1204 lines
64 KiB
Python
1204 lines
64 KiB
Python
# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
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# isort: skip_file
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# --- Do not remove these libs ---
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from functools import reduce
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from typing import Any, Callable, Dict, List
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import numpy as np # noqa
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import pandas as pd # noqa
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from pandas import DataFrame
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from skopt.space import Categorical, Dimension,Integer , Real # noqa
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from freqtrade.optimize.space import SKDecimal
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from freqtrade.optimize.hyperopt_interface import IHyperOpt
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# --------------------------------
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# Add your lib to import here
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import talib.abstract as ta # noqa
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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##PYCHARM
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import sys
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sys.path.append(r"/freqtrade/user_data/strategies")
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# ##HYPEROPT
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# import sys,os
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# file_dir = os.path.dirname(__file__)
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# sys.path.append(file_dir)
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from z_buyer_mid_volatility import mid_volatility_buyer
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from z_seller_mid_volatility import mid_volatility_seller
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from z_COMMON_FUNCTIONS import MID_VOLATILITY
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class RuleOptimizer15min(IHyperOpt):
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"""
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This is a sample hyperopt to inspire you.
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Feel free to customize it.
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More information in the documentation: https://www.freqtrade.io/en/latest/hyperopt/
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You should:
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- Rename the class name to some unique name.
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- Add any methods you want to build your hyperopt.
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- Add any lib you need to build your hyperopt.
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You must keep:
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- The prototypes for the methods: populate_indicators, indicator_space, buy_strategy_generator.
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The methods roi_space, generate_roi_table and stoploss_space are not required
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and are provided by default.
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However, you may override them if you need the
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'roi' and the 'stoploss' spaces that differ from the defaults offered by Freqtrade.
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This sample illustrates how to override these methods.
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"""
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@staticmethod
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def buy_strategy_generator(params: Dict[str, Any]) -> Callable:
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"""
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Define the buy strategy parameters to be used by hyperopt
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"""
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def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Buy strategy Hyperopt will build and use
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"""
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conditions = []
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#---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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#---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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##MAIN SELECTORS
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#--------------------
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##VOLATILITY
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conditions.append(dataframe['vol_mid'] > 0 )
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# conditions.append((dataframe['vol_low'] > 0) |(dataframe['vol_mid'] > 0) )
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# conditions.append((dataframe['vol_high'] > 0) |(dataframe['vol_mid'] > 0) )
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#--------------------
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##PICKS TREND COMBO
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conditions.append(
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(dataframe['downtrend'] >= params['main_1_trend_strength'])
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|#OR &
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(dataframe['downtrendsmall'] >= params['main_2_trend_strength'])
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)
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##UPTREND
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#conditions.append(dataframe['uptrend'] >= params['main_1_trend_strength'])
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##DOWNTREND
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#conditions.append(dataframe['downtrend'] >= params['main_1_trend_strength'])
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##NOTREND
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#conditions.append((dataframe['uptrend'] <1)&(dataframe['downtrend'] <1))
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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##ABOVE / BELOW THRESHOLDS
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#RSI ABOVE
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if 'include_sell_ab_9_rsi_above_value' in params and params['include_sell_ab_9_rsi_above_value']:
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conditions.append(dataframe['rsi'] > params['sell_ab_9_rsi_above_value'])
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#RSI RECENT PIT 5
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if 'include_sell_ab_10_rsi_recent_pit_2_value' in params and params['include_sell_ab_10_rsi_recent_pit_2_value']:
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conditions.append(dataframe['rsi'].rolling(2).min() < params['sell_ab_10_rsi_recent_pit_2_value'])
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#RSI RECENT PIT 12
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if 'include_sell_ab_11_rsi_recent_pit_4_value' in params and params['include_sell_ab_11_rsi_recent_pit_4_value']:
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conditions.append(dataframe['rsi'].rolling(4).min() < params['sell_ab_11_rsi_recent_pit_4_value'])
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#RSI5 BELOW
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if 'include_sell_ab_12_rsi5_above_value' in params and params['include_sell_ab_12_rsi5_above_value']:
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conditions.append(dataframe['rsi5'] > params['sell_ab_12_rsi5_above_value'])
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#RSI50 BELOW
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if 'include_sell_ab_13_rsi50_above_value' in params and params['include_sell_ab_13_rsi50_above_value']:
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conditions.append(dataframe['rsi50'] > params['sell_ab_13_rsi50_above_value'])
