a599160501
┃ Strategy ┃ Trades ┃ Avg Profit % ┃ Tot Profit USDT ┃ Tot Profit % ┃ Avg Duration ┃ Win Draw Loss Win% ┃ Drawdown ┃ ┡━━━━━━━━━━━━╇━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━━━━━╇━━━━━━━━━━━━━━━━━━━━┩ │ EmptyShort │ 34 │ 1.08 │ 379.432 │ 37.94 │ 1 day, 10:30:00 │ 18 0 16 52.9 │ 81.299 USDT 6.08% │ └────────────┴────────┴──────────────┴─────────────────┴──────────────┴─────────────────┴────────────────────────┴────────────────────┘
1349 lines
63 KiB
Python
1349 lines
63 KiB
Python
# pr#agma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
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# isort: skip_file
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# --- Do not remove these libs ---
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from datetime import datetime
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from freqtrade.persistence import Trade
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import numpy as np # noqa
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import pandas as pd # noqa
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from pandas import DataFrame
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from datetime import timezone, timedelta
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from datetime import timedelta, datetime
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from freqtrade.strategy.interface import IStrategy
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from freqtrade.persistence import Trade
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from typing import Optional, Union, Tuple
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from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter, stoploss_from_open,
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IntParameter, IStrategy, merge_informative_pair, informative, stoploss_from_absolute)
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# --------------------------------
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# Add your lib to import here
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import ta
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import talib.abstract as talib
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import freqtrade.vendor.qtpylib.indicators as qtpylib
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from functools import reduce
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from random import shuffle
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import logging
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logger = logging.getLogger(__name__)
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timeperiods = [3, 5, 12, 24, 36, 48, 60]
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# Couleurs ANSI de base
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RED = "\033[31m"
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GREEN = "\033[32m"
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YELLOW = "\033[33m"
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BLUE = "\033[34m"
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MAGENTA = "\033[35m"
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CYAN = "\033[36m"
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RESET = "\033[0m"
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timeperiods = [3, 5, 12, 24, 36, 48, 60]
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long_timeperiods = [80, 100, 120, 140, 160, 180, 200]
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sma_indicators = list()
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sma_indicators_h = list()
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sma_indicators_d = list()
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score_indicators = list()
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stop_buying_indicators = list()
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sma_deriv1_indicators = list()
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for timeperiod in timeperiods:
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sma_indicators.append(f"sma{timeperiod}")
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sma_indicators_h.append(f"sma{timeperiod}")
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sma_indicators_d.append(f"sma{timeperiod}")
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# sma_indicators.append(f"sma{timeperiod}_1h")
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# god_genes_with_timeperiod.append(f'max{timeperiod}')
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# god_genes_with_timeperiod.append(f'min{timeperiod}')
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# god_genes_with_timeperiod.append(f"percent{timeperiod}")
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# god_genes_with_timeperiod.append(f"sma{timeperiod}")
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# sma_deriv1_indicators.append(f"sma{timeperiod}_deriv1")
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sma_deriv1_indicators.append(f"sma{timeperiod}_deriv1")
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# sma_deriv1_indicators.append(f"sma{timeperiod}_deriv2")
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# sma_deriv1_indicators.append(f"sma{timeperiod}_score")
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# stoploss_indicators.append(f"stop_buying{timeperiod}")
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stop_buying_indicators.append(f"stop_buying{timeperiod}_1h")
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score_indicators.append(f"sma{timeperiod}_score")
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# score_indicators.append(f"sma{timeperiod}_score_1h")
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# god_genes_with_timeperiod.append(f"sma{timeperiod}_trend_up")
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# god_genes_with_timeperiod.append(f"sma{timeperiod}_trend_down")
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# god_genes_with_timeperiod.append(f"sma{timeperiod}_trend_change_up")
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# god_genes_with_timeperiod.append(f"sma{timeperiod}_trend_change_down")
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for timeperiod in long_timeperiods:
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sma_deriv1_indicators.append(f"sma{timeperiod}_deriv1_1h")
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sma_indicators_d.append(f"sma{timeperiod}")
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# number of candles to check up,don,off trend.
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TREND_CHECK_CANDLES = 4
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DECIMALS = 1
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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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# This class is a sample. Feel free to customize it.
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class EmptyShort(IStrategy):
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# Strategy interface version - allow new iterations of the strategy interface.
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# Check the documentation or the Sample strategy to get the latest version.
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INTERFACE_VERSION = 2
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# ROI table:
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minimal_roi = {
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#"0": 0.015
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"0": 0.5
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}
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can_short = True
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# Stoploss:
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stoploss = -1
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trailing_stop = False
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# trailing_stop_positive = 0.15
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# trailing_stop_positive_offset = 0.20
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# trailing_only_offset_is_reached = False
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position_adjustment_enable = True
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use_custom_stoploss = True
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#max_open_trades = 3
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# Optimal ticker interval for the strategy.
