first commit
This commit is contained in:
Jérôme Delacotte
811
GodStraJD3_7_5_9_2.py
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811
GodStraJD3_7_5_9_2.py
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# GodStraNew Strategy
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# Author: @Mablue (Masoud Azizi)
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# github: https://github.com/mablue/
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# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLoss --spaces buy roi trailing sell --strategy GodStraNew
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# --- Do not remove these libs ---
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from datetime import timedelta, datetime
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from typing import Optional
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from freqtrade import data
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from freqtrade.persistence import Trade
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from freqtrade.strategy.parameters import CategoricalParameter, DecimalParameter, IntParameter, BooleanParameter
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from numpy.lib import math
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from freqtrade.strategy.interface import IStrategy
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import pandas
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from pandas import DataFrame
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import time
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import logging
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import ta as ta2
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import calendar
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from freqtrade.loggers import setup_logging
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from freqtrade.strategy.strategy_helper import merge_informative_pair
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# --------------------------------
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# Add your lib to import here
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# TODO: ta is fast but have not more indicators
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import talib.abstract as ta
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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from functools import reduce
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import numpy as np
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from random import shuffle
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logger = logging.getLogger(__name__)
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operators = [
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"D", # Disabled gene
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">", # Indicator, bigger than cross indicator
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"<", # Indicator, smaller than cross indicator
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"=", # Indicator, equal with cross indicator
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"C", # Indicator, crossed the cross indicator
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"CA", # Indicator, crossed above the cross indicator
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"CB", # Indicator, crossed below the cross indicator
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">R", # Normalized indicator, bigger than real number
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"=R", # Normalized indicator, equal with real number
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"<R", # Normalized indicator, smaller than real number
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"/>R", # Normalized indicator devided to cross indicator, bigger than real number
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"/=R", # Normalized indicator devided to cross indicator, equal with real number
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"/<R", # Normalized indicator devided to cross indicator, smaller than real number
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"UT", # Indicator, is in UpTrend status
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"DT", # Indicator, is in DownTrend status
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"OT", # Indicator, is in Off trend status(RANGE)
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"CUT", # Indicator, Entered to UpTrend status
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"CDT", # Indicator, Entered to DownTrend status
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"COT" # Indicator, Entered to Off trend status(RANGE)
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]
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# number of candles to check up,don,off trend.
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TREND_CHECK_CANDLES = 8
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DECIMALS = 2
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buy_crossed_indicator0 = 'MINUS_DM-5'
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buy_operator0 = "/<R"
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buy_indicator0 = 'MA-20'
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buy_crossed_indicator1 = 'DX-5'
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buy_operator1 = ">"
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buy_indicator1 = 'STOCH-1-10'
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buy_crossed_indicator2 = 'LINEARREG-50'
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buy_operator2 = "/<R"
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buy_indicator2 = 'CDLDRAGONFLYDOJI-5'
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def normalize(df):
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df = (df-df.min())/(df.max()-df.min())
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return df
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def gene_calculator(dataframe, indicator):
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# Cuz Timeperiods not effect calculating CDL patterns recognations
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if 'CDL' in indicator:
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splited_indicator = indicator.split('-')
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splited_indicator[1] = "0"
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new_indicator = "-".join(splited_indicator)
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# print(indicator, new_indicator)
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indicator = new_indicator
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gene = indicator.split("-")
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gene_name = gene[0]
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gene_len = len(gene)
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if indicator in dataframe.keys():
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# print(f"{indicator}, calculated befoure")
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# print(len(dataframe.keys()))
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return dataframe[indicator]
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else:
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result = None
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# For Pattern Recognations
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if gene_len == 1:
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# print('gene_len == 1\t', indicator)
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result = getattr(ta, gene_name)(
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dataframe
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)
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return normalize(result)
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elif gene_len == 2:
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# print('gene_len == 2\t', indicator)
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gene_timeperiod = int(gene[1])
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result = getattr(ta, gene_name)(
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dataframe,
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timeperiod=gene_timeperiod,
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)
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return normalize(result)
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# For
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elif gene_len == 3:
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# print('gene_len == 3\t', indicator)
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gene_timeperiod = int(gene[2])
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gene_index = int(gene[1])
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result = getattr(ta, gene_name)(
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dataframe,
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timeperiod=gene_timeperiod,
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).iloc[:, gene_index]
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return normalize(result)
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# For trend operators(MA-5-SMA-4)
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elif gene_len == 4:
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# print('gene_len == 4\t', indicator)
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gene_timeperiod = int(gene[1])
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sharp_indicator = f'{gene_name}-{gene_timeperiod}'
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dataframe[sharp_indicator] = getattr(ta, gene_name)(
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dataframe,
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timeperiod=gene_timeperiod,
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)
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return normalize(ta.SMA(dataframe[sharp_indicator].fillna(0), TREND_CHECK_CANDLES))
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# For trend operators(STOCH-0-4-SMA-4)
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elif gene_len == 5:
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# print('gene_len == 5\t', indicator)
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gene_timeperiod = int(gene[2])
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gene_index = int(gene[1])
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sharp_indicator = f'{gene_name}-{gene_index}-{gene_timeperiod}'
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dataframe[sharp_indicator] = getattr(ta, gene_name)(
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dataframe,
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timeperiod=gene_timeperiod,
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).iloc[:, gene_index]
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return normalize(ta.SMA(dataframe[sharp_indicator].fillna(0), TREND_CHECK_CANDLES))
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def condition_generator(dataframe, operator, indicator, crossed_indicator, real_num, decalage):
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condition = (dataframe['volume'] > 10)
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# TODO : it ill callculated in populate indicators.
