TensorFlow
This commit is contained in:
Jérôme Delacotte
@@ -117,6 +117,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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startup_candle_count = 60 * 24
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# Machine Learning
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training_enabled = False
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model = None
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model_indicators = []
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indicator_target = 'sma5'
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@@ -124,7 +125,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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lookback = 72
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future_steps = 6
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y_no_scale = False
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epochs = 40
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epochs = 200
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batch_size = 64
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scaler_X = None
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scaler_y = None
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@@ -168,8 +169,8 @@ class Zeus_TensorFlow_1h(IStrategy):
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trailing_only_offset_is_reached = True
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# Buy hypers
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timeframe = '1h'
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timeframe = '1m'
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timeframe_sup = '5m'
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max_open_trades = 5
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max_amount = 40
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@@ -211,12 +212,6 @@ class Zeus_TensorFlow_1h(IStrategy):
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"max_rsi_24": {
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"color": "pink"
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},
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# "rsi": {
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# "color": "red"
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# },
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# "rsi_1d": {
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# "color": "blue"
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# }
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},
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"Rsi_deriv1": {
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"sma24_deriv1": {
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@@ -280,6 +275,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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'last_date': 0,
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'stop': False,
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'max_profit': 0,
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'first_amount': 0,
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'total_amount': 0,
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'has_gain': 0,
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'force_sell': False,
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@@ -288,46 +284,12 @@ class Zeus_TensorFlow_1h(IStrategy):
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for pair in ["BTC/USDC", "ETH/USDC", "DOGE/USDC", "XRP/USDC", "SOL/USDC",
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"BTC/USDT", "ETH/USDT", "DOGE/USDT", "XRP/USDT", "SOL/USDT"]
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}
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# 20 20 40 60 100 160 260 420
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# 50 50 100 300 500
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# fibo = [1, 1, 2, 3, 5, 8, 13, 21]
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# my fibo
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# 50 50 50 100 100 150 200 250 350 450 600 1050
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fibo = [1, 1, 1, 2, 2, 3, 4, 5, 7, 9, 12, 16, 21]
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baisse = [1, 2, 3, 5, 7, 10, 14, 19, 26, 35, 47, 63, 84]
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# Ma suite 1 1 1 2 2 3 4 5 7 9 12 16 21
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# Mise 50 50 50 100 100 150 200 250 350 450 600 800 1050
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# Somme Mises 50 100 150 250 350 500 700 950 1300 1750 2350 3150 4200
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# baisse 1 2 3 5 7 10 14 19 26 35 47 63 84
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# factors = [1, 1.1, 1.25, 1.5, 2.0, 3]
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# thresholds = [2, 5, 10, 20, 30, 50]
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factors = [0.5, 0.75, 1, 1.25, 1.5, 2]
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thresholds = [0, 2, 5, 10, 30, 45]
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trades = list()
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max_profit_pairs = {}
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mise_factor_buy = DecimalParameter(0.01, 0.1, default=0.05, decimals=2, space='buy', optimize=True, load=True)
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indicators = {'sma5', 'sma12', 'sma24', 'sma60'}
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indicators_percent = {'percent', 'percent3', 'percent12', 'percent24', 'percent_1d', 'percent3_1h', 'percent12_1d', 'percent24_1d'}
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mises = IntParameter(1, 50, default=5, space='buy', optimize=False, load=True)
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ml_prob_buy = DecimalParameter(-0.5, 0.5, default=0.0, decimals=2, space='buy', optimize=True, load=True)
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# ml_prob_sell = DecimalParameter(-0.5, 0.5, default=0.0, decimals=2, space='sell', optimize=True, load=True)
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pct = DecimalParameter(0.005, 0.05, default=0.012, decimals=3, space='buy', optimize=True, load=True)
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pct_inc = DecimalParameter(0.0001, 0.003, default=0.0022, decimals=4, space='buy', optimize=True, load=True)
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# rsi_deb_protect = IntParameter(50, 90, default=70, space='protection', optimize=True, load=True)
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# rsi_end_protect = IntParameter(20, 60, default=55, space='protection', optimize=True, load=True)
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#
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# sma24_deriv1_deb_protect = DecimalParameter(-4, 4, default=-2, decimals=1, space='protection', optimize=True, load=True)
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# sma24_deriv1_end_protect = DecimalParameter(-4, 4, default=0, decimals=1, space='protection', optimize=True, load=True)
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# =========================================================================
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should_enter_trade_count = 0
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@@ -426,19 +388,6 @@ class Zeus_TensorFlow_1h(IStrategy):
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# self.printLog(f"{current_time} SELL triggered for {pair} ({exit_reason} profit={profit} minutes={minutes} percent={last_candle['hapercent']}) but condition blocked")
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return (allow_to_sell) | (exit_reason == 'force_exit') | (exit_reason == 'stop_loss')
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def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
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proposed_stake: float, min_stake: float, max_stake: float,
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**kwargs) -> float:
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dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
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current_candle = dataframe.iloc[-1].squeeze()
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adjusted_stake_amount = self.adjust_stake_amount(pair, current_candle)
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# print(f"{pair} adjusted_stake_amount{adjusted_stake_amount}")
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# Use default stake amount.