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#-----------------------
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#ROC BELOW
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if 'include_sell_ab_14_roc_above_value' in params and params['include_sell_ab_14_roc_above_value']:
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conditions.append(dataframe['roc'] > (params['sell_ab_14_roc_above_value']/2))
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#ROC50 BELOW
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if 'include_sell_ab_15_roc50_above_value' in params and params['include_sell_ab_15_roc50_above_value']:
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conditions.append(dataframe['roc50'] > (params['sell_ab_15_roc50_above_value']))
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#ROC2 BELOW
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if 'include_sell_ab_16_roc2_above_value' in params and params['include_sell_ab_16_roc2_above_value']:
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conditions.append(dataframe['roc2'] > (params['sell_ab_16_roc2_above_value']/2))
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#-----------------------
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#PPO5 BELOW
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if 'include_sell_ab_17_ppo5_above_value' in params and params['include_sell_ab_17_ppo5_above_value']:
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conditions.append(dataframe['ppo5'] > (params['sell_ab_17_ppo5_above_value']/2))
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#PPO10 BELOW
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if 'include_sell_ab_18_ppo10_above_value' in params and params['include_sell_ab_18_ppo10_above_value']:
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conditions.append(dataframe['ppo10'] > (params['sell_ab_18_ppo10_above_value']/2))
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#PPO25 BELOW
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if 'include_sell_ab_19_ppo25_above_value' in params and params['include_sell_ab_19_ppo25_above_value']:
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conditions.append(dataframe['ppo25'] > (params['sell_ab_19_ppo25_above_value']/2))
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#PPO50 BELOW
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if 'include_sell_ab_20_ppo50_above_value' in params and params['include_sell_ab_20_ppo50_above_value']:
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conditions.append(dataframe['ppo50'] > (params['sell_ab_20_ppo50_above_value']/2))
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#PPO100 BELOW
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if 'include_sell_ab_21_ppo100_above_value' in params and params['include_sell_ab_21_ppo100_above_value']:
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conditions.append(dataframe['ppo100'] > (params['sell_ab_21_ppo100_above_value']))
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#PPO200 BELOW
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if 'include_sell_ab_22_ppo200_above_value' in params and params['include_sell_ab_22_ppo200_above_value']:
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conditions.append(dataframe['ppo200'] > (params['sell_ab_22_ppo200_above_value']))
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#PPO500 BELOW
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if 'include_sell_ab_23_ppo500_above_value' in params and params['include_sell_ab_23_ppo500_above_value']:
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conditions.append(dataframe['ppo500'] > (params['sell_ab_23_ppo500_above_value']*2))
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##USE AT A LATER STEP
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#convsmall BELOW
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if 'include_sell_ab_24_convsmall_above_value' in params and params['include_sell_ab_24_convsmall_above_value']:
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conditions.append(dataframe['convsmall'] > (params['sell_ab_24_convsmall_above_value']/2))
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#convmedium BELOW
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if 'include_sell_ab_25_convmedium_above_value' in params and params['include_sell_ab_25_convmedium_above_value']:
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conditions.append(dataframe['convmedium'] >(params['sell_ab_25_convmedium_above_value']))
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#convlarge BELOW
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if 'include_sell_ab_26_convlarge_above_value' in params and params['include_sell_ab_26_convlarge_above_value']:
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conditions.append(dataframe['convlarge'] > (params['sell_ab_26_convlarge_above_value']))
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#convultra BELOW
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if 'include_sell_ab_27_convultra_above_value' in params and params['include_sell_ab_27_convultra_above_value']:
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conditions.append(dataframe['convultra'] > (params['sell_ab_27_convultra_above_value']/2))
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#convdist BELOW
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if 'include_sell_ab_28_convdist_above_value' in params and params['include_sell_ab_28_convdist_above_value']:
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conditions.append(dataframe['convdist'] > (params['sell_ab_28_convdist_above_value']))
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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##SMA'S GOING DOWN
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if 'sell_down_0a_sma3' in params and params['sell_down_0a_sma3']:
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conditions.append((dataframe['sma3'].shift(1) >dataframe['sma3']))
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if 'sell_down_0b_sma5' in params and params['sell_down_0b_sma5']:
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conditions.append((dataframe['sma5'].shift(1) >dataframe['sma5']))
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if 'sell_down_1_sma10' in params and params['sell_down_1_sma10']:
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conditions.append((dataframe['sma10'].shift(1) >dataframe['sma10']))
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if 'sell_down_2_sma25' in params and params['sell_down_2_sma25']:
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conditions.append((dataframe['sma25'].shift(1) >dataframe['sma25']))
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if 'sell_down_3_sma50' in params and params['sell_down_3_sma50']:
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conditions.append((dataframe['sma50'].shift(2) >dataframe['sma50']))
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if 'sell_down_4_sma100' in params and params['sell_down_4_sma100']:
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conditions.append((dataframe['sma100'].shift(3) >dataframe['sma100']))
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if 'sell_down_5_sma200' in params and params['sell_down_5_sma200']:
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conditions.append((dataframe['sma200'].shift(4) >dataframe['sma200']))
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if 'sell_down_6_sma400' in params and params['sell_down_6_sma400']:
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conditions.append((dataframe['sma400'].shift(4) >dataframe['sma400']))
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if 'sell_down_7_sma10k' in params and params['sell_down_7_sma10k']:
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conditions.append((dataframe['sma10k'].shift(5) >dataframe['sma10k']))
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# if 'sell_down_8_sma20k' in params and params['sell_down_8_sma20k']:
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# conditions.append((dataframe['sma20k'].shift(5) >dataframe['sma20k']))
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# if 'sell_down_9_sma30k' in params and params['sell_down_9_sma30k']:
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# conditions.append((dataframe['sma30k'].shift(5) >dataframe['sma30k']))