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dataframe[indicator] = gene_calculator(dataframe, indicator)
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dataframe[crossed_indicator] = gene_calculator(dataframe, crossed_indicator)
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indicator_trend_sma = f"{indicator}-SMA-{TREND_CHECK_CANDLES}"
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if operator in ["UT", "DT", "OT", "CUT", "CDT", "COT"]:
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dataframe[indicator_trend_sma] = gene_calculator(dataframe, indicator_trend_sma)
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if operator == ">":
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condition = (dataframe[indicator].shift(decalage) > dataframe[crossed_indicator].shift(decalage))
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elif operator == "=":
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condition = (np.isclose(dataframe[indicator].shift(decalage), dataframe[crossed_indicator].shift(decalage)))
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elif operator == "<":
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condition = (dataframe[indicator].shift(decalage) < dataframe[crossed_indicator].shift(decalage))
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elif operator == "C":
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condition = (
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(qtpylib.crossed_below(dataframe[indicator].shift(decalage), dataframe[crossed_indicator].shift(decalage))) |
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(qtpylib.crossed_above(dataframe[indicator].shift(decalage), dataframe[crossed_indicator].shift(decalage)))
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)
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elif operator == "CA":
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condition = (qtpylib.crossed_above(dataframe[indicator].shift(decalage), dataframe[crossed_indicator].shift(decalage)))
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elif operator == "CB":
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condition = (qtpylib.crossed_below(dataframe[indicator].shift(decalage), dataframe[crossed_indicator].shift(decalage)))
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elif operator == ">R":
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condition = (dataframe[indicator].shift(decalage) > real_num)
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elif operator == "=R":
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condition = (np.isclose(dataframe[indicator].shift(decalage), real_num))
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elif operator == "<R":
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condition = (dataframe[indicator].shift(decalage) < real_num)
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elif operator == "/>R":
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condition = (dataframe[indicator].shift(decalage).div(dataframe[crossed_indicator].shift(decalage)) > real_num)
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elif operator == "/=R":
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condition = (np.isclose(dataframe[indicator].shift(decalage).div(dataframe[crossed_indicator].shift(decalage)), real_num))
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elif operator == "/<R":
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condition = (dataframe[indicator].shift(decalage).div(dataframe[crossed_indicator].shift(decalage)) < real_num)
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elif operator == "UT":
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condition = (dataframe[indicator].shift(decalage) > dataframe[indicator_trend_sma].shift(decalage))
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elif operator == "DT":
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condition = (dataframe[indicator].shift(decalage) < dataframe[indicator_trend_sma].shift(decalage))
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elif operator == "OT":
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condition = (np.isclose(dataframe[indicator].shift(decalage), dataframe[indicator_trend_sma].shift(decalage)))
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elif operator == "CUT":
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condition = (
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(
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qtpylib.crossed_above(dataframe[indicator].shift(decalage), dataframe[indicator_trend_sma].shift(decalage))
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) &
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(
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dataframe[indicator].shift(decalage) > dataframe[indicator_trend_sma].shift(decalage)
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)
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)
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elif operator == "CDT":
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condition = (
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(
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qtpylib.crossed_below(dataframe[indicator].shift(decalage), dataframe[indicator_trend_sma].shift(decalage))
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) &
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(
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dataframe[indicator].shift(decalage) < dataframe[indicator_trend_sma].shift(decalage)
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)
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)
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elif operator == "COT":
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condition = (
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(
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(
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qtpylib.crossed_below(dataframe[indicator].shift(decalage), dataframe[indicator_trend_sma].shift(decalage))
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) |
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(
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qtpylib.crossed_above(dataframe[indicator].shift(decalage), dataframe[indicator_trend_sma].shift(decalage))
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)
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) &
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(
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np.isclose(dataframe[indicator].shift(decalage), dataframe[indicator_trend_sma].shift(decalage))
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)
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)
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return condition, dataframe
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class GodStraJD3_7_5_9_2(IStrategy):
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# #################### RESULTS PASTE PLACE ####################
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# ROI table:
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minimal_roi = {
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"0": 10,
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# "600": 0.12,
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# "1200": 0.08,
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# "2400": 0.06,
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# "3600": 0.04,
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# "7289": 0
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}
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# Stoploss:
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stoploss = -1
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# Buy hypers
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timeframe = '5m'
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# Trailing stoploss
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trailing_stop = False
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trailing_stop_positive = 0.15
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trailing_stop_positive_offset = 0.20
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trailing_only_offset_is_reached = True
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plot_config = {
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# Main plot indicators (Moving averages, ...)
