317 lines
14 KiB
Python
317 lines
14 KiB
Python
import logging
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from functools import reduce
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import pandas as pd
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import talib.abstract as ta
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from pandas import DataFrame
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from technical import qtpylib
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from freqtrade.exchange import timeframe_to_prev_date
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from freqtrade.freqai.strategy_bridge import CustomModel
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from freqtrade.persistence import Trade
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from freqtrade.strategy import DecimalParameter, IntParameter, merge_informative_pair
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from freqtrade.strategy.interface import IStrategy
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logger = logging.getLogger(__name__)
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class FreqaiExampleStrategy(IStrategy):
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"""
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Example strategy showing how the user connects their own
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IFreqaiModel to the strategy. Namely, the user uses:
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self.model = CustomModel(self.config)
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self.model.bridge.start(dataframe, metadata)
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to make predictions on their data. populate_any_indicators() automatically
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generates the variety of features indicated by the user in the
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canonical freqtrade configuration file under config['freqai'].
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"""
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minimal_roi = {"0": 0.01, "240": -1}
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plot_config = {
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"main_plot": {},
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"subplots": {
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"prediction": {"prediction": {"color": "blue"}},
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"target_roi": {
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"target_roi": {"color": "brown"},
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},
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"do_predict": {
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"do_predict": {"color": "brown"},
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},
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},
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}
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process_only_new_candles = False
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stoploss = -0.05
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use_exit_signal = True
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startup_candle_count: int = 300
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can_short = False
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linear_roi_offset = DecimalParameter(0.00, 0.02, default=0.005, space='sell',
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optimize=False, load=True)
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max_roi_time_long = IntParameter(0, 800, default=400, space='sell', optimize=False, load=True)
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def informative_pairs(self):
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whitelist_pairs = self.dp.current_whitelist()
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corr_pairs = self.config["freqai"]["corr_pairlist"]
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informative_pairs = []
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for tf in self.config["freqai"]["timeframes"]:
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for pair in whitelist_pairs:
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informative_pairs.append((pair, tf))
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for pair in corr_pairs:
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if pair in whitelist_pairs:
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continue # avoid duplication
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informative_pairs.append((pair, tf))
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return informative_pairs
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def bot_start(self):
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self.model = CustomModel(self.config)
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def populate_any_indicators(self, metadata, pair, df, tf, informative=None, coin=""):
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"""
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Function designed to automatically generate, name and merge features
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from user indicated timeframes in the configuration file. User controls the indicators
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passed to the training/prediction by prepending indicators with `'%-' + coin `
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(see convention below). I.e. user should not prepend any supporting metrics
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(e.g. bb_lowerband below) with % unless they explicitly want to pass that metric to the
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model.
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:params:
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:pair: pair to be used as informative
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:df: strategy dataframe which will receive merges from informatives
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:tf: timeframe of the dataframe which will modify the feature names
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:informative: the dataframe associated with the informative pair
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:coin: the name of the coin which will modify the feature names.