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if 'sell_down_10_convsmall' in params and params['sell_down_10_convsmall']:
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conditions.append((dataframe['convsmall'].shift(2) >dataframe['convsmall']))
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if 'sell_down_11_convmedium' in params and params['sell_down_11_convmedium']:
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conditions.append((dataframe['convmedium'].shift(3) >dataframe['convmedium']))
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if 'sell_down_12_convlarge' in params and params['sell_down_12_convlarge']:
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conditions.append((dataframe['convlarge'].shift(4) >dataframe['convlarge']))
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if 'sell_down_13_convultra' in params and params['sell_down_13_convultra']:
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conditions.append((dataframe['convultra'].shift(4) >dataframe['convultra']))
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if 'sell_down_14_convdist' in params and params['sell_down_14_convdist']:
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conditions.append((dataframe['convdist'].shift(4) >dataframe['convdist']))
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if 'sell_down_15_vol50' in params and params['sell_down_15_vol50']:
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conditions.append((dataframe['vol50'].shift(2) >dataframe['vol50']))
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if 'sell_down_16_vol100' in params and params['sell_down_16_vol100']:
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conditions.append((dataframe['vol100'].shift(3) >dataframe['vol100']))
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if 'sell_down_17_vol175' in params and params['sell_down_17_vol175']:
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conditions.append((dataframe['vol175'].shift(4) >dataframe['vol175']))
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if 'sell_down_18_vol250' in params and params['sell_down_18_vol250']:
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conditions.append((dataframe['vol250'].shift(4) >dataframe['vol250']))
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if 'sell_down_19_vol500' in params and params['sell_down_19_vol500']:
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conditions.append((dataframe['vol500'].shift(4) >dataframe['vol500']))
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if 'sell_down_20_vol1000' in params and params['sell_down_20_vol1000']:
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conditions.append((dataframe['vol1000'].shift(4) >dataframe['vol1000']))
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if 'sell_down_21_vol100mean' in params and params['sell_down_21_vol100mean']:
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conditions.append((dataframe['vol100mean'].shift(4) >dataframe['vol100mean']))
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if 'sell_down_22_vol250mean' in params and params['sell_down_22_vol250mean']:
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conditions.append((dataframe['vol250mean'].shift(4) >dataframe['vol250mean']))
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if 'up_20_conv3' in params and params['up_20_conv3']:
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conditions.append(((dataframe['conv3'].shift(25) < dataframe['conv3'])&(dataframe['conv3'].shift(50) < dataframe['conv3'])))
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if 'up_21_vol5' in params and params['up_21_vol5']:
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conditions.append(((dataframe['vol5'].shift(25) < dataframe['vol5'])&(dataframe['vol5'].shift(50) < dataframe['vol5'])))
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if 'up_22_vol5ultra' in params and params['up_22_vol5ultra']:
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conditions.append(((dataframe['vol5ultra'].shift(25) < dataframe['vol5ultra'])&(dataframe['vol5ultra'].shift(50) < dataframe['vol5ultra'])))
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if 'up_23_vol1ultra' in params and params['up_23_vol1ultra']:
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conditions.append(((dataframe['vol1ultra'].shift(25) < dataframe['vol1ultra'])& (dataframe['vol1ultra'].shift(50) < dataframe['vol1ultra'])))
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if 'up_24_vol1' in params and params['up_24_vol1']:
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conditions.append(((dataframe['vol1'].shift(30) < dataframe['vol1'])&(dataframe['vol1'].shift(10) < dataframe['vol1'])))
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if 'up_25_vol5inc24' in params and params['up_25_vol5inc24']:
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conditions.append((dataframe['vol5inc24'].shift(50) < dataframe['vol5inc24']))
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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##ABOVE / BELOW SMAS 1 above/ 0 None / -1 below
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#SMA10
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conditions.append((dataframe['close'] > dataframe['sma10'])|(0.5 > params['ab_1_sma10']))
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conditions.append((dataframe['close'] < dataframe['sma10'])|(-0.5 < params['ab_1_sma10']))
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#SMA25
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conditions.append((dataframe['close'] > dataframe['sma25'])|(0.5 > params['ab_2_sma25']))
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conditions.append((dataframe['close'] < dataframe['sma25'])|(-0.5 < params['ab_2_sma25']))
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#SMA50
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conditions.append((dataframe['close'] > dataframe['sma50'])|(0.5 > params['ab_3_sma50']))
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conditions.append((dataframe['close'] < dataframe['sma50'])|(-0.5 < params['ab_3_sma50']))
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#SMA100
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conditions.append((dataframe['close'] > dataframe['sma100'])|(0.5 > params['ab_4_sma100']))
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conditions.append((dataframe['close'] < dataframe['sma100'])|(-0.5 < params['ab_4_sma100']))
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#SMA100
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conditions.append((dataframe['close'] > dataframe['sma200'])|(0.5 > params['ab_5_sma200']))
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conditions.append((dataframe['close'] < dataframe['sma200'])|(-0.5 < params['ab_5_sma200']))
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#SMA400
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conditions.append((dataframe['close'] > dataframe['sma400'])|(0.5 > params['ab_6_sma400']))
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conditions.append((dataframe['close'] < dataframe['sma400'])|(-0.5 < params['ab_6_sma400']))
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#SMA10k
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conditions.append((dataframe['close'] > dataframe['sma10k'])|(0.5 > params['ab_7_sma10k']))
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conditions.append((dataframe['close'] < dataframe['sma10k'])|(-0.5 < params['ab_7_sma10k']))
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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##DOWNSWINGS / UPSWINGS PPO'S
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#ppo5 UP OR DOWN (1 UP, 0 NOTHING, -1 DOWN)
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conditions.append((dataframe['ppo5'].shift(2) <dataframe['ppo5'])|(0.5 > params['sell_swings_1_ppo5_up_or_down_bool']))
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conditions.append((dataframe['ppo5'].shift(2) >dataframe['ppo5'])|(-0.5 < params['sell_swings_1_ppo5_up_or_down_bool']))
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#ppo10
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conditions.append((dataframe['ppo10'].shift(3) <dataframe['ppo10'])|(0.5 > params['sell_swings_2_ppo10_up_or_down_bool']))