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return adjusted_stake_amount
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def custom_exit(self, pair: str, trade: Trade, current_time, current_rate, current_profit, **kwargs):
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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@@ -460,7 +409,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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profit = trade.calc_profit(current_rate) #round(current_profit * trade.stake_amount, 1)
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self.pairs[pair]['max_profit'] = max(self.pairs[pair]['max_profit'], profit)
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max_profit = self.pairs[pair]['max_profit']
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max_profit = last_candle['max5'] #self.pairs[pair]['max_profit']
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baisse = 0
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if profit > 0:
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baisse = 1 - (profit / max_profit)
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@@ -472,8 +421,9 @@ class Zeus_TensorFlow_1h(IStrategy):
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hours_since_first_buy = (current_time - trade.open_date_utc).seconds / 3600.0
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days_since_first_buy = (current_time - trade.open_date_utc).days
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hours = (current_time - trade.date_last_filled_utc).total_seconds() / 3600.0
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minutes = (current_time - trade.date_last_filled_utc).total_seconds() / 60.0
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if hours % 4 == 0:
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if minutes % 4 == 0:
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self.log_trade(
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last_candle=last_candle,
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date=current_time,
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@@ -489,6 +439,8 @@ class Zeus_TensorFlow_1h(IStrategy):
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# if (last_candle['predicted_pct'] > 0):
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# return None
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# if (last_candle['sma5'] - before_last_candle['sma5']) / last_candle['sma5'] > 0.0002:
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# return None
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pair_name = self.getShortName(pair)
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if last_candle['max_rsi_24'] > 85 and profit > max(5, expected_profit) and (last_candle['hapercent'] < 0) and last_candle['sma60_deriv1'] < 0.05:
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@@ -511,8 +463,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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# self.pairs[pair]['force_buy'] = (self.pairs[pair]['count_of_buys'] - self.pairs[pair]['has_gain'] > 3)
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# return str(count_of_buys) + '_' + 'B15_' + pair_name + '_' + str(self.pairs[pair]['has_gain'])
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if (last_candle['sma5'] - before_last_candle_12['sma5']) / last_candle['sma5'] > 0.0002:
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return None
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factor = 1
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if (self.getShortName(pair) == 'BTC'):
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@@ -536,7 +487,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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def informative_pairs(self):
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# get access to all pairs available in whitelist.
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pairs = self.dp.current_whitelist()
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informative_pairs = [(pair, '1d') for pair in pairs]
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informative_pairs = [(pair, self.timeframe_sup) for pair in pairs]
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# informative_pairs += [(pair, '1h') for pair in pairs]
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return informative_pairs
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@@ -550,7 +501,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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self.printLog(
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f"| {'Date':<16} | {'Action':<10} |{'Pair':<5}| {'Trade Type':<18} |{'Rate':>8} | {'Dispo':>6} | {'Profit':>8} "
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f"| {'Pct':>6} | {'max_touch':>11} | {'last_lost':>12} | {'last_max':>7}| {'last_max':>7}|{'Buys':>5}| {'Stake':>5} |"
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f"{'rsi':>6}|Distmax|s201d|s5_1d|s5_2d|s51h|s52h|smt1h|smt2h|tdc1d|tdc1h"
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f"{'rsi':>6}" #|Distmax|s201d|s5_1d|s5_2d|s51h|s52h|smt1h|smt2h|tdc1d|tdc1h"
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)
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self.printLineLog()
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df = pd.DataFrame.from_dict(self.pairs, orient='index')
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@@ -559,14 +510,11 @@ class Zeus_TensorFlow_1h(IStrategy):
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df_filtered = df[df['count_of_buys'] > 0].drop(columns=colonnes_a_exclure)
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# df_filtered = df_filtered["first_buy", "last_max", "max_touch", "last_sell","last_buy", 'count_of_buys', 'current_profit']
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print(df_filtered)
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self.printLog(df_filtered)
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self.columns_logged += 1
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date = str(date)[:16] if date else "-"
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limit = None
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# if buys is not None:
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# limit = round(last_rate * (1 - self.fibo[buys] / 100), 4)
