first commit
This commit is contained in:
Jérôme Delacotte
984
Zeus_8_3_3_1.py
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984
Zeus_8_3_3_1.py
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# Zeus Strategy: First Generation of GodStra Strategy with maximum
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# AVG/MID profit in USDT
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# Author: @Mablue (Masoud Azizi)
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# github: https://github.com/mablue/
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# IMPORTANT: INSTALL TA BEFOUR RUN(pip install ta)
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# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLoss --spaces buy sell roi --strategy Zeus
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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 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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import ta
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from functools import reduce
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import numpy as np
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import talib.abstract as talib
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from freqtrade.strategy.strategy_helper import merge_informative_pair
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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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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from tabulate import tabulate
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def pprint_df(dframe):
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print(tabulate(dframe, headers='keys', tablefmt='psql', showindex=False))
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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(talib, 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(talib, 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(talib, 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(talib, gene_name)(
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dataframe,
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timeperiod=gene_timeperiod,
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)
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return normalize(talib.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(talib, 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(talib.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),
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dataframe[crossed_indicator].shift(decalage))) |
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(qtpylib.crossed_above(dataframe[indicator].shift(decalage),
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dataframe[crossed_indicator].shift(decalage)))
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)
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elif operator == "CA":
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condition = (
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qtpylib.crossed_above(dataframe[indicator].shift(decalage), dataframe[crossed_indicator].shift(decalage)))
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elif operator == "CB":
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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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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)),
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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),
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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),
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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),
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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),
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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 Zeus_8_3_3_1(IStrategy):
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# * 1/43: 86 trades. 72/6/8 Wins/Draws/Losses. Avg profit 12.66%. Median profit 11.99%. Total profit 0.10894395 BTC ( 108.94Σ%). Avg duration 3 days, 0:31:00 min. Objective: -48.48793
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# "max_open_trades": 10,
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# "stake_currency": "BTC",
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# "stake_amount": 0.01,
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# "tradable_balance_ratio": 0.99,
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# "timeframe": "4h",
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# "dry_run_wallet": 0.1,
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# Buy hyperspace params:
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buy_b_params = {
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"buy_b_cat": "<R",
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"buy_b_real": 0.0128,
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}
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# Sell hyperspace params:
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sell_b_params = {
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"sell_b_cat": "=R",
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"sell_b_real": 0.9455,
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}
