TEST mid_smooth_5_deriv1_1d
This commit is contained in:
Jérôme Delacotte
@@ -17,18 +17,17 @@
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"max_open_trades": 80
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},
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"buy": {
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"buy_horizon_predict_1h": 2
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"buy_horizon_predict_1h": 3,
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"mise_factor_buy": 0.07
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},
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"sell": {},
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"protection": {
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"sma20_deriv1_1d_start_protection": 0.0,
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"sma20_deriv1_1d_stop_protection": 0.0,
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"sma5_deriv1_1d_start_protection": 0.0,
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"sma5_deriv1_1d_stop_protection": 0.0,
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"sma5_deriv2_1d_start_protection": 0.0,
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"sma5_deriv1_1d_restart_protection": 0.06,
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"sma5_deriv1_1d_stop_protection": -0.03,
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"sma5_deriv2_1d_restart_protection": 0.0,
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"sma5_deriv2_1d_stop_protection": 0.0
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}
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},
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"ft_stratparam_v": 1,
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"export_time": "2025-09-27 06:44:29.575217+00:00"
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"export_time": "2025-09-27 19:01:48.513825+00:00"
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}
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@@ -211,21 +211,21 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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trades = list()
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max_profit_pairs = {}
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sma20_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
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# sma20_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
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# optimize=True, load=True)
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sma5_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0, default=0.05, decimals=2, space='protection',
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optimize=True, load=True)
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sma5_deriv1_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
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optimize=True, load=True)
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sma5_deriv2_1d_stop_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=1, space='protection', optimize=True,
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sma5_deriv2_1d_stop_protection = DecimalParameter(-0.2, 0, default=0.05, decimals=1, space='protection', optimize=True,
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load=True)
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sma20_deriv1_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
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# sma20_deriv1_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
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# optimize=True, load=True)
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sma5_deriv1_1d_restart_protection = DecimalParameter(0, 0.2, default=0.05, decimals=2, space='protection',
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optimize=True, load=True)
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sma5_deriv1_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=2, space='protection',
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optimize=True, load=True)
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sma5_deriv2_1d_start_protection = DecimalParameter(-0.2, 0.2, default=0.05, decimals=1, space='protection', optimize=True,
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sma5_deriv2_1d_restart_protection = DecimalParameter(0, 0.2, default=0.05, decimals=1, space='protection', optimize=True,
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load=True)
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# sma5_deriv1_1d_protection = DecimalParameter(-0.1, 0.0, default=-0.05, decimals=2, space='protection', optimize=True, load=True)
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mise_factor_buy = DecimalParameter(0.01, 0.2, default=0.05, decimals=2, space='buy', optimize=True, load=True)
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# Récupération des labels ordonnés
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# labels = ['B5', 'B4', 'B3', 'B2', 'B1', 'N0', 'H1', 'H2', 'H3', 'H4', 'H5']
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@@ -447,11 +447,11 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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days_since_first_buy = (current_time - trade.open_date_utc).days
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hours = (current_time - trade.date_last_filled_utc).total_seconds() / 3600.0
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if self.pairs[pair]['stop'] and hours % 6 == 0:
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if hours % 4 == 0:
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self.log_trade(
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last_candle=last_candle,
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date=current_time,
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action="🟠 CURRENT",
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action="🔴 CURRENT" if self.pairs[pair]['stop'] else "🟢 CURRENT",
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dispo=dispo,
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pair=pair,
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rate=last_candle['close'],
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@@ -611,8 +611,8 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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color = GREEN if profit > 0 else RED
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color_sma20 = GREEN if last_candle['sma20_deriv1_1d'] > 0 else RED
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color_sma5 = GREEN if last_candle['sma5_deriv1_1d'] > 0 else RED
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color_sma5_2 = GREEN if last_candle['sma5_deriv2_1d'] > 0 else RED
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color_sma5 = GREEN if last_candle['mid_smooth_5_deriv1_1d'] > 0 else RED
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color_sma5_2 = GREEN if last_candle['mid_smooth_5_deriv2_1d'] > 0 else RED
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color_sma5_1h = GREEN if last_candle['sma5_deriv1_1h'] > 0 else RED
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color_sma5_2h = GREEN if last_candle['sma5_deriv2_1h'] > 0 else RED
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color_smooth_1h = GREEN if last_candle['mid_smooth_1h_deriv1'] > 0 else RED
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@@ -638,7 +638,7 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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# 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}|"
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f"{round(val, 1) or '-' :>6}|"
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f"{dist_max:>7}|{color_sma20}{round(last_candle['sma20_deriv1_1d'], 2):>5}{RESET}"
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f"|{color_sma5}{round(last_candle['sma5_deriv1_1d'], 2):>5}{RESET}|{color_sma5_2}{round(last_candle['sma5_deriv2_1d'], 2):>5}{RESET}"
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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}"
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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}"
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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}"
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# f"|{last_candle['min60_1d']}|{last_candle['max60_1d']}"
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@@ -663,16 +663,18 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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)
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def printLog(self, str):