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"""
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if informative is None:
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informative = self.dp.get_pair_dataframe(pair, tf)
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# first loop is automatically duplicating indicators for time periods
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for t in self.freqai_info["feature_parameters"]["indicator_periods"]:
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t = int(t)
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informative['%-' + coin + "rsi-period_" + str(t)] = ta.RSI(informative, timeperiod=t)
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informative['%-' + coin + "mfi-period_" + str(t)] = ta.MFI(informative, timeperiod=t)
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informative['%-' + coin + "adx-period_" + str(t)] = ta.ADX(informative, window=t)
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informative[coin + "20sma-period_" + str(t)] = ta.SMA(informative, timeperiod=t)
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informative[coin + "21ema-period_" + str(t)] = ta.EMA(informative, timeperiod=t)
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informative['%-' + coin + "close_over_20sma-period_" +
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str(t)] = (informative["close"] /
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informative[coin + "20sma-period_" + str(t)])
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informative['%-' + coin + "mfi-period_" + str(t)] = ta.MFI(informative, timeperiod=t)
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informative[coin + "ema21-period_" + str(t)] = ta.EMA(informative, timeperiod=t)
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informative[coin + "sma20-period_" + str(t)] = ta.SMA(informative, timeperiod=t)
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bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=t,
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stds=2.2)
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informative[coin + "bb_lowerband-period_" + str(t)] = bollinger["lower"]
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informative[coin + "bb_middleband-period_" + str(t)] = bollinger["mid"]
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informative[coin + "bb_upperband-period_" + str(t)] = bollinger["upper"]
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informative['%-' + coin + "bb_width-period_" + str(t)] = (
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informative[coin + "bb_upperband-period_" + str(t)] -
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informative[coin + "bb_lowerband-period_" + str(t)]
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) / informative[coin + "bb_middleband-period_" + str(t)]
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informative['%-' + coin + "close-bb_lower-period_" + str(t)] = (
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informative["close"] / informative[coin + "bb_lowerband-period_" + str(t)]
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)
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informative['%-' + coin + "roc-period_" + str(t)] = ta.ROC(informative, timeperiod=t)
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informative['%-' + coin + "adx-period_" + str(t)] = ta.ADX(informative, window=t)
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macd = ta.MACD(informative, timeperiod=t)
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informative['%-' + coin + "macd-period_" + str(t)] = macd["macd"]
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informative['%-' + coin + "relative_volume-period_" + str(t)] = (
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informative["volume"] / informative["volume"].rolling(t).mean()
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)
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informative['%-' + coin + "pct-change"] = informative["close"].pct_change()
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informative['%-' + coin + "raw_volume"] = informative["volume"]
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informative['%-' + coin + 'raw_price'] = informative['close']
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indicators = [col for col in informative if col.startswith('%')]
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# This loop duplicates and shifts all indicators to add a sense of recency to data
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for n in range(self.freqai_info["feature_parameters"]["shift"] + 1):
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if n == 0:
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continue
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informative_shift = informative[indicators].shift(n)
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informative_shift = informative_shift.add_suffix("_shift-" + str(n))
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informative = pd.concat((informative, informative_shift), axis=1)
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df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
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skip_columns = [(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]]
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df = df.drop(columns=skip_columns)
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# Add generalized indicators here (because in live, it will call this function to populate
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# indicators during training). Notice how we ensure not to add them multiple times
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if pair == metadata['pair'] and tf == self.timeframe:
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df['%-day_of_week'] = (df["date"].dt.dayofweek + 1) / 7
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df['%-hour_of_day'] = (df['date'].dt.hour + 1) / 25
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return df
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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self.freqai_info = self.config["freqai"]
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self.pair = metadata['pair']
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# the following loops are necessary for building the features
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# indicated by the user in the configuration file.
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# All indicators must be populated by populate_any_indicators() for live functionality
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# to work correctly.
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for tf in self.freqai_info["timeframes"]:
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dataframe = self.populate_any_indicators(metadata, self.pair, dataframe.copy(), tf,
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coin=self.pair.split("/")[0] + "-")
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for pair in self.freqai_info["corr_pairlist"]:
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if metadata['pair'] in pair:
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continue # do not include whitelisted pair twice if it is in corr_pairlist
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dataframe = self.populate_any_indicators(
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metadata, pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-"
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)
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# the model will return 4 values, its prediction, an indication of whether or not the
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# prediction should be accepted, the target mean/std values from the labels used during
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# each training period.