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conditions.append((dataframe['ppo10'].shift(3) >dataframe['ppo10'])|(-0.5 < params['sell_swings_2_ppo10_up_or_down_bool']))
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#ppo25
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#conditions.append((dataframe['ppo25'].shift(3) <dataframe['ppo25'])|(0.5 > params['sell_swings_3_ppo25_up_or_down_bool']))
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conditions.append((dataframe['ppo25'].shift(3) >dataframe['ppo25'])|(-0.5 < params['sell_swings_3_ppo25_up_or_down_bool']))
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#ppo50
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#conditions.append((dataframe['ppo50'].shift(3 <dataframe['ppo50'])|(0.5 > params['sell_swings_4_ppo50_up_or_down_bool']))
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conditions.append((dataframe['ppo50'].shift(3) >dataframe['ppo50'])|(-0.5 < params['sell_swings_4_ppo50_up_or_down_bool']))
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#ppo100
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#conditions.append((dataframe['ppo100'].shift(4) <dataframe['ppo100'])|(0.5 > params['sell_swings_5_ppo100_up_or_down_bool']))
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conditions.append((dataframe['ppo100'].shift(4) >dataframe['ppo100'])|(-0.5 < params['sell_swings_5_ppo100_up_or_down_bool']))
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#ppo200
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#conditions.append((dataframe['ppo200'].shift(4) <dataframe['ppo200'])|(0.5 > params['sell_swings_6_ppo200_up_or_down_bool']))
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conditions.append((dataframe['ppo200'].shift(4) >dataframe['ppo200'])|(-0.5 < params['sell_swings_6_ppo200_up_or_down_bool']))
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#ppo500
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#conditions.append((dataframe['ppo500'].shift(5) <dataframe['ppo500'])|(0.5 > params['sell_swings_7_ppo500_up_or_down_bool']))
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conditions.append((dataframe['ppo500'].shift(5) >dataframe['ppo500'])|(-0.5 < params['sell_swings_7_ppo500_up_or_down_bool']))
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#roc50
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#conditions.append((dataframe['roc50'].shift(3) <dataframe['roc50'])|(0.5 > params['sell_swings_8_roc50_up_or_down_bool']))
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conditions.append((dataframe['roc50'].shift(3) >dataframe['roc50'])|(-0.5 < params['sell_swings_8_roc50_up_or_down_bool']))
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#roc10
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#conditions.append((dataframe['roc10'].shift(2) <dataframe['roc10'])|(0.5 > params['sell_swings_9_roc10_up_or_down_bool']))
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conditions.append((dataframe['roc10'].shift(2) >dataframe['roc10'])|(-0.5 < params['sell_swings_9_roc10_up_or_down_bool']))
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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##DISTANCES/ROC
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##FOR MORE TOP SELLERS
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#dist50 MORE THAN
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if 'include_sell_dist_1_dist50_more_value' in params and params['include_sell_dist_1_dist50_more_value']:
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conditions.append(dataframe['dist50'] > (params['sell_dist_1_dist50_more_value']))
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#dist200 MORE THAN
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if 'include_sell_dist_2_dist200_more_value' in params and params['include_sell_dist_2_dist200_more_value']:
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conditions.append(dataframe['dist200'] > (params['sell_dist_2_dist200_more_value']))
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#dist400 MORE THAN
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if 'include_sell_dist_3_dist400_more_value' in params and params['include_sell_dist_3_dist400_more_value']:
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conditions.append(dataframe['dist400'] > (params['sell_dist_3_dist400_more_value']))
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#dist10k MORE THAN
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if 'include_sell_dist_4_dist10k_more_value' in params and params['include_sell_dist_4_dist10k_more_value']:
|
|
conditions.append(dataframe['dist10k'] > (params['sell_dist_4_dist10k_more_value']))
|
|
|
|
##FOR MORE TOP SELLERS
|
|
#more =further from top bol up
|
|
#dist_upbol50 MORE THAN
|
|
if 'include_sell_dist_5_dist_upbol50_more_value' in params and params['include_sell_dist_5_dist_upbol50_more_value']:
|
|
conditions.append(dataframe['dist_upbol50'] > (params['sell_dist_5_dist_upbol50_more_value']/2))
|
|
#dist_upbol100 MORE THAN
|
|
if 'include_sell_dist_6_dist_upbol100_more_value' in params and params['include_sell_dist_6_dist_upbol100_more_value']:
|
|
conditions.append(dataframe['dist_upbol100'] > (params['sell_dist_6_dist_upbol100_more_value']/2))
|
|
|
|
|
|
##for bot bol prevent seller
|
|
# #less =closer to bot bol
|
|
#dist_upbol50 LESS THAN.
|
|
#if 'include_sell_dist_7_dist_lowbol50_more_value' in params and params['include_sell_dist_7_dist_lowbol50_more_value']:
|
|
# conditions.append(dataframe['dist_lowbol50'] > (params['sell_dist_7_dist_lowbol50_more_value']/2))
|
|
#dist_upbol100 LESS THAN
|
|
# if 'include_sell_dist_8_dist_lowbol100_more_value' in params and params['include_sell_dist_8_dist_lowbol100_more_value']:
|
|
# conditions.append(dataframe['dist_lowbol100'] > (params['sell_dist_8_dist_lowbol100_more_value']/2))
|
|
|
|
|
|
|
|
##others
|
|
#roc50sma LESS THAN
|
|
if 'include_sell_dist_7_roc50sma_less_value' in params and params['include_sell_dist_7_roc50sma_less_value']:
|
|
conditions.append(dataframe['roc50sma'] < (params['sell_dist_7_roc50sma_less_value'])*2)
|
|
#roc200sma LESS THAN
|
|
if 'include_sell_dist_8_roc200sma_less_value' in params and params['include_sell_dist_8_roc200sma_less_value']:
|
|
conditions.append(dataframe['roc200sma'] < (params['sell_dist_8_roc200sma_less_value'])*2)
|
|
|
|
##ENABLE TO BUY AWAY FROM HIGH
|
|
# #HIGH500 TO CLOSE MORE THAN
|
|
#if 'include_sell_dist_9_high100_more_value' in params and params['include_sell_dist_9_high100_more_value']:
|
|
# conditions.append((dataframe['high100']-dataframe['close']) > ((dataframe['high100']/100* (params['sell_dist_9_high100_more_value']))
|
|
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
|
|
|
|
|
|
|
|
|
|
# Check that volume is not 0
|
|
conditions.append(dataframe['volume'] > 0)
|
|
|
|
|
|
|
|
|
|
if conditions:
|
|
|
|
|
|
# ##ENABLE PRODUCTION BUYS
|
|
# dataframe.loc[
|
|
# (add_production_buys_mid(dataframe)),
|
|
# 'buy'] = 1
|
|
#
|
|
|
|
|
|
dataframe.loc[
|
|
(~(reduce(lambda x, y: x & y, conditions)))&OPTIMIZED_RULE(dataframe,params),
|
|
'buy'] = 1
|
|
|
|
return dataframe
|
|
|
|
return populate_buy_trend
|
|
|
|
@staticmethod
|
|
def indicator_space() -> List[Dimension]:
|
|
"""
|
|
Define your Hyperopt space for searching strategy parameters
|
|
"""
|
|
return [
|
|
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
## CUSTOM RULE TRESHOLDS
|
|
|
|
# SKDecimal(5.0, 7.0,decimals=1, name='sell_trigger_0_roc_ab_value'),# 5 range 5-7 or 4-7
|
|
# SKDecimal(3.2, 4.5,decimals=1, name='sell_trigger_0_roc2_ab_value'),#3.8 range 3.2-4.5
|
|
# Integer(77, 82, name='sell_trigger_0_rsi_ab_value'),#79 range 82-77
|
|
# Integer(90, 95, name='sell_trigger_0_rsi5_ab_value'),#94 range 95-90
|
|
# Integer(63, 67, name='sell_trigger_0_rsi50_ab_value'),#66 range 67-63
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##MAIN
|
|
|
|
Categorical([1, 2, 3], name='sell_main_1_trend_strength'), #BIG TREND STR
|
|
Categorical([1, 2, 3], name='sell_main_2_trend_strength'), #SMALL UPTREND STR
|
|
|
|
|
|
#Categorical([-1, 0, 1], name='sell_main_2_small_uptrend_downtrend'), #SMALL UPTREND ON/OFF 1 is on -1 is down
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##INCLUDE/EXCLUDE RULES
|
|
|
|
Categorical([True, False], name='include_sell_ab_9_rsi_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_10_rsi_recent_pit_2_value'),
|
|