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if self.config.get('runmode') == 'hyperopt' or self.dp.runmode.value in ('hyperopt'):
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return;
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if not self.dp.runmode.value in ('backtest', 'hyperopt', 'lookahead-analysis'):
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logger.info(str)
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else:
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if not self.dp.runmode.value in ('hyperopt'):
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print(str)
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def add_tendency_column(self, dataframe: pd.DataFrame, suffixe='') -> pd.DataFrame:
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def add_tendency_column(self, dataframe: pd.DataFrame, name, suffixe='') -> pd.DataFrame:
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def tag_by_derivatives(row):
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d1 = row[f"mid_smooth{suffixe}_deriv1"]
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d2 = row[f"mid_smooth{suffixe}_deriv2"]
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d1 = row[f"{name}{suffixe}_deriv1"]
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d2 = row[f"{name}{suffixe}_deriv2"]
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d1_lim_inf = -0.01
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d1_lim_sup = 0.01
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if d1 >= d1_lim_inf and d1 <= d1_lim_sup: # and d2 >= d2_lim_inf and d2 <= d2_lim_sup:
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@@ -797,6 +799,10 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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################### INFORMATIVE 1d
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informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1d")
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heikinashi = qtpylib.heikinashi(informative)
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informative['haopen'] = heikinashi['open']
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informative['haclose'] = heikinashi['close']
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informative['hapercent'] = (informative['haclose'] - informative['haopen']) / informative['haclose']
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# informative = self.calculateDerivation(informative, window=5, factor_1=10000, factor_2=1000)
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# informative['volatility'] = talib.STDDEV(informative['close'], timeperiod=14) / informative['close']
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# informative['atr'] = (talib.ATR(informative['high'], informative['low'], informative['close'], timeperiod=14)) / informative['close']
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@@ -820,6 +826,12 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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self.calculeDerivees(informative, 'sma5', factor_1=10, factor_2=1)
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self.calculeDerivees(informative, 'sma20', factor_1=10, factor_2=1)
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informative = self.add_tendency_column(informative, "", "sma5")
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informative = self.add_tendency_column(informative, "", "sma20")
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# mid_smooth_5_deriv1_1d / mid_smooth_5_deriv2_1d
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informative = self.calculateDerivation(informative, window=5, suffixe="_5")
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macd, macdsignal, macdhist = talib.MACD(
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informative['close'],
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fastperiod=12,
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@@ -1023,7 +1035,7 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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# 3. Dérivée seconde = différence de la dérivée première
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dataframe[f"mid_smooth{suffixe}_deriv2"] = round(
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factor_2 * dataframe[f"mid_smooth{suffixe}_deriv1"].rolling(window=3).mean().diff(), 4)
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dataframe = self.add_tendency_column(dataframe, suffixe)
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dataframe = self.add_tendency_column(dataframe, "mid_smooth", suffixe)
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return dataframe
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def getOpenTrades(self):
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@@ -1414,7 +1426,7 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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max_amount = self.config.get('stake_amount') * 2.5
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# stake_amount = min(stake_amount, self.wallets.get_available_stake_amount())
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stake_amount = min(min(max_amount, self.wallets.get_available_stake_amount()),
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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])
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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])
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trade_type = last_candle['enter_tag'] if last_candle['enter_long'] == 1 else 'pct48'
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self.pairs[trade.pair]['count_of_buys'] += 1
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@@ -2168,9 +2180,10 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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# 🔴 Dérivée 1 < 0 et dérivée 2 < 0: tendance baissière qui s’accélère.
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# 🟠 Dérivée 1 < 0 et dérivée 2 > 0: tendance baissière qui ralentit → possible bottom.
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if not pair.startswith('BTC'):
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if self.pairs[pair]['stop'] and last_candle['sma5_deriv1_1d'] > self.sma5_deriv1_1d_stop_protection.value \
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and last_candle['sma5_deriv2_1d'] > self.sma5_deriv2_1d_stop_protection.value:
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# if not pair.startswith('BTC'):
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if self.pairs[pair]['stop'] \
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and last_candle['mid_smooth_5_deriv1_1d'] > self.sma5_deriv1_1d_restart_protection.value \
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and last_candle['mid_smooth_5_deriv2_1d'] > self.sma5_deriv2_1d_restart_protection.value:
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self.pairs[pair]['stop'] = False
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self.log_trade(
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last_candle=last_candle,
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@@ -2185,13 +2198,14 @@ class Zeus_8_3_2_B_4_2(IStrategy):
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stake=0
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)
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else:
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if self.pairs[pair]['stop'] == False and last_candle['sma5_deriv1_1d'] < - self.sma5_deriv1_1d_start_protection.value \
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and last_candle['sma5_deriv2_1d'] < - self.sma5_deriv2_1d_start_protection.value:
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if self.pairs[pair]['stop'] == False \
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and last_candle['mid_smooth_5_deriv1_1d'] < self.sma5_deriv1_1d_stop_protection.value \
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and last_candle['mid_smooth_5_deriv2_1d'] < self.sma5_deriv2_1d_stop_protection.value:
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self.pairs[pair]['stop'] = True
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self.log_trade(
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last_candle=last_candle,
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date=current_time,
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action="🔴🔴🔴🔴🔴 🔴STOP",
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action="🔴STOP",
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dispo=0,
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pair=pair,
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rate=last_candle['close'],
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