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TEST mid_smooth_5_deriv1_1d

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This commit is contained in:
Jérôme Delacotte
2025-09-27 21:30:07 +02:00
parent 83f3923bbf
commit 6be42bc155
2 changed files with 62 additions and 49 deletions
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13
Zeus_8_3_2_B_4_2.json
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@@ -17,18 +17,17 @@
"max_open_trades": 80 "max_open_trades": 80
}, },
"buy": { "buy": {
"buy_horizon_predict_1h": 2 "buy_horizon_predict_1h": 3,
"mise_factor_buy": 0.07
}, },
"sell": {}, "sell": {},
"protection": { "protection": {
"sma20_deriv1_1d_start_protection": 0.0, "sma5_deriv1_1d_restart_protection": 0.06,
"sma20_deriv1_1d_stop_protection": 0.0, "sma5_deriv1_1d_stop_protection": -0.03,
"sma5_deriv1_1d_start_protection": 0.0, "sma5_deriv2_1d_restart_protection": 0.0,
"sma5_deriv1_1d_stop_protection": 0.0,
"sma5_deriv2_1d_start_protection": 0.0,
"sma5_deriv2_1d_stop_protection": 0.0 "sma5_deriv2_1d_stop_protection": 0.0
} }
}, },
"ft_stratparam_v": 1, "ft_stratparam_v": 1,
"export_time": "2025-09-27 06:44:29.575217+00:00" "export_time": "2025-09-27 19:01:48.513825+00:00"
} }

64
Zeus_8_3_2_B_4_2.py
View File

@@ -211,21 +211,21 @@ class Zeus_8_3_2_B_4_2(IStrategy):
trades = list() trades = list()
max_profit_pairs = {} max_profit_pairs = {}
sma20_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection', # sma20_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
# optimize=True, load=True)
sma5_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0, default=0.05, decimals=2, space='protection',
optimize=True, load=True) optimize=True, load=True)
sma5_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection', sma5_deriv2_1d_stop_protection = DecimalParameter(-0.2, 0, default=0.05, decimals=1, space='protection', optimize=True,
optimize=True, load=True)
sma5_deriv2_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=1, space='protection', optimize=True,
load=True) load=True)
sma20_deriv1_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection', # sma20_deriv1_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
# optimize=True, load=True)
sma5_deriv1_1d_restart_protection = DecimalParameter(0, 0.2, default=0.05, decimals=2, space='protection',
optimize=True, load=True) optimize=True, load=True)
sma5_deriv1_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection', sma5_deriv2_1d_restart_protection = DecimalParameter(0, 0.2, default=0.05, decimals=1, space='protection', optimize=True,
optimize=True, load=True)
sma5_deriv2_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=1, space='protection', optimize=True,
load=True) load=True)
# sma5_deriv1_1d_protection = DecimalParameter(-0.1, 0.0, default=-0.05, decimals=2, space='protection', optimize=True, load=True) mise_factor_buy = DecimalParameter(0.01, 0.2, default=0.05, decimals=2, space='buy', optimize=True, load=True)
# Récupération des labels ordonnés # Récupération des labels ordonnés
# labels = ['B5', 'B4', 'B3', 'B2', 'B1', 'N0', 'H1', 'H2', 'H3', 'H4', 'H5'] # labels = ['B5', 'B4', 'B3', 'B2', 'B1', 'N0', 'H1', 'H2', 'H3', 'H4', 'H5']
@@ -447,11 +447,11 @@ class Zeus_8_3_2_B_4_2(IStrategy):