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# Buy hyperspace params:
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buy_h_params = {
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"buy_h_cat": "<R",
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"buy_h_real": 0.0128,
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}
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# Sell hyperspace params:
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sell_h_params = {
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"sell_h_cat": "=R",
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"sell_h_real": 0.9455,
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}
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# ROI table:
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minimal_roi = {
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"0": 0.564,
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"567": 0.273,
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"2814": 0.12,
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"7675": 0
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}
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# Stoploss:
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stoploss = -1 #0.256
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# sell_h_real = DecimalParameter(0.001, 0.999, decimals=4, default=0.59608, space='sell')
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# sell_h_cat = CategoricalParameter([">R", "=R", "<R"], default='>R', space='sell')
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# Buy hypers
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timeframe = '5m'
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market_overview = {'up': 0, 'down': 0}
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market_overview_pct5 = 0
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market_overview_pct1 = 0
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max_open_trades = 5
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max_amount = 40
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stop_buy_for_all = False
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stop_buying = {}
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# DCA config
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position_adjustment_enable = True
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#max_dca_orders = 2 # n - 1
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max_dca_multiplier = 7 # (2^n - 1)
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dca_trigger = 0
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plot_config = {
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"main_plot": {
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"min200": {
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"color": "#86c932"
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},
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"max50": {
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"color": "white"
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},
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"max200": {
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"color": "yellow"
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},
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"sma3_1d": {
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"color": "pink"
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},
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"sma5_1d": {
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"color": "blue"
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},
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"sma10_1d": {
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"color": "orange"
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},
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"close_1d": {
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"color": "#73e233",
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},
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"bb_lowerband": {
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"color": "#da59a6"},
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"bb_upperband": {
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"color": "#da59a6",
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},
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"sar": {
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"color": "#4f9f51",
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}
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},
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"subplots": {
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"Ind": {
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"trend_ichimoku_base": {
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"color": "#dd1384"
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},
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"trend_kst_diff": {
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"color": "#850678"
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}
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},
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"BB": {
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"bb_width": {
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"color": "white"
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},