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rsi = ''
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rsi_pct = ''
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sma5_1d = ''
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@@ -614,10 +562,10 @@ class Zeus_TensorFlow_1h(IStrategy):
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# f"|{round(last_candle['mid_smooth_24_deriv1'],3) or '-':>6}|{round(last_candle['mid_smooth_deriv1'],3) or '-':>6}|{round(last_candle['mid_smooth_deriv1_1d'],3) or '-' :>6}|"
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# f"{round(last_candle['mid_smooth_24_deriv2'],3) or '-' :>6}|{round(last_candle['mid_smooth_deriv2'],3) or '-':>6}|{round(last_candle['mid_smooth_deriv2_1d'],3) or '-':>6}|"
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f"{round(last_candle['max_rsi_24'], 1) or '-' :>6}|"
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f"{dist_max:>7}|{color_sma24}{round(last_candle['sma24_deriv1'], 2):>5}{RESET}"
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f"|{color_sma5}{round(last_candle['mid_smooth_5_deriv1'], 2):>5}{RESET}|{color_sma5_2}{round(last_candle['mid_smooth_5_deriv2'], 2):>5}{RESET}"
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f"|{color_sma5}{round(last_candle['sma60_deriv1'], 2):>5}{RESET}|{color_sma5_2h}{round(last_candle['sma60_deriv2'], 2):>5}{RESET}"
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f"|{color_smooth}{round(last_candle['mid_smooth_deriv1'], 2):>5}{RESET}|{color_smooth2}{round(last_candle['mid_smooth_deriv2'], 2):>5}{RESET}"
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# f"{dist_max:>7}|{color_sma24}{round(last_candle['sma24_deriv1'], 2):>5}{RESET}"
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# f"|{color_sma5}{round(last_candle['mid_smooth_5_deriv1'], 2):>5}{RESET}|{color_sma5_2}{round(last_candle['mid_smooth_5_deriv2'], 2):>5}{RESET}"
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# f"|{color_sma5}{round(last_candle['sma60_deriv1'], 2):>5}{RESET}|{color_sma5_2h}{round(last_candle['sma60_deriv2'], 2):>5}{RESET}"
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# f"|{color_smooth}{round(last_candle['mid_smooth_deriv1'], 2):>5}{RESET}|{color_smooth2}{round(last_candle['mid_smooth_deriv2'], 2):>5}{RESET}"
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)
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def getLastLost(self, last_candle, pair):
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@@ -646,13 +594,13 @@ class Zeus_TensorFlow_1h(IStrategy):
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short_pair = self.getShortName(pair)
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self.path = f"user_data/plots/{short_pair}/" + ("valide/" if not self.dp.runmode.value in ('backtest') else '')
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dataframe = self.populateDataframe(dataframe, timeframe='1h')
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dataframe = self.populateDataframe(dataframe, timeframe=self.timeframe)
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# ################### INFORMATIVE 1d
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informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1d")
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informative = self.populateDataframe(informative, timeframe='1d')
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# ################### INFORMATIVE self.timeframe_sup
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informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=self.timeframe_sup)
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informative = self.populateDataframe(informative, timeframe=self.timeframe_sup)
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# informative = self.calculateRegression(informative, 'mid', lookback=15)
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dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1d", ffill=True)
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dataframe = merge_informative_pair(dataframe, informative, self.timeframe, self.timeframe_sup, ffill=True)
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dataframe['last_price'] = dataframe['close']
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dataframe['first_price'] = dataframe['close']
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@@ -679,13 +627,13 @@ class Zeus_TensorFlow_1h(IStrategy):
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self.pairs[pair]['last_buy'] = buy.price
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count = count + 1
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amount += buy.price * buy.filled
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# dataframe['mid_price'] = (dataframe['last_price'] + dataframe['first_price']) / 2
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count_buys = count
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# dataframe['limit'] = dataframe['last_price'] * (1 - self.baisse[count] / 100)
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self.pairs[pair]['total_amount'] = amount
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# dataframe['mid_smooth_tag'] = qtpylib.crossed_below(dataframe['mid_smooth_24_deriv1'], dataframe['mid_smooth_deriv2_24'])
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self.model_indicators = self.listUsableColumns(dataframe)
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# ===============================
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# lissage des valeurs horaires
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dataframe['mid_smooth'] = dataframe['mid'].rolling(window=6).mean()
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@@ -720,9 +668,12 @@ class Zeus_TensorFlow_1h(IStrategy):
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dataframe = self.calculateRegression(dataframe, 'mid', lookback=10, future_steps=10, model_type="poly")
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dataframe = self.calculateRegression(dataframe, 'sma24', lookback=12, future_steps=12)
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dataframe['max5'] = talib.MAX(dataframe['mid'], timeperiod=5)
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# TENSOR FLOW
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if self.dp.runmode.value in ('backtest'):
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self.model_indicators = self.listUsableColumns(dataframe)