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timeframe = '1m'
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# Run "populate_indicators()" only for new candle.
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process_only_new_candles = False
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# These values can be overridden in the "ask_strategy" section in the config.
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use_exit_signal = True
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exit_profit_only = False
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ignore_roi_if_entry_signal = False
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# Number of candles the strategy requires before producing valid signals
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startup_candle_count: int = 30
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columns_logged = False
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pairs = {
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pair: {
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'first_amount': 0,
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"first_buy": 0,
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"last_buy": 0.0,
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"last_min": 999999999999999.5,
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"last_max": 0,
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"trade_info": {},
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"max_touch": 0.0,
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"last_sell": 0.0,
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'count_of_buys': 0,
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'current_profit': 0,
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'expected_profit': 0,
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'previous_profit': 0,
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"last_candle": {},
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"last_count_of_buys": 0,
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'base_stake_amount': 0,
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'stop_buy': False,
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'last_date': 0,
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'stop': False,
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'max_profit': 0,
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'last_profit': 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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'force_buy': False,
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'current_trade': None,
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'last_trade': None,
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'force_stop': False,
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'count_of_lost': 0,
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'take_profit': 0.01
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}
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for pair in ["BTC/USDC", "BTC/USDT", 'BTC/USDT:USDT']
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}
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plot_config = {
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"main_plot": {
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"sma5": {
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"color": "#7aa90b"
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},
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"min24": {
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"color": "#121acd"
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}
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},
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"subplots": {
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"Inv": {
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"sma5_inv": {
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"color": "#aef878",
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"type": "line"
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},
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"zero": {
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"color": "#fdba52"
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},
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"sma24_score": {
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"color": "#f1f5b0"
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}
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},
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"drv": {
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"sma5_deriv1": {
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"color": "#96eebb"
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}
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}
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},
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"options": {
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"markAreaZIndex": 1
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}
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}
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# start_bull_indicator = CategoricalParameter(sma_indicators_d, default='sma100', space='buy', optimize=True, load=True)
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# start_bull_deriv1 = DecimalParameter(-0.005, 0.005, decimals=4, default=0, space='buy', optimize=True, load=True)
