Frictrade

Frictrade.py

@@ -343,7 +343,9 @@ class Frictrade(IStrategy):
             f"| {date:<16} |{action:<10} | {pair[0:3]:<3} | {trade_type or '-':<18} |{rate or '-':>9}| {dispo or '-':>6} "
             f"|{color}{profit or '-':>10}{RESET}| {pct_max or '-':>6} | {round(self.pairs[pair]['max_touch'], 2) or '-':>11} | {last_lost or '-':>12} "
             f"| {last_max or '-':>7} | {last_min or '-':>7} |{total_counts or '-':>5}|{stake or '-':>7}"
-            f"{round(last_candle['max_rsi_24'], 1) or '-' :>6}|"
+            f"{round(last_candle['max_rsi_24'], 1) or '-' :>6}|{round(last_candle['rsi_1h'], 1) or '-' :>6}|{round(last_candle['rsi_1d'], 1) or '-' :>6}|"
+            f"{round(last_candle['rtp_1h'] * 100, 0) or '-' :>6}|{round(last_candle['rtp_1d'] * 100, 0) or '-' :>6}|"
+
         )
 
     def printLineLog(self):
@@ -404,11 +406,22 @@ class Frictrade(IStrategy):
         dataframe['min180'] = talib.MIN(dataframe['mid'], timeperiod=180)
         dataframe['max180'] = talib.MAX(dataframe['mid'], timeperiod=180)
 
-        # # ################### INFORMATIVE 1h
+        # ################### INFORMATIVE 1h
-        # informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1h')
+        informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1h')
+        informative['mid'] = informative['open'] + (informative['close'] - informative['open']) / 2
         # informative = self.populate1hIndicators(df=informative, metadata=metadata)
-        # # informative = self.calculateRegression(informative, 'mid', lookback=15)
+        informative['rsi'] = talib.RSI(informative['mid'], timeperiod=14)
-        # dataframe = merge_informative_pair(dataframe, informative, '1m', '1h', ffill=True)
+        informative = self.rsi_trend_probability(informative)
+        # informative = self.calculateRegression(informative, 'mid', lookback=15)
+        dataframe = merge_informative_pair(dataframe, informative, '1m', '1h', ffill=True)
+
+        # ################### INFORMATIVE 1d
+        informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1d')
+        informative['mid'] = informative['open'] + (informative['close'] - informative['open']) / 2
+        informative['rsi'] = talib.RSI(informative['mid'], timeperiod=5)
+        informative = self.rsi_trend_probability(informative)
+        # informative = self.calculateRegression(informative, 'mid', lookback=15)
+        dataframe = merge_informative_pair(dataframe, informative, '1m', '1d', ffill=True)
 
         dataframe['last_price'] = dataframe['close']
         dataframe['first_price'] = dataframe['close']
@@ -439,10 +452,16 @@ class Frictrade(IStrategy):
                     self.pairs[pair]['total_amount'] = amount
 
         dataframe['absolute_min'] = dataframe['mid'].rolling(1440, min_periods=1).min()
-        for i in [1, 2, 3, 4]:
+        dataframe['absolute_max'] = dataframe['mid'].rolling(1440, min_periods=1).max()
+        # steps = (dataframe['absolute_max'] - dataframe['absolute_min']) / (dataframe['absolute_min'] * 0.01)
+        # levels = [dataframe['absolute_min'] * (1 + i / 100) for i in range(1, steps + 1)]
+        #
+        # print(levels)
+
+        # print(f"min={dataframe['absolute_min'].min()} max={dataframe['absolute_max'].max()}")
+        for i in [0, 1, 2, 3]:
             dataframe[f"lvl_{i}_pct"] = dataframe['absolute_min'] * (1 + 0.01 * i)
 