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if self.training_enabled and self.dp.runmode.value in ('backtest'):
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self.tensorFlowTrain(dataframe, future_steps = self.future_steps)
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self.tensorFlowPredict(dataframe)
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self.kerasGenerateGraphs(dataframe)
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@@ -737,16 +688,24 @@ class Zeus_TensorFlow_1h(IStrategy):
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# ex: feature_columns correspond aux colonnes utilisées à l'entraînement
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# feature_columns = [c for c in dataframe.columns if c not in [self.indicator_target, 'lstm_pred']]
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preds, preds_std = self.predict_on_dataframe(dataframe, self.model_indicators)
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last_n = self.lookback * 2 if not self.dp.runmode.value in ('backtest') else None
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dataframe["lstm_pred"] = preds
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dataframe["lstm_pred_std"] = preds_std
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# preds, preds_std = self.predict_on_dataframe(dataframe, self.model_indicators, last_n=last_n)
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# dataframe["lstm_pred"] = preds
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# dataframe["lstm_pred_std"] = preds_std
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# # confidence score inversely related to std (optionnel)
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# dataframe["pred_confidence"] = 1 / (1 + dataframe["lstm_pred_std"]) # crude; scale to [0..1] if needed
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# self.tensorFlowPredict(dataframe)
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# # self.kerasGenerateGraphs(dataframe)
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#
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# dataframe['lstm_pred_smooth'] = dataframe['lstm_pred'].ewm(span=5, adjust=False).mean()
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# self.calculeDerivees(dataframe, 'lstm_pred_smooth', timeframe=self.timeframe)
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#
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# # predicted % change relative to current price
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# dataframe["predicted_pct"] = (dataframe["lstm_pred"] - dataframe[self.indicator_target]) / dataframe[
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# self.indicator_target]
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# predicted % change relative to current price
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dataframe["predicted_pct"] = (dataframe["lstm_pred"] - dataframe[self.indicator_target]) / dataframe[
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self.indicator_target]
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# confidence score inversely related to std (optionnel)
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dataframe["pred_confidence"] = 1 / (1 + dataframe["lstm_pred_std"]) # crude; scale to [0..1] if needed
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# # ---- Charger ou prédire ----
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# try:
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@@ -759,7 +718,7 @@ class Zeus_TensorFlow_1h(IStrategy):
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# # Exemple : valeur correspond à l’allocation conseillée du LSTM
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#
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# except Exception as e:
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# print(f"[LSTM Position] Erreur prediction: {e}")
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# self.printLog(f"[LSTM Position] Erreur prediction: {e}")
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# dataframe["pos_frac"] = np.full(len(dataframe), np.nan)
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return dataframe
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@@ -785,19 +744,9 @@ class Zeus_TensorFlow_1h(IStrategy):
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and not c.endswith("_class") and not c.endswith("_price")
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and not c.startswith('stop_buying')]
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# Étape 3 : remplacer inf et NaN par 0
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# usable_cols = [
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# "obv_1d", "min60", "mid_future_pred_cons", "bb_upperband",
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# "bb_lowerband", "open", "max60", "high", "volume_1d",
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# "mid_smooth_5_1d", "haclose", "high_1d", "sma24_future_pred_cons",
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# "volume_deriv2", "mid_smooth", "volume_deriv2_1d", "bb_middleband",
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# "volume_deriv1", "sma60", "volume_dist", "open_1d",
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# "haopen", "mid_1d", "min12_1d", "volume_deriv1_1d",
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# "max12_1d", "mid_smooth_12", "sma24", "bb_middleband_1d", "sma12_1d",
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# ]
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dataframe[usable_cols] = dataframe[usable_cols].replace([np.inf, -np.inf], 0).fillna(0)
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print("Colonnes utilisables pour le modèle :")
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print(usable_cols)
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self.printLog("Colonnes utilisables pour le modèle :")
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self.printLog(usable_cols)
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self.model_indicators = usable_cols
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model_metadata = {
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"feature_columns": self.model_indicators,
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@@ -807,6 +756,8 @@ class Zeus_TensorFlow_1h(IStrategy):