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"bb_lower_5": {
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"color": "yellow"
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}
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},
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"Cond": {
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"cond1": {
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"color": "yellow"
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}
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},
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"Rsi": {
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"rsi": {
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"color": "pink"
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},
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"rsi_1d": {
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"color": "yellow"
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}
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},
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"Percent": {
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"max_min": {
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"color": "#74effc"
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},
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"pct_change_1_1d": {
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"color": "green"
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},
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"pct_change_3_1d": {
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"color": "orange"
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},
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"pct_change_5_1d": {
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"color": "red"
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}
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}
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}
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}
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trades = list()
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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_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_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_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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buy_b_real = DecimalParameter(0.001, 0.999, decimals=4, default=0.11908, space='buy')
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buy_b_cat = CategoricalParameter([">R", "=R", "<R"], default='<R', space='buy')
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buy_b_pct = DecimalParameter(0.001, 0.02, decimals=3, default=0.005, space='buy')
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buy_b_pct_1 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
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buy_b_pct_3 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
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buy_b_pct_5 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
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buy_b_bb_lowerband = DecimalParameter(1, 1.05, default=1, decimals=2, space='buy')
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buy_b_bb_width = DecimalParameter(0.01, 0.15, default=0.065, decimals=2, space='buy')
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decalage_h = IntParameter(0, 3, default=0, space='buy')
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decalage_b = IntParameter(0, 3, default=0, space='buy')
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buy_h_real = DecimalParameter(0.001, 0.999, decimals=4, default=0.11908, space='buy')
|
||||
buy_h_cat = CategoricalParameter([">R", "=R", "<R"], default='<R', space='buy')
|
||||
buy_h_pct = DecimalParameter(0.001, 0.02, decimals=3, default=0.005, space='buy')
|
||||
buy_h_pct_1 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
|
||||
buy_h_pct_3 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
|
||||
buy_h_pct_5 = DecimalParameter(-0.2, 0.2, decimals=2, default=0.005, space='buy')
|
||||
buy_h_bb_lowerband = DecimalParameter(1, 1.05, default=1, decimals=2, space='buy')
|
||||
buy_h_bb_width = DecimalParameter(0.01, 0.15, default=0.065, decimals=2, space='buy')
|
||||
|
||||
buy_h_sma = CategoricalParameter(["sma3_1d", "sma5_1d", "sma10_1d"], default='sma10_1d', space='buy')
|
||||
buy_b_sma = CategoricalParameter(["sma3_1d", "sma5_1d", "sma10_1d"], default='sma10_1d', space='buy')
|
||||
buy_h_sma_close = CategoricalParameter(["sma3_1d", "sma5_1d", "sma10_1d"], default='sma3_1d', space='buy')
|
||||
buy_b_sma_close = CategoricalParameter(["sma3_1d", "sma5_1d", "sma10_1d"], default='sma3_1d', space='buy')
|
||||
|
||||
buy_base = DecimalParameter(0, 0.2, decimals=2, default=0.08, space='buy')
|
||||
buy_rsi = IntParameter(20, 90, default=72, space='buy')
|
||||
buy_bb_width_n = DecimalParameter(1, 10, decimals=1, default=5, space='buy')
|
||||
|
||||
buy_min_max_nh = IntParameter(1, 48, default=24, space='buy')
|
||||
buy_min_max_n = DecimalParameter(0, 0.2, decimals=2, default=0.05, space='buy')
|
||||
buy_min_max_cond1 = DecimalParameter(0, 2, decimals=1, default=1.2, space='buy')
|
||||
buy_min_max_rsi = IntParameter(50, 90, default=72, space='buy')
|
||||
buy_min_max_coef = DecimalParameter(1, 1.01, decimals=3, default=1.002, space='buy')
|