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'main_plot': {
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'bb_lowerband': {'color': 'red'},
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'bb_upperband': {'color': 'green'},
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'sma100': {'color': 'blue'},
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'sma10': {'color': 'yellow'},
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'min20': {'color': '#87e470'},
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'min50': {'color': '#ac3e2a'},
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"min1.1": {'color': 'yellow'},
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'sma20': {'color': 'cyan'},
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'open_1d': {'color': 'white'},
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'close_1d': {'color': 'white'}
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},
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'subplots': {
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# Subplots - each dict defines one additional plot
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"BB": {
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'bb_width': {'color': 'white'},
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'bb_lower_5': {'color': 'yellow'}
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},
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# "Ind0": {
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# buy_crossed_indicator0: {'color': 'green'},
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# buy_indicator0: {'color': 'red'}
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# },
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"Cond": {
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'cond1': {'color': 'yellow'},
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},
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# "Ind1": {
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# buy_indicator1: {'color': 'yellow'},
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# buy_crossed_indicator1: {'color': 'pink'}
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# },
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# "Ind2": {
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# buy_indicator2: {'color': 'cyan'},
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# buy_crossed_indicator2: {'color': 'blue'},
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# },
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"Rsi": {
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'rsi': {'color': 'pink'},
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},
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"Ecart": {
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'normal_var_20': {'color': 'red'},
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'normal_var_50': {'color': 'yellow'},
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},
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# "rolling": {
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# 'bb_rolling': {'color': '#87e470'},
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# "bb_rolling_min": {'color': '#ac3e2a'}
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# },
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"percent": {
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"percent": {'color': 'green'},
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"percent3": {'color': 'blue'},
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"percent5": {'color': 'red'},
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"distance_min": {'color': 'white'}
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}
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}
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}
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# #################### END OF RESULT PLACE ####################
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trades = list()
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profit_no_change = BooleanParameter(default=True, space="sell")
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profit_quick_lost = BooleanParameter(default=True, space="sell")
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profit_sma5 = BooleanParameter(default=True, space="sell")
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profit_sma10 = BooleanParameter(default=True, space="sell")
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profit_sma20 = BooleanParameter(default=True, space="sell")
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profit_quick_gain = BooleanParameter(default=True, space="sell")
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profit_quick_gain_3 = BooleanParameter(default=True, space="sell")
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profit_old_sma10 = BooleanParameter(default=True, space="sell")
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profit_very_old_sma10 = BooleanParameter(default=True, space="sell")
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profit_over_rsi = BooleanParameter(default=True, space="sell")
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profit_short_loss = BooleanParameter(default=True, space="sell")
