# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement import talib.abstract as ta from pandas import DataFrame from typing import Dict, Any, Callable from functools import reduce from math import exp import numpy import talib.abstract as ta from hyperopt import STATUS_FAIL, STATUS_OK, Trials, fmin, hp, space_eval, tpe import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.indicator_helpers import fishers_inverse from freqtrade.optimize.interface import IHyperOpt # Update this variable if you change the class name class_name = 'TestHyperOpt' # This class is a sample. Feel free to customize it. class TestHyperOpt(IHyperOpt): """ This is a test hyperopt to inspire you. More information in https://github.com/gcarq/freqtrade/blob/develop/docs/hyperopt.md You can: - Rename the class name (Do not forget to update class_name) - Add any methods you want to build your hyperopt - Add any lib you need to build your hyperopt You must keep: - the prototype for the methods: populate_indicators, indicator_space, buy_strategy_generator, roi_space, generate_roi_table, stoploss_space """ @staticmethod def populate_indicators(dataframe: DataFrame) -> DataFrame: """ Adds several different TA indicators to the given DataFrame Performance Note: For the best performance be frugal on the number of indicators you are using. Let uncomment only the indicator you are using in your strategies or your hyperopt configuration, otherwise you will waste your memory and CPU usage. """ # Momentum Indicator # ------------------------------------ # ADX dataframe['adx'] = ta.ADX(dataframe) """ # 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'] dataframe['macdsignal'] = macd['macdsignal'] dataframe['macdhist'] = macd['macdhist'] # MFI dataframe['mfi'] = ta.MFI(dataframe) # Minus Directional Indicator / Movement dataframe['minus_dm'] = ta.MINUS_DM(dataframe) dataframe['minus_di'] = ta.MINUS_DI(dataframe) # 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 # ------------------------------------ # 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) dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100) # SAR Parabol dataframe['sar'] = ta.SAR(dataframe) # SMA - Simple Moving Average dataframe['sma'] = ta.SMA(dataframe, timeperiod=40) """ # TEMA - Triple Exponential Moving Average dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9) # Cycle Indicator # ------------------------------------ # Hilbert Transform Indicator - SineWave hilbert = ta.HT_SINE(dataframe) 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 @staticmethod def indicator_space() -> Dict[str, Any]: """ Define your Hyperopt space for searching strategy parameters """ return { 'adx': hp.choice('adx', [ {'enabled': False}, {'enabled': True, 'value': hp.quniform('adx-value', 50, 80, 5)} ]), 'uptrend_tema': hp.choice('uptrend_tema', [ {'enabled': False}, {'enabled': True} ]), 'trigger': hp.choice('trigger', [ {'type': 'middle_bb_tema'}, ]), } @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) -> DataFrame: conditions = [] # GUARDS AND TRENDS if 'adx' in params and params['adx']['enabled']: conditions.append(dataframe['adx'] > params['adx']['value']) if 'uptrend_tema' in params and params['uptrend_tema']['enabled']: prevtema = dataframe['tema'].shift(1) conditions.append(dataframe['tema'] > prevtema) # TRIGGERS triggers = { 'middle_bb_tema': ( dataframe['tema'] > dataframe['bb_middleband'] ), } conditions.append(triggers.get(params['trigger']['type'])) dataframe.loc[ reduce(lambda x, y: x & y, conditions), 'buy'] = 1 return dataframe return populate_buy_trend @staticmethod def roi_space() -> Dict[str, Any]: return { 'roi_t1': hp.quniform('roi_t1', 10, 120, 20), 'roi_t2': hp.quniform('roi_t2', 10, 60, 15), 'roi_t3': hp.quniform('roi_t3', 10, 40, 10), 'roi_p1': hp.quniform('roi_p1', 0.01, 0.04, 0.01), 'roi_p2': hp.quniform('roi_p2', 0.01, 0.07, 0.01), 'roi_p3': hp.quniform('roi_p3', 0.01, 0.20, 0.01), } @staticmethod def generate_roi_table(params: Dict) -> Dict[int, float]: """ Generate the ROI table that will be used by Hyperopt """ roi_table = {} roi_table[0] = params['roi_p1'] + params['roi_p2'] + params['roi_p3'] roi_table[params['roi_t3']] = params['roi_p1'] + params['roi_p2'] roi_table[params['roi_t3'] + params['roi_t2']] = params['roi_p1'] roi_table[params['roi_t3'] + params['roi_t2'] + params['roi_t1']] = 0 return roi_table @staticmethod def stoploss_space() -> Dict[str, Any]: return { 'stoploss': hp.quniform('stoploss', -0.5, -0.02, 0.02), }