import talib.abstract as ta import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.strategy.interface import IStrategy from pandas import DataFrame from hyperopt import hp from functools import reduce from typing import Dict, List class_name = 'DefaultStrategy' class DefaultStrategy(IStrategy): """ Default Strategy provided by freqtrade bot. You can override it with your own strategy """ # Minimal ROI designed for the strategy minimal_roi = { "40": 0.0, "30": 0.01, "20": 0.02, "0": 0.04 } # Optimal stoploss designed for the strategy stoploss = -0.10 # Optimal ticker interval for the strategy ticker_interval = 5 def populate_indicators(self, 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 # ------------------------------------ # Previous Bollinger bands # Because ta.BBANDS implementation is broken with small numbers, it actually # returns middle band for all the three bands. Switch to qtpylib.bollinger_bands # and use middle band instead. dataframe['blower'] = ta.BBANDS(dataframe, nbdevup=2, nbdevdn=2)['lowerband'] # 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 def populate_buy_trend(self, dataframe: DataFrame) -> DataFrame: """ Based on TA indicators, populates the buy signal for the given dataframe :param dataframe: DataFrame :return: DataFrame with buy column """ dataframe.loc[ ( (dataframe['rsi'] < 35) & (dataframe['fastd'] < 35) & (dataframe['adx'] > 30) & (dataframe['plus_di'] > 0.5) ) | ( (dataframe['adx'] > 65) & (dataframe['plus_di'] > 0.5) ), 'buy'] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame) -> DataFrame: """ Based on TA indicators, populates the sell signal for the given dataframe :param dataframe: DataFrame :return: DataFrame with buy column """ dataframe.loc[ ( ( (qtpylib.crossed_above(dataframe['rsi'], 70)) | (qtpylib.crossed_above(dataframe['fastd'], 70)) ) & (dataframe['adx'] > 10) & (dataframe['minus_di'] > 0) ) | ( (dataframe['adx'] > 70) & (dataframe['minus_di'] > 0.5) ), 'sell'] = 1 return dataframe def hyperopt_space(self) -> List[Dict]: """ Define your Hyperopt space for the strategy """ space = { 'macd_below_zero': hp.choice('macd_below_zero', [ {'enabled': False}, {'enabled': True} ]), 'mfi': hp.choice('mfi', [ {'enabled': False}, {'enabled': True, 'value': hp.quniform('mfi-value', 5, 25, 1)} ]), 'fastd': hp.choice('fastd', [ {'enabled': False}, {'enabled': True, 'value': hp.quniform('fastd-value', 10, 50, 1)} ]), 'adx': hp.choice('adx', [ {'enabled': False}, {'enabled': True, 'value': hp.quniform('adx-value', 15, 50, 1)} ]), 'rsi': hp.choice('rsi', [ {'enabled': False}, {'enabled': True, 'value': hp.quniform('rsi-value', 20, 40, 1)} ]), 'uptrend_long_ema': hp.choice('uptrend_long_ema', [ {'enabled': False}, {'enabled': True} ]), 'uptrend_short_ema': hp.choice('uptrend_short_ema', [ {'enabled': False}, {'enabled': True} ]), 'over_sar': hp.choice('over_sar', [ {'enabled': False}, {'enabled': True} ]), 'green_candle': hp.choice('green_candle', [ {'enabled': False}, {'enabled': True} ]), 'uptrend_sma': hp.choice('uptrend_sma', [ {'enabled': False}, {'enabled': True} ]), 'trigger': hp.choice('trigger', [ {'type': 'lower_bb'}, {'type': 'lower_bb_tema'}, {'type': 'faststoch10'}, {'type': 'ao_cross_zero'}, {'type': 'ema3_cross_ema10'}, {'type': 'macd_cross_signal'}, {'type': 'sar_reversal'}, {'type': 'ht_sine'}, {'type': 'heiken_reversal_bull'}, {'type': 'di_cross'}, ]), 'stoploss': hp.uniform('stoploss', -0.5, -0.02), } return space def buy_strategy_generator(self, params) -> None: """ Define the buy strategy parameters to be used by hyperopt """ def populate_buy_trend(dataframe: DataFrame) -> DataFrame: conditions = [] # GUARDS AND TRENDS if 'uptrend_long_ema' in params and params['uptrend_long_ema']['enabled']: conditions.append(dataframe['ema50'] > dataframe['ema100']) if 'macd_below_zero' in params and params['macd_below_zero']['enabled']: conditions.append(dataframe['macd'] < 0) if 'uptrend_short_ema' in params and params['uptrend_short_ema']['enabled']: conditions.append(dataframe['ema5'] > dataframe['ema10']) if 'mfi' in params and params['mfi']['enabled']: conditions.append(dataframe['mfi'] < params['mfi']['value']) if 'fastd' in params and params['fastd']['enabled']: conditions.append(dataframe['fastd'] < params['fastd']['value']) if 'adx' in params and params['adx']['enabled']: conditions.append(dataframe['adx'] > params['adx']['value']) if 'rsi' in params and params['rsi']['enabled']: conditions.append(dataframe['rsi'] < params['rsi']['value']) if 'over_sar' in params and params['over_sar']['enabled']: conditions.append(dataframe['close'] > dataframe['sar']) if 'green_candle' in params and params['green_candle']['enabled']: conditions.append(dataframe['close'] > dataframe['open']) if 'uptrend_sma' in params and params['uptrend_sma']['enabled']: prevsma = dataframe['sma'].shift(1) conditions.append(dataframe['sma'] > prevsma) # TRIGGERS triggers = { 'lower_bb': ( dataframe['close'] < dataframe['bb_lowerband'] ), 'lower_bb_tema': ( dataframe['tema'] < dataframe['bb_lowerband'] ), 'faststoch10': (qtpylib.crossed_above( dataframe['fastd'], 10.0 )), 'ao_cross_zero': (qtpylib.crossed_above( dataframe['ao'], 0.0 )), 'ema3_cross_ema10': (qtpylib.crossed_above( dataframe['ema3'], dataframe['ema10'] )), 'macd_cross_signal': (qtpylib.crossed_above( dataframe['macd'], dataframe['macdsignal'] )), 'sar_reversal': (qtpylib.crossed_above( dataframe['close'], dataframe['sar'] )), 'ht_sine': (qtpylib.crossed_above( dataframe['htleadsine'], dataframe['htsine'] )), 'heiken_reversal_bull': ( (qtpylib.crossed_above(dataframe['ha_close'], dataframe['ha_open'])) & (dataframe['ha_low'] == dataframe['ha_open']) ), 'di_cross': (qtpylib.crossed_above( dataframe['plus_di'], dataframe['minus_di'] )), } conditions.append(triggers.get(params['trigger']['type'])) dataframe.loc[ reduce(lambda x, y: x & y, conditions), 'buy'] = 1 return dataframe return populate_buy_trend