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with open(f"{self.path}/model_metadata.json", "w") as f:
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json.dump(model_metadata, f)
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# self.model_indicators = self.select_features_from_importance(threshold=0.00015)
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return self.model_indicators
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def populateDataframe(self, dataframe, timeframe='5m'):
|
||||
@@ -840,7 +791,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
dataframe = self.calculateDerivation(dataframe, window=5, suffixe="_5",timeframe=timeframe)
|
||||
dataframe = self.calculateDerivation(dataframe, window=12, suffixe="_12",timeframe=timeframe)
|
||||
dataframe = self.calculateDerivation(dataframe, window=24, suffixe="_24", timeframe=timeframe)
|
||||
# print(metadata['pair'])
|
||||
# self.printLog(metadata['pair'])
|
||||
dataframe['rsi'] = talib.RSI(dataframe['mid'], timeperiod=14)
|
||||
dataframe['max_rsi_12'] = talib.MAX(dataframe['rsi'], timeperiod=12)
|
||||
dataframe['max_rsi_24'] = talib.MAX(dataframe['rsi'], timeperiod=24)
|
||||
@@ -1168,8 +1119,6 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
|
||||
d1_col = f"{name}{suffixe}_deriv1"
|
||||
d2_col = f"{name}{suffixe}_deriv2"
|
||||
factor1 = 100 * (ema_period / 5)
|
||||
factor2 = 10 * (ema_period / 5)
|
||||
|
||||
dataframe[f"{name}{suffixe}_inv"] = (dataframe[f"{name}{suffixe}"].shift(2) >= dataframe[f"{name}{suffixe}"].shift(1)) \
|
||||
& (dataframe[f"{name}{suffixe}"].shift(1) <= dataframe[f"{name}{suffixe}"])
|
||||
@@ -1189,35 +1138,24 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
# dataframe.loc[
|
||||
# (
|
||||
# qtpylib.crossed_above(dataframe['lstm_pred'], dataframe['mid'])
|
||||
# qtpylib.crossed_below(dataframe['lstm_pred'], dataframe['sma5'])
|
||||
# ), ['enter_long', 'enter_tag']] = (1, f"future")
|
||||
#
|
||||
# dataframe['test'] = np.where(dataframe['enter_long'] == 1, dataframe['close'] * 1.01, np.nan)
|
||||
|
||||
dataframe.loc[
|
||||
(
|
||||
(dataframe['sma5_inv'] == 1)
|
||||
& (
|
||||
(dataframe['percent3'] <= -0.003)
|
||||
| (dataframe['percent12'] <= -0.003)
|
||||
| (dataframe['percent24'] <= -0.003)
|
||||
)
|
||||
), ['enter_long', 'enter_tag']] = (1, f"future")
|
||||
|
||||
dataframe['test'] = np.where(dataframe['enter_long'] == 1, dataframe['close'] * 1.01, np.nan)
|
||||
#
|
||||
# if self.dp.runmode.value in ('backtest'):
|
||||
# dataframe.to_feather(f"user_data/backtest_results/{metadata['pair'].replace('/', '_')}_df.feather")
|
||||
|
||||
dataframe.loc[:, "enter_long"] = False
|
||||
dataframe.loc[:, "enter_short"] = False
|
||||
|
||||
# thresholds
|
||||
pct_thr = self.minimal_pct_for_trade
|
||||
conf_thr = self.min_hit_ratio # you may want separate param
|
||||
|
||||
# simple directional rule with deadzone and uncertainty filter
|
||||
mask_up = (dataframe["predicted_pct"] > pct_thr) & (dataframe["pred_confidence"] > 0) # further filters below
|
||||
mask_down = (dataframe["predicted_pct"] < -pct_thr) & (dataframe["pred_confidence"] > 0)
|
||||
|
||||
# filter: ensure uncertainty isn't huge relative to predicted move
|
||||
# if std > |predicted_move| * max_uncertainty_pct => skip
|
||||
safe_up = mask_up & (dataframe["lstm_pred_std"] <= (
|
||||
dataframe["predicted_pct"].abs() * dataframe[self.indicator_target] * self.max_uncertainty_pct))
|
||||
safe_down = mask_down & (dataframe["lstm_pred_std"] <= (
|
||||
dataframe["predicted_pct"].abs() * dataframe[self.indicator_target] * self.max_uncertainty_pct))
|
||||
|
||||
dataframe.loc[safe_up, ['enter_long', 'enter_tag']] = (True, f"future")
|
||||
# dataframe.loc[safe_down, "enter_short"] = True
|
||||
|
||||
return dataframe
|
||||
|
||||
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
@@ -1287,12 +1225,12 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
# fraction = float(np.clip(fraction, 0.001, 1.0))
|
||||
# return fraction
|
||||
|
||||
def adjust_trade_positionOld(self, trade: Trade, current_time: datetime,
|
||||
def adjust_trade_position(self, trade: Trade, current_time: datetime,
|
||||
current_rate: float, current_profit: float, min_stake: float,
|
||||
max_stake: float, **kwargs):
|
||||
# ne rien faire si ordre deja en cours
|
||||
if trade.has_open_orders:
|
||||
# print("skip open orders")
|
||||
# self.printLog("skip open orders")
|
||||
return None
|
||||
if (self.wallets.get_available_stake_amount() < 10): # or trade.stake_amount >= max_stake:
|
||||
return 0
|
||||
@@ -1331,40 +1269,57 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
else:
|
||||
pct_max = - pct
|
||||
|
||||
if (self.getShortName(pair) == 'BTC') or count_of_buys <= 2:
|
||||
lim = - pct - (count_of_buys * self.pct_inc.value)
|
||||
else:
|
||||
pct = 0.05
|
||||
lim = - pct - (count_of_buys * 0.0025)
|
||||
# if (self.getShortName(pair) == 'BTC') or count_of_buys <= 2:
|
||||
# lim = - pct - (count_of_buys * self.pct_inc.value)
|
||||
# else:
|
||||
# pct = 0.05
|
||||
# lim = - pct - (count_of_buys * 0.0025)
|
||||
|
||||
lim = 0.3
|
||||
if (len(dataframe) < 1):
|
||||
# print("skip dataframe")
|
||||
# self.printLog("skip dataframe")
|
||||
return None
|
||||
|
||||
if not self.should_enter_trade(pair, last_candle, current_time):
|
||||
return None
|
||||
|
||||
condition = (last_candle['enter_long'] and last_candle['hapercent'] > 0) #and last_candle['stop_buying'] == False
|
||||
# and last_candle['sma60_deriv1'] > 0
|
||||
# or last_candle['enter_tag'] == 'pct3' \
|
||||
# or last_candle['enter_tag'] == 'pct3'
|
||||
# Dernier prix d'achat réel (pas le prix moyen)
|
||||
last_fill_price = self.pairs[trade.pair]['last_buy'] #trade.open_rate # remplacé juste après ↓
|
||||
|
||||
# if (self.getShortName(pair) != 'BTC' and count_of_buys > 3):
|
||||
# condition = before_last_candle_24['mid_smooth_3'] > before_last_candle_12['mid_smooth_3'] and before_last_candle_12['mid_smooth_3'] < last_candle['mid_smooth_3'] #and last_candle['mid_smooth_3_deriv1'] < -1.5
|
||||
# if len(trade.orders) > 0:
|
||||
# # On cherche le dernier BUY exécuté
|
||||
# buy_orders = [o for o in trade.orders if o.is_buy and o.status == "closed"]
|
||||
# if buy_orders:
|
||||
# last_fill_price = buy_orders[-1].price
|
||||
|
||||
# baisse relative
|
||||
dca_threshold = 0.0025
|
||||
decline = (last_fill_price - current_rate) / last_fill_price
|
||||
|
||||
# if decline >= self.dca_threshold:
|
||||