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dataframe = self.model.bridge.start(dataframe, metadata, self)
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dataframe["target_roi"] = dataframe["target_mean"] + dataframe["target_std"]
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dataframe["sell_roi"] = dataframe["target_mean"] - dataframe["target_std"]
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return dataframe
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def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
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enter_long_conditions = [
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df['do_predict'] == 1,
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df['prediction'] > df["target_roi"]
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]
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if enter_long_conditions:
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df.loc[reduce(lambda x, y: x & y,
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enter_long_conditions), ["enter_long", "enter_tag"]] = (1, 'long')
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enter_short_conditions = [
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df['do_predict'] == 1,
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df['prediction'] < df["sell_roi"]
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]
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if enter_short_conditions:
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df.loc[reduce(lambda x, y: x & y,
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enter_short_conditions), ["enter_short", "enter_tag"]] = (1, 'short')
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return df
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def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
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exit_long_conditions = [
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df['do_predict'] == 1,
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df['prediction'] < df['sell_roi'] * 0.25
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]
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if exit_long_conditions:
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df.loc[reduce(lambda x, y: x & y, exit_long_conditions), "exit_long"] = 1
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exit_short_conditions = [
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df['do_predict'] == 1,
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df['prediction'] > df['target_roi'] * 0.25
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]
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if exit_short_conditions:
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df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1
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return df
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def get_ticker_indicator(self):
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return int(self.config["timeframe"][:-1])
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def custom_exit(self, pair: str, trade: Trade, current_time, current_rate,
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current_profit, **kwargs):
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dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
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trade_date = timeframe_to_prev_date(self.config['timeframe'], trade.open_date_utc)
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trade_candle = dataframe.loc[(dataframe['date'] == trade_date)]
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if trade_candle.empty:
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return None
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trade_candle = trade_candle.squeeze()
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follow_mode = self.config.get('freqai', {}).get('follow_mode', False)
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if not follow_mode:
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pair_dict = self.model.bridge.data_drawer.pair_dict
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else:
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pair_dict = self.model.bridge.data_drawer.follower_dict
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entry_tag = trade.enter_tag
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if 'prediction' + entry_tag not in pair_dict[pair]:
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with self.model.bridge.lock:
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pair_dict[pair]['prediction' + entry_tag] = abs(trade_candle['prediction'])
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if not follow_mode:
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self.model.bridge.data_drawer.save_drawer_to_disk()
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else:
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self.model.bridge.data_drawer.save_follower_dict_to_disk()
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else:
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if pair_dict[pair]['prediction' + entry_tag] > 0:
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roi_price = abs(trade_candle['prediction'])
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else:
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with self.model.bridge.lock:
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pair_dict[pair]['prediction' + entry_tag] = abs(trade_candle['prediction'])
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if not follow_mode:
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self.model.bridge.data_drawer.save_drawer_to_disk()
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else:
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self.model.bridge.data_drawer.save_follower_dict_to_disk()
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roi_price = abs(trade_candle['prediction'])
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roi_time = self.max_roi_time_long.value
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roi_decay = roi_price * (1 - ((current_time - trade.open_date_utc).seconds) /
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(roi_time * 60))
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if roi_decay < 0:
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roi_decay = self.linear_roi_offset.value
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else:
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roi_decay += self.linear_roi_offset.value
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if current_profit > roi_decay:
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return 'roi_custom_win'
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if current_profit < -roi_decay:
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return 'roi_custom_loss'
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def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float,
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rate: float, time_in_force: str, exit_reason: str,
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current_time, **kwargs) -> bool:
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entry_tag = trade.enter_tag
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follow_mode = self.config.get('freqai', {}).get('follow_mode', False)
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if not follow_mode:
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pair_dict = self.model.bridge.data_drawer.pair_dict
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else:
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pair_dict = self.model.bridge.data_drawer.follower_dict
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with self.model.bridge.lock:
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pair_dict[pair]['prediction' + entry_tag] = 0
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if not follow_mode:
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self.model.bridge.data_drawer.save_drawer_to_disk()
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else:
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self.model.bridge.data_drawer.save_follower_dict_to_disk()
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return True
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def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
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time_in_force: str, current_time, entry_tag,
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side: str, **kwargs) -> bool:
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df, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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last_candle = df.iloc[-1].squeeze()
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if side == 'long':
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if rate > (last_candle['close'] * (1 + 0.0025)):
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return False
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else:
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if rate < (last_candle['close'] * (1 - 0.0025)):
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return False
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return True
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