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# start_bull_deriv2 = DecimalParameter(-0.005, 0.005, decimals=4, default=0, space='buy', optimize=True, load=True)
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# start_bear_indicator = CategoricalParameter(sma_indicators_d, default='sma100', space='buy', optimize=True, load=True)
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# start_bear_deriv1 = DecimalParameter(-0.005, 0.005, decimals=4, default=0, space='buy', optimize=True, load=True)
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# start_bear_deriv2 = DecimalParameter(-0.005, 0.005, decimals=4, default=0, space='buy', optimize=True, load=True)
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# buy_deriv1_sma60 = DecimalParameter(-0.005, 0.005, decimals=4, default=0, space='buy', optimize=True, load=True)
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# buy_deriv1_sma5d = DecimalParameter(-0.007, 0.007, decimals=4, default=0, space='buy', optimize=True, load=True)
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# buy_deriv1_sma12d = DecimalParameter(-0.007, 0.007, decimals=4, default=0, space='buy', optimize=True, load=True)
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# buy_deriv2_sma60 = DecimalParameter(-0.0005, 0.0005, decimals=4, default=0, space='buy', optimize=True, load=True)
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# buy_deriv2_sma5d = DecimalParameter(-0.0007, 0.0007, decimals=4, default=0, space='buy', optimize=True, load=True)
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# buy_deriv2_sma12d = DecimalParameter(-0.0007, 0.0007, decimals=4, default=0, space='buy', optimize=True, load=True)
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# buy_longue = CategoricalParameter(long_timeperiods, default=120, space='buy', optimize=True, load=True)
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# buy_longue_derive = CategoricalParameter(sma_deriv1_indicators, default="sma60_deriv1_1h", space='buy', optimize=False, load=True)
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# sell_score_indicator = CategoricalParameter(score_indicators, default="sma24_score", space='sell')
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# sell_sma_indicators = CategoricalParameter(sma_indicators, default="sma24_score", space='sell')
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# sell_crossed_sma_indicators = CategoricalParameter(sma_indicators, default="sma24_score", space='sell')
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drop_from_last_entry = DecimalParameter(-0.1, 0, decimals=2, default=-0.025, space='protection', optimize=True, load=True)
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# baisses = list()
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# for i in range(0, 0.5, 0.05):
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# baisses.append(i)
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# mises_bear = IntParameter(1, 10, default=1, space='protection')
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mises_bull = IntParameter(1, 10, default=1, space='protection')
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sell_force_sell = DecimalParameter(-0.2, 0, decimals=3, default=-0.02, space='sell')
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sell_indicator = CategoricalParameter(sma_indicators, default="sma36", space='sell', optimize=True, load=True)
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baisse = DecimalParameter(0.1, 0.5, decimals=2, default=0.3, space='sell', optimize=True, load=True)
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b30_indicateur = CategoricalParameter(sma_indicators, default="sma36", space='sell', optimize=True, load=True)
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# lost_indicator = CategoricalParameter(sma_deriv1_indicators, default="sma5_deriv1", space='protection')
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# range_pos_stoploss = DecimalParameter(0, 0.1, decimals=2, default=0.05, space='protection')
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# stoploss_force = DecimalParameter(-0.2, 0, decimals=2, default=-0.05, space='protection')
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# stoploss_timeperiod = CategoricalParameter(timeperiods, default="12", space='protection')
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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, self.timeframe)
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last_candle = dataframe.iloc[-1].squeeze()
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return self.adjust_stake_amount(pair, last_candle)
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def adjust_stake_amount(self, pair: str, last_candle: DataFrame):
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if (self.pairs[pair]['first_amount'] > 0):
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amount = min(self.wallets.get_available_stake_amount(), self.pairs[pair]['first_amount'])
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else:
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# range_min = last_candle[f"min{self.stoploss_timeperiod.value}_1h"]
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# range_max = last_candle[f"max{self.stoploss_timeperiod.value}_1h"]
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#