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profit_h_no_change = BooleanParameter(default=True, space="sell")
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profit_h_quick_lost = BooleanParameter(default=True, space="sell")
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profit_h_sma5 = BooleanParameter(default=True, space="sell")
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profit_h_sma10 = BooleanParameter(default=True, space="sell")
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profit_h_sma20 = BooleanParameter(default=True, space="sell")
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profit_h_quick_gain = BooleanParameter(default=True, space="sell")
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profit_h_quick_gain_3 = BooleanParameter(default=True, space="sell")
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profit_h_old_sma10 = BooleanParameter(default=True, space="sell")
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profit_h_very_old_sma10 = BooleanParameter(default=True, space="sell")
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profit_h_over_rsi = BooleanParameter(default=True, space="sell")
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profit_h_short_loss = BooleanParameter(default=True, space="sell")
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# buy_signal_bb_width = DecimalParameter(0.06, 0.15, decimals=2, default=0.065, space='buy')
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buy_real = DecimalParameter(0.001, 0.999, decimals=4, default=0.11908, space='buy')
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buy_cat = CategoricalParameter([">R", "=R", "<R"], default='<R', space='buy')
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buy_pct = DecimalParameter(0.001, 0.02, decimals=3, default=0.005, space='buy')
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buy_pct_1 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
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buy_pct_3 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
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buy_pct_5 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
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buy_bb_lowerband = DecimalParameter(1, 1.05, default=1, decimals=2, space='buy')
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buy_bb_width = DecimalParameter(0.01, 0.15, default=0.065, decimals=2, space='buy')
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buy_real_num0 = DecimalParameter(0, 1, decimals=2, default=0.67, space='buy')
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buy_real_num1 = DecimalParameter(0, 1, decimals=2, default=0.67, space='buy')
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buy_real_num2 = DecimalParameter(0, 2, decimals=2, default=0.67, space='buy')
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buy_min_horizon = IntParameter(50, 200, default=72, space='buy')
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buy_0_percent20 = DecimalParameter(-0.1, 0.1, decimals=2, default=-0.02, space='buy')
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buy_2_percent20 = DecimalParameter(-0.1, 0.1, decimals=2, default=-0.02, space='buy')
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buy_3_percent20 = DecimalParameter(-0.1, 0.1, decimals=2, default=-0.02, space='buy')
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buy_0_distance = DecimalParameter(-0.1, 0.1, decimals=2, default=0.02, space='buy')
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buy_2_distance = DecimalParameter(-0.1, 0.1, decimals=2, default=0.02, space='buy')
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buy_3_distance = DecimalParameter(-0.1, 0.1, decimals=2, default=0.02, space='buy')
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buy_decalage_deb_0 = IntParameter(0, 3, default=5, space='buy')
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buy_decalage_deb_2 = IntParameter(0, 3, default=5, space='buy')
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buy_decalage_deb_3 = IntParameter(0, 3, default=5, space='buy')
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buy_decalage0 = IntParameter(buy_decalage_deb_0.value + 1, 8, default=5, space='buy')
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buy_decalage2 = IntParameter(buy_decalage_deb_2.value + 1, 8, default=5, space='buy')
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buy_decalage3 = IntParameter(buy_decalage_deb_3.value + 1, 8, default=5, space='buy')
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buy_1_pente_sma10 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_2_pente_sma10 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_3_pente_sma10 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_4_pente_sma10 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_1_pente_sma20 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_2_pente_sma20 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_3_pente_sma20 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_4_pente_sma20 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_1_bb_lower_5 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_2_bb_lower_5 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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buy_3_bb_lower_5 = DecimalParameter(0, 0.6, decimals=2, default=0.7, space='buy')