# # Exemple : on achète 50% du montant du dernier trade
|
||||
# last_amount = buy_orders[-1].amount if buy_orders else 0
|
||||
# stake_amount = last_amount * current_rate * 0.5
|
||||
# return stake_amount
|
||||
|
||||
|
||||
# print(f"pctmax={pct_max} lim={lim}")
|
||||
condition = last_candle['hapercent'] > 0
|
||||
limit_buy = 40
|
||||
if (count_of_buys < limit_buy) and condition and (pct_max < lim):
|
||||
if decline >= dca_threshold:
|
||||
try:
|
||||
|
||||
if self.pairs[pair]['has_gain'] and profit > 0:
|
||||
self.pairs[pair]['force_sell'] = True
|
||||
self.pairs[pair]['previous_profit'] = profit
|
||||
return None
|
||||
|
||||
max_amount = self.config.get('stake_amount') * 2.5
|
||||
stake_amount = min(min(max_amount, self.wallets.get_available_stake_amount()),
|
||||
self.adjust_stake_amount(pair, last_candle) * abs(last_lost / self.mise_factor_buy.value))
|
||||
|
||||
self.adjust_stake_amount(pair, last_candle))
|
||||
print(f"profit={profit} previous={self.pairs[pair]['previous_profit']} count_of_buys={trade.nr_of_successful_entries}")
|
||||
if stake_amount > 0:
|
||||
self.pairs[pair]['previous_profit'] = profit
|
||||
trade_type = "Loss " + (last_candle['enter_tag'] if last_candle['enter_long'] == 1 else '')
|
||||
self.pairs[trade.pair]['count_of_buys'] += 1
|
||||
self.pairs[pair]['total_amount'] += stake_amount
|
||||
@@ -1391,21 +1346,23 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
# df_filtered = df[df['count_of_buys'] > 0].drop(columns=colonnes_a_exclure)
|
||||
# # df_filtered = df_filtered["first_buy", "last_max", "max_touch", "last_sell","last_buy", 'count_of_buys', 'current_profit']
|
||||
#
|
||||
# print(df_filtered)
|
||||
# self.printLog(df_filtered)
|
||||
|
||||
return stake_amount
|
||||
return None
|
||||
except Exception as exception:
|
||||
print(exception)
|
||||
self.printLog(exception)
|
||||
return None
|
||||
|
||||
if (profit > self.pairs[pair]['previous_profit'] and profit > self.pairs[pair]['expected_profit'] and hours > 6
|
||||
# and last_candle['sma60_deriv1'] > 0
|
||||
and last_candle['max_rsi_12'] < 75
|
||||
# and last_candle['rsi_1d'] < 58
|
||||
# and last_candle['stop_buying'] == False
|
||||
# and last_candle['mid_smooth_5_deriv1_1d'] > 0
|
||||
and self.wallets.get_available_stake_amount() > 0
|
||||
if (profit > self.pairs[pair]['previous_profit']
|
||||
and profit - self.pairs[pair]['previous_profit'] > lim #self.pairs[pair]['expected_profit']
|
||||
# and hours > 6
|
||||
# and last_candle['sma60_deriv1'] > 0
|
||||
# and last_candle['max_rsi_12'] < 75
|
||||
# and last_candle['rsi_1d'] < 58
|
||||
# and last_candle['stop_buying'] == False
|
||||
# and last_candle['mid_smooth_5_deriv1_1d'] > 0
|
||||
and self.wallets.get_available_stake_amount() > 0
|
||||
):
|
||||
try:
|
||||
self.pairs[pair]['previous_profit'] = profit
|
||||
@@ -1434,7 +1391,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
return stake_amount
|
||||
return None
|
||||
except Exception as exception:
|
||||
print(exception)
|
||||
self.printLog(exception)
|
||||
return None
|
||||
|
||||
return None
|
||||
@@ -1481,15 +1438,14 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
# Calculer le minimum des 14 derniers jours
|
||||
nb_pairs = len(self.dp.current_whitelist())
|
||||
|
||||
base_stake_amount = self.config.get('stake_amount') / (self.mises.value) # * nb_pairs) # Montant de base configuré
|
||||
base_stake_amount = self.config.get('stake_amount')
|
||||
|
||||
# factors = [1, 1.2, 1.3, 1.4]
|
||||
if self.pairs[pair]['count_of_buys'] == 0:
|
||||
if True : #self.pairs[pair]['count_of_buys'] == 0:
|
||||
factor = 1 #65 / min(65, last_candle['rsi_1d'])
|
||||
# if last_candle['min_max_60'] > 0.04:
|
||||
# factor = 2
|
||||
|
||||
adjusted_stake_amount = max(base_stake_amount / 5, base_stake_amount * factor)
|
||||
adjusted_stake_amount = base_stake_amount #max(base_stake_amount / 5, base_stake_amount * factor)
|
||||
else:
|
||||
adjusted_stake_amount = self.pairs[pair]['first_amount']
|
||||
|
||||
@@ -1526,7 +1482,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
return [
|
||||
{
|
||||
"method": "CooldownPeriod",
|
||||
"stop_duration_candles": 12
|
||||
"stop_duration_candles": 2
|
||||
}
|
||||
# {
|
||||
# "method": "MaxDrawdown",
|
||||
@@ -1609,8 +1565,8 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
y_future = poly(x_future)
|
||||
|
||||
# Affichage de la fonction
|
||||
# print("Fonction polynomiale trouvée :")
|
||||
# print(poly)
|
||||
# self.printLog("Fonction polynomiale trouvée :")
|
||||
# self.printLog(poly)
|
||||
|
||||
current = series.iloc[-1]
|
||||
count = 0
|
||||
@@ -1620,7 +1576,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
# series.loc[series.index[future_x], f'poly_pred_t+{future_step}'] = prediction
|
||||
|
||||
# ➕ Afficher les prédictions
|
||||
# print(f"{current} → t+{future_step}: x={future_x}, y={prediction:.2f}")
|
||||
# self.printLog(f"{current} → t+{future_step}: x={future_x}, y={prediction:.2f}")
|
||||
if prediction > 0: # current:
|
||||
count += 1
|
||||
|
||||
@@ -1730,7 +1686,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
current_time_utc = current_time.astimezone(timezone.utc)
|
||||
days_since_open = (current_time_utc - open_date).days
|
||||
pct_max_max = self.getPctFirstBuy(max_pair, last_candle)
|
||||
# print(f"days_since_open {days_since_open} max_pair={max_pair} pair={pair}")
|
||||
# self.printLog(f"days_since_open {days_since_open} max_pair={max_pair} pair={pair}")
|
||||
return max_pair == pair or pct_max < - 0.25 or (
|
||||
pct_max_max < - 0.15 and max_pair != pair and days_since_open > 30)
|
||||
else:
|
||||
@@ -1951,6 +1907,15 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
plt.savefig(f"{self.path}/lstm_predictions.png")
|
||||
plt.close()
|
||||
|
||||
# plot
|
||||
if len(dataframe) > 240:
|
||||
plt.figure(figsize=(16, 8))
|
||||
plt.plot(dataframe[self.indicator_target][len(dataframe) - 120:].values, label=self.indicator_target)
|
||||
plt.plot(preds[len(dataframe) - 120:], label="lstm_pred")
|
||||
plt.legend()
|
||||
plt.savefig(f"{self.path}/lstm_predictions_last.png")
|
||||
plt.close()
|
||||
|
||||
def kerasGenerateGraphPoids(self, model):
|
||||
for i, layer in enumerate(model.layers):
|
||||
weights = layer.get_weights() # liste de tableaux numpy
|
||||
@@ -1975,7 +1940,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
break
|
||||
|
||||
if W is None:
|
||||
print(f"Aucune matrice 2D dans layer {i} (rien à afficher).")