||||
buy_min_max_decalage = IntParameter(2, 10, default=2, space='buy')
|
||||
|
||||
profit_b_no_change = BooleanParameter(default=True, space="sell")
|
||||
profit_b_quick_lost = BooleanParameter(default=True, space="sell")
|
||||
profit_b_sma5 = BooleanParameter(default=True, space="sell")
|
||||
profit_b_sma10 = BooleanParameter(default=True, space="sell")
|
||||
profit_b_sma20 = BooleanParameter(default=True, space="sell")
|
||||
profit_b_quick_gain = BooleanParameter(default=True, space="sell")
|
||||
profit_b_quick_gain_3 = BooleanParameter(default=True, space="sell")
|
||||
profit_b_old_sma10 = BooleanParameter(default=True, space="sell")
|
||||
profit_b_very_old_sma10 = BooleanParameter(default=True, space="sell")
|
||||
profit_b_over_rsi = BooleanParameter(default=True, space="sell")
|
||||
profit_b_short_loss = BooleanParameter(default=True, space="sell")
|
||||
|
||||
sell_b_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
sell_b_percent3 = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
sell_b_candels = IntParameter(0, 48, default=12, space='sell')
|
||||
|
||||
sell_b_too_old_day = IntParameter(0, 10, default=5, space='sell')
|
||||
sell_b_too_old_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
|
||||
sell_b_profit_no_change = DecimalParameter(0, 0.02, decimals=3, default=0.005, space='sell')
|
||||
sell_b_profit_percent10 = DecimalParameter(0, 0.002, decimals=4, default=0.001, space='sell')
|
||||
|
||||
sell_b_RSI = IntParameter(70, 98, default=88, space='sell')
|
||||
sell_b_RSI2 = IntParameter(70, 98, default=88, space='sell')
|
||||
sell_b_RSI3 = IntParameter(70, 98, default=80, space='sell')
|
||||
|
||||
sell_b_RSI2_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
# sell_b_expected_profit = DecimalParameter(0, 0.01, decimals=3, default=0.01, space='sell')
|
||||
|
||||
profit_h_no_change = BooleanParameter(default=True, space="sell")
|
||||
profit_h_quick_lost = BooleanParameter(default=True, space="sell")
|
||||
profit_h_sma5 = BooleanParameter(default=True, space="sell")
|
||||
profit_h_sma10 = BooleanParameter(default=True, space="sell")
|
||||
profit_h_sma20 = BooleanParameter(default=True, space="sell")
|
||||
profit_h_quick_gain = BooleanParameter(default=True, space="sell")
|
||||
profit_h_quick_gain_3 = BooleanParameter(default=True, space="sell")
|
||||
profit_h_old_sma10 = BooleanParameter(default=True, space="sell")
|
||||
profit_h_very_old_sma10 = BooleanParameter(default=True, space="sell")
|
||||
profit_h_over_rsi = BooleanParameter(default=True, space="sell")
|
||||
profit_h_short_loss = BooleanParameter(default=True, space="sell")
|
||||
|
||||
sell_h_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
sell_h_percent3 = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
sell_h_candels = IntParameter(0, 48, default=12, space='sell')
|
||||
|
||||
sell_h_too_old_day = IntParameter(0, 10, default=5, space='sell')
|
||||
sell_h_too_old_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
|
||||
sell_h_profit_no_change = DecimalParameter(0, 0.02, decimals=3, default=0.005, space='sell')
|
||||
sell_h_profit_percent10 = DecimalParameter(0, 0.002, decimals=4, default=0.001, space='sell')
|
||||
|
||||
sell_h_RSI = IntParameter(70, 98, default=88, space='sell')
|
||||
sell_h_RSI2 = IntParameter(70, 98, default=88, space='sell')
|
||||
sell_h_RSI3 = IntParameter(70, 98, default=80, space='sell')
|
||||
|
||||
sell_h_RSI2_percent = DecimalParameter(0, 0.02, decimals=3, default=0.01, space='sell')
|
||||
# sell_h_expected_profit = DecimalParameter(0, 0.01, decimals=3, default=0.01, space='sell')
|
||||
|
||||
# protection_lost_percent = DecimalParameter(0, 0.2, decimals=2, default=0.06, space='protection')
|
||||
# protection_lost_candles = IntParameter(1, 30, default=5, space='protection')
|
||||
protection_percent_buy_lost = IntParameter(1, 30, default=5, space='protection')
|
||||
protection_nb_buy_lost = IntParameter(1, 3, default=2, space='protection')
|
||||
protection_strategy = IntParameter(1, 5, default=1, space='protection')
|
||||
protection_strategy_amount = IntParameter(1, 5, default=2, space='protection')
|
||||
|
||||
# protection_amount = []
|
||||
# protection_amount[1] = self.config['stake_amount']
|
||||
# protection_amount[2] = IntParameter(1, 10, default=2, space='protection')
|
||||
|
||||
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str,
|
||||
current_time: datetime, entry_tag: Optional[str], **kwargs) -> bool:
|
||||
allow_to_buy = True
|
||||
informative, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
|
||||
info_last_candle = informative.iloc[-1].squeeze()
|
||||
# info_previous_last_candle = informative.iloc[-2].squeeze()
|
||||
|
||||
if self.stop_buying.get(pair, None) is None:
|
||||
print("enable buying tag", pair)
|
||||
self.stop_buying[pair] = False
|
||||
|
||||
if ((info_last_candle['rsi_1h'] >= 72) | (info_last_candle['close_1h'] >= info_last_candle['bb_upperband_1h'])) \
|
||||
& (self.stop_buying[pair] is False):
|
||||
logger.info("1 - Disable buying %s date %s", pair, info_last_candle['date'])
|
||||
self.stop_buying[pair] = True
|
||||
|
||||
if self.stop_buying[pair] is True:
|
||||
if ((info_last_candle['rsi_1h'] <= 35) | (info_last_candle['close_1h'] < info_last_candle['bb_lowerband_1h'])):
|
||||
logger.info("2 - Enable buying %s date %s", pair, info_last_candle['date'])
|
||||
self.stop_buying[pair] = False
|
||||
|
||||
if self.stop_buying[pair]:
|
||||
allow_to_buy = False
|
||||