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protection_max_allowed_dd = DecimalParameter(0, 1, decimals=DECIMALS, default=0.04, space='protection')
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protection_stop = IntParameter(1, 100, default=48, space='protection')
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protection_stoploss_stop = IntParameter(1, 100, default=48, space='protection')
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lookback = IntParameter(1, 200, default=48, space='protection')
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trade_limit = IntParameter(1, 10, default=2, space='protection')
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|
||||
sell_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
sell_percent3 = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
sell_candels = IntParameter(0, 48, default=12, space='sell')
|
||||
|
||||
sell_too_old_day = IntParameter(0, 10, default=5, space='sell')
|
||||
sell_too_old_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
|
||||
sell_profit_no_change = DecimalParameter(0, 0.02, decimals=3, default=0.005, space='sell')
|
||||
sell_profit_percent10 = DecimalParameter(0, 0.002, decimals=4, default=0.001, space='sell')
|
||||
|
||||
sell_RSI = IntParameter(70, 98, default=88, space='sell')
|
||||
sell_RSI2 = IntParameter(70, 98, default=88, space='sell')
|
||||
sell_RSI2_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
|
||||
@property
|
||||
def protections(self):
|
||||
return [
|
||||
{
|
||||
"method": "CooldownPeriod",
|
||||
"stop_duration_candles": 10
|
||||
},
|
||||
# {
|
||||
# "method": "MaxDrawdown",
|
||||
# "lookback_period_candles": self.lookback.value,
|
||||
# "trade_limit": self.trade_limit.value,
|
||||
# "stop_duration_candles": self.protection_stop.value,
|
||||
# "max_allowed_drawdown": self.protection_max_allowed_dd.value,
|
||||
# "only_per_pair": False
|
||||
# },
|
||||
# {
|
||||
# "method": "StoplossGuard",
|
||||
# "lookback_period_candles": 24,
|
||||
# "trade_limit": 4,
|
||||
# "stop_duration_candles": self.protection_stoploss_stop.value,
|
||||
# "only_per_pair": False
|
||||
# },
|
||||
# {
|
||||
# "method": "EmergencyStop",
|
||||
# "min_percent": -0.05,
|
||||
# "candels": 1
|
||||
# }
|
||||
]
|
||||
def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
|
||||
current_profit: float, **kwargs):
|
||||
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
||||
last_candle = dataframe.iloc[-1].squeeze()
|
||||
previous_last_candle = dataframe.iloc[-2].squeeze()
|
||||
previous_5_candle = dataframe.iloc[-5].squeeze()
|
||||
|
||||
expected_profit = 0.01
|
||||
# if (last_candle['pct_change_1_1d'] < 0):
|
||||
# expected_profit = self.sell_expected_profit.value
|
||||
#
|
||||
# if (current_profit > expected_profit) & (last_candle['pct_change_1_1d'] < 0):
|
||||
# return "exp_profit_down"
|
||||
|
||||
if (current_profit >= - self.sell_too_old_percent.value) & ((current_time - trade.open_date_utc).days >= self.sell_too_old_day.value)\
|
||||
& ((current_time - trade.open_date_utc).days < self.sell_too_old_day.value * 2)\
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "too_old_0.01"
|
||||
if (current_profit >= - self.sell_too_old_percent.value * 2) & ((current_time - trade.open_date_utc).days >= self.sell_too_old_day.value * 2)\
|
||||
& ((current_time - trade.open_date_utc).days < self.sell_too_old_day.value * 3) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "too_old_0.02"
|
||||
if (current_profit >= - self.sell_too_old_percent.value * 3) & ((current_time - trade.open_date_utc).days >= self.sell_too_old_day.value * 3) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "too_old_0.03"
|
||||
|
||||
if (last_candle['pct_change_1_1d'] > 0):
|
||||
if self.profit_quick_lost.value and (current_profit >= 0.015) & (last_candle['percent3'] < -0.005):
|
||||
return "quick_lost"
|
||||
|
||||
if self.profit_no_change.value and (current_profit > self.sell_profit_no_change.value) \
|
||||
& (last_candle['percent10'] < self.sell_profit_percent10.value) & (last_candle['percent5'] < 0) \
|
||||
& ((current_time - trade.open_date_utc).seconds >= 3600):
|
||||
return "no_change"
|
||||
|
||||
if (current_profit > self.sell_percent.value) & (last_candle['percent3'] < - self.sell_percent3.value) \
|
||||
& ((current_time - trade.open_date_utc).seconds <= 300 * self.sell_candels.value):
|
||||
return "quick_gain_param"
|
||||
|
||||
if self.profit_sma5.value:
|
||||
if (current_profit > expected_profit) \
|
||||
& ((previous_5_candle['sma5'] > last_candle['sma5']) \
|
||||
| (last_candle['percent3'] < -expected_profit) | (last_candle['percent5'] < -expected_profit)) \
|
||||
& ((last_candle['percent'] < 0) & (last_candle['percent3'] < 0)):
|
||||
# print("over_bb_band_sma10_desc", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'sma5'
|
||||
|
||||
if self.profit_sma10.value:
|
||||
if (current_profit > expected_profit) \
|
||||
& ((previous_5_candle['sma10'] > last_candle['sma10']) \
|
||||
| (last_candle['percent3'] < -expected_profit) | (last_candle['percent5'] < -expected_profit)) \
|
||||
& ((last_candle['percent'] < 0) & (last_candle['percent3'] < 0)):
|
||||
# print("over_bb_band_sma10_desc", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'sma10'
|
||||
|
||||
if self.profit_sma20.value:
|
||||
if (current_profit > 0.005) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) \
|
||||
& ((current_time - trade.open_date_utc).seconds >= 3600) \