Categorical([True, False], name='include_sell_ab_11_rsi_recent_pit_4_value'),
|
|
Categorical([True, False], name='include_sell_ab_12_rsi5_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_13_rsi50_above_value'),
|
|
|
|
Categorical([True, False], name='include_sell_ab_14_roc_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_15_roc50_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_16_roc2_above_value'),
|
|
|
|
Categorical([True, False], name='include_sell_ab_17_ppo5_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_18_ppo10_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_19_ppo25_above_value'),
|
|
|
|
Categorical([True, False], name='include_sell_ab_20_ppo50_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_21_ppo100_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_22_ppo200_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_23_ppo500_above_value'),
|
|
|
|
##USE AT A LATER STEP
|
|
Categorical([True, False], name='include_sell_ab_24_convsmall_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_25_convmedium_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_26_convlarge_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_27_convultra_above_value'),
|
|
Categorical([True, False], name='include_sell_ab_28_convdist_above_value'),
|
|
|
|
Categorical([True, False], name='include_sell_dist_1_dist50_more_value'),
|
|
Categorical([True, False], name='include_sell_dist_2_dist200_more_value'),
|
|
Categorical([True, False], name='include_sell_dist_3_dist400_more_value'),
|
|
Categorical([True, False], name='include_sell_dist_4_dist10k_more_value'),
|
|
|
|
Categorical([True, False], name='include_sell_dist_5_dist_upbol50_more_value'),
|
|
Categorical([True, False], name='include_sell_dist_6_dist_upbol100_more_value'),
|
|
|
|
|
|
# FOR MORE DOWNTREND BUYS LIKELY
|
|
# Categorical([True, False], name='include_sell_dist_7_dist_lowbol50_more_value'),
|
|
# Categorical([True, False], name='include_sell_dist_8_dist_lowbol100_more_value'),
|
|
|
|
#MORE LIKE TRIGGERS
|
|
Categorical([True, False], name='include_sell_dist_7_roc50sma_less_value'),
|
|
Categorical([True, False], name='include_sell_dist_8_roc200sma_less_value'),
|
|
|
|
##below high 100
|
|
#Categorical([True, False], name='include_sell_dist_9_high100_more_value'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##ABOVE/BELOW VALUES
|
|
|
|
Integer(35, 82, name='sell_ab_9_rsi_above_value'),
|
|
Integer(18, 35, name='sell_ab_10_rsi_recent_pit_2_value'),
|
|
Integer(18, 35, name='sell_ab_11_rsi_recent_pit_4_value'),
|
|
Integer(70, 91, name='sell_ab_12_rsi5_above_value'),
|
|
Integer(37, 60, name='sell_ab_13_rsi50_above_value'),
|
|
|
|
Integer(-4, 10, name='sell_ab_14_roc_above_value'),#/2
|
|
Integer(-2, 8, name='sell_ab_15_roc50_above_value'),
|
|
Integer(-4, 8, name='sell_ab_16_roc2_above_value'),#/2
|
|
|
|
#--------------------------------
|
|
|
|
##CHANGE DEPENDING WHAT TYPE OF SELL --> PEAK OR DOWTRENDS
|
|
Integer(-4, 6, name='sell_ab_17_ppo5_above_value'),#/2
|
|
Integer(-4, 6, name='sell_ab_18_ppo10_above_value'),#/2
|
|
Integer(-10, 8, name='sell_ab_19_ppo25_above_value'),#/2
|
|
|
|
Integer(-10, 8, name='sell_ab_20_ppo50_above_value'),#/2
|
|
Integer(-6, 6, name='sell_ab_21_ppo100_above_value'),
|
|
Integer(-6, 6, name='sell_ab_22_ppo200_above_value'),
|
|
Integer(-4, 5, name='sell_ab_23_ppo500_above_value'),#*2
|
|
|
|
# ##USE AT A LATER STEP
|
|
#
|
|
# Integer(-1, 6, name='sell_ab_24_convsmall_above_value'),#/2 # extreme 12
|
|
# Integer(-1, 4, name='sell_ab_25_convmedium_above_value'),# extreme 6
|
|
# Integer(-1, 7, name='sell_ab_26_convlarge_above_value'),# extreme 12
|
|
# Integer(-1, 8, name='sell_ab_27_convultra_above_value'),#/2# extreme 12
|
|
#
|
|
# Integer(-1, 6, name='sell_ab_28_convdist_above_value'), #very extreme not useful 10+
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
#SMA'S GOING DOWN
|
|
|
|
Categorical([True, False], name='sell_down_0a_sma3'),
|
|
Categorical([True, False], name='sell_down_0b_sma5'),
|
|
Categorical([True, False], name='sell_down_1_sma10'),
|
|
Categorical([True, False], name='sell_down_2_sma25'),
|
|
Categorical([True, False], name='sell_down_3_sma50'),
|
|
Categorical([True, False], name='sell_down_4_sma100'),
|
|
Categorical([True, False], name='sell_down_5_sma200'),
|
|
|
|
Categorical([True, False], name='sell_down_6_sma400'),
|
|
Categorical([True, False], name='sell_down_7_sma10k'),
|
|
# Categorical([True, False], name='sell_down_8_sma20k'),
|
|
# Categorical([True, False], name='sell_down_9_sma30k'),
|
|
|
|
Categorical([True, False], name='sell_down_10_convsmall'),
|
|
Categorical([True, False], name='sell_down_11_convmedium'),
|
|
Categorical([True, False], name='sell_down_12_convlarge'),
|
|
Categorical([True, False], name='sell_down_13_convultra'),
|
|
Categorical([True, False], name='sell_down_14_convdist'),
|
|
|
|
Categorical([True, False], name='sell_down_15_vol50'),
|
|
Categorical([True, False], name='sell_down_16_vol100'),
|
|
Categorical([True, False], name='sell_down_17_vol175'),
|
|
Categorical([True, False], name='sell_down_18_vol250'),
|
|
Categorical([True, False], name='sell_down_19_vol500'),
|
|
|
|
Categorical([True, False], name='sell_down_20_vol1000'),
|
|
Categorical([True, False], name='sell_down_21_vol100mean'),
|
|
Categorical([True, False], name='sell_down_22_vol250mean'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##ABOVE/BELOW SMAS
|
|
|
|
Categorical([-1, 0, 1], name='sell_ab_1_sma10'),
|
|
Categorical([-1, 0, 1], name='sell_ab_2_sma25'),
|
|
Categorical([-1, 0, 1], name='sell_ab_3_sma50'),
|
|
|
|
Categorical([-1, 0, 1], name='sell_ab_4_sma100'),
|
|
Categorical([-1, 0, 1], name='sell_ab_5_sma200'),
|
|
Categorical([-1, 0, 1], name='sell_ab_6_sma400'),
|
|
Categorical([-1, 0, 1], name='sell_ab_7_sma10k'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##DOWNSWINGS / UPSWINGS PPO'S
|
|
|
|
##UP OR DOWN (1 UP, 0 NOTHING, -1 DOWN)
|
|
|
|
Categorical([-1, 0, 1], name='sell_swings_1_ppo5_up_or_down_bool'),
|
|
Categorical([-1, 0, 1], name='sell_swings_2_ppo10_up_or_down_bool'),
|
|
Categorical([-1, 0], name='sell_swings_3_ppo25_up_or_down_bool'),
|
|
|
|
Categorical([-1, 0], name='sell_swings_4_ppo50_up_or_down_bool'),
|
|
Categorical([-1, 0], name='sell_swings_5_ppo100_up_or_down_bool'),
|
|
Categorical([-1, 0], name='sell_swings_6_ppo200_up_or_down_bool'),
|
|
Categorical([-1, 0], name='sell_swings_7_ppo500_up_or_down_bool'),
|
|
|
|
Categorical([-1, 0], name='sell_swings_8_roc50_up_or_down_bool'),
|
|
Categorical([-1, 0], name='sell_swings_9_roc10_up_or_down_bool'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
#DISTANCES
|
|
|
|
#FOR MORE TOP SELLERS
|
|
Integer(-6, 14, name='sell_dist_1_dist50_more_value'), #extreme, useless -4 ,30
|
|
Integer(-8, 20, name='sell_dist_2_dist200_more_value'), #extreme, useless -12-40
|
|
Integer(-15, 30, name='sell_dist_3_dist400_more_value'),
|
|
Integer(-15, 35, name='sell_dist_4_dist10k_more_value'),
|
|
|
|
#FOR MORE TOP SELLERS
|
|
Integer(-30, 25, name='sell_dist_5_dist_upbol50_more_value'),#/2
|
|
Integer(-30, 25, name='sell_dist_6_dist_upbol100_more_value'),#/2
|
|
|
|
|
|
#FOR MORE DOWNTREND BUYS LIKELY
|
|
# Integer(-8, 50, name='sell_dist_7_dist_lowbol50_more_value'),#/2 ##set to more, as in higher from lower boll
|
|
# Integer(-8, 50, name='sell_dist_8_dist_lowbol100_more_value'),#/2 ##set to more, as in higher from lower boll
|
|
|
|
# Integer(-70, 40, name='sell_dist_7_roc50sma_more_value'),#*2 ##fix less more
|
|
# Integer(-40, 12, name='sell_dist_8_roc200sma_more_value'),#*2
|
|
|
|
##below high 100
|
|
#Integer(0, 0, name='sell_dist_9_high100_more_value'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
|
|
|
|
|
|
]
|
|
|
|
|
|
|
|
@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
|
|
|
|
|
|
#---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
#---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
|
|
##MAIN SELECTORS
|
|
|
|
#--------------------
|
|
|
|
##VOLATILITY
|
|
|
|
conditions.append(dataframe['vol_mid'] > 0 )
|
|
|
|
# conditions.append((dataframe['vol_low'] > 0) |(dataframe['vol_mid'] > 0) )
|
|
|
|
# conditions.append((dataframe['vol_high'] > 0) |(dataframe['vol_mid'] > 0) )
|
|
|
|
#--------------------
|
|
|
|
|
|
##PICKS TREND COMBO
|
|
|
|
conditions.append(
|
|
|
|
(dataframe['uptrend'] >= params['main_1_trend_strength'])
|
|
|#OR &
|
|
(dataframe['uptrendsmall'] >= params['main_2_trend_strength'])