logger.info("3 - cancel buying %s date %s", pair, info_last_candle['date'])
|
||||
else:
|
||||
logger.info("3 - accept buying %s date %s", pair, info_last_candle['date'])
|
||||
return allow_to_buy
|
||||
|
||||
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
|
||||
#print(last_candle['buy_tag'])
|
||||
|
||||
days = (current_time - trade.open_date_utc).days
|
||||
######
|
||||
|
||||
if (current_profit > 0.0) & (last_candle['percent'] < -0.01):
|
||||
return 'percent_quick'
|
||||
if (self.market_overview_pct5 < 0) | (last_candle['pct_change_1_4h'] < 0):
|
||||
if (current_profit > 0.015) & ((last_candle['percent'] < -0.005) | (last_candle['percent3'] < -0.005) | (last_candle['percent5'] < -0.005)):
|
||||
return 'b_percent_quick'
|
||||
|
||||
if (current_profit >= - self.sell_b_too_old_percent.value) & (days >= self.sell_b_too_old_day.value)\
|
||||
& (days < self.sell_b_too_old_day.value * 2)\
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "b_too_old_0.01"
|
||||
if (current_profit >= - self.sell_b_too_old_percent.value * 2) & (days >= self.sell_b_too_old_day.value * 2)\
|
||||
& (days < self.sell_b_too_old_day.value * 3) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "b_too_old_0.02"
|
||||
if (current_profit >= - self.sell_b_too_old_percent.value * 3) & (days >= self.sell_b_too_old_day.value * 3) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "b_too_old_0.03"
|
||||
|
||||
if self.profit_b_quick_lost.value and (current_profit >= 0.015) & (last_candle['percent3'] < -0.005):
|
||||
return "b_quick_lost"
|
||||
|
||||
if self.profit_b_no_change.value and (current_profit > self.sell_b_profit_no_change.value) \
|
||||
& (last_candle['percent10'] < self.sell_b_profit_percent10.value) & (last_candle['percent5'] < 0) \
|
||||
& ((current_time - trade.open_date_utc).seconds >= 3600):
|
||||
return "b_no_change"
|
||||
|
||||
if (current_profit > self.sell_b_percent.value) & (last_candle['percent3'] < - self.sell_b_percent3.value) \
|
||||
& ((current_time - trade.open_date_utc).seconds <= 300 * self.sell_b_candels.value):
|
||||
return "b_quick_gain_param"
|
||||
|
||||
if self.profit_b_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 'b_sma5'
|
||||
|
||||
if self.profit_b_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 'b_sma10'
|
||||
|
||||
if self.profit_b_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 'b_sma20'
|
||||
|
||||
if self.profit_b_over_rsi.value:
|
||||
if (current_profit > 0) & (previous_last_candle['rsi'] > self.sell_b_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 'b_over_rsi'
|
||||
|
||||
if (current_profit > 0) & (previous_last_candle['rsi'] > self.sell_b_RSI2.value) & \
|
||||
(last_candle['percent'] < - self.sell_b_RSI2_percent.value): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'b_over_rsi_2'
|
||||
|
||||
if (current_profit > 0) & (previous_last_candle['rsi'] > self.sell_b_RSI3.value) & \
|
||||
(last_candle['close'] >= last_candle['max200']) & (last_candle['percent'] < - self.sell_b_RSI2_percent.value): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'b_over_rsi_max'
|
||||
|
||||
if self.profit_b_short_loss.value:
|
||||
if (current_profit > -expected_profit) & (previous_last_candle['percent10'] > 0.04) & (last_candle['percent'] < 0)\
|
||||
& (days >= 1): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'b_short_lost'
|
||||
else:
|
||||
if (current_profit > 0.025) & ((last_candle['percent'] < -0.005) | (last_candle['percent3'] < -0.005) | (last_candle['percent5'] < -0.005)):
|
||||
return 'h_percent_quick'
|
||||
if (current_profit >= - self.sell_h_too_old_percent.value) & (days >= self.sell_h_too_old_day.value)\
|
||||
& (days < self.sell_h_too_old_day.value * 2)\
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "h_too_old_0.01"
|
||||
if (current_profit >= - self.sell_h_too_old_percent.value * 2) & (days >= self.sell_h_too_old_day.value * 2)\
|
||||
& (days < self.sell_h_too_old_day.value * 3) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "h_too_old_0.02"
|
||||
if (current_profit >= - self.sell_h_too_old_percent.value * 3) & (days >= self.sell_h_too_old_day.value * 3) \
|
||||
& (previous_last_candle['sma10'] > last_candle['sma10']) & (last_candle['percent3'] < 0):
|
||||
return "h_too_old_0.03"
|
||||
|
||||
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_h_profit_no_change.value) \
|
||||
& (last_candle['percent10'] < self.sell_h_profit_percent10.value) & (last_candle['percent5'] < 0) \
|
||||
& ((current_time - trade.open_date_utc).seconds >= 3600):
|
||||
return "h_no_change"
|
||||
|
||||
if (current_profit > self.sell_h_percent.value) & (last_candle['percent3'] < - self.sell_h_percent3.value) \
|
||||
& ((current_time - trade.open_date_utc).seconds <= 300 * self.sell_h_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_h_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_h_RSI2.value) & \
|
||||
(last_candle['percent'] < - self.sell_h_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 (current_profit > 0) & (previous_last_candle['rsi'] > self.sell_h_RSI3.value) & \
|
||||
(last_candle['close'] >= last_candle['max200']): #| (previous_last_candle['rsi'] > 75 & last_candle['rsi'] < 70)):
|
||||
# print("over_rsi", pair, trade, " profit=", current_profit, " rate=", current_rate)
|
||||
return 'h_over_rsi_max'
|
||||
|
||||
if self.profit_h_short_loss.value:
|
||||
if (current_profit > -expected_profit) & (previous_last_candle['percent10'] > 0.04) & (last_candle['percent'] < 0)\
|
||||
& (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):
