486 lines
20 KiB
Python
486 lines
20 KiB
Python
# pragma pylint: disable=W0603
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""" Edge positioning package """
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import logging
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from collections import defaultdict
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from copy import deepcopy
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from typing import Any, Dict, List, NamedTuple
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import arrow
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import numpy as np
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import utils_find_1st as utf1st
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from pandas import DataFrame
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from freqtrade.configuration import TimeRange
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from freqtrade.constants import DATETIME_PRINT_FORMAT, UNLIMITED_STAKE_AMOUNT
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from freqtrade.data.history import get_timerange, load_data, refresh_data
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from freqtrade.enums import RunMode, SellType
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange.exchange import timeframe_to_seconds
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from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
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from freqtrade.strategy.interface import IStrategy
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logger = logging.getLogger(__name__)
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class PairInfo(NamedTuple):
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stoploss: float
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winrate: float
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risk_reward_ratio: float
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required_risk_reward: float
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expectancy: float
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nb_trades: int
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avg_trade_duration: float
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class Edge:
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"""
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Calculates Win Rate, Risk Reward Ratio, Expectancy
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against historical data for a give set of markets and a strategy
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it then adjusts stoploss and position size accordingly
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and force it into the strategy
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Author: https://github.com/mishaker
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"""
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config: Dict = {}
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_cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
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def __init__(self, config: Dict[str, Any], exchange, strategy) -> None:
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self.config = config
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self.exchange = exchange
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self.strategy: IStrategy = strategy
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self.edge_config = self.config.get('edge', {})
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self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs
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self._final_pairs: list = []
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# checking max_open_trades. it should be -1 as with Edge
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# the number of trades is determined by position size
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if self.config['max_open_trades'] != float('inf'):
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logger.critical('max_open_trades should be -1 in config !')
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if self.config['stake_amount'] != UNLIMITED_STAKE_AMOUNT:
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raise OperationalException('Edge works only with unlimited stake amount')
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self._capital_ratio: float = self.config['tradable_balance_ratio']
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self._allowed_risk: float = self.edge_config.get('allowed_risk')
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self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
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self._last_updated: int = 0 # Timestamp of pairs last updated time
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self._refresh_pairs = True
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self._stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
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self._stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
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self._stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
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# calculating stoploss range
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self._stoploss_range = np.arange(
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self._stoploss_range_min,
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self._stoploss_range_max,
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self._stoploss_range_step
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)
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self._timerange: TimeRange = TimeRange.parse_timerange("%s-" % arrow.now().shift(
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days=-1 * self._since_number_of_days).format('YYYYMMDD'))
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if config.get('fee'):
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self.fee = config['fee']
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else:
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try:
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self.fee = self.exchange.get_fee(symbol=expand_pairlist(
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self.config['exchange']['pair_whitelist'], list(self.exchange.markets))[0])
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except IndexError:
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self.fee = None
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def calculate(self, pairs: List[str]) -> bool:
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if self.fee is None and pairs:
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self.fee = self.exchange.get_fee(pairs[0])
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heartbeat = self.edge_config.get('process_throttle_secs')
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if (self._last_updated > 0) and (
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self._last_updated + heartbeat > arrow.utcnow().int_timestamp):
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return False
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data: Dict[str, Any] = {}
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logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
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logger.info('Using local backtesting data (using whitelist in given config) ...')
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if self._refresh_pairs:
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timerange_startup = deepcopy(self._timerange)
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timerange_startup.subtract_start(timeframe_to_seconds(
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self.strategy.timeframe) * self.strategy.startup_candle_count)
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refresh_data(
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datadir=self.config['datadir'],
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pairs=pairs,
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exchange=self.exchange,
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timeframe=self.strategy.timeframe,
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timerange=timerange_startup,
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data_format=self.config.get('dataformat_ohlcv', 'json'),
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)
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# Download informative pairs too
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res = defaultdict(list)
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for p, t in self.strategy.informative_pairs():
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res[t].append(p)
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for timeframe, inf_pairs in res.items():
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timerange_startup = deepcopy(self._timerange)
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timerange_startup.subtract_start(timeframe_to_seconds(
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timeframe) * self.strategy.startup_candle_count)
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refresh_data(
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datadir=self.config['datadir'],
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pairs=inf_pairs,
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exchange=self.exchange,
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timeframe=timeframe,
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timerange=timerange_startup,
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data_format=self.config.get('dataformat_ohlcv', 'json'),
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)
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data = load_data(
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datadir=self.config['datadir'],
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pairs=pairs,
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timeframe=self.strategy.timeframe,
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timerange=self._timerange,
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startup_candles=self.strategy.startup_candle_count,
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data_format=self.config.get('dataformat_ohlcv', 'json'),
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)
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if not data:
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# Reinitializing cached pairs
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self._cached_pairs = {}
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logger.critical("No data found. Edge is stopped ...")