|
|
|
|
)
|
|
|
|
##UPTREND
|
|
#conditions.append(dataframe['uptrend'] >= params['main_1_trend_strength'])
|
|
##DOWNTREND
|
|
#conditions.append(dataframe['downtrend'] >= params['main_1_trend_strength'])
|
|
##NOTREND
|
|
#conditions.append((dataframe['uptrend'] <1)&(dataframe['downtrend'] <1))
|
|
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
##ABOVE/BELOW VALUES
|
|
|
|
#RSI BELOW
|
|
if 'include_ab_9_rsi_below_value' in params and params['include_ab_9_rsi_below_value']:
|
|
conditions.append(dataframe['rsi'] < params['ab_9_rsi_below_value'])
|
|
#RSI RECENT PEAK 5
|
|
if 'include_ab_10_rsi_recent_peak_2_value' in params and params['include_ab_10_rsi_recent_peak_2_value']:
|
|
conditions.append(dataframe['rsi'].rolling(2).max() < params['ab_10_rsi_recent_peak_2_value'])
|
|
|
|
#RSI RECENT PEAK 12
|
|
if 'include_ab_11_rsi_recent_peak_4_value' in params and params['include_ab_11_rsi_recent_peak_4_value']:
|
|
conditions.append(dataframe['rsi'].rolling(4).max() < params['ab_11_rsi_recent_peak_4_value'])
|
|
#RSI5 BELOW
|
|
if 'include_ab_12_rsi5_below_value' in params and params['include_ab_12_rsi5_below_value']:
|
|
conditions.append(dataframe['rsi5'] < params['ab_12_rsi5_below_value'])
|
|
#RSI50 BELOW
|
|
if 'include_ab_13_rsi50_below_value' in params and params['include_ab_13_rsi50_below_value']:
|
|
conditions.append(dataframe['rsi50'] < params['ab_13_rsi50_below_value'])
|
|
|
|
#-----------------------
|
|
|
|
#ROC BELOW
|
|
if 'include_ab_14_roc_below_value' in params and params['include_ab_14_roc_below_value']:
|
|
conditions.append(dataframe['roc'] < (params['ab_14_roc_below_value']/2))
|
|
#ROC50 BELOW
|
|
if 'include_ab_15_roc50_below_value' in params and params['include_ab_15_roc50_below_value']:
|
|
conditions.append(dataframe['roc50'] < (params['ab_15_roc50_below_value']))
|
|
#ROC2 BELOW
|
|
if 'include_ab_16_roc2_below_value' in params and params['include_ab_16_roc2_below_value']:
|
|
conditions.append(dataframe['roc2'] < (params['ab_16_roc2_below_value']/2))
|
|
|
|
#-----------------------
|
|
|
|
#PPO5 BELOW
|
|
if 'include_ab_17_ppo5_below_value' in params and params['include_ab_17_ppo5_below_value']:
|
|
conditions.append(dataframe['ppo5'] < (params['ab_17_ppo5_below_value']/2))
|
|
#PPO10 BELOW
|
|
if 'include_ab_18_ppo10_below_value' in params and params['include_ab_18_ppo10_below_value']:
|
|
conditions.append(dataframe['ppo10'] < (params['ab_18_ppo10_below_value']/2))
|
|
#PPO25 BELOW
|
|
if 'include_ab_19_ppo25_below_value' in params and params['include_ab_19_ppo25_below_value']:
|
|
conditions.append(dataframe['ppo25'] < (params['ab_19_ppo25_below_value']/2))
|
|
|
|
#PPO50 BELOW
|
|
if 'include_ab_20_ppo50_below_value' in params and params['include_ab_20_ppo50_below_value']:
|
|
conditions.append(dataframe['ppo50'] < (params['ab_20_ppo50_below_value']/2))
|
|
#PPO100 BELOW
|
|
if 'include_ab_21_ppo100_below_value' in params and params['include_ab_21_ppo100_below_value']:
|
|
conditions.append(dataframe['ppo100'] < (params['ab_21_ppo100_below_value']))
|
|
#PPO200 BELOW
|
|
if 'include_ab_22_ppo200_below_value' in params and params['include_ab_22_ppo200_below_value']:
|
|
conditions.append(dataframe['ppo200'] < (params['ab_22_ppo200_below_value']))
|
|
#PPO500 BELOW
|
|
if 'include_ab_23_ppo500_below_value' in params and params['include_ab_23_ppo500_below_value']:
|
|
conditions.append(dataframe['ppo500'] < (params['ab_23_ppo500_below_value']*2))
|
|
|
|
##USE AT A LATER STEP
|
|
|
|
#convsmall BELOW
|
|
if 'include_ab_24_convsmall_below_value' in params and params['include_ab_24_convsmall_below_value']:
|
|
conditions.append(dataframe['convsmall'] < (params['ab_24_convsmall_below_value']/2))
|
|
#convmedium BELOW
|
|
if 'include_ab_25_convmedium_below_value' in params and params['include_ab_25_convmedium_below_value']:
|
|
conditions.append(dataframe['convmedium'] < (params['ab_25_convmedium_below_value']))
|
|
#convlarge BELOW
|
|
if 'include_ab_26_convlarge_below_value' in params and params['include_ab_26_convlarge_below_value']:
|
|
conditions.append(dataframe['convlarge'] < (params['ab_26_convlarge_below_value']))
|
|
#convultra BELOW
|
|
if 'include_ab_27_convultra_below_value' in params and params['include_ab_27_convultra_below_value']:
|
|
conditions.append(dataframe['convultra'] < (params['ab_27_convultra_below_value']/2))
|
|
#convdist BELOW
|
|
if 'include_ab_28_convdist_below_value' in params and params['include_ab_28_convdist_below_value']:
|
|
conditions.append(dataframe['convdist'] < (params['ab_28_convdist_below_value']))
|
|
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
|
|
##SMA'S GOING UP
|
|
|
|
if 'up_0a_sma3' in params and params['up_0a_sma3']:
|
|
conditions.append((dataframe['sma3'].shift(1) <dataframe['sma3']))
|
|
if 'up_0b_sma5' in params and params['up_0b_sma5']:
|
|
conditions.append((dataframe['sma5'].shift(1) <dataframe['sma5']))
|
|
if 'up_1_sma10' in params and params['up_1_sma10']:
|
|
conditions.append((dataframe['sma10'].shift(1) <dataframe['sma10']))
|
|
if 'up_2_sma25' in params and params['up_2_sma25']:
|
|
conditions.append((dataframe['sma25'].shift(1) <dataframe['sma25']))
|
|
if 'up_3_sma50' in params and params['up_3_sma50']:
|
|
conditions.append((dataframe['sma50'].shift(2) <dataframe['sma50']))
|
|
if 'up_4_sma100' in params and params['up_4_sma100']:
|
|
conditions.append((dataframe['sma100'].shift(3) <dataframe['sma100']))
|
|
if 'up_5_sma200' in params and params['up_5_sma200']:
|
|
conditions.append((dataframe['sma200'].shift(4) <dataframe['sma200']))
|
|
|
|
if 'up_6_sma400' in params and params['up_6_sma400']:
|
|
conditions.append((dataframe['sma400'].shift(4) <dataframe['sma400']))
|
|
if 'up_7_sma10k' in params and params['up_7_sma10k']:
|
|
conditions.append((dataframe['sma10k'].shift(5) <dataframe['sma10k']))
|
|
# if 'up_8_sma20k' in params and params['up_8_sma20k']:
|
|
# conditions.append((dataframe['sma20k'].shift(5) <dataframe['sma20k']))
|
|
# if 'up_9_sma30k' in params and params['up_9_sma30k']:
|
|
# conditions.append((dataframe['sma30k'].shift(5) <dataframe['sma30k']))
|
|
|
|
if 'up_10_convsmall' in params and params['up_10_convsmall']:
|
|
conditions.append((dataframe['convsmall'].shift(2) <dataframe['convsmall']))
|
|
if 'up_11_convmedium' in params and params['up_11_convmedium']:
|
|
conditions.append((dataframe['convmedium'].shift(3) <dataframe['convmedium']))
|
|
if 'up_12_convlarge' in params and params['up_12_convlarge']:
|
|
conditions.append((dataframe['convlarge'].shift(4) <dataframe['convlarge']))
|
|
if 'up_13_convultra' in params and params['up_13_convultra']:
|
|
conditions.append((dataframe['convultra'].shift(4) <dataframe['convultra']))
|
|
if 'up_14_convdist' in params and params['up_14_convdist']:
|
|
conditions.append((dataframe['convdist'].shift(4) <dataframe['convdist']))
|
|
|
|
if 'up_15_vol50' in params and params['up_15_vol50']:
|
|
conditions.append((dataframe['vol50'].shift(2) <dataframe['vol50']))
|
|
if 'up_16_vol100' in params and params['up_16_vol100']:
|
|
conditions.append((dataframe['vol100'].shift(3) <dataframe['vol100']))
|
|
if 'up_17_vol175' in params and params['up_17_vol175']:
|
|
conditions.append((dataframe['vol175'].shift(4) <dataframe['vol175']))
|
|
if 'up_18_vol250' in params and params['up_18_vol250']:
|
|
conditions.append((dataframe['vol250'].shift(4) <dataframe['vol250']))
|
|
if 'up_19_vol500' in params and params['up_19_vol500']:
|
|
conditions.append((dataframe['vol500'].shift(4) <dataframe['vol500']))
|
|
|
|
if 'up_20_vol1000' in params and params['up_20_vol1000']:
|
|
conditions.append((dataframe['vol1000'].shift(4) <dataframe['vol1000']))
|
|
if 'up_21_vol100mean' in params and params['up_21_vol100mean']:
|
|
conditions.append((dataframe['vol100mean'].shift(4) <dataframe['vol100mean']))
|
|
if 'up_22_vol250mean' in params and params['up_22_vol250mean']:
|
|
conditions.append((dataframe['vol250mean'].shift(4) <dataframe['vol250mean']))
|
|
|
|
|
|
if 'up_20_conv3' in params and params['up_20_conv3']:
|
|
conditions.append(((dataframe['conv3'].shift(25) < dataframe['conv3'])&(dataframe['conv3'].shift(50) < dataframe['conv3'])))
|
|
if 'up_21_vol5' in params and params['up_21_vol5']:
|
|
conditions.append(((dataframe['vol5'].shift(25) < dataframe['vol5'])&(dataframe['vol5'].shift(50) < dataframe['vol5'])))
|
|
if 'up_22_vol5ultra' in params and params['up_22_vol5ultra']:
|
|