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# if range_max == range_min:
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# return -0.1 # sécurité
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#
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# range_pos = (last_candle['close'] - range_min) / (range_max - range_min)
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# range_pos = last_candle[f"range_pos"]
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# sl_min = self.wallets.get_available_stake_amount() / 6
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# sl_max = self.wallets.get_available_stake_amount() / 2
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#
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# amount = sl_min + (1 - range_pos) * (sl_max - sl_min)
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# if last_candle['enter_tag'] in ['fall', 'bear', 'Force', 'Range-']:
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# amount = self.wallets.get_available_stake_amount() / self.mises_bear.value
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# else:
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amount = self.wallets.get_available_stake_amount() #/ self.mises_bull.value # / (2 * self.pairs[pair]['count_of_lost'] + 1)
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# factor = 1
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#
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# if self.pairs[pair]['last_trade'] is not None \
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# and self.pairs[pair]['last_trade'].close_profit is not None \
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# and self.pairs[pair]['last_trade'].close_profit > 0.01:
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# factor = self.pairs[pair]['last_trade'].close_profit / 0.01
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# amount = amount / factor
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return min(amount, self.wallets.get_available_stake_amount())
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def adjust_trade_position(self, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float, min_stake: float,
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max_stake: float, **kwargs):
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# ne rien faire si ordre deja en cours
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if trade.has_open_orders:
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# print("skip open orders")
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return None
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if (self.wallets.get_available_stake_amount() < 50) or (trade.enter_tag == 'short'): # or trade.stake_amount >= max_stake:
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return 0
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#
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dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
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last_candle = dataframe.iloc[-1].squeeze()
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before_last_candle = dataframe.iloc[-2].squeeze()
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before_last_candle_12 = dataframe.iloc[-13].squeeze()
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before_last_candle_24 = dataframe.iloc[-25].squeeze()
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last_candle_3 = dataframe.iloc[-4].squeeze()
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last_candle_previous_1h = dataframe.iloc[-13].squeeze()
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# prépare les données
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current_time = current_time.astimezone(timezone.utc)
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open_date = trade.open_date.astimezone(timezone.utc)
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dispo = round(self.wallets.get_available_stake_amount())
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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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count_of_buys = trade.nr_of_successful_entries
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current_time_utc = current_time.astimezone(timezone.utc)
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open_date = trade.open_date.astimezone(timezone.utc)
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days_since_open = (current_time_utc - open_date).days
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pair = trade.pair
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profit = trade.calc_profit(current_rate) #round(current_profit * trade.stake_amount, 1)
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# last_lost = self.getLastLost(last_candle, pair)
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# pct_first = 0
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stake_amount = min(self.wallets.get_available_stake_amount(), self.adjust_stake_amount(pair, last_candle))
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# if (last_candle['enter_long'] == 1 and current_profit < -0.05 and stake_amount > 10) :
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#
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# print(f"adjust {current_time} {stake_amount}")
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# print(f"adjust {pair} {current_time} dispo={dispo} amount={stake_amount} rate={current_rate}")
