215 lines
9.2 KiB
Python
215 lines
9.2 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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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 talib._ta_lib import ULTOSC, MACD, LINEARREG_ANGLE, TSF, MFI, EMA, MA, BBANDS, CORREL, MAX, MIN, SAR, CCI, \
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HT_TRENDLINE, HT_DCPERIOD, HT_TRENDMODE, HT_SINE, RSI, NATR, STOCH, STOCHF, STOCHRSI
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from freqtrade.strategy import merge_informative_pair
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from freqtrade.strategy.interface import IStrategy
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# --------------------------------
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# Add your lib to import here
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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"""
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"""
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# This class is a sample. Feel free to customize it.
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class ETHUSDT_1m_high_risk(IStrategy):
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"""
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This is a sample strategy to inspire you.
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More information in https://github.com/freqtrade/freqtrade/blob/develop/docs/bot-optimization.md
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You can:
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:return: a Dataframe with all mandatory indicators for the strategies
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- Rename the class name (Do not forget to update class_name)
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- Add any methods you want to build your strategy
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- Add any lib you need to build your strategy
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You must keep:
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- the lib in the section "Do not remove these libs"
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- the prototype for the methods: minimal_roi, stoploss, populate_indicators, populate_buy_trend,
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populate_sell_trend, hyperopt_space, buy_strategy_generator
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"""
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# Strategy interface version - allow new iterations of the strategy interface.
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# Check the documentation or the Sample strategy to get the latest version.
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INTERFACE_VERSION = 2
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# Minimal ROI designed for the strategy.
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# This attribute will be overridden if the config file contains "minimal_roi".
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minimal_roi = {
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"0": 0.22703036349783817,
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"30": 0.09085576426119433,
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"82": 0.029443202051755248,
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"164": 0
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}
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order_types = {
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'buy': 'market',
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'sell': 'market',
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'stoploss': 'market',
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'stoploss_on_exchange': False
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}
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# Optimal stoploss designed for the strategy.
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# This attribute will be overridden if the config file contains "stoploss".
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# Stoploss:
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stoploss = -0.22515
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# Trailing stop:
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trailing_stop = True
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trailing_stop_positive = 0.03428
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trailing_stop_positive_offset = 0.05094
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trailing_only_offset_is_reached = True
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plot_config = {
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'main_plot': {
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'upperband': {'upperband': 'green'},
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'middleband': {'color': 'green'},
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'lowerband': {'color': 'green'},
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'tsf_mid': {'color': 'white'},
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'ema': {'color': 'white'},
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},
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'subplots': {
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"corr": {
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'correl_h_l': {'color': 'black'},
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},
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"correl_tsf_mid_close": {
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'correl_tsf_mid_close': {'color': 'grey'},
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},
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"correl_angle_short_close": {
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'correl_angle_short_close': {'color': 'blue'},
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},
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"correl_angle_long_close": {
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'correl_angle_long_close': {'color': 'red'},
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},
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"correl_mfi_close": {
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'correl_mfi_close': {'color': 'black'},
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},
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"correl_hist_close": {
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'correl_tsf_mid_close': {'color': 'red'},
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},
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"mfi": {
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'mfi': {'color': 'yellow'},
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},
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}
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}
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def informative_pairs(self):
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"""
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Define additional, informative pair/interval combinations to be cached from the exchange.
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These pair/interval combinations are non-tradeable, unless they are part
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of the whitelist as well.
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For more information, please consult the documentation
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:return: List of tuples in the format (pair, interval)
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Sample: return [("ETH/USDT", "5m"),
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("BTC/USDT", "15m"),
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]
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"""
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return [("ETH/BTC", "1h")]
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Adds several different TA indicators to the given DataFrame
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Performance Note: For the best performance be frugal on the number of indicators
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you are using. Let uncomment only the indicator you are using in your strategies
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or your hyperopt configuration, otherwise you will waste your memory and CPU usage.