conditions.append(((dataframe['vol5ultra'].shift(25) < dataframe['vol5ultra'])&(dataframe['vol5ultra'].shift(50) < dataframe['vol5ultra'])))
|
|
if 'up_23_vol1ultra' in params and params['up_23_vol1ultra']:
|
|
conditions.append(((dataframe['vol1ultra'].shift(25) < dataframe['vol1ultra'])& (dataframe['vol1ultra'].shift(50) < dataframe['vol1ultra'])))
|
|
if 'up_24_vol1' in params and params['up_24_vol1']:
|
|
conditions.append(((dataframe['vol1'].shift(30) < dataframe['vol1'])&(dataframe['vol1'].shift(10) < dataframe['vol1'])))
|
|
if 'up_25_vol5inc24' in params and params['up_25_vol5inc24']:
|
|
conditions.append((dataframe['vol5inc24'].shift(50) < dataframe['vol5inc24']))
|
|
|
|
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
##ABOVE / BELOW SMAS 1 above/ 0 None / -1 below
|
|
|
|
#SMA10
|
|
conditions.append((dataframe['close'] > dataframe['sma10'])|(0.5 > params['ab_1_sma10']))
|
|
conditions.append((dataframe['close'] < dataframe['sma10'])|(-0.5 < params['ab_1_sma10']))
|
|
#SMA25
|
|
conditions.append((dataframe['close'] > dataframe['sma25'])|(0.5 > params['ab_2_sma25']))
|
|
conditions.append((dataframe['close'] < dataframe['sma25'])|(-0.5 < params['ab_2_sma25']))
|
|
#SMA50
|
|
conditions.append((dataframe['close'] > dataframe['sma50'])|(0.5 > params['ab_3_sma50']))
|
|
conditions.append((dataframe['close'] < dataframe['sma50'])|(-0.5 < params['ab_3_sma50']))
|
|
|
|
|
|
#SMA100
|
|
conditions.append((dataframe['close'] > dataframe['sma100'])|(0.5 > params['ab_4_sma100']))
|
|
conditions.append((dataframe['close'] < dataframe['sma100'])|(-0.5 < params['ab_4_sma100']))
|
|
#SMA100
|
|
conditions.append((dataframe['close'] > dataframe['sma200'])|(0.5 > params['ab_5_sma200']))
|
|
conditions.append((dataframe['close'] < dataframe['sma200'])|(-0.5 < params['ab_5_sma200']))
|
|
#SMA400
|
|
conditions.append((dataframe['close'] > dataframe['sma400'])|(0.5 > params['ab_6_sma400']))
|
|
conditions.append((dataframe['close'] < dataframe['sma400'])|(-0.5 < params['ab_6_sma400']))
|
|
#SMA10k
|
|
conditions.append((dataframe['close'] > dataframe['sma10k'])|(0.5 > params['ab_7_sma10k']))
|
|
conditions.append((dataframe['close'] < dataframe['sma10k'])|(-0.5 < params['ab_7_sma10k']))
|
|
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
##DOWNSWINGS / UPSWINGS PPO'S
|
|
|
|
#ppo5 UP OR DOWN (1 UP, 0 NOTHING, -1 DOWN)
|
|
conditions.append((dataframe['ppo5'].shift(1) <dataframe['ppo5'])|(0.5 > params['swings_1_ppo5_up_or_down_bool']))
|
|
conditions.append((dataframe['ppo5'].shift(1) >dataframe['ppo5'])|(-0.5 < params['swings_1_ppo5_up_or_down_bool']))
|
|
#ppo10
|
|
conditions.append((dataframe['ppo10'].shift(1) <dataframe['ppo10'])|(0.5 > params['swings_2_ppo10_up_or_down_bool']))
|
|
conditions.append((dataframe['ppo10'].shift(1) >dataframe['ppo10'])|(-0.5 < params['swings_2_ppo10_up_or_down_bool']))
|
|
#ppo25
|
|
conditions.append((dataframe['ppo25'].shift(1) <dataframe['ppo25'])|(0.5 > params['swings_3_ppo25_up_or_down_bool']))
|
|
#conditions.append((dataframe['ppo25'].shift(1) >dataframe['ppo25'])|(-0.5 < params['swings_3_ppo25_up_or_down_bool']))
|
|
|
|
#ppo50
|
|
conditions.append((dataframe['ppo50'].shift(2) <dataframe['ppo50'])|(0.5 > params['swings_4_ppo50_up_or_down_bool']))
|
|
#conditions.append((dataframe['ppo50'].shift(2) >dataframe['ppo50'])|(-0.5 < params['swings_4_ppo50_up_or_down_bool']))
|
|
#ppo100
|
|
conditions.append((dataframe['ppo100'].shift(3) <dataframe['ppo100'])|(0.5 > params['swings_5_ppo100_up_or_down_bool']))
|
|
#conditions.append((dataframe['ppo100'].shift(3) >dataframe['ppo100'])|(-0.5 < params['swings_5_ppo100_up_or_down_bool']))
|
|
#ppo200
|
|
conditions.append((dataframe['ppo200'].shift(4) <dataframe['ppo200'])|(0.5 > params['swings_6_ppo200_up_or_down_bool']))
|
|
#conditions.append((dataframe['ppo200'].shift(4) >dataframe['ppo200'])|(-0.5 < params['swings_6_ppo200_up_or_down_bool']))
|
|
#ppo500
|
|
conditions.append((dataframe['ppo500'].shift(5) <dataframe['ppo500'])|(0.5 > params['swings_7_ppo500_up_or_down_bool']))
|
|
#conditions.append((dataframe['ppo500'].shift(5) >dataframe['ppo500'])|(-0.5 < params['swings_7_ppo500_up_or_down_bool']))
|
|
|
|
#roc50
|
|
conditions.append((dataframe['roc50'].shift(2) <dataframe['roc50'])|(0.5 > params['swings_8_roc50_up_or_down_bool']))
|
|
#conditions.append((dataframe['roc50'].shift(3) >dataframe['roc50'])|(-0.5 < params['swings_8_roc50_up_or_down_bool']))
|
|
#roc10
|
|
conditions.append((dataframe['roc10'].shift(1) <dataframe['roc10'])|(0.5 > params['swings_9_roc10_up_or_down_bool']))
|
|
#conditions.append((dataframe['roc10'].shift(2) >dataframe['roc10'])|(-0.5 < params['swings_9_roc10_up_or_down_bool']))
|
|
|
|
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
|
|
##DISTANCES/ROC
|
|
|
|
#dist50 LESS THAN
|
|
if 'include_dist_1_dist50_less_value' in params and params['include_dist_1_dist50_less_value']:
|
|
conditions.append(dataframe['dist50'] < (params['dist_1_dist50_less_value']))
|
|
#dist200 LESS THAN
|
|
if 'include_dist_2_dist200_less_value' in params and params['include_dist_2_dist200_less_value']:
|
|
conditions.append(dataframe['dist200'] < (params['dist_2_dist200_less_value']))
|
|
|
|
#dist400 LESS THAN
|
|
if 'include_dist_3_dist400_less_value' in params and params['include_dist_3_dist400_less_value']:
|
|
conditions.append(dataframe['dist400'] < (params['dist_3_dist400_less_value']))
|
|
#dist10k LESS THAN
|
|
if 'include_dist_4_dist10k_less_value' in params and params['include_dist_4_dist10k_less_value']:
|
|
conditions.append(dataframe['dist10k'] < (params['dist_4_dist10k_less_value']))
|
|
|
|
#less =further from top bol
|
|
#dist_upbol50 LESS THAN
|
|
if 'include_dist_5_dist_upbol50_less_value' in params and params['include_dist_5_dist_upbol50_less_value']:
|
|
conditions.append(dataframe['dist_upbol50'] < (params['dist_5_dist_upbol50_less_value']/2))
|
|
#dist_upbol100 LESS THAN
|
|
if 'include_dist_6_dist_upbol100_less_value' in params and params['include_dist_6_dist_upbol100_less_value']:
|
|
conditions.append(dataframe['dist_upbol100'] < (params['dist_6_dist_upbol100_less_value']/2))
|
|
|
|
# #less =closer to bot bol
|
|
# #dist_upbol50 LESS THAN
|
|
# if 'include_dist_7_dist_lowbol50_less_value' in params and params['include_dist_7_dist_lowbol50_less_value']:
|
|
# conditions.append(dataframe['dist_lowbol50'] < (params['dist_7_dist_lowbol50_less_value']/2))
|
|
# #dist_upbol100 LESS THAN
|
|
# if 'include_dist_8_dist_lowbol100_less_value' in params and params['include_dist_8_dist_lowbol100_less_value']:
|
|
# conditions.append(dataframe['dist_lowbol100'] < (params['dist_8_dist_lowbol100_less_value']/2))
|
|
|
|
|
|
|
|
#others
|
|
##roc50sma MORE THAN
|
|
if 'include_dist_7_roc50sma_less_value' in params and params['include_dist_7_roc50sma_less_value']:
|
|
conditions.append(dataframe['roc50sma'] < (params['dist_7_roc50sma_less_value']*2))
|
|
#roc200sma MORE THAN
|
|
if 'include_dist_8_roc200sma_less_value' in params and params['include_dist_8_roc200sma_less_value']:
|
|
conditions.append(dataframe['roc200sma'] < (params['dist_8_roc200sma_less_value']*2))
|
|
|
|
##ENABLE TO BUY AWAY FROM HIGH
|
|
# #HIGH500 TO CLOSE MORE THAN
|
|
#if 'include_dist_9_high100_more_value' in params and params['include_dist_9_high100_more_value']:
|
|
# conditions.append((dataframe['high100']-dataframe['close']) > ((dataframe['high100']/100* (params['dist_9_high100_more_value']))
|
|
|
|
#-------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|
|
|
|
|
|
|
|
|
|
|
|
# Check that volume is not 0
|
|
conditions.append(dataframe['volume'] > 0)
|
|
|
|
if conditions:
|
|
|
|
|
|
# ##ENABLE SELLS ALWAYS ON OTHER VOLATILITYS
|
|
# dataframe.loc[
|
|
# ((dataframe['vol_low'] > 0) |(dataframe['vol_high'] > 0) ),
|
|
# 'sell'] = 1
|
|
|
|
|
|
# ##ENABLE PRODUCTION SELLS
|
|
# dataframe.loc[
|
|
# (add_production_sells_low(dataframe)),
|
|
# 'sell'] = 1
|
|
#
|
|
|
|
dataframe.loc[
|
|
(~(reduce(lambda x, y: x & y, conditions)))&OPTIMIZED_RULE(dataframe,params),
|
|
'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 [
|
|
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
## CUSTOM RULE TRESHOLDS
|
|
|
|
# SKDecimal(5.0, 7.0,decimals=1, name='sell_trigger_0_roc_ab_value'),# 5 range 5-7 or 4-7
|
|
# SKDecimal(3.2, 4.5,decimals=1, name='sell_trigger_0_roc2_ab_value'),#3.8 range 3.2-4.5
|
|
# Integer(77, 82, name='sell_trigger_0_rsi_ab_value'),#79 range 82-77
|
|
# Integer(90, 95, name='sell_trigger_0_rsi5_ab_value'),#94 range 95-90
|
|
