stable/freqtrade/templates/FreqaiExampleStrategy.py

322 lines
13 KiB
Python

import logging
from functools import reduce
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from technical import qtpylib
from freqtrade.exchange import timeframe_to_prev_date
from freqtrade.freqai.strategy_bridge import CustomModel
from freqtrade.persistence import Trade
from freqtrade.strategy import DecimalParameter, IntParameter, merge_informative_pair
from freqtrade.strategy.interface import IStrategy
logger = logging.getLogger(__name__)
class FreqaiExampleStrategy(IStrategy):
"""
Example strategy showing how the user connects their own
IFreqaiModel to the strategy. Namely, the user uses:
self.model = CustomModel(self.config)
self.model.bridge.start(dataframe, metadata)
to make predictions on their data. populate_any_indicators() automatically
generates the variety of features indicated by the user in the
canonical freqtrade configuration file under config['freqai'].
"""
minimal_roi = {"0": 0.1, "240": -1}
plot_config = {
"main_plot": {},
"subplots": {
"prediction": {"prediction": {"color": "blue"}},
"target_roi": {
"target_roi": {"color": "brown"},
},
"do_predict": {
"do_predict": {"color": "brown"},
},
},
}
process_only_new_candles = True
stoploss = -0.05
use_exit_signal = True
startup_candle_count: int = 300
can_short = True
linear_roi_offset = DecimalParameter(
0.00, 0.02, default=0.005, space="sell", optimize=False, load=True
)
max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True)
def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist()
corr_pairs = self.config["freqai"]["corr_pairlist"]
informative_pairs = []
for tf in self.config["freqai"]["timeframes"]:
for pair in whitelist_pairs:
informative_pairs.append((pair, tf))
for pair in corr_pairs:
if pair in whitelist_pairs:
continue # avoid duplication
informative_pairs.append((pair, tf))
return informative_pairs
def bot_start(self):
self.model = CustomModel(self.config)
def populate_any_indicators(self, metadata, pair, df, tf, informative=None, coin=""):
"""
Function designed to automatically generate, name and merge features
from user indicated timeframes in the configuration file. User controls the indicators
passed to the training/prediction by prepending indicators with `'%-' + coin `
(see convention below). I.e. user should not prepend any supporting metrics
(e.g. bb_lowerband below) with % unless they explicitly want to pass that metric to the
model.
:params:
:pair: pair to be used as informative
:df: strategy dataframe which will receive merges from informatives
:tf: timeframe of the dataframe which will modify the feature names
:informative: the dataframe associated with the informative pair
:coin: the name of the coin which will modify the feature names.
"""
with self.model.bridge.lock:
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
# first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods"]:
t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, window=t)
informative[f"{coin}20sma-period_{t}"] = ta.SMA(informative, timeperiod=t)
informative[f"{coin}21ema-period_{t}"] = ta.EMA(informative, timeperiod=t)
informative[f"%-{coin}close_over_20sma-period_{t}"] = (
informative["close"] / informative[coin + "20sma-period_{t}"]
)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
bollinger = qtpylib.bollinger_bands(
qtpylib.typical_price(informative), window=t, stds=2.2
)
informative[f"{coin}bb_lowerband-period_{t}"] = bollinger["lower"]
informative[f"{coin}bb_middleband-period_{t}"] = bollinger["mid"]
informative[f"{coin}bb_upperband-period_{t}"] = bollinger["upper"]
informative[f"%-{coin}bb_width-period_{t}"] = (
informative[f"{coin}bb_upperband-period_{t}"]
- informative[f"{coin}bb_lowerband-period_{t}"]
) / informative[f"{coin}bb_middleband-period_{t}"]
informative[f"%-{coin}close-bb_lower-period_{t}"] = (
informative["close"] / informative[f"{coin}bb_lowerband-period_{t}"]
)
informative[f"%-{coin}roc-period_{t}"] = ta.ROC(
informative, timeperiod=t
)
macd = ta.MACD(informative, timeperiod=t)
informative[f"%-{coin}macd-period_{t}"] = macd["macd"]
informative[f"%-{coin}relative_volume-period_{t}"] = (
informative["volume"] / informative["volume"].rolling(t).mean()
)
informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
informative[f"%-{coin}raw_volume"] = informative["volume"]
informative[f"%-{coin}raw_price"] = informative["close"]
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["shift"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if pair == metadata["pair"] and tf == self.timeframe:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
return df
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
self.freqai_info = self.config["freqai"]
self.pair = metadata["pair"]
