import logging from functools import reduce import numpy as np import pandas as pd import talib.abstract as ta from pandas import DataFrame from technical import qtpylib from freqtrade.freqai.strategy_bridge import CustomModel from freqtrade.strategy import merge_informative_pair from freqtrade.strategy.interface import IStrategy logger = logging.getLogger(__name__) class FreqaiExampleStrategy(IStrategy): """ Example strategy showing how the user connects their own IFreqaiModel to the strategy. Namely, the user uses: self.model = CustomModel(self.config) self.model.bridge.start(dataframe, metadata) to make predictions on their data. populate_any_indicators() automatically generates the variety of features indicated by the user in the canonical freqtrade configuration file under config['freqai']. """ minimal_roi = {"0": 0.01, "240": -1} plot_config = { "main_plot": {}, "subplots": { "prediction": {"prediction": {"color": "blue"}}, "target_roi": { "target_roi": {"color": "brown"}, }, "do_predict": { "do_predict": {"color": "brown"}, }, }, } stoploss = -0.05 use_sell_signal = True startup_candle_count: int = 300 def informative_pairs(self): pairs = self.config["freqai"]["corr_pairlist"] informative_pairs = [] for tf in self.config["freqai"]["timeframes"]: # informative_pairs.append((self.pair, tf)) # informative_pairs.append([(pair, tf) for pair in pairs]) for pair in pairs: informative_pairs.append((pair, tf)) return informative_pairs def populate_any_indicators(self, pair, df, tf, informative=None, coin=""): """ Function designed to automatically generate, name and merge features from user indicated timeframes in the configuration file. User can add additional features here, but must follow the naming convention. :params: :pair: pair to be used as informative :df: strategy dataframe which will receive merges from informatives :tf: timeframe of the dataframe which will modify the feature names :informative: the dataframe associated with the informative pair :coin: the name of the coin which will modify the feature names. """ if informative is None: informative = self.dp.get_pair_dataframe(pair, tf) informative[coin + "rsi"] = ta.RSI(informative, timeperiod=14) informative[coin + "mfi"] = ta.MFI(informative, timeperiod=25) informative[coin + "adx"] = ta.ADX(informative, window=20) informative[coin + "20sma"] = ta.SMA(informative, timeperiod=20) informative[coin + "21ema"] = ta.EMA(informative, timeperiod=21) informative[coin + "bmsb"] = np.where( informative[coin + "20sma"].lt(informative[coin + "21ema"]), 1, 0 ) informative[coin + "close_over_20sma"] = informative["close"] / informative[coin + "20sma"] informative[coin + "mfi"] = ta.MFI(informative, timeperiod=25) informative[coin + "ema21"] = ta.EMA(informative, timeperiod=21) informative[coin + "sma20"] = ta.SMA(informative, timeperiod=20) stoch = ta.STOCHRSI(informative, 15, 20, 2, 2) informative[coin + "srsi-fk"] = stoch["fastk"] informative[coin + "srsi-fd"] = stoch["fastd"] bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=14, stds=2.2) informative[coin + "bb_lowerband"] = bollinger["lower"] informative[coin + "bb_middleband"] = bollinger["mid"] informative[coin + "bb_upperband"] = bollinger["upper"] informative[coin + "bb_width"] = ( informative[coin + "bb_upperband"] - informative[coin + "bb_lowerband"] ) / informative[coin + "bb_middleband"] informative[coin + "close-bb_lower"] = ( informative["close"] / informative[coin + "bb_lowerband"] ) informative[coin + "roc"] = ta.ROC(informative, timeperiod=3) informative[coin + "adx"] = ta.ADX(informative, window=14) macd = ta.MACD(informative) informative[coin + "macd"] = macd["macd"] informative[coin + "pct-change"] = informative["close"].pct_change() informative[coin + "relative_volume"] = ( informative["volume"] / informative["volume"].rolling(10).mean() ) informative[coin + "pct-change"] = informative["close"].pct_change() indicators = [col for col in informative if col.startswith(coin)] for n in range(self.freqai_info["feature_parameters"]["shift"] + 1): if n == 0: continue informative_shift = informative[indicators].shift(n) informative_shift = informative_shift.add_suffix("_shift-" + str(n)) informative = pd.concat((informative, informative_shift), axis=1) df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True) skip_columns = [(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]] df = df.drop(columns=skip_columns) return df def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # the configuration file parameters are stored here self.freqai_info = self.config["freqai"] self.pair = metadata['pair'] # the model is instantiated here self.model = CustomModel(self.config) print("Populating indicators...") # the following loops are necessary for building the features # indicated by the user in the configuration file. for tf in self.freqai_info["timeframes"]: dataframe = self.populate_any_indicators(self.pair, dataframe.copy(), tf, coin=self.pair.split("/")[0] + "-") for pair in self.freqai_info["corr_pairlist"]: if metadata['pair'] in pair: continue # do not include whitelisted pair twice if it is in corr_pairlist dataframe = self.populate_any_indicators( pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-" ) print('dataframe_built') # the model will return 4 values, its prediction, an indication of whether or not the # prediction should be accepted, the target mean/std values from the labels used during # each training period. ( dataframe["prediction"], dataframe["do_predict"], dataframe["target_mean"], dataframe["target_std"], ) = self.model.bridge.start(dataframe, metadata, self) dataframe["target_roi"] = dataframe["target_mean"] + dataframe["target_std"] * 0.5 dataframe["sell_roi"] = dataframe["target_mean"] - dataframe["target_std"] * 1.5 return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: buy_conditions = [ (dataframe["prediction"] > dataframe["target_roi"]) & (dataframe["do_predict"] == 1) ] if buy_conditions: dataframe.loc[reduce(lambda x, y: x | y, buy_conditions), "buy"] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # sell_goal = eval('self.'+metadata['pair'].split("/")[0]+'_sell_goal.value') sell_conditions = [ (dataframe["prediction"] < dataframe["sell_roi"]) & (dataframe["do_predict"] == 1) ] if sell_conditions: dataframe.loc[reduce(lambda x, y: x | y, sell_conditions), "sell"] = 1 return dataframe def get_ticker_indicator(self): return int(self.config["timeframe"][:-1])