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# return stake_amount
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if last_candle['enter_long'] != 1:
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return None
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filled_buys = [
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o for o in trade.orders
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if o.status == "closed" and o.ft_order_side == "buy"
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]
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if not filled_buys:
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return None
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last_buy = max(filled_buys, key=lambda o: o.order_date)
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last_entry_price = last_buy.price
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if last_entry_price:
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drop_from_last_entry = (current_rate - last_entry_price) / last_entry_price
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if drop_from_last_entry <= self.drop_from_last_entry.value and last_candle['min60'] == last_candle_3['min60'] \
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and last_candle['range_pos'] < 0.03 and last_candle['hapercent'] > 0:
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# stake_amount = trade.stake_amount
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self.pairs[trade.pair]['last_buy'] = current_rate
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self.pairs[trade.pair]['total_amount'] += stake_amount
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# print(f"adjust {pair} drop={drop_from_last_entry} {current_time} dispo={dispo} amount={stake_amount} rate={current_rate}")
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# print(f"adjust {pair} {current_time} dispo={dispo} amount={stake_amount} rate={current_rate}")
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trade_type = last_candle['enter_tag'] if last_candle['enter_long'] == 1 else 'pct48'
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self.pairs[trade.pair]['count_of_buys'] += 1
|
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self.pairs[pair]['total_amount'] += stake_amount
|
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self.log_trade(
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last_candle=last_candle,
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date=current_time,
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action="🟧 Loss -",
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dispo=round(dispo,0),
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pair=trade.pair,
|
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rate=current_rate,
|
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trade_type=trade_type,
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profit=round(profit, 1),
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buys=trade.nr_of_successful_entries + 1,
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stake=round(stake_amount, 2)
|
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)
|
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self.pairs[trade.pair]['last_buy'] = current_rate
|
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self.pairs[trade.pair]['max_touch'] = last_candle['close']
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self.pairs[trade.pair]['last_candle'] = last_candle
|
||
|
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return stake_amount
|
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|
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return None
|
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|
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def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str,
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current_time: datetime, entry_tag: Optional[str], **kwargs) -> bool:
|
||
|
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minutes = 0
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if self.pairs[pair]['last_date'] != 0:
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minutes = round(int((current_time - self.pairs[pair]['last_date']).total_seconds() / 60))
|
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|
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dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
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last_candle = dataframe.iloc[-1].squeeze()
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last_candle_2 = dataframe.iloc[-2].squeeze()
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last_candle_3 = dataframe.iloc[-3].squeeze()
|
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condition = True
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# if entry_tag == 'Range-':
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# self.pairs[pair]['count_of_lost'] = 0
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# if entry_tag == 'Force':
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# if self.pairs[pair]['count_of_lost'] >= 1:
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# self.pairs[pair]['count_of_lost'] = 0
|
||
# condition = False
|
||
# else:
|
||
# condition = False if self.pairs[pair]['count_of_lost'] >= 1 \
|
||