|
||||
& ((previous_last_candle['sma20'] > last_candle['sma20']) &
|
||||
((last_candle['percent5'] < 0) | (last_candle['percent10'] < 0) | (last_candle['percent20'] < 0))):
|
||||
# print("over_bb_band_sma10_desc", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'sma20'
|
||||
|
||||
if self.profit_over_rsi.value:
|
||||
if (current_profit > 0) & (previous_last_candle['rsi'] > self.sell_RSI.value): # & (last_candle['percent'] < 0): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'over_rsi'
|
||||
|
||||
if (current_profit > 0) & (previous_last_candle['rsi'] > self.sell_RSI2.value) & \
|
||||
(last_candle['percent'] < - self.sell_RSI2_percent.value): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'over_rsi_2'
|
||||
|
||||
if self.profit_short_loss.value:
|
||||
if (current_profit > -expected_profit) & (previous_last_candle['percent10'] > 0.04) & (last_candle['percent'] < 0)\
|
||||
& ((current_time - trade.open_date_utc).days >= 1): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'short_lost'
|
||||
else:
|
||||
if self.profit_h_quick_lost.value and (current_profit >= 0.015) & (last_candle['percent3'] < -0.005):
|
||||
return "h_quick_lost"
|
||||
|
||||
if self.profit_h_no_change.value and (current_profit > self.sell_profit_no_change.value) \
|
||||
& (last_candle['percent10'] < self.sell_profit_percent10.value) & (last_candle['percent5'] < 0) \
|
||||
& ((current_time - trade.open_date_utc).seconds >= 3600):
|
||||
return "h_no_change"
|
||||
|
||||
if (current_profit > self.sell_percent.value) & (last_candle['percent3'] < - self.sell_percent3.value) \
|
||||
& ((current_time - trade.open_date_utc).seconds <= 300 * self.sell_candels.value):
|
||||
return "h_quick_gain_param"
|
||||
|
||||
if self.profit_h_sma5.value:
|
||||
if (current_profit > expected_profit) \
|
||||
& ((previous_5_candle['sma5'] > last_candle['sma5']) \
|
||||
| (last_candle['percent3'] < -expected_profit) | (
|
||||
last_candle['percent5'] < -expected_profit)) \
|
||||
& ((last_candle['percent'] < 0) & (last_candle['percent3'] < 0)):
|
||||
# print("over_bb_band_sma10_desc", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'h_sma5'
|
||||
|
||||
if self.profit_h_sma10.value:
|
||||
if (current_profit > expected_profit) \
|
||||
& ((previous_5_candle['sma10'] > last_candle['sma10']) \
|
||||
| (last_candle['percent3'] < -expected_profit) | (
|
||||
last_candle['percent5'] < -expected_profit)) \
|
||||
& ((last_candle['percent'] < 0) & (last_candle['percent3'] < 0)):
|
||||
# print("over_bb_band_sma10_desc", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'h_sma10'
|
||||
|
||||
if self.profit_h_sma20.value:
|
||||
if (current_profit > 0.005) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) \
|
||||
& ((current_time - trade.open_date_utc).seconds >= 3600) \
|
||||
& ((previous_last_candle['sma20'] > last_candle['sma20']) &
|
||||
((last_candle['percent5'] < 0) | (last_candle['percent10'] < 0) | (
|
||||
last_candle['percent20'] < 0))):
|
||||
# print("over_bb_band_sma10_desc", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'h_sma20'
|
||||
|
||||
if self.profit_h_over_rsi.value:
|
||||
if (current_profit > 0) & (previous_last_candle[
|
||||
'rsi'] > self.sell_RSI.value): # & (last_candle['percent'] < 0): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'h_over_rsi'
|
||||
|
||||
if (current_profit > 0) & (previous_last_candle['rsi'] > self.sell_RSI2.value) & \
|
||||
(last_candle[
|
||||
'percent'] < - self.sell_RSI2_percent.value): # | (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'h_over_rsi_2'
|
||||
|
||||
if self.profit_h_short_loss.value:
|
||||
if (current_profit > -expected_profit) & (previous_last_candle['percent10'] > 0.04) & (
|
||||
last_candle['percent'] < 0) \
|
||||
& ((
|
||||
current_time - trade.open_date_utc).days >= 1): # | (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'h_short_lost'
|
||||
|
||||
def informative_pairs(self):
|
||||
pairs = self.dp.current_whitelist()
|
||||
informative_pairs = [(pair, '1d') for pair in pairs]
|
||||
return informative_pairs
|
||||
|
||||
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
# dataframe['profit'] = 0
|
||||
# RSI
|
||||
dataframe['trend_ichimoku_base'] = ta2.trend.ichimoku_base_line(
|
||||
dataframe['high'],
|
||||
dataframe['low'],
|
||||
window1=9,
|
||||
window2=26,
|
||||
visual=False,
|
||||
fillna=False
|
||||
)
|
||||
KST = ta2.trend.KSTIndicator(
|
||||
close=dataframe['close'],
|
||||
roc1=10,
|
||||
roc2=15,
|
||||
roc3=20,
|
||||
roc4=30,
|
||||
window1=10,
|
||||
window2=10,
|
||||
window3=10,
|
||||
window4=15,
|
||||
nsig=9,
|
||||
fillna=False
|
||||
)
|
||||
|
||||
dataframe['trend_kst_diff'] = KST.kst_diff()
|
||||
dataframe['pct_change'] = dataframe['close'].pct_change(5)
|
||||
dataframe['min10'] = ta.MIN(dataframe['close'], timeperiod=10)
|
||||
dataframe['min20'] = ta.MIN(dataframe['close'], timeperiod=20)
|
||||
dataframe['min50'] = ta.MIN(dataframe['close'], timeperiod=50)
|
||||
dataframe['min200'] = ta.MIN(dataframe['close'], timeperiod=200)
|
||||
dataframe['max50'] = ta.MAX(dataframe['close'], timeperiod=50)
|
||||
dataframe['max200'] = ta.MAX(dataframe['close'], timeperiod=200)
|
||||
dataframe['rsi'] = ta.RSI(dataframe)
|
||||
dataframe['sma5'] = ta.SMA(dataframe, timeperiod=5)
|
||||
dataframe['sma10'] = ta.SMA(dataframe, timeperiod=10)
|
||||
dataframe['sma20'] = ta.SMA(dataframe, timeperiod=20)
