Buy strategy Hyperopt will build and use """ conditions = [] # GUARDS AND TRENDS if 'mfi-enabled' in params and params['mfi-enabled']: conditions.append(dataframe['mfi'] < params['mfi-value']) if 'fastd-enabled' in params and params['fastd-enabled']: conditions.append(dataframe['fastd'] < params['fastd-value']) if 'adx-enabled' in params and params['adx-enabled']: conditions.append(dataframe['adx'] > params['adx-value']) if 'rsi-enabled' in params and params['rsi-enabled']: conditions.append(dataframe['rsi'] < params['rsi-value']) # TRIGGERS if 'trigger' in params: if params['trigger'] == 'bb_lower': conditions.append(dataframe['close'] < dataframe['bb_lowerband']) if params['trigger'] == 'macd_cross_signal': conditions.append(qtpylib.crossed_above( dataframe['macd'], dataframe['macdsignal'] )) if params['trigger'] == 'sar_reversal': conditions.append(qtpylib.crossed_above( dataframe['close'], dataframe['sar'] )) if conditions: dataframe.loc[ reduce(lambda x, y: x & y, conditions), 'buy'] = 1 return dataframe return populate_buy_trend @staticmethod def indicator_space() -> List[Dimension]: """ Define your Hyperopt space for searching strategy parameters """ return [ Integer(10, 25, name='mfi-value'), Integer(15, 45, name='fastd-value'), Integer(20, 50, name='adx-value'), Integer(20, 40, name='rsi-value'), Categorical([True, False], name='mfi-enabled'), Categorical([True, False], name='fastd-enabled'), Categorical([True, False], name='adx-enabled'), Categorical([True, False], name='rsi-enabled'), Categorical(['bb_lower', 'macd_cross_signal', 'sar_reversal'], name='trigger') ] @staticmethod def sell_strategy_generator(params: Dict[str, Any]) -> Callable: """ Define the sell strategy parameters to be used by hyperopt """ def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: """ Sell strategy Hyperopt will build and use """ # print(params) conditions = [] # GUARDS AND TRENDS if 'sell-mfi-enabled' in params and params['sell-mfi-enabled']: conditions.append(dataframe['mfi'] > params['sell-mfi-value']) if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']: conditions.append(dataframe['fastd'] > params['sell-fastd-value']) if 'sell-adx-enabled' in params and params['sell-adx-enabled']: conditions.append(dataframe['adx'] < params['sell-adx-value']) if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']: conditions.append(dataframe['rsi'] > params['sell-rsi-value']) # TRIGGERS if 'sell-trigger' in params: if params['sell-trigger'] == 'sell-bb_upper': conditions.append(dataframe['close'] > dataframe['bb_upperband']) if params['sell-trigger'] == 'sell-macd_cross_signal': conditions.append(qtpylib.crossed_above( dataframe['macdsignal'], dataframe['macd'] )) if params['sell-trigger'] == 'sell-sar_reversal': conditions.append(qtpylib.crossed_above( dataframe['sar'], dataframe['close'] )) if conditions: dataframe.loc[ reduce(lambda x, y: x & y, conditions), 'sell'] = 1 return dataframe return populate_sell_trend @staticmethod def sell_indicator_space() -> List[Dimension]: """ Define your Hyperopt space for searching sell strategy parameters """ return [ Integer(75, 100, name='sell-mfi-value'), Integer(50, 100, name='sell-fastd-value'), Integer(50, 100, name='sell-adx-value'), Integer(60, 100, name='sell-rsi-value'), Categorical([True, False], name='sell-mfi-enabled'), Categorical([True, False], name='sell-fastd-enabled'), Categorical([True, False], name='sell-adx-enabled'), Categorical([True, False], name='sell-rsi-enabled'), Categorical(['sell-bb_upper', 'sell-macd_cross_signal', 'sell-sar_reversal'], name='sell-trigger') ] def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Based on TA indicators. Should be a copy of from strategy must align to populate_indicators in this file Only used when --spaces does not include buy """ dataframe.loc[ ( (dataframe['close'] < dataframe['bb_lowerband']) & (dataframe['mfi'] < 16) & (dataframe['adx'] > 25) & (dataframe['rsi'] < 21) ), 'buy'] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Based on TA indicators. Should be a copy of from strategy must align to populate_indicators in this file Only used when --spaces does not include sell """ dataframe.loc[ ( (qtpylib.crossed_above( dataframe['macdsignal'], dataframe['macd'] )) & (dataframe['fastd'] > 54) ), 'sell'] = 1 return dataframe