|
||||
# get access to all pairs available in whitelist.
|
||||
pairs = self.dp.current_whitelist()
|
||||
informative_pairs = [(pair, '1d') for pair in pairs]
|
||||
informative_pairs += [(pair, '4h') for pair in pairs]
|
||||
informative_pairs += [(pair, '1h') for pair in pairs]
|
||||
|
||||
return informative_pairs
|
||||
|
||||
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
# Add all ta features
|
||||
|
||||
dataframe['trend_ichimoku_base'] = ta.trend.ichimoku_base_line(
|
||||
dataframe['high'],
|
||||
dataframe['low'],
|
||||
window1=9,
|
||||
window2=26,
|
||||
visual=False,
|
||||
fillna=False
|
||||
)
|
||||
KST = ta.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['min'] = talib.MIN(dataframe['close'], timeperiod=self.buy_min_horizon.value)
|
||||
dataframe['min10'] = talib.MIN(dataframe['close'], timeperiod=10)
|
||||
dataframe['min20'] = talib.MIN(dataframe['close'], timeperiod=20)
|
||||
dataframe['min50'] = talib.MIN(dataframe['close'], timeperiod=50)
|
||||
dataframe['min200'] = talib.MIN(dataframe['close'], timeperiod=200)
|
||||
dataframe['min200_1'] = dataframe['min200'] * 1.005
|
||||
dataframe['moy200_12'] = dataframe['min200'].rolling(12).mean()
|
||||
|
||||
dataframe['max50'] = talib.MAX(dataframe['close'], timeperiod=50)
|
||||
dataframe['max200'] = talib.MAX(dataframe['close'], timeperiod=200)
|
||||
dataframe['min_max200'] = (dataframe['max200'] - dataframe['min200']) / dataframe['min200']
|
||||
dataframe['min_n'] = talib.MIN(dataframe['close'], timeperiod=12 * self.buy_min_max_nh.value)
|
||||
dataframe['max_n'] = talib.MAX(dataframe['close'], timeperiod=12 * self.buy_min_max_nh.value)
|
||||
dataframe['min_max_n'] = (dataframe['max_n'] - dataframe['min_n']) / dataframe['min_n']
|
||||
dataframe['rsi'] = talib.RSI(dataframe)
|
||||
dataframe['rsi5'] = talib.RSI(dataframe, timeperiod=5)
|
||||
dataframe['sma5'] = talib.SMA(dataframe, timeperiod=5)
|
||||
dataframe['sma10'] = talib.SMA(dataframe, timeperiod=10)
|
||||
dataframe['sma20'] = talib.SMA(dataframe, timeperiod=20)
|
||||
dataframe['sma50'] = talib.SMA(dataframe, timeperiod=50)
|
||||
dataframe['sma100'] = talib.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['percent_lost_n'] = dataframe["percent"].rolling(self.protection_lost_candles.value).sum()
|
||||
dataframe["volume10"] = dataframe["volume"].rolling(10).mean()
|
||||
# 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_lower_width_5'] = (dataframe['bb_lowerband'] * (1 + dataframe['bb_width'] / self.buy_bb_width_n.value))
|
||||
|
||||
# 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['min_max_close'] = (
|
||||
(dataframe['max200'] - dataframe['close']) / (dataframe['close'] - dataframe['min200']))
|
||||
dataframe['sar'] = talib.SAR(dataframe)
|
||||
# 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())
|
||||
|
||||
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])
|
||||
dataframe['atr'] = talib.ATR(dataframe, timeperiod=14)
|
||||
|
||||
################### INFORMATIVE 1D
|
||||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1d")
|
||||
informative["rsi"] = talib.RSI(informative)
|
||||
informative["max3"] = talib.MAX(informative['close'], timeperiod=3)
|
||||
informative["min3"] = talib.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'] = talib.SMA(informative, timeperiod=3)