|
||||
dataframe['sma50'] = ta.SMA(dataframe, timeperiod=50)
|
||||
dataframe['sma100'] = ta.SMA(dataframe, timeperiod=100)
|
||||
dataframe["percent"] = (dataframe["close"] - dataframe["open"]) / dataframe["open"]
|
||||
dataframe["percent5"] = dataframe["percent"].rolling(5).sum()
|
||||
dataframe["percent3"] = dataframe["percent"].rolling(3).sum()
|
||||
dataframe["percent10"] = dataframe["percent"].rolling(10).sum()
|
||||
dataframe["percent20"] = dataframe["percent"].rolling(20).sum()
|
||||
dataframe["percent50"] = dataframe["percent"].rolling(50).sum()
|
||||
|
||||
dataframe['ecart_20'] = dataframe['close'].rolling(20).var() / dataframe['close']
|
||||
dataframe['ecart_50'] = dataframe['close'].rolling(50).var() / dataframe['close']
|
||||
|
||||
dataframe['min'] = ta.MIN(dataframe['close'], timeperiod=self.buy_min_horizon.value)
|
||||
dataframe['min10'] = ta.MIN(dataframe['close'], timeperiod=10)
|
||||
dataframe['min20'] = ta.MIN(dataframe['close'], timeperiod=20)
|
||||
dataframe['min50'] = ta.MIN(dataframe['close'], timeperiod=50)
|
||||
dataframe['min200'] = ta.MIN(dataframe['close'], timeperiod=200)
|
||||
|
||||
dataframe["volume10"] = dataframe["volume"].rolling(10).mean()
|
||||
|
||||
dataframe['max'] = ta.MAX(dataframe['close'], timeperiod=200)
|
||||
dataframe['max_min'] = dataframe['max'] / dataframe['min']
|
||||
# Bollinger Bands
|
||||
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
|
||||
dataframe['bb_lowerband'] = bollinger['lower']
|
||||
dataframe['bb_middleband'] = bollinger['mid']
|
||||
dataframe['bb_upperband'] = bollinger['upper']
|
||||
dataframe["bb_percent"] = (
|
||||
(dataframe["close"] - dataframe["bb_lowerband"]) /
|
||||
(dataframe["bb_upperband"] - dataframe["bb_lowerband"])
|
||||
)
|
||||
dataframe["bb_width"] = (
|
||||
(dataframe["bb_upperband"] - dataframe["bb_lowerband"]) / dataframe["bb_middleband"]
|
||||
)
|
||||
dataframe['bb_lower_var_5'] = (dataframe['bb_lowerband'] - dataframe['min50']).rolling(5).var()
|
||||
dataframe['bb_lower_5'] = 100 * ((dataframe['bb_lowerband'].rolling(5).mean() / dataframe['bb_lowerband']) - 1)
|
||||
# dataframe['bb_min'] = ta.MIN(dataframe['bb_lowerband'], timeperiod=36)
|
||||
|
||||
dataframe['distance_min'] = (dataframe['close'] - dataframe['min']) / dataframe['close']
|
||||
dataframe['min1.1'] = 1.01 * dataframe['min']
|
||||
dataframe['normal'] = 100 * (dataframe['close'] / dataframe['close'].rolling(200).mean())
|
||||
dataframe['normal_var_20'] = dataframe['normal'].rolling(20).var()
|
||||
dataframe['normal_var_50'] = dataframe['normal'].rolling(50).var()
|
||||
|
||||
dataframe[buy_crossed_indicator0] = gene_calculator(dataframe, buy_crossed_indicator0)
|
||||
dataframe[buy_crossed_indicator1] = gene_calculator(dataframe, buy_crossed_indicator1)
|
||||
dataframe[buy_crossed_indicator2] = gene_calculator(dataframe, buy_crossed_indicator2)
|
||||
|
||||
dataframe[buy_indicator0] = gene_calculator(dataframe, buy_indicator0)
|
||||
dataframe[buy_indicator1] = gene_calculator(dataframe, buy_indicator1)
|
||||
dataframe[buy_indicator2] = gene_calculator(dataframe, buy_indicator2)
|
||||
|
||||
dataframe["cond1"] = dataframe[buy_indicator0].div(dataframe[buy_crossed_indicator0])
|
||||
|
||||
# Normalization
|
||||
tib = dataframe['trend_ichimoku_base']
|
||||
dataframe['trend_ichimoku_base'] = (tib-tib.min())/(tib.max()-tib.min())
|
||||
tkd = dataframe['trend_kst_diff']
|
||||
dataframe['trend_kst_diff'] = (tkd-tkd.min())/(tkd.max()-tkd.min())
|
||||
|
||||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1d")
|
||||
informative["rsi"] = ta.RSI(informative)
|
||||
informative["max3"] = ta.MAX(informative['close'], timeperiod=3)
|
||||
informative["min3"] = ta.MIN(informative['close'], timeperiod=3)
|
||||
informative['pct_change_1'] = informative['close'].pct_change(1)
|
||||
informative['pct_change_3'] = informative['close'].pct_change(3)
|
||||
informative['pct_change_5'] = informative['close'].pct_change(5)
|
||||
informative['sma3'] = ta.SMA(informative, timeperiod=3)
|
||||
informative['sma5'] = ta.SMA(informative, timeperiod=5)
|
||||
informative['sma10'] = ta.SMA(informative, timeperiod=10)
|
||||
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=20, stds=2)
|
||||
informative['bb_lowerband'] = bollinger['lower']
|
||||
informative['bb_middleband'] = bollinger['mid']
|
||||
informative['bb_upperband'] = bollinger['upper']
|
||||
informative["bb_percent"] = (
|
||||
(informative["close"] - informative["bb_lowerband"]) /
|
||||
(informative["bb_upperband"] - informative["bb_lowerband"])
|
||||
)
|
||||
informative["bb_width"] = (
|
||||
(informative["bb_upperband"] - informative["bb_lowerband"]) / informative["bb_middleband"]
|
||||
)
|
||||
|
||||
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1d", ffill=True)
|
||||
|
||||
return dataframe
|
||||
|
||||
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
for decalage in range(self.buy_decalage_deb_0.value, self.buy_decalage0.value):
|
||||
#if self.buy_0.value:
|
||||
conditions = list()
|
||||
condition1, dataframe = condition_generator(
|
||||
dataframe,
|
||||
buy_operator0,
|
||||
buy_indicator0,
|
||||
buy_crossed_indicator0,
|
||||
self.buy_real_num0.value,
|
||||
self.buy_decalage0.value
|
||||
)
|
||||
conditions.append(condition1)
|
||||
dataframe.loc[
|
||||
(
|
||||
reduce(lambda x, y: x & y, conditions)
|
||||
& (dataframe['volume10'].shift(decalage) * dataframe['close'].shift(decalage) / 1000 >= 10)