# and (last_candle['sma12_deriv1_1h'] < 0.00) \
|
||
# and entry_tag != 'dist' else True
|
||
# reason = ''
|
||
# if not condition:
|
||
# reason = 'lost'
|
||
# if condition:
|
||
# if last_candle['range_pos'] > 0.05:# and self.pairs[pair]['force_stop']:
|
||
# condition = last_candle['sma5'] > last_candle['sma60']
|
||
# if not condition:
|
||
# reason = 'range'
|
||
# if self.pairs[pair]['force_stop'] and last_candle['range_pos'] < 0.02:
|
||
# self.pairs[pair]['force_stop'] = False
|
||
|
||
if False and self.pairs[pair]['last_trade'].close_date is not None:
|
||
# base cooldown = n bougies / cooldown proportionnel au profit
|
||
# bougies de plus par %
|
||
cooldown_candles = 12 + 6 * (int(self.pairs[pair]['last_profit'] / 0.01)) # réglable
|
||
|
||
# temps depuis la fermeture
|
||
candles_since_close = ((current_time - self.pairs[pair]['last_trade'].close_date).total_seconds() / 3600) # seconds / heure
|
||
|
||
condition = (candles_since_close >= cooldown_candles)
|
||
|
||
print(f"Cool close date = trade={self.pairs[pair]['last_trade'].close_date} down {round(self.pairs[pair]['last_profit'], 3)} {cooldown_candles} {candles_since_close}")
|
||
|
||
# self.should_enter_trade(pair, last_candle, current_time)
|
||
if self.pairs[pair]['stop']:
|
||
reason = 'stop'
|
||
allow_to_buy = (condition and not self.pairs[pair]['stop']) | (entry_tag == 'force_entry')
|
||
|
||
# force = self.pairs[pair]['force_buy']
|
||
# if self.pairs[pair]['force_buy']:
|
||
# self.pairs[pair]['force_buy'] = False
|
||
# allow_to_buy = True
|
||
# else:
|
||
# if not self.should_enter_trade(pair, last_candle, current_time):
|
||
# allow_to_buy = False
|
||
dispo = round(self.wallets.get_available_stake_amount())
|
||
|
||
if allow_to_buy:
|
||
self.pairs[pair]['first_buy'] = rate
|
||
self.pairs[pair]['last_buy'] = rate
|
||
self.pairs[pair]['max_touch'] = last_candle['close']
|
||
self.pairs[pair]['last_candle'] = last_candle
|
||
self.pairs[pair]['count_of_buys'] = 1
|
||
self.pairs[pair]['current_profit'] = 0
|
||
self.pairs[pair]['last_profit'] = 0
|
||
self.pairs[pair]['last_trade'] = None
|
||
self.pairs[pair]['last_max'] = max(last_candle['close'], self.pairs[pair]['last_max'])
|
||
self.pairs[pair]['last_min'] = min(last_candle['close'], self.pairs[pair]['last_min'])
|
||
self.pairs[pair]['last_date'] = current_time
|
||
|
||
# self.printLineLog()
|
||
|
||
stake_amount = self.adjust_stake_amount(pair, last_candle)
|
||
self.pairs[pair]['first_amount'] = stake_amount
|
||
self.pairs[pair]['total_amount'] = stake_amount
|
||
# print(f"Buy {pair} {current_time} {entry_tag} dispo={dispo} amount={stake_amount} rate={rate} rate={rate}")
|
||
|
||
|
||
# sl_price = rate * (1 - last_candle['up_pct_1h'] / 2)
|
||
#
|
||
# self.custom_trade_info[pair] = {
|
||
# "custom_exit": last_candle['up_pct_1h'] / 200
|
||
# }
|
||
|
||
# trade = kwargs.get("trade", None)
|
||
# if trade:
|
||
# trade.set_custom_data({
|
||
# # "stoploss": rate * 0.95,
|
||
# "takeprofit": last_candle['up_pct_1h'] / 200
|
||
# })
|
||
self.pairs[pair]['take_profit'] = last_candle['up_pct_1h'] / 200
|
||
|
||
self.log_trade(
|
||
last_candle=last_candle,
|
||
date=current_time,
|
||
action=("🟩Buy") + " " + str(minutes),
|
||
pair=pair,
|
||
rate=rate,
|
||
dispo=dispo,
|
||
profit=0,
|
||
trade_type=entry_tag,
|
||
buys=1,
|
||
stake=round(stake_amount, 2)
|
||
)
|
||
else:
|
||
self.log_trade(
|
||
last_candle=last_candle,
|
||
date=current_time,
|
||
action=("Canceled") + " " + reason,
|
||
pair=pair,
|
||
rate=rate,
|
||
dispo=dispo,
|
||
profit=0,
|
||
trade_type=entry_tag,
|
||
buys=1,
|
||
stake=0
|
||
)
|
||
return allow_to_buy
|
||
|
||
def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float, rate: float,
|
||
time_in_force: str,
|
||
exit_reason: str, current_time, **kwargs, ) -> bool:
|
||
|
||
# allow_to_sell = (minutes > 30)
|
||
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
||
last_candle = dataframe.iloc[-1].squeeze()
|
||
|
||
profit = trade.calc_profit(rate)
|
||
force = self.pairs[pair]['force_sell']
|
||
allow_to_sell = (last_candle['hapercent'] < 0 and profit > 0) or force \
|
||
or (trade.enter_tag == 'short' ) or (exit_reason == 'force_exit') or (exit_reason == 'stop_loss') or (exit_reason == 'trailing_stop_loss')
|
||
|
||
minutes = int(round((current_time - trade.date_last_filled_utc).total_seconds() / 60, 0))
|
||
|
||
if allow_to_sell:
|
||
self.pairs[pair]['last_sell'] = rate
|
||
self.pairs[pair]['last_candle'] = last_candle
|
||
|
||
self.pairs[pair]['previous_profit'] = profit
|
||
dispo = round(self.wallets.get_available_stake_amount())
|
||
# print(f"Sell {pair} {current_time} {exit_reason} dispo={dispo} rate={rate} open_rate={trade.open_rate} profit={profit}")
|
||
self.log_trade(
|
||
last_candle=last_candle,
|
||
date=current_time,
|
||
action="🟥Sell " + str(minutes),
|
||
pair=pair,
|
||
trade_type=exit_reason,
|
||
rate=last_candle['close'],
|
||
dispo=dispo,
|
||
profit=round(profit, 2)
|
||
)
|
||
self.pairs[pair]['first_amount'] = 0
|
||
self.pairs[pair]['force_sell'] = False
|
||
self.pairs[pair]['has_gain'] = 0
|
||
self.pairs[pair]['current_profit'] = 0
|
||
self.pairs[pair]['total_amount'] = 0
|
||
self.pairs[pair]['count_of_buys'] = 0
|
||
self.pairs[pair]['max_touch'] = 0
|
||
self.pairs[pair]['last_buy'] = 0
|
||
self.pairs[pair]['last_date'] = current_time
|
||
self.pairs[pair]['last_trade'] = trade
|
||
self.pairs[pair]['current_trade'] = None
|
||
self.pairs[pair]['max_profit'] = 0
|
||
|