|
||||
self.printLog(f"Aucune matrice 2D dans layer {i} (rien à afficher).")
|
||||
return
|
||||
|
||||
plt.figure(figsize=(8, 6))
|
||||
@@ -2123,7 +2088,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
|
||||
# 7) Rapport texte
|
||||
rapport = self.generate_text_report(mae, rmse, mape, hit_ratio, self.future_steps)
|
||||
print(rapport)
|
||||
self.printLog(rapport)
|
||||
|
||||
return preds
|
||||
|
||||
@@ -2233,6 +2198,10 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
- prédire mean+std via MC Dropout (ou simple predict if no dropout)
|
||||
- retourner prédiction inverse-transformée et score de confiance
|
||||
"""
|
||||
|
||||
use_mc_dropout = True
|
||||
mc_samples = 40
|
||||
|
||||
def load_model_and_scalers(self):
|
||||
if self._tf_model is None:
|
||||
self._tf_model = load_model(f"{self.path}/lstm_model.keras", compile=False)
|
||||
@@ -2274,18 +2243,29 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
std = preds.std(axis=0).flatten()
|
||||
return mean, std
|
||||
|
||||
def predict_on_dataframe(self, dataframe, feature_columns):
|
||||
def predict_on_dataframe(self, dataframe, feature_columns, last_n=None):
|
||||
"""
|
||||
Process complet : build X -> scale -> predict -> inverse transform -> align with dataframe
|
||||
Retour:
|
||||
preds_real (len = len(df)) : np.nan pour indices < lookback-1,
|
||||
preds_std_real (same length) : np.nan pour indices < lookback-1
|
||||
Prédire seulement sur tout le dataframe (last_n=None)
|
||||
OU seulement sur les N dernières bougies (last_n = nombre de lignes).
|
||||
"""
|
||||
self.load_model_and_scalers()
|
||||
|
||||
X_seq = self.build_X_from_dataframe(dataframe, feature_columns) # shape (N, L, f)
|
||||
# --- Sélection des lignes si on veut limiter ---
|
||||
if last_n is not None:
|
||||
if last_n < self.lookback:
|
||||
raise ValueError("last_n doit être >= lookback.")
|
||||
|
||||
df_used = dataframe.iloc[-last_n:].copy()
|
||||
df_offset = len(dataframe) - last_n # position dans le df complet
|
||||
else:
|
||||
df_used = dataframe
|
||||
df_offset = 0
|
||||
|
||||
# --- Construction des séquences ---
|
||||
X_seq = self.build_X_from_dataframe(df_used, feature_columns)
|
||||
|
||||
# --- Scaling X ---
|
||||
if getattr(self, "_scaler_X", None) is not None and X_seq.size:
|
||||
# scaler expects 2D -> reshape then inverse reshape
|
||||
ns, L, f = X_seq.shape
|
||||
X_2d = X_seq.reshape(-1, f)
|
||||
X_2d_scaled = self._scaler_X.transform(X_2d)
|
||||
@@ -2293,9 +2273,11 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
else:
|
||||
X_seq_scaled = X_seq
|
||||
|
||||
# prediction
|
||||
# --- Prédiction ---
|
||||
if self.use_mc_dropout:
|
||||
mean_scaled, std_scaled = self.mc_dropout_predict(self._tf_model, X_seq_scaled, n_samples=self.mc_samples)
|
||||
mean_scaled, std_scaled = self.mc_dropout_predict(
|
||||
self._tf_model, X_seq_scaled, n_samples=self.mc_samples
|
||||
)
|
||||
else:
|
||||
if X_seq_scaled.shape[0] == 0:
|
||||
mean_scaled = np.array([])
|
||||
@@ -2304,32 +2286,35 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
mean_scaled = self._tf_model.predict(X_seq_scaled, verbose=0).flatten()
|
||||
std_scaled = np.zeros_like(mean_scaled)
|
||||
|
||||
# inverse transform y if scaler_y exists
|
||||
# --- Inverse transform Y ---
|
||||
if getattr(self, "_scaler_y", None) is not None and mean_scaled.size:
|
||||
# scaler expects 2D
|
||||
mean_real = self._scaler_y.inverse_transform(mean_scaled.reshape(-1,1)).flatten()
|
||||
std_real = self._scaler_y.inverse_transform((mean_scaled+std_scaled).reshape(-1,1)).flatten() - mean_real
|
||||
mean_real = self._scaler_y.inverse_transform(mean_scaled.reshape(-1, 1)).flatten()
|
||||
std_real = (
|
||||
self._scaler_y.inverse_transform((mean_scaled + std_scaled).reshape(-1, 1)).flatten()
|
||||
- mean_real
|
||||
)
|
||||
std_real = np.abs(std_real)
|
||||
else:
|
||||
mean_real = mean_scaled
|
||||
std_real = std_scaled
|
||||
|
||||
# align with dataframe length
|
||||
# --- Alignement sur le DF complet ---
|
||||
n_rows = len(dataframe)
|
||||
preds = np.array([np.nan]*n_rows)
|
||||
preds_std = np.array([np.nan]*n_rows)
|
||||
# start = self.lookback - 1 # la première fenêtre correspond à index lookback-1
|
||||
start = self.lookback - 1 + self.future_steps
|
||||
preds = np.full(n_rows, np.nan)