|
||||
& (dataframe['sma10'].shift(1) <= dataframe['sma10'])
|
||||
& (dataframe['close'] < dataframe['bb_middleband'])
|
||||
& (dataframe['open'] < dataframe['sma10'])
|
||||
& (dataframe['open'] < dataframe['sma20'])
|
||||
& (dataframe['min50'].shift(decalage) == dataframe['min50'])
|
||||
& (dataframe['min10'] <= dataframe['min50'] * 1.02)
|
||||
& (dataframe['percent20'].shift(decalage) <= self.buy_0_percent20.value)
|
||||
# & (dataframe['min20'] == dataframe['min50'])
|
||||
& (dataframe['distance_min'] <= self.buy_0_distance.value)
|
||||
& ((dataframe['close'] - dataframe['open'].shift(decalage)) / dataframe['open'].shift(decalage) <= 0.005)
|
||||
# & (dataframe['bb_lower_var_5'] <= self.buy_1_bb_lower_var_5.value)
|
||||
& (dataframe['bb_lower_5'] <= self.buy_1_bb_lower_5.value)
|
||||
#& (dataframe['percent_1d'] >= self.buy_1_percent_1d_num.value)
|
||||
#& (dataframe['percent_4h'] > 0)
|
||||
#& (dataframe['percent3_4h'] <= self.buy_1_percent_4h_num.value)
|
||||
& (dataframe['pct_change_1_1d'] < self.buy_pct_1.value)
|
||||
& (dataframe['pct_change_3_1d'] < self.buy_pct_3.value)
|
||||
& (dataframe['pct_change_5_1d'] < self.buy_pct_5.value)
|
||||
), ['buy', 'buy_tag']] = (1, 'buy_1_' + str(decalage))
|
||||
for decalage in range(self.buy_decalage_deb_2.value, self.buy_decalage2.value):
|
||||
#if self.buy_2.value:
|
||||
dataframe.loc[
|
||||
(
|
||||
(dataframe['cond1'].shift(decalage) <= 0.45) #self.buy_real_num0.value / 2)
|
||||
& (dataframe['volume10'].shift(decalage) * dataframe['close'].shift(decalage) / 1000 >= 10)
|
||||
# & (dataframe['sma10'].shift(1) <= dataframe['sma10'])
|
||||
& (dataframe['close'] < dataframe['sma10'])
|
||||
& (dataframe['open'] < dataframe['sma20'])
|
||||
& (dataframe['open'] < dataframe['sma10'])
|
||||
& (dataframe['min50'].shift(decalage) == dataframe['min50'])
|
||||
#& (dataframe['min10'] <= dataframe['min50'] * 1.02)
|
||||
& (dataframe['percent20'].shift(decalage) <= self.buy_2_percent20.value)
|
||||
# & (dataframe['min20'] == dataframe['min50'])
|
||||
& (dataframe['distance_min'] <= self.buy_2_distance.value)
|
||||
& ((dataframe['close'] - dataframe['open'].shift(decalage)) / dataframe['open'].shift(
|
||||
decalage) <= 0.005)
|
||||
# & (dataframe['bb_lower_var_5'] <= self.buy_2_bb_lower_var_5.value)
|
||||
& (dataframe['bb_lower_5'] <= self.buy_2_bb_lower_5.value)
|
||||
#& (dataframe['percent_4h'] > 0)
|
||||
#& (dataframe['percent3_4h'] <= self.buy_2_percent_4h_num.value)
|
||||
& (dataframe['pct_change_1_1d'] < self.buy_pct_1.value)
|
||||
& (dataframe['pct_change_3_1d'] < self.buy_pct_3.value)
|
||||
& (dataframe['pct_change_5_1d'] < self.buy_pct_5.value)
|
||||
), ['buy', 'buy_tag']] = (1, 'buy_2_' + str(decalage))
|
||||
for decalage in range(self.buy_decalage_deb_3.value, self.buy_decalage3.value):
|
||||
#if self.buy_3.value:
|
||||
dataframe.loc[
|
||||
(
|
||||
(dataframe['cond1'].shift(decalage) <= 0.2)
|
||||
& (dataframe['volume10'].shift(decalage) * dataframe['close'].shift(decalage) / 1000 >= 10)
|
||||
# & (dataframe['sma10'].shift(1) <= dataframe['sma10'])
|
||||
& (dataframe['close'] < dataframe['sma10'])
|
||||
& (dataframe['open'] < dataframe['sma20'])
|
||||
& (dataframe['open'] < dataframe['sma10'])
|
||||
& (dataframe['min50'].shift(decalage) == dataframe['min50'])
|
||||
#& (dataframe['min10'] <= dataframe['min50'] * 1.02)
|
||||
& (dataframe['percent20'].shift(decalage) <= self.buy_3_percent20.value)
|
||||
& (dataframe['distance_min'] <= self.buy_3_distance.value)
|
||||
& ((dataframe['close'] - dataframe['open'].shift(decalage)) / dataframe['open'].shift(
|
||||
decalage) <= 0.005)
|
||||
# & (dataframe['bb_lower_var_5'] <= self.buy_3_bb_lower_var_5.value)
|
||||
& (dataframe['bb_lower_5'] <= self.buy_3_bb_lower_5.value)
|
||||
#& (dataframe['percent_4h'] > 0)
|
||||
#& (dataframe['percent3_4h'] <= self.buy_3_percent_4h_num.value)
|
||||
& (dataframe['pct_change_1_1d'] < self.buy_pct_1.value)
|
||||
& (dataframe['pct_change_3_1d'] < self.buy_pct_3.value)
|
||||
& (dataframe['pct_change_5_1d'] < self.buy_pct_5.value)
|
||||
), ['buy', 'buy_tag']] = (1, 'buy_3_' + str(decalage))
|
||||
|
||||
conditions = []
|
||||
IND = 'trend_ichimoku_base'
|
||||
REAL = self.buy_real.value
|
||||
OPR = self.buy_cat.value
|
||||
DFIND = dataframe[IND]
|
||||
# print(DFIND.mean())
|
||||
if OPR == ">R":
|
||||
conditions.append(DFIND > REAL)
|
||||
elif OPR == "=R":
|
||||
conditions.append(np.isclose(DFIND, REAL))
|
||||
elif OPR == "<R":
|
||||
conditions.append(DFIND < REAL)
|
||||
|
||||
if conditions:
|
||||
dataframe.loc[
|
||||
(reduce(lambda x, y: x & y, conditions))
|
||||
& (dataframe['pct_change'] < - self.buy_pct.value)
|
||||
& (dataframe['close'] <= dataframe['min200'] * 1.002)
|
||||
& (dataframe['pct_change_1_1d'] > self.buy_pct_1.value)
|
||||
& (dataframe['pct_change_3_1d'] > self.buy_pct_3.value)
|
||||
& (dataframe['pct_change_5_1d'] > self.buy_pct_5.value)
|
||||
#& (dataframe['close_1d'] < dataframe['bb_lowerband_1d'] * self.buy_bb_lowerband.value)
|
||||
& (dataframe['bb_width_1d'] >= self.buy_bb_width.value)
|
||||
& (dataframe['close'] <= dataframe['sma5_1d'])
|
||||
& (dataframe['sma10_1d'].shift(1) <= dataframe['sma10_1d'])
|
||||
,
|
||||
'buy'] = 1
|
||||
return dataframe
|
||||
|
||||
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
|
||||
return dataframe
|
||||
|
||||
Reference in New Issue
Block a user