||
if profit < 0:
|
||
self.pairs[pair]['count_of_lost'] += 1
|
||
else:
|
||
self.pairs[pair]['count_of_lost'] = 0
|
||
else:
|
||
print(f"{current_time} STOP triggered for {pair} ({exit_reason}) profit={profit} {trade.enter_tag} but condition blocked", "warning")
|
||
return (allow_to_sell)
|
||
|
||
def custom_exit(self, pair, trade, current_time, current_rate, current_profit, **kwargs):
|
||
|
||
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
||
last_candle = dataframe.iloc[-1]
|
||
before_last_candle = dataframe.iloc[-2]
|
||
self.pairs[pair]['current_trade'] = trade
|
||
# momentum = last_candle[self.sell_score_indicator.value]
|
||
|
||
profit = trade.calc_profit(current_rate) #round(current_profit * trade.stake_amount, 1)
|
||
count_of_buys = trade.nr_of_successful_entries
|
||
expected_profit = self.expectedProfit(pair, last_candle)
|
||
|
||
self.pairs[pair]['max_profit'] = max(self.pairs[pair]['max_profit'], profit)
|
||
max_profit = self.pairs[pair]['max_profit']
|
||
|
||
# baisse_min = last_candle['close'] - last_candle['min12']
|
||
|
||
baisse = 0
|
||
if profit > 0:
|
||
baisse = 1 - (profit / max_profit)
|
||
mx = max_profit / 5
|
||
self.pairs[pair]['count_of_buys'] = count_of_buys
|
||
self.pairs[pair]['current_profit'] = profit
|
||
|
||
dispo = round(self.wallets.get_available_stake_amount() + self.pairs[pair]['total_amount'])
|
||
|
||
is_short = (trade.enter_tag == 'short')
|
||
if trade.enter_tag == 'short':
|
||
tp_price = max(0.02, self.pairs[pair]['take_profit'])
|
||
# if current_profit < self.sell_force_sell.value \
|
||
# and last_candle[f"close"] > last_candle[self.sell_indicator.value]:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'sma'
|
||
#
|
||
if current_profit > tp_price and \
|
||
(baisse > last_candle[f"range_pos"] and last_candle[f"close"] > last_candle[self.b30_indicateur.value]) \
|
||
and last_candle['hapercent'] > 0 and last_candle['sma12_deriv1_1h'] > -0.004:
|
||
self.pairs[pair]['force_sell'] = True
|
||
return 'B30Sht'
|
||
|
||
return None
|
||
# self.log_trade(
|
||
# last_candle=last_candle,
|
||
# date=current_time,
|
||
# action=("🔴 NOW" if self.pairs[pair]['stop'] else "🟢 NOW "),
|
||
# dispo=dispo,
|
||
# pair=pair,
|
||
# rate=last_candle['close'],
|
||
# trade_type='momentum' + str(round(momentum, 2)),
|
||
# profit=round(profit, 2),
|
||
# buys=count_of_buys,
|
||
# stake=0
|
||
# )
|
||
else:
|
||
# if self.pairs[pair]['current_trade'].enter_tag in ['bear', 'Force', 'Range-']:
|
||
# if current_profit < - 0.02 and last_candle[f"close"] <= last_candle['sma60'] and self.wallets.get_available_stake_amount() < 50:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'smaBF'
|
||
# else:
|
||
# if current_profit < self.sell_force_sell.value \
|
||
# and last_candle[f"close"] <= last_candle[self.sell_indicator.value]:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'sma'
|
||
tp_price = max(0.02, self.pairs[pair]['take_profit'])
|
||
if current_profit > tp_price and \
|
||
(baisse > min(last_candle[f"range_pos"], 0.5) and last_candle[f"close"] <= last_candle[self.b30_indicateur.value]) \
|
||
and last_candle['hapercent'] <0 and last_candle['sma12_deriv1_1h'] < 0.004:
|
||
# if current_profit > 0.01:
|
||
# self.pairs[pair]['force_buy'] = True
|
||
self.pairs[pair]['force_sell'] = True
|
||
return 'B30'
|
||
|
||
# if profit > 0 and baisse > 0.5 and last_candle['hapercent'] <0 and last_candle[f"close"] <= last_candle['sma12']:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'B50'
|
||
|
||
# if current_profit > - self.sell_force_sell.value and last_candle['has_cross_sma3_1h'] == 1:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'Cross'
|
||
|
||
# if profit > max(5, expected_profit) and last_candle['sma5_deriv1_1h'] < 0 and baisse > 0.15:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'Drv5d'
|
||
|
||
# if last_candle['range_pos'] > 0.05 and current_profit < - last_candle['range_pos'] /4 : #last_candle['cross_sma60']:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'Range'
|
||
|
||
# if last_candle['range_pos'] > 0.05 and current_profit < - last_candle['range_pos'] /4 \
|
||
# and last_candle['sma5_deriv1_1h'] < 0 and last_candle['sma5_deriv2_1h'] < 0 \
|
||
# and last_candle['sma60_deriv1'] < 0 and last_candle['sma60_deriv2'] < 0:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# self.pairs[pair]['force_stop'] = True
|
||
# return 'Deriv';
|
||
|
||
if profit < - (dispo * 0.2):
|
||
print(f'dispo={dispo} wallet={round(self.wallets.get_available_stake_amount())} limit={-dispo * 0.1}')
|
||
self.pairs[pair]['force_sell'] = True
|
||
self.pairs[pair]['force_stop'] = True
|
||
return 'Force';
|
||
|
||
# if self.pairs[pair]['force_sell'] and self.pairs[pair]['last_trade'].close_profit > 0.02:
|
||
# return "Force"
|
||
# if last_candle['stop_buying']:
|
||
# self.pairs[pair]['force_sell'] = True
|
||
# return 'Stop'
|
||
# Si momentum fort → on laisse courir
|
||
|
||
# if momentum > 1:
|
||
# return None
|
||
|
||
# Si momentum faiblit → on prend profit plus tôt
|
||
# if momentum < 0 and current_profit > 0.02 and last_candle[self.sell_score_indicator.value] < before_last_candle[self.sell_score_indicator.value]\
|
||
# and last_candle['close'] < last_candle['sma5']:
|
||
# self.pairs[pair]['last_profit'] = current_profit
|
||
# return "momentum_drop"
|
||
|
||
return None
|
||
|
||
def custom_stoploss(self, pair, trade, current_time, current_rate, current_profit, **kwargs):
|
||