|
||||
informative['sma5'] = talib.SMA(informative, timeperiod=5)
|
||||
informative['sma10'] = talib.SMA(informative, timeperiod=10)
|
||||
informative['sar'] = talib.SAR(informative)
|
||||
|
||||
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)
|
||||
|
||||
######################## INFORMATIVE 4h
|
||||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="4h")
|
||||
informative["rsi"] = talib.RSI(informative)
|
||||
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'] = talib.SMA(informative, timeperiod=3)
|
||||
informative['sma5'] = talib.SMA(informative, timeperiod=5)
|
||||
informative['sma10'] = talib.SMA(informative, timeperiod=10)
|
||||
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "4h", ffill=True)
|
||||
|
||||
######################## INFORMATIVE 1h
|
||||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1h")
|
||||
informative["rsi"] = talib.RSI(informative)
|
||||
informative["mrsi3"] = informative["rsi"].rolling(3).mean()
|
||||
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'] = talib.SMA(informative, timeperiod=3)
|
||||
informative['sma5'] = talib.SMA(informative, timeperiod=5)
|
||||
informative['sma10'] = talib.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']
|
||||
|
||||
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1h", ffill=True)
|
||||
|
||||
return dataframe
|
||||
|
||||
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
|
||||
dataframe.loc[
|
||||
(
|
||||
(dataframe['trend_ichimoku_base'] <= 0.12)
|
||||
& (dataframe['bb_width'] > 0.018)
|
||||
& (dataframe['rsi'] < 79)
|
||||
& (dataframe['close'] < dataframe['sma10'])
|
||||
& (dataframe['close'] < dataframe['bb_lower_width_5'])
|
||||
& (dataframe['close'] < dataframe['min50'] * 1.005)
|
||||
& (dataframe['percent'].shift(1) > -0.003)
|
||||
), ['buy', 'buy_tag']] = (1, 'buy_ichimoku_h')
|
||||
# dataframe.loc[
|
||||
# (
|
||||
# (dataframe['trend_ichimoku_base'] <= self.buy_base.value)
|
||||
# & (dataframe['rsi'] < self.buy_rsi.value)
|
||||
# & (dataframe['close'] < dataframe['sma10'])
|
||||
# & (dataframe['close'] <= dataframe['close_1h'])
|
||||
# ), ['buy', 'buy_tag']] = (1, 'buy_ichimoku')
|
||||
|
||||
dataframe.loc[
|
||||
(
|
||||
(dataframe['min_max_n'] >= self.buy_min_max_n.value)
|
||||
& (dataframe['cond1'].shift(self.buy_min_max_decalage.value) <= self.buy_min_max_cond1.value)
|
||||
& (dataframe['rsi'] < self.buy_min_max_rsi.value)
|
||||
& (dataframe['close'] < dataframe['min_n'] * self.buy_min_max_coef.value)
|
||||
& (dataframe['min_n'].shift(self.buy_min_max_decalage.value) == dataframe['min_n'])
|
||||
& (dataframe['pct_change_1_1d'] > 0)
|
||||
& (dataframe['close'] <= dataframe['close_1h'])
|
||||
), ['buy', 'buy_tag']] = (1, 'buy_min_max')
|
||||
return dataframe
|
||||
|
||||
# def bot_loop_start(self, **kwargs) -> None:
|
||||
# pairs = self.dp.current_whitelist()
|
||||
# print("Calcul des pairs informatives")
|
||||
# for pairname in pairs:
|
||||
# self.stop_buying[pairname] = True
|
||||
# print("Fin Calcul des pairs informatives")
|
||||
|
||||
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
|
||||
return dataframe
|
||||
|
||||
def adjust_trade_position(self, trade: Trade, current_time: datetime,