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return False
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# Fake run-mode to Edge
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prior_rm = self.config['runmode']
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self.config['runmode'] = RunMode.EDGE
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preprocessed = self.strategy.ohlcvdata_to_dataframe(data)
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self.config['runmode'] = prior_rm
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# Print timeframe
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min_date, max_date = get_timerange(preprocessed)
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logger.info(f'Measuring data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
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f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
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f'({(max_date - min_date).days} days)..')
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headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low']
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trades: list = []
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for pair, pair_data in preprocessed.items():
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# Sorting dataframe by date and reset index
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pair_data = pair_data.sort_values(by=['date'])
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pair_data = pair_data.reset_index(drop=True)
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df_analyzed = self.strategy.advise_sell(
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self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
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trades += self._find_trades_for_stoploss_range(df_analyzed, pair, self._stoploss_range)
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# If no trade found then exit
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if len(trades) == 0:
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logger.info("No trades found.")
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return False
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# Fill missing, calculable columns, profit, duration , abs etc.
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trades_df = self._fill_calculable_fields(DataFrame(trades))
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self._cached_pairs = self._process_expectancy(trades_df)
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self._last_updated = arrow.utcnow().int_timestamp
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return True
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def stake_amount(self, pair: str, free_capital: float,
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total_capital: float, capital_in_trade: float) -> float:
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stoploss = self.stoploss(pair)
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available_capital = (total_capital + capital_in_trade) * self._capital_ratio
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allowed_capital_at_risk = available_capital * self._allowed_risk
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max_position_size = abs(allowed_capital_at_risk / stoploss)
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# Position size must be below available capital.
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position_size = min(min(max_position_size, free_capital), available_capital)
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if pair in self._cached_pairs:
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logger.info(
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'winrate: %s, expectancy: %s, position size: %s, pair: %s,'
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' capital in trade: %s, free capital: %s, total capital: %s,'
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' stoploss: %s, available capital: %s.',
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self._cached_pairs[pair].winrate,
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self._cached_pairs[pair].expectancy,
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position_size, pair,
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capital_in_trade, free_capital, total_capital,
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stoploss, available_capital
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)
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return round(position_size, 15)
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def stoploss(self, pair: str) -> float:
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if pair in self._cached_pairs:
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return self._cached_pairs[pair].stoploss
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else:
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logger.warning(f'Tried to access stoploss of non-existing pair {pair}, '
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'strategy stoploss is returned instead.')
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return self.strategy.stoploss
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def adjust(self, pairs: List[str]) -> list:
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"""
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Filters out and sorts "pairs" according to Edge calculated pairs
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"""
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final = []
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for pair, info in self._cached_pairs.items():
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if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \
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info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)) and \
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pair in pairs:
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final.append(pair)
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if self._final_pairs != final:
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self._final_pairs = final
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if self._final_pairs:
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logger.info(
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'Minimum expectancy and minimum winrate are met only for %s,'
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' so other pairs are filtered out.',
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self._final_pairs
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)
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else:
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logger.info(
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'Edge removed all pairs as no pair with minimum expectancy '
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'and minimum winrate was found !'
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)
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return self._final_pairs
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def accepted_pairs(self) -> List[Dict[str, Any]]:
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"""
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return a list of accepted pairs along with their winrate, expectancy and stoploss
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"""
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final = []
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for pair, info in self._cached_pairs.items():
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if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \
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info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)):
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final.append({
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'Pair': pair,
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'Winrate': info.winrate,
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'Expectancy': info.expectancy,
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'Stoploss': info.stoploss,
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})
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return final
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def _fill_calculable_fields(self, result: DataFrame) -> DataFrame:
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"""
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The result frame contains a number of columns that are calculable
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from other columns. These are left blank till all rows are added,
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to be populated in single vector calls.