|
||||
preds_std = np.full(n_rows, np.nan)
|
||||
|
||||
start = df_offset + (self.lookback - 1 + self.future_steps)
|
||||
end = start + len(mean_real) - self.future_steps
|
||||
|
||||
if len(mean_real) > 0:
|
||||
preds[start:end] = mean_real[:end-start]
|
||||
preds_std[start:end] = std_real[:end-start]
|
||||
preds[start:end] = mean_real[: end - start]
|
||||
preds_std[start:end] = std_real[: end - start]
|
||||
|
||||
# Importance
|
||||
# --- feature importance LSTM ---
|
||||
# On doit découper y_true pour qu'il corresponde 1:1 aux séquences X_seq_scaled
|
||||
# --- feature importance LSTM ---
|
||||
if False and self.dp.runmode.value in ('backtest'):
|
||||
if self.training_enabled and self.dp.runmode.value in ('backtest'):
|
||||
# Y réel (non-scalé)
|
||||
y_all = dataframe[self.indicator_target].values.reshape(-1, 1)
|
||||
|
||||
@@ -2343,8 +2328,8 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
offset = self.lookback + self.future_steps
|
||||
y_true = y_scaled_all[offset - 1 - self.future_steps: offset + X_seq_scaled.shape[0]]
|
||||
|
||||
print(len(X_seq_scaled))
|
||||
print(len(y_true))
|
||||
self.printLog(len(X_seq_scaled))
|
||||
self.printLog(len(y_true))
|
||||
|
||||
# Vérification
|
||||
if len(y_true) != X_seq_scaled.shape[0]:
|
||||
@@ -2367,7 +2352,7 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
importances = []
|
||||
|
||||
for f in range(n_features):
|
||||
print(feature_names[f])
|
||||
self.printLog(feature_names[f])
|
||||
scores = []
|
||||
for _ in range(n_rounds):
|
||||
X_copy = X_seq.copy()
|
||||
@@ -2378,19 +2363,19 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
scores.append(mean_absolute_error(y_true, pred))
|
||||
|
||||
importance = np.mean(scores) - baseline_score
|
||||
print(f"{f} importance indicator {feature_names[f]} = {100 * importance:.5f}%")
|
||||
self.printLog(f"{f} importance indicator {feature_names[f]} = {100 * importance:.5f}%")
|
||||
|
||||
importances.append(importance)
|
||||
|
||||
for name, imp in sorted(zip(feature_names, importances), key=lambda x: -x[1]):
|
||||
print(f"{name}: importance = {100 * imp:.5f}%")
|
||||
self.printLog(f"{name}: importance = {100 * imp:.5f}%")
|
||||
|
||||
self.last_feature_importances = importances
|
||||
# Sauvegardes
|
||||
self.save_feature_importance_csv(self.last_feature_importances)
|
||||
self.plot_feature_importances(self.last_feature_importances)
|
||||
|
||||
print("✔ Feature importance calculée")
|
||||
self.printLog("✔ Feature importance calculée")
|
||||
|
||||
return dict(zip(feature_names, importances))
|
||||
|
||||
@@ -2402,6 +2387,8 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
for k, v in importances_dict.items():
|
||||
f.write(f"{k},{v}\n")
|
||||
|
||||
self.select_features_from_importance(threshold=0.00015)
|
||||
|
||||
def plot_feature_importances(self, importances):
|
||||
# Conversion en array
|
||||
importances = np.array(importances)
|
||||
@@ -2630,3 +2617,43 @@ class Zeus_TensorFlow_1h(IStrategy):
|
||||
return scaled
|
||||
|
||||
# End of mixin
|
||||
|
||||
# Importances
|
||||
# 0.015%
|
||||
def select_features_from_importance(self, threshold=0.00015):
|
||||
"""
|
||||
Charge un fichier CSV 'feature, importance',
|
||||
nettoie les valeurs, applique un seuil et sauvegarde les features sélectionnés.
|
||||
"""
|
||||
|
||||
# Lecture CSV
|
||||
df = pd.read_csv(f"{self.path}/feature_importances.csv")
|
||||
|
||||
# Nettoyage au cas où tu as "0,0123%" au lieu de "0.0123%"
|
||||
df['importance'] = (
|
||||
df['importance']
|
||||
.astype(str)
|
||||
.str.replace('%', '')
|
||||
.str.replace(',', '.')
|
||||
.astype(float) / 100 # ramener en valeur réelle
|
||||
)
|
||||
|
||||
# Tri décroissant
|
||||
df_sorted = df.sort_values(by="importance", ascending=False)
|
||||
|
||||
# Filtrage
|
||||
df_selected = df_sorted[df_sorted['importance'] >= threshold]
|
||||
|
||||
# Extraction liste
|
||||
features = df_selected['feature'].tolist()
|
||||
|
||||
# Sauvegarde
|
||||
with open(f"{self.path}/selected_features.txt", "w") as f:
|
||||
for feat in features:
|
||||
f.write(feat + "\n")
|
||||
|
||||
print(f"✔ {len(features)} features conservés (≥ {threshold * 100:.3f}%)")
|
||||
print(f"✔ Liste enregistrée")
|
||||
|
||||
return features
|
||||
|
||||
|
||||
Reference in New Issue
Block a user