days_since_first_buy = (current_time - trade.open_date_utc).days days_since_first_buy = (current_time - trade.open_date_utc).days
hours = (current_time - trade.date_last_filled_utc).total_seconds() / 3600.0 hours = (current_time - trade.date_last_filled_utc).total_seconds() / 3600.0
if self.pairs[pair]['stop'] and hours % 6 == 0: if hours % 4 == 0:
self.log_trade( self.log_trade(
last_candle=last_candle, last_candle=last_candle,
date=current_time, date=current_time,
action="🟠 CURRENT", action="🔴 CURRENT" if self.pairs[pair]['stop'] else "🟢 CURRENT",
dispo=dispo, dispo=dispo,
pair=pair, pair=pair,
rate=last_candle['close'], rate=last_candle['close'],
@@ -611,8 +611,8 @@ class Zeus_8_3_2_B_4_2(IStrategy):
color = GREEN if profit > 0 else RED color = GREEN if profit > 0 else RED
color_sma20 = GREEN if last_candle['sma20_deriv1_1d'] > 0 else RED color_sma20 = GREEN if last_candle['sma20_deriv1_1d'] > 0 else RED
color_sma5 = GREEN if last_candle['sma5_deriv1_1d'] > 0 else RED color_sma5 = GREEN if last_candle['mid_smooth_5_deriv1_1d'] > 0 else RED
color_sma5_2 = GREEN if last_candle['sma5_deriv2_1d'] > 0 else RED color_sma5_2 = GREEN if last_candle['mid_smooth_5_deriv2_1d'] > 0 else RED
color_sma5_1h = GREEN if last_candle['sma5_deriv1_1h'] > 0 else RED color_sma5_1h = GREEN if last_candle['sma5_deriv1_1h'] > 0 else RED
color_sma5_2h = GREEN if last_candle['sma5_deriv2_1h'] > 0 else RED color_sma5_2h = GREEN if last_candle['sma5_deriv2_1h'] > 0 else RED
color_smooth_1h = GREEN if last_candle['mid_smooth_1h_deriv1'] > 0 else RED color_smooth_1h = GREEN if last_candle['mid_smooth_1h_deriv1'] > 0 else RED
@@ -638,7 +638,7 @@ class Zeus_8_3_2_B_4_2(IStrategy):
# f"{round(last_candle['mid_smooth_24_deriv2'],3) or '-' :>6}|{round(last_candle['mid_smooth_1h_deriv2'],3) or '-':>6}|{round(last_candle['mid_smooth_deriv2_1d'],3) or '-':>6}|" # f"{round(last_candle['mid_smooth_24_deriv2'],3) or '-' :>6}|{round(last_candle['mid_smooth_1h_deriv2'],3) or '-':>6}|{round(last_candle['mid_smooth_deriv2_1d'],3) or '-':>6}|"
f"{round(val, 1) or '-' :>6}|" f"{round(val, 1) or '-' :>6}|"
f"{dist_max:>7}|{color_sma20}{round(last_candle['sma20_deriv1_1d'], 2):>5}{RESET}" f"{dist_max:>7}|{color_sma20}{round(last_candle['sma20_deriv1_1d'], 2):>5}{RESET}"
f"|{color_sma5}{round(last_candle['sma5_deriv1_1d'], 2):>5}{RESET}|{color_sma5_2}{round(last_candle['sma5_deriv2_1d'], 2):>5}{RESET}" f"|{color_sma5}{round(last_candle['mid_smooth_5_deriv1_1d'], 2):>5}{RESET}|{color_sma5_2}{round(last_candle['mid_smooth_5_deriv2_1d'], 2):>5}{RESET}"
f"|{color_sma5_1h}{round(last_candle['sma5_deriv1_1h'], 2):>5}{RESET}|{color_sma5_2h}{round(last_candle['sma5_deriv2_1h'], 2):>5}{RESET}" f"|{color_sma5_1h}{round(last_candle['sma5_deriv1_1h'], 2):>5}{RESET}|{color_sma5_2h}{round(last_candle['sma5_deriv2_1h'], 2):>5}{RESET}"
f"|{color_smooth_1h}{round(last_candle['mid_smooth_1h_deriv1'], 2):>5}{RESET}|{color_smooth2_1h}{round(last_candle['mid_smooth_1h_deriv2'], 2):>5}{RESET}" f"|{color_smooth_1h}{round(last_candle['mid_smooth_1h_deriv1'], 2):>5}{RESET}|{color_smooth2_1h}{round(last_candle['mid_smooth_1h_deriv2'], 2):>5}{RESET}"
# f"|{last_candle['min60_1d']}|{last_candle['max60_1d']}" # f"|{last_candle['min60_1d']}|{last_candle['max60_1d']}"
@@ -663,16 +663,18 @@ class Zeus_8_3_2_B_4_2(IStrategy):