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:param dataframe: Dataframe with data from the exchange
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:param metadata: Additional information, like the currently traded pair
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:return: a Dataframe with all mandatory indicators for the strategies
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"""
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dataframe['trend'] = HT_TRENDLINE(dataframe['close'])
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dataframe['tsf_short'] = TSF(dataframe['close'], timeperiod=12)
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dataframe['tsf_mid'] = TSF(dataframe['close'], timeperiod=48)
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dataframe['vwap_short'] = qtpylib.rolling_vwap(dataframe, window=5)
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dataframe['vwap_mid'] = qtpylib.rolling_vwap(dataframe, window=90)
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dataframe['vwap_long'] = qtpylib.rolling_vwap(dataframe, window=1440)
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dataframe['macd'], dataframe['macdsignal'], dataframe['macdhist'] = MACD(dataframe['close'], fastperiod=12,
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slowperiod=26, signalperiod=7)
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dataframe['ao_mid'] = qtpylib.awesome_oscillator(dataframe, weighted=False, fast=5, slow=36)
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dataframe['ao_short'] = qtpylib.awesome_oscillator(dataframe, weighted=False, fast=5, slow=15)
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dataframe['cci'] = CCI(dataframe['high'], dataframe['low'], dataframe['close'], timeperiod=30)
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dataframe['rsi'] = RSI(dataframe['close'], timeperiod=14)
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dataframe['slowk'], dataframe['slowd'] = STOCH(dataframe['high'], dataframe['low'], dataframe['close'],
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fastk_period=5, slowk_period=3,
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slowk_matype=0, slowd_period=3,
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slowd_matype=0)
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dataframe['fastk'], dataframe['fastd'] = STOCHF(dataframe['high'], dataframe['low'], dataframe['close'],
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fastk_period=5, fastd_period=3, fastd_matype=0)
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dataframe['fastk'], dataframe['fastd'] = STOCHRSI(dataframe['close'], timeperiod=14, fastk_period=5,
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fastd_period=3, fastd_matype=0)
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dataframe['sar'] = SAR(dataframe['high'], dataframe['low'])
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dataframe['min_high'] = MIN(dataframe['high'], timeperiod=5)
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dataframe['max_low'] = MAX(dataframe['low'], timeperiod=5)
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dataframe['max_low_min_high_ratio'] = dataframe['max_low'] - dataframe['min_high'].shift(15)
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dataframe['correl_h_l_30'] = CORREL(dataframe['high'], dataframe['low'], timeperiod=30)
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dataframe['angle_tsf_short'] = LINEARREG_ANGLE(dataframe['tsf_short'], timeperiod=5)
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dataframe['angle_close'] = LINEARREG_ANGLE(dataframe['close'], timeperiod=5)
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dataframe['sine'], dataframe['leadsine'] = HT_SINE(dataframe['close'])
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dataframe['mode'] = HT_TRENDMODE(dataframe['close'])
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dataframe['corel_mode'] = CORREL(dataframe['mode'], dataframe['close'], timeperiod=30)
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dataframe = dataframe.reset_index().dropna()
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return dataframe
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def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the buy signal for the given dataframe
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:param dataframe: DataFrame populated with indicators
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:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
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"""
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dataframe.loc[
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(
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(qtpylib.crossed_below(dataframe['sar'], dataframe['close'])) &
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(dataframe['angle_trend'] > 0) &
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(dataframe['angle_tsf_mid'] > 0) &
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(0.75227 < dataframe['correl_h_l_30']) &
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(0.4 < dataframe['correl_h_l_30']) &
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# (dataframe['sine_1h'] < dataframe['leadsine_1h']) &
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# (dataframe['tsf_mid'] > dataframe['close']) &
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# (dataframe['angle'] > 0) &
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# (dataframe['rsi'] <50) &
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# (dataframe['natr'] > 1.1) &
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(dataframe['volume'] > 0) # Make sure Volume is not 0
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),
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'buy'] = 1
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return dataframe
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def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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Based on TA indicators, populates the sell signal for the given dataframe
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:param dataframe: DataFrame populated with indicators
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:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
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"""
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dataframe.loc[
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(
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(qtpylib.crossed_above(dataframe['sar'], dataframe['close'])) &
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(dataframe['max_low'] - dataframe['min_high'].shift(15) < 0) &
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(dataframe['angle_trend'] < 2) &
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(dataframe['angle_tsf_mid'] < 2) &
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(dataframe['mode'] == 1) &
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# (dataframe['close'] < dataframe['vwap']) &
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(dataframe['volume'] > 0) # Make sure Volume is not 0
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),
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'sell'] = 1
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return dataframe
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