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Columns to be populated are:
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- Profit
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- trade duration
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- profit abs
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:param result Dataframe
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:return: result Dataframe
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"""
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# We set stake amount to an arbitrary amount, as it doesn't change the calculation.
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# All returned values are relative, they are defined as ratios.
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stake = 0.015
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result['trade_duration'] = result['close_date'] - result['open_date']
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result['trade_duration'] = result['trade_duration'].map(
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lambda x: int(x.total_seconds() / 60))
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# Spends, Takes, Profit, Absolute Profit
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# Buy Price
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result['buy_vol'] = stake / result['open_rate'] # How many target are we buying
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result['buy_fee'] = stake * self.fee
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result['buy_spend'] = stake + result['buy_fee'] # How much we're spending
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# Sell price
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result['sell_sum'] = result['buy_vol'] * result['close_rate']
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result['sell_fee'] = result['sell_sum'] * self.fee
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result['sell_take'] = result['sell_sum'] - result['sell_fee']
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# profit_ratio
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result['profit_ratio'] = (result['sell_take'] - result['buy_spend']) / result['buy_spend']
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# Absolute profit
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result['profit_abs'] = result['sell_take'] - result['buy_spend']
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return result
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def _process_expectancy(self, results: DataFrame) -> Dict[str, Any]:
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"""
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This calculates WinRate, Required Risk Reward, Risk Reward and Expectancy of all pairs
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The calculation will be done per pair and per strategy.
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"""
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# Removing pairs having less than min_trades_number
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min_trades_number = self.edge_config.get('min_trade_number', 10)
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results = results.groupby(['pair', 'stoploss']).filter(lambda x: len(x) > min_trades_number)
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###################################
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# Removing outliers (Only Pumps) from the dataset
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# The method to detect outliers is to calculate standard deviation
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# Then every value more than (standard deviation + 2*average) is out (pump)
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#
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# Removing Pumps
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if self.edge_config.get('remove_pumps', False):
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results = results[results['profit_abs'] < 2 * results['profit_abs'].std()
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+ results['profit_abs'].mean()]
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##########################################################################
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# Removing trades having a duration more than X minutes (set in config)
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max_trade_duration = self.edge_config.get('max_trade_duration_minute', 1440)
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results = results[results.trade_duration < max_trade_duration]
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#######################################################################
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if results.empty:
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return {}
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groupby_aggregator = {
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'profit_abs': [
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('nb_trades', 'count'), # number of all trades
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('profit_sum', lambda x: x[x > 0].sum()), # cumulative profit of all winning trades
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('loss_sum', lambda x: abs(x[x < 0].sum())), # cumulative loss of all losing trades
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('nb_win_trades', lambda x: x[x > 0].count()) # number of winning trades
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],
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'trade_duration': [('avg_trade_duration', 'mean')]
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}
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# Group by (pair and stoploss) by applying above aggregator
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df = results.groupby(['pair', 'stoploss'])[['profit_abs', 'trade_duration']].agg(
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groupby_aggregator).reset_index(col_level=1)
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# Dropping level 0 as we don't need it
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df.columns = df.columns.droplevel(0)
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# Calculating number of losing trades, average win and average loss
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df['nb_loss_trades'] = df['nb_trades'] - df['nb_win_trades']
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df['average_win'] = np.where(df['nb_win_trades'] == 0, 0.0,
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df['profit_sum'] / df['nb_win_trades'])
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df['average_loss'] = np.where(df['nb_loss_trades'] == 0, 0.0,
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df['loss_sum'] / df['nb_loss_trades'])
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# Win rate = number of profitable trades / number of trades
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df['winrate'] = df['nb_win_trades'] / df['nb_trades']
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# risk_reward_ratio = average win / average loss
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df['risk_reward_ratio'] = df['average_win'] / df['average_loss']
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# required_risk_reward = (1 / winrate) - 1
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df['required_risk_reward'] = (1 / df['winrate']) - 1
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# expectancy = (risk_reward_ratio * winrate) - (lossrate)
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df['expectancy'] = (df['risk_reward_ratio'] * df['winrate']) - (1 - df['winrate'])