) )
def printLog(self, str): def printLog(self, str):
if self.config.get('runmode') == 'hyperopt' or self.dp.runmode.value in ('hyperopt'):
return;
if not self.dp.runmode.value in ('backtest', 'hyperopt', 'lookahead-analysis'): if not self.dp.runmode.value in ('backtest', 'hyperopt', 'lookahead-analysis'):
logger.info(str) logger.info(str)
else: else:
if not self.dp.runmode.value in ('hyperopt'): if not self.dp.runmode.value in ('hyperopt'):
print(str) print(str)
def add_tendency_column(self, dataframe: pd.DataFrame, suffixe='') -> pd.DataFrame: def add_tendency_column(self, dataframe: pd.DataFrame, name, suffixe='') -> pd.DataFrame:
def tag_by_derivatives(row): def tag_by_derivatives(row):
d1 = row[f"mid_smooth{suffixe}_deriv1"] d1 = row[f"{name}{suffixe}_deriv1"]
d2 = row[f"mid_smooth{suffixe}_deriv2"] d2 = row[f"{name}{suffixe}_deriv2"]
d1_lim_inf = -0.01 d1_lim_inf = -0.01
d1_lim_sup = 0.01 d1_lim_sup = 0.01
if d1 >= d1_lim_inf and d1 <= d1_lim_sup: # and d2 >= d2_lim_inf and d2 <= d2_lim_sup: if d1 >= d1_lim_inf and d1 <= d1_lim_sup: # and d2 >= d2_lim_inf and d2 <= d2_lim_sup:
@@ -797,6 +799,10 @@ class Zeus_8_3_2_B_4_2(IStrategy):
################### INFORMATIVE 1d ################### INFORMATIVE 1d
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1d") informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1d")
heikinashi = qtpylib.heikinashi(informative)
informative['haopen'] = heikinashi['open']
informative['haclose'] = heikinashi['close']
informative['hapercent'] = (informative['haclose'] - informative['haopen']) / informative['haclose']
# informative = self.calculateDerivation(informative, window=5, factor_1=10000, factor_2=1000) # informative = self.calculateDerivation(informative, window=5, factor_1=10000, factor_2=1000)
# informative['volatility'] = talib.STDDEV(informative['close'], timeperiod=14) / informative['close'] # informative['volatility'] = talib.STDDEV(informative['close'], timeperiod=14) / informative['close']
# informative['atr'] = (talib.ATR(informative['high'], informative['low'], informative['close'], timeperiod=14)) / informative['close'] # informative['atr'] = (talib.ATR(informative['high'], informative['low'], informative['close'], timeperiod=14)) / informative['close']
@@ -820,6 +826,12 @@ class Zeus_8_3_2_B_4_2(IStrategy):
self.calculeDerivees(informative, 'sma5', factor_1=10, factor_2=1) self.calculeDerivees(informative, 'sma5', factor_1=10, factor_2=1)
self.calculeDerivees(informative, 'sma20', factor_1=10, factor_2=1) self.calculeDerivees(informative, 'sma20', factor_1=10, factor_2=1)
informative = self.add_tendency_column(informative, "", "sma5")
informative = self.add_tendency_column(informative, "", "sma20")
# mid_smooth_5_deriv1_1d / mid_smooth_5_deriv2_1d
informative = self.calculateDerivation(informative, window=5, suffixe="_5")
macd, macdsignal, macdhist = talib.MACD( macd, macdsignal, macdhist = talib.MACD(
informative['close'], informative['close'],
fastperiod=12, fastperiod=12,
@@ -1023,7 +1035,7 @@ class Zeus_8_3_2_B_4_2(IStrategy):
# 3. Dérivée seconde = différence de la dérivée première # 3. Dérivée seconde = différence de la dérivée première
dataframe[f"mid_smooth{suffixe}_deriv2"] = round( dataframe[f"mid_smooth{suffixe}_deriv2"] = round(