-        # dataframe['absolute_max'] = dataframe['mid'].rolling(1440, min_periods=1).max()
         #
         # absolute_min = dataframe['absolute_min'].min()
         # absolute_max = dataframe['absolute_max'].max()
@@ -475,6 +494,7 @@ class Frictrade(IStrategy):
         dataframe.loc[
             (
                 (dataframe['sma5_inv'] == 1)
+                # & (dataframe['max_rsi_24'] < 80)
                 # & (
                 #         (dataframe['percent3'] <= -0.003)
                 #         | (dataframe['percent12'] <= -0.003)
@@ -719,9 +739,26 @@ class Frictrade(IStrategy):
         # ----- 3) Calcul du profit max atteint -----
         # profit_max = (max_price - trade.open_rate) / trade.open_rate
 
+        current_trailing_stop_positive = self.trailing_stop_positive
+        current_trailing_only_offset_is_reached = self.trailing_only_offset_is_reached
+        current_trailing_stop_positive_offset = self.trailing_stop_positive_offset
+
+        max_ = last_candle['max180']
+        min_ = last_candle['min180']
+        mid = last_candle['mid']
+        # éviter division par zéro
+        position = (mid - min_) / (max_ - min_)
+        zone = int(position * 3)  # 0 à 2
+
+        if zone == 0:
+            current_trailing_stop_positive = True
+            current_trailing_stop_positive_offset = self.trailing_stop_positive_offset * 2
+        # if zone == 1:
+
+
         # ----- 5) Calcul du trailing stop dynamique -----
         # Exemple : offset=0.321 => stop à +24.8%
-        trailing_stop = max_profit * (1.0 - self.trailing_stop_positive)
+        trailing_stop = max_profit * (1.0 - current_trailing_stop_positive)
         baisse = 0
         if max_profit:
             baisse = (max_profit - profit) / max_profit
@@ -741,10 +778,10 @@ class Frictrade(IStrategy):
             )
 
         # ----- 4) OFFSET : faut-il attendre de dépasser trailing_stop_positive_offset ? -----
-        if self.trailing_only_offset_is_reached:
+        if current_trailing_only_offset_is_reached:
-            # Max profit pas atteint ET perte < 2 * self.trailing_stop_positive
+            # Max profit pas atteint ET perte < 2 * current_trailing_stop_positive
-            if max_profit < min(2, self.trailing_stop_positive_offset * (count_of_buys - self.pairs[pair]['has_gain']))\
+            if max_profit < min(2, current_trailing_stop_positive_offset * (count_of_buys - self.pairs[pair]['has_gain']))\
-                    and (baisse < 0.5 and max_profit > self.trailing_stop_positive_offset): #2 * self.trailing_stop_positive:
+                    and (baisse < 0.5 and max_profit > current_trailing_stop_positive_offset): #2 * current_trailing_stop_positive:
                 return None  # ne pas activer le trailing encore
         # Sinon : trailing actif dès le début
 
@@ -757,7 +794,7 @@ class Frictrade(IStrategy):
         # get access to all pairs available in whitelist.
         pairs = self.dp.current_whitelist()
         informative_pairs = [(pair, '1h') for pair in pairs]
-        # informative_pairs += [(pair, '1d') for pair in pairs]
+        informative_pairs += [(pair, '1d') for pair in pairs]
 
         return informative_pairs
 
@@ -825,3 +862,23 @@ class Frictrade(IStrategy):
     #
     #     return df
 
+
+    def rsi_trend_probability(self, dataframe):
+        dataframe = dataframe.copy()
+
+        dataframe['rsi14'] = talib.RSI(dataframe['mid'], 14)
+        dataframe['rsi60'] = talib.RSI(dataframe['mid'], 60)
+
+        dataframe['cross_soft'] = np.tanh((dataframe['rsi14'] - dataframe['rsi60']) / 7)
+
+        dataframe['gap'] = (dataframe['rsi14'] - dataframe['rsi60']) / 100
+        dataframe['trend'] = (dataframe['rsi60'] - 50) / 50
+
+        dataframe['rtp'] = (
+                0.6 * dataframe['cross_soft'] +
+                0.25 * dataframe['gap'] +
+                0.15 * dataframe['trend']
+        ).clip(-1, 1)
+
+        return dataframe
+