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# sort by expectancy and stoploss
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df = df.sort_values(by=['expectancy', 'stoploss'], ascending=False).groupby(
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'pair').first().sort_values(by=['expectancy'], ascending=False).reset_index()
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final = {}
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for x in df.itertuples():
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final[x.pair] = PairInfo(
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x.stoploss,
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x.winrate,
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x.risk_reward_ratio,
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x.required_risk_reward,
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x.expectancy,
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x.nb_trades,
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x.avg_trade_duration
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)
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# Returning a list of pairs in order of "expectancy"
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return final
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def _find_trades_for_stoploss_range(self, df, pair, stoploss_range):
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buy_column = df['buy'].values
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sell_column = df['sell'].values
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date_column = df['date'].values
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ohlc_columns = df[['open', 'high', 'low', 'close']].values
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result: list = []
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for stoploss in stoploss_range:
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result += self._detect_next_stop_or_sell_point(
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buy_column, sell_column, date_column, ohlc_columns, round(stoploss, 6), pair
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)
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return result
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def _detect_next_stop_or_sell_point(self, buy_column, sell_column, date_column,
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ohlc_columns, stoploss, pair):
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"""
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Iterate through ohlc_columns in order to find the next trade
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Next trade opens from the first buy signal noticed to
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The sell or stoploss signal after it.
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It then cuts OHLC, buy_column, sell_column and date_column.
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Cut from (the exit trade index) + 1.
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Author: https://github.com/mishaker
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"""
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result: list = []
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start_point = 0
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while True:
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open_trade_index = utf1st.find_1st(buy_column, 1, utf1st.cmp_equal)
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# Return empty if we don't find trade entry (i.e. buy==1) or
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# we find a buy but at the end of array
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if open_trade_index == -1 or open_trade_index == len(buy_column) - 1:
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break
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else:
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# When a buy signal is seen,
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# trade opens in reality on the next candle
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open_trade_index += 1
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open_price = ohlc_columns[open_trade_index, 0]
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stop_price = (open_price * (stoploss + 1))
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# Searching for the index where stoploss is hit
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stop_index = utf1st.find_1st(
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ohlc_columns[open_trade_index:, 2], stop_price, utf1st.cmp_smaller)
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# If we don't find it then we assume stop_index will be far in future (infinite number)
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if stop_index == -1:
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stop_index = float('inf')
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# Searching for the index where sell is hit
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sell_index = utf1st.find_1st(sell_column[open_trade_index:], 1, utf1st.cmp_equal)
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# If we don't find it then we assume sell_index will be far in future (infinite number)
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if sell_index == -1:
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sell_index = float('inf')
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# Check if we don't find any stop or sell point (in that case trade remains open)
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# It is not interesting for Edge to consider it so we simply ignore the trade
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# And stop iterating there is no more entry
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if stop_index == sell_index == float('inf'):
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break
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if stop_index <= sell_index:
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exit_index = open_trade_index + stop_index
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exit_type = SellType.STOP_LOSS
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exit_price = stop_price
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elif stop_index > sell_index:
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# If exit is SELL then we exit at the next candle
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exit_index = open_trade_index + sell_index + 1
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# Check if we have the next candle
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if len(ohlc_columns) - 1 < exit_index:
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break
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exit_type = SellType.SELL_SIGNAL
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exit_price = ohlc_columns[exit_index, 0]
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trade = {'pair': pair,
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'stoploss': stoploss,
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'profit_ratio': '',
|
|
'profit_abs': '',
|
|
'open_date': date_column[open_trade_index],
|
|
'close_date': date_column[exit_index],
|
|
'trade_duration': '',
|
|
'open_rate': round(open_price, 15),
|
|
'close_rate': round(exit_price, 15),
|
|
'exit_type': exit_type
|
|
}
|
|
|
|
result.append(trade)
|
|
|
|
# Giving a view of exit_index till the end of array
|
|
buy_column = buy_column[exit_index:]
|
|
sell_column = sell_column[exit_index:]
|
|
date_column = date_column[exit_index:]
|
|
ohlc_columns = ohlc_columns[exit_index:]
|
|
start_point += exit_index
|
|
|
|
return result
|