# Integer(63, 67, name='sell_trigger_0_rsi50_ab_value'),#66 range 67-63
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##MAIN
|
|
|
|
Categorical([1, 2, 3], name='main_1_trend_strength'), #UPTREND STR
|
|
Categorical([1, 2, 3], name='main_2_trend_strength'), #SMALL UPTREND STR
|
|
|
|
|
|
#Categorical([-1, 0, 1], name='main_2_small_uptrend_downtrend'), #SMALL UPTREND ON/OFF 1 is on -1 is down
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##INCLUDE/EXCLUDE RULES
|
|
|
|
Categorical([True, False], name='include_ab_9_rsi_below_value'),
|
|
Categorical([True, False], name='include_ab_10_rsi_recent_peak_2_value'),
|
|
Categorical([True, False], name='include_ab_11_rsi_recent_peak_4_value'),
|
|
Categorical([True, False], name='include_ab_12_rsi5_below_value'),
|
|
Categorical([True, False], name='include_ab_13_rsi50_below_value'),
|
|
|
|
Categorical([True, False], name='include_ab_14_roc_below_value'),
|
|
Categorical([True, False], name='include_ab_15_roc50_below_value'),
|
|
Categorical([True, False], name='include_ab_16_roc2_below_value'),
|
|
|
|
Categorical([True, False], name='include_ab_17_ppo5_below_value'),
|
|
Categorical([True, False], name='include_ab_18_ppo10_below_value'),
|
|
Categorical([True, False], name='include_ab_19_ppo25_below_value'),
|
|
|
|
Categorical([True, False], name='include_ab_20_ppo50_below_value'),
|
|
Categorical([True, False], name='include_ab_21_ppo100_below_value'),
|
|
Categorical([True, False], name='include_ab_22_ppo200_below_value'),
|
|
Categorical([True, False], name='include_ab_23_ppo500_below_value'),
|
|
|
|
##USE AT A LATER STEP
|
|
Categorical([True, False], name='include_ab_24_convsmall_below_value'),
|
|
Categorical([True, False], name='include_ab_25_convmedium_below_value'),
|
|
Categorical([True, False], name='include_ab_26_convlarge_below_value'),
|
|
Categorical([True, False], name='include_ab_27_convultra_below_value'),
|
|
|
|
Categorical([True, False], name='include_ab_28_convdist_below_value'),
|
|
|
|
Categorical([True, False], name='include_dist_1_dist50_less_value'),
|
|
Categorical([True, False], name='include_dist_2_dist200_less_value'),
|
|
Categorical([True, False], name='include_dist_3_dist400_less_value'),
|
|
Categorical([True, False], name='include_dist_4_dist10k_less_value'),
|
|
|
|
Categorical([True, False], name='include_dist_5_dist_upbol50_less_value'),
|
|
Categorical([True, False], name='include_dist_6_dist_upbol100_less_value'),
|
|
|
|
|
|
# FOR MORE DOWNTREND BUYS LIKELY
|
|
# Categorical([True, False], name='include_dist_7_dist_lowbol50_less_value'),
|
|
# Categorical([True, False], name='include_dist_8_dist_lowbol100_less_value'),
|
|
|
|
#MORE LIKE TRIGGERS
|
|
Categorical([True, False], name='include_dist_7_roc50sma_less_value'),
|
|
Categorical([True, False], name='include_dist_8_roc200sma_less_value'),
|
|
|
|
##below high 100
|
|
#Categorical([True, False], name='include_dist_9_high100_more_value'),
|
|
|
|
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##ABOVE/BELOW VALUES
|
|
|
|
Integer(35, 75, name='ab_9_rsi_below_value'),
|
|
Integer(60, 82, name='ab_10_rsi_recent_peak_2_value'),
|
|
Integer(60, 82, name='ab_11_rsi_recent_peak_4_value'),
|
|
Integer(40, 101, name='ab_12_rsi5_below_value'),
|
|
Integer(37, 73, name='ab_13_rsi50_below_value'),
|
|
|
|
Integer(-6, 10, name='ab_14_roc_below_value'),#/2
|
|
Integer(-8, 8, name='ab_15_roc50_below_value'),
|
|
Integer(-4, 6, name='ab_16_roc2_below_value'),#/2
|
|
|
|
#--------------------------------
|
|
|
|
Integer(-4, 4, name='ab_17_ppo5_below_value'),#/2
|
|
Integer(-5, 5, name='ab_18_ppo10_below_value'),#/2
|
|
Integer(-8, 10, name='ab_19_ppo25_below_value'),#/2
|
|
|
|
Integer(-6, 7, name='ab_20_ppo50_below_value'),#/2
|
|
Integer(-6, 7, name='ab_21_ppo100_below_value'),
|
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Integer(-5, 7, name='ab_22_ppo200_below_value'),
|
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Integer(-4, 4, name='ab_23_ppo500_below_value'),#*2
|
|
|
|
##USE AT A LATER STEP
|
|
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|
Integer(1, 12, name='ab_24_convsmall_below_value'),#/2 #final
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|
Integer(1, 6, name='ab_25_convmedium_below_value'),#final
|
|
Integer(1, 15, name='ab_26_convlarge_below_value'), #final
|
|
Integer(2, 12, name='ab_27_convultra_below_value'),#/2 #final
|
|
|
|
Integer(2, 30, name='ab_28_convdist_below_value'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
#SMA'S GOING UP
|
|
|
|
Categorical([True, False], name='up_0a_sma3'),
|
|
Categorical([True, False], name='up_0b_sma5'),
|
|
Categorical([True, False], name='up_1_sma10'),
|
|
Categorical([True, False], name='up_2_sma25'),
|
|
Categorical([True, False], name='up_3_sma50'),
|
|
Categorical([True, False], name='up_4_sma100'),
|
|
Categorical([True, False], name='up_5_sma200'),
|
|
|
|
Categorical([True, False], name='up_6_sma400'),
|
|
Categorical([True, False], name='up_7_sma10k'),
|
|
# Categorical([True, False], name='up_8_sma20k'),
|
|
# Categorical([True, False], name='up_9_sma30k'),
|
|
|
|
Categorical([True, False], name='up_10_convsmall'),
|
|
Categorical([True, False], name='up_11_convmedium'),
|
|
Categorical([True, False], name='up_12_convlarge'),
|
|
Categorical([True, False], name='up_13_convultra'),
|
|
Categorical([True, False], name='up_14_convdist'),
|
|
|
|
Categorical([True, False], name='up_15_vol50'),
|
|
Categorical([True, False], name='up_16_vol100'),
|
|
Categorical([True, False], name='up_17_vol175'),
|
|
Categorical([True, False], name='up_18_vol250'),
|
|
Categorical([True, False], name='up_19_vol500'),
|
|
|
|
Categorical([True, False], name='up_20_vol1000'),
|
|
Categorical([True, False], name='up_21_vol100mean'),
|
|
Categorical([True, False], name='up_22_vol250mean'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##ABOVE/BELOW SMAS
|
|
|
|
Categorical([-1, 0, 1], name='ab_1_sma10'),
|
|
Categorical([-1, 0, 1], name='ab_2_sma25'),
|
|
Categorical([-1, 0, 1], name='ab_3_sma50'),
|
|
|
|
Categorical([-1, 0, 1], name='ab_4_sma100'),
|
|
Categorical([-1, 0, 1], name='ab_5_sma200'),
|
|
Categorical([-1, 0, 1], name='ab_6_sma400'),
|
|
Categorical([-1, 0, 1], name='ab_7_sma10k'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##DOWNSWINGS / UPSWINGS PPO'S
|
|
|
|
##UP OR DOWN (1 UP, 0 NOTHING, -1 DOWN)
|
|
|
|
Categorical([-1, 0, 1], name='swings_1_ppo5_up_or_down_bool'), # -1 down, 1 up , 0 off
|
|
Categorical([-1, 0, 1],name='swings_2_ppo10_up_or_down_bool'),
|
|
Categorical([-1, 0, 1], name='swings_3_ppo25_up_or_down_bool'), #1 up , 0 off
|
|
|
|
Categorical([0, 1], name='swings_4_ppo50_up_or_down_bool'),
|
|
Categorical([0, 1], name='swings_5_ppo100_up_or_down_bool'),
|
|
Categorical([0, 1], name='swings_6_ppo200_up_or_down_bool'),
|
|
Categorical([ 0, 1],name='swings_7_ppo500_up_or_down_bool'),
|
|
|
|
Categorical([0, 1], name='swings_8_roc50_up_or_down_bool'),
|
|
Categorical([0, 1], name='swings_9_roc10_up_or_down_bool'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
##DISTANCES
|
|
|
|
Integer(-7, 14, name='dist_1_dist50_less_value'), ##extreme 8-30
|
|
Integer(-8, 25, name='dist_2_dist200_less_value'), ##extreme 12 -40
|
|
Integer(-12, 35, name='dist_3_dist400_less_value'),
|
|
Integer(-12, 40, name='dist_4_dist10k_less_value'),
|
|
|
|
Integer(-25, 30, name='dist_5_dist_upbol50_less_value'),#/2
|
|
Integer(-25, 30, name='dist_6_dist_upbol100_less_value'),#/2
|
|
|
|
|
|
# FOR MORE DOWNTREND BUYS LIKELY
|
|
# Integer(-6, 100, name='dist_7_dist_lowbol50_less_value'),#/2
|
|
# Integer(-6, 100, name='dist_8_dist_lowbol100_less_value'),#/2
|
|
|
|
##MORE LIKE TRIGGERS
|
|
# Integer(-40, 70, name='dist_7_roc50sma_less_value'),#*2 ##pretty extreme
|
|
# Integer(-12, 40, name='dist_8_roc200sma_less_value'),#*2
|
|
|
|
##below high 100
|
|
#Integer(0, 0, name='dist_9_high100_more_value'),
|
|
|
|
#-------------------------------------------------------------------------------------------------------
|
|
|
|
|
|
|
|
|
|
|
|
]
|
|
|
|
|
|
def OPTIMIZED_RULE(dataframe,params):
|
|
return(
|
|
|
|
(dataframe['sma100'] < dataframe['close'])
|
|
|
|
)
|
|
|
|
def add_production_buys_mid(dataframe):
|
|
return(
|
|
|
|
MID_VOLATILITY(dataframe)
|
|
&
|
|
mid_volatility_buyer(dataframe)
|
|
)
|
|
|
|
def add_production_sells_mid(dataframe):
|
|
return(
|
|
|
|
MID_VOLATILITY(dataframe)
|
|
&
|
|
mid_volatility_seller(dataframe)
|
|
)
|
|
|
|
|