|
||||
current_rate: float, current_profit: float, min_stake: float,
|
||||
max_stake: float, **kwargs):
|
||||
dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
|
||||
if (len(dataframe) < 1):
|
||||
return None
|
||||
|
||||
# dataframe = self.populate_buy_trend(dataframe, {'pair': trade.pair})
|
||||
# if not (self.populate_buy_trend(dataframe, {'pair': trade.pair})):
|
||||
# return None
|
||||
if (self.stop_buying.get(trade.pair) == None):
|
||||
print("-----------" + trade.pair + " Init stop buying " + str(current_profit) + " " + str(current_time) + "---------------------")
|
||||
|
||||
self.stop_buying[trade.pair] = True
|
||||
|
||||
if (self.stop_buying[trade.pair] == True):
|
||||
print("-----------" + trade.pair + " Canceled " + str(current_profit) + " " + str(current_time) + "---------------------")
|
||||
return None
|
||||
last_candle = dataframe.iloc[-1].squeeze()
|
||||
previous_last_candle = dataframe.iloc[-2].squeeze()
|
||||
last_candle_5 = dataframe.iloc[-3].squeeze()
|
||||
last_candle_decalage = dataframe.iloc[- self.buy_min_max_decalage.value].squeeze()
|
||||
# print(last_candle['buy'])
|
||||
|
||||
condition = (
|
||||
(
|
||||
(last_candle['trend_ichimoku_base'] <= self.buy_base.value)
|
||||
& (last_candle['rsi'] < self.buy_rsi.value)
|
||||
& (last_candle['close'] < last_candle['sma10'])
|
||||
& (last_candle['close'] < last_candle['bb_lower_width_5'])
|
||||
& (last_candle['close'] <= last_candle['close_1h'])
|
||||
) | (
|
||||
(last_candle['min_max_n'] >= self.buy_min_max_n.value)
|
||||
& (last_candle_decalage['cond1'] <= self.buy_min_max_cond1.value)
|
||||
& (last_candle['rsi'] < self.buy_min_max_rsi.value)
|
||||
& (last_candle['close'] < last_candle['min_n'] * self.buy_min_max_coef.value)
|
||||
& (last_candle_decalage['min_n'] == last_candle['min_n'])
|
||||
& (last_candle['pct_change_1_1d'] > 0)
|
||||
& (last_candle['close'] <= last_candle['close_1h'])
|
||||
)
|
||||
)
|
||||
|
||||
# min_d = min(last_candle['sma3_4h'], last_candle['close_1d'])
|
||||
|
||||
filled_buys = trade.select_filled_orders('buy')
|
||||
count_of_buys = len(filled_buys)
|
||||
# days = (current_time - trade.open_date_utc).days
|
||||
# minutes = (current_time - trade.open_date_utc).seconds / 60
|
||||
# condition = condition & ((last_candle['min50'] == last_candle_5['min50']) & (last_candle['close'] <= last_candle['close_1h']))
|
||||
p = self.protection_percent_buy_lost.value
|
||||
percents = [p, p * 2, p * 3, p * 4, p * 5, p * 6, p * 7, p * 8, p * 9]
|
||||
|
||||
if (0 < count_of_buys <= self.protection_nb_buy_lost.value) \
|
||||
& (current_profit < - (percents[count_of_buys - 1] / 100)) & (condition):
|
||||
try:
|
||||
p = self.config['stake_amount']
|
||||
factors = [p, p, p, p, 2 * p, 4 * p, 5 * p, 6 * p]
|
||||
|
||||
stake_amount = factors[count_of_buys - 1]# filled_buys[0].cost
|
||||
# This then calculates current safety order size
|
||||
print("-----------" + trade.pair + " " + str(current_profit) + " " + str(count_of_buys) + " " + str(stake_amount) +
|
||||
" " + str(current_time) + "---------------------")
|
||||
return stake_amount
|
||||
except Exception as exception:
|
||||
print(exception)
|
||||
return None
|
||||
return None
|
||||
Reference in New Issue
Block a user