# the following loops are necessary for building the features
# indicated by the user in the configuration file.
# All indicators must be populated by populate_any_indicators() for live functionality
# to work correctly.
for tf in self.freqai_info["timeframes"]:
dataframe = self.populate_any_indicators(
metadata, self.pair, dataframe.copy(), tf, coin=self.pair.split("/")[0] + "-"
)
for pair in self.freqai_info["corr_pairlist"]:
if metadata["pair"] in pair:
continue # do not include whitelisted pair twice if it is in corr_pairlist
dataframe = self.populate_any_indicators(
metadata, pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-"
)
# the model will return 4 values, its prediction, an indication of whether or not the
# prediction should be accepted, the target mean/std values from the labels used during
# each training period.
dataframe = self.model.bridge.start(dataframe, metadata, self)
dataframe["target_roi"] = dataframe["target_mean"] + dataframe["target_std"] * 1.25
dataframe["sell_roi"] = dataframe["target_mean"] - dataframe["target_std"] * 1.25
return dataframe
def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
enter_long_conditions = [df["do_predict"] == 1, df["prediction"] > df["target_roi"]]
if enter_long_conditions:
df.loc[
reduce(lambda x, y: x & y, enter_long_conditions), ["enter_long", "enter_tag"]
] = (1, "long")
enter_short_conditions = [df["do_predict"] == 1, df["prediction"] < df["sell_roi"]]
if enter_short_conditions:
df.loc[
reduce(lambda x, y: x & y, enter_short_conditions), ["enter_short", "enter_tag"]
] = (1, "short")
return df
def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
exit_long_conditions = [df["do_predict"] == 1, df["prediction"] < df["sell_roi"] * 0.25]
if exit_long_conditions:
df.loc[reduce(lambda x, y: x & y, exit_long_conditions), "exit_long"] = 1
exit_short_conditions = [df["do_predict"] == 1, df["prediction"] > df["target_roi"] * 0.25]
if exit_short_conditions:
df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1
return df
def get_ticker_indicator(self):
return int(self.config["timeframe"][:-1])
def custom_exit(self, pair: str, trade: Trade, current_time, current_rate,
current_profit, **kwargs):
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
trade_date = timeframe_to_prev_date(self.config['timeframe'], trade.open_date_utc)
trade_candle = dataframe.loc[(dataframe['date'] == trade_date)]
if trade_candle.empty:
return None
trade_candle = trade_candle.squeeze()
follow_mode = self.config.get('freqai', {}).get('follow_mode', False)
if not follow_mode:
pair_dict = self.model.bridge.data_drawer.pair_dict
else:
pair_dict = self.model.bridge.data_drawer.follower_dict
entry_tag = trade.enter_tag
if ('prediction' + entry_tag not in pair_dict[pair] or
pair_dict[pair]['prediction' + entry_tag] > 0):
with self.model.bridge.lock:
pair_dict[pair]['prediction' + entry_tag] = abs(trade_candle['prediction'])
if not follow_mode:
self.model.bridge.data_drawer.save_drawer_to_disk()
else:
self.model.bridge.data_drawer.save_follower_dict_to_disk()
roi_price = pair_dict[pair]['prediction' + entry_tag]
roi_time = self.max_roi_time_long.value
roi_decay = roi_price * (1 - ((current_time - trade.open_date_utc).seconds) /
(roi_time * 60))
if roi_decay < 0:
roi_decay = self.linear_roi_offset.value
else:
roi_decay += self.linear_roi_offset.value
if current_profit > roi_decay:
return 'roi_custom_win'
if current_profit < -roi_decay:
return 'roi_custom_loss'
def confirm_trade_exit(
self,
pair: str,
trade: Trade,
order_type: str,
amount: float,
rate: float,
time_in_force: str,
exit_reason: str,
current_time,
**kwargs
) -> bool:
entry_tag = trade.enter_tag
follow_mode = self.config.get("freqai", {}).get("follow_mode", False)
if not follow_mode:
pair_dict = self.model.bridge.data_drawer.pair_dict
else:
pair_dict = self.model.bridge.data_drawer.follower_dict
with self.model.bridge.lock:
pair_dict[pair]["prediction" + entry_tag] = 0
if not follow_mode:
self.model.bridge.data_drawer.save_drawer_to_disk()
else:
self.model.bridge.data_drawer.save_follower_dict_to_disk()
return True
def confirm_trade_entry(
self,
pair: str,
order_type: str,
amount: float,
rate: float,
time_in_force: str,
current_time,
entry_tag,
side: str,
**kwargs
) -> bool:
df, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
last_candle = df.iloc[-1].squeeze()
if side == "long":
if rate > (last_candle["close"] * (1 + 0.0025)):
return False
else:
if rate < (last_candle["close"] * (1 - 0.0025)):
return False
return True