factor_2 * dataframe[f"mid_smooth{suffixe}_deriv1"].rolling(window=3).mean().diff(), 4) factor_2 * dataframe[f"mid_smooth{suffixe}_deriv1"].rolling(window=3).mean().diff(), 4)
dataframe = self.add_tendency_column(dataframe, suffixe) dataframe = self.add_tendency_column(dataframe, "mid_smooth", suffixe)
return dataframe return dataframe
def getOpenTrades(self): def getOpenTrades(self):
@@ -1414,7 +1426,7 @@ class Zeus_8_3_2_B_4_2(IStrategy):
max_amount = self.config.get('stake_amount') * 2.5 max_amount = self.config.get('stake_amount') * 2.5
# stake_amount = min(stake_amount, self.wallets.get_available_stake_amount()) # stake_amount = min(stake_amount, self.wallets.get_available_stake_amount())
stake_amount = min(min(max_amount, self.wallets.get_available_stake_amount()), stake_amount = min(min(max_amount, self.wallets.get_available_stake_amount()),
self.adjust_stake_amount(pair, last_candle) - 10 * pct_first / 0.05) # min(200, self.adjust_stake_amount(pair, last_candle) * self.fibo[count_of_buys]) self.adjust_stake_amount(pair, last_candle) - 10 * pct_first / self.mise_factor_buy.value) # min(200, self.adjust_stake_amount(pair, last_candle) * self.fibo[count_of_buys])
trade_type = last_candle['enter_tag'] if last_candle['enter_long'] == 1 else 'pct48' trade_type = last_candle['enter_tag'] if last_candle['enter_long'] == 1 else 'pct48'
self.pairs[trade.pair]['count_of_buys'] += 1 self.pairs[trade.pair]['count_of_buys'] += 1
@@ -2168,9 +2180,10 @@ class Zeus_8_3_2_B_4_2(IStrategy):
# 🔴 Dérivée 1 < 0 et dérivée 2 < 0: tendance baissière qui s’accélère. # 🔴 Dérivée 1 < 0 et dérivée 2 < 0: tendance baissière qui s’accélère.
# 🟠 Dérivée 1 < 0 et dérivée 2 > 0: tendance baissière qui ralentit → possible bottom. # 🟠 Dérivée 1 < 0 et dérivée 2 > 0: tendance baissière qui ralentit → possible bottom.
if not pair.startswith('BTC'): # if not pair.startswith('BTC'):
if self.pairs[pair]['stop'] and last_candle['sma5_deriv1_1d'] > self.sma5_deriv1_1d_stop_protection.value \ if self.pairs[pair]['stop'] \
and last_candle['sma5_deriv2_1d'] > self.sma5_deriv2_1d_stop_protection.value: and last_candle['mid_smooth_5_deriv1_1d'] > self.sma5_deriv1_1d_restart_protection.value \
and last_candle['mid_smooth_5_deriv2_1d'] > self.sma5_deriv2_1d_restart_protection.value:
self.pairs[pair]['stop'] = False self.pairs[pair]['stop'] = False
self.log_trade( self.log_trade(
last_candle=last_candle, last_candle=last_candle,
@@ -2185,13 +2198,14 @@ class Zeus_8_3_2_B_4_2(IStrategy):
stake=0 stake=0
) )
else: else:
if self.pairs[pair]['stop'] == False and last_candle['sma5_deriv1_1d'] < - self.sma5_deriv1_1d_start_protection.value \ if self.pairs[pair]['stop'] == False \
and last_candle['sma5_deriv2_1d'] < - self.sma5_deriv2_1d_start_protection.value: and last_candle['mid_smooth_5_deriv1_1d'] < self.sma5_deriv1_1d_stop_protection.value \
and last_candle['mid_smooth_5_deriv2_1d'] < self.sma5_deriv2_1d_stop_protection.value:
self.pairs[pair]['stop'] = True self.pairs[pair]['stop'] = True
self.log_trade( self.log_trade(
last_candle=last_candle, last_candle=last_candle,
date=current_time, date=current_time,
action="🔴🔴🔴🔴🔴 🔴STOP", action="🔴STOP",
dispo=0, dispo=0,
pair=pair, pair=pair,
rate=last_candle['close'], rate=last_candle['close'],