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
|
||
last_candle = dataframe.iloc[-1]
|
||
profit = trade.calc_profit(current_rate)
|
||
|
||
candle_at_buy = self.pairs[pair]['last_candle']
|
||
|
||
# if candle_at_buy['range_pos'] > self.range_pos_stoploss.value and candle_at_buy[self.stoploss_indicator.value] < 0:
|
||
# return self.stoploss_force.value
|
||
|
||
# # print(f'test stop loss {self.stoploss} {last_candle["stop_buying12_1h"]}')
|
||
# if last_candle[self.stoploss_indicator.value] and (trade.nr_of_successful_entries >= 4 or self.wallets.get_available_stake_amount() < 300): # and profit < - 30 :
|
||
# range_min = last_candle[f"min{self.stoploss_timeperiod.value}_1h"]
|
||
# range_max = last_candle[f"max{self.stoploss_timeperiod.value}_1h"]
|
||
#
|
||
# if range_max == range_min:
|
||
# print(f'ranges={range_min}')
|
||
# return -0.1 # sécurité
|
||
#
|
||
# range_pos = (current_rate - range_min) / (range_max - range_min)
|
||
#
|
||
# if (range_pos > 1):
|
||
# return -1
|
||
#
|
||
# sl_min = -0.02
|
||
# sl_max = -0.1 #self.stoploss
|
||
#
|
||
# dynamic_sl = (sl_min + (1 - range_pos) * (sl_max - sl_min))
|
||
#
|
||
# print(f'{current_time} Loss ranges={round(range_min,0)} {round(range_max, 0)} range_pos={round(range_pos, 3)} dynamic_sl={round(dynamic_sl, 3)} '
|
||
# f'profit={profit} current={current_profit} {self.stoploss_indicator.value} {self.stoploss_timeperiod.value} {last_candle[self.stoploss_indicator.value]}')
|
||
#
|
||
# return dynamic_sl
|
||
|
||
return -1
|
||
|
||
def informative_pairs(self):
|
||
# 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]
|
||
|
||
return informative_pairs
|
||
|
||
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
pair = metadata['pair']
|
||
dataframe = dataframe.copy()
|
||
heikinashi = qtpylib.heikinashi(dataframe)
|
||
dataframe['haopen'] = heikinashi['open']
|
||
dataframe['haclose'] = heikinashi['close']
|
||
dataframe['hapercent'] = (dataframe['haclose'] - dataframe['haopen']) / dataframe['haclose']
|
||
dataframe['mid'] = dataframe['haopen'] + (dataframe['haclose'] - dataframe['haopen']) / 2
|
||
dataframe['zero'] = 0
|
||
|
||
dataframe[f"percent"] = dataframe['close'].pct_change()
|
||
for timeperiod in timeperiods + long_timeperiods:
|
||
dataframe[f"mid_smooth{timeperiod}"] = dataframe['mid'].rolling(timeperiod).mean()
|
||
dataframe[f'max{timeperiod}'] = talib.MAX(dataframe['close'], timeperiod=timeperiod)
|
||
dataframe[f'min{timeperiod}'] = talib.MIN(dataframe['close'], timeperiod=timeperiod)
|
||
dataframe[f"percent{timeperiod}"] = dataframe['close'].pct_change(timeperiod)
|
||
# dataframe[f"sma{timeperiod}"] = dataframe['mid'].ewm(span=timeperiod, adjust=False).mean()
|
||
ema = dataframe['mid'].ewm(span=timeperiod, adjust=False).mean()
|
||
dataframe[f"sma{timeperiod}"] = ema.ewm(span=int(timeperiod / 2), adjust=False).mean()
|
||
|
||
# dataframe[f"high{timeperiod}"] = dataframe['high'].ewm(span=timeperiod, adjust=False).mean()
|
||
# dataframe[f"low{timeperiod}"] = dataframe['low'].ewm(span=timeperiod, adjust=False).mean()
|
||
# dataframe = self.calculateRegression(dataframe, column=f"high{timeperiod}", window=10, degree=1, future_offset=12)
|
||
# dataframe = self.calculateRegression(dataframe, column=f"low{timeperiod}", window=10, degree=1, future_offset=12)
|
||
|
||
self.calculeDerivees(dataframe, f"sma{timeperiod}", timeframe=self.timeframe, ema_period=timeperiod)
|
||
|
||
dataframe = self.calculateRegression(dataframe, column='mid', window=30, degree=1, future_offset=6)
|
||
dataframe = self.calculateRegression(dataframe, column='sma120', window=60, degree=2, future_offset=30)
|
||
# self.calculeDerivees(dataframe, "sma24_regression", timeframe=self.timeframe, ema_period=12)
|
||
|
||
dataframe["percent"] = dataframe["mid"].pct_change(1)
|
||
dataframe["percent3"] = dataframe["mid"].pct_change(3)
|
||
|
||
dataframe["volume_mean"] = dataframe["volume"].rolling(20).mean()
|
||
dataframe["volume_ratio"] = dataframe["volume"] / dataframe["volume_mean"]
|
||
|
||
dataframe["market_state"] = 0
|
||
|
||
dataframe.loc[dataframe["percent"] < -0.005, "market_state"] = -1
|
||
dataframe.loc[(dataframe["percent3"] < -0.015) & (dataframe["volume_ratio"] > 2), "market_state"] = -2
|
||
dataframe.loc[(dataframe["percent"] > 0.003) & (dataframe["volume_ratio"] > 1.5), "market_state"] = 1
|
||
dataframe["velocity"] = dataframe["percent"] - dataframe["percent3"]
|
||
|
||
# ######################################################################################################
|
||
################### INFORMATIVE 1h
|
||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1h")
|
||
# informative = self.populateDataframe(informative, timeframe='1d')
|
||
heikinashi = qtpylib.heikinashi(informative)
|
||
informative['haopen'] = heikinashi['open']
|
||
informative['haclose'] = heikinashi['close']
|
||
informative['hapercent'] = (informative['haclose'] - informative['haopen']) / informative['haclose']
|
||
informative['mid'] = informative['open'] + (informative['close'] - informative['open']) / 2
|
||
for timeperiod in [3, 5, 12]:
|
||
informative[f'max{timeperiod}'] = talib.MAX(informative['close'], timeperiod=timeperiod)
|
||
informative[f'min{timeperiod}'] = talib.MIN(informative['close'], timeperiod=timeperiod)
|
||
# informative[f"range{timeperiod}"] = ((informative["close"] - informative[f'min{timeperiod}']) / (informative[f'max{timeperiod}'] - informative[f'min{timeperiod}']))
|
||
# informative[f"percent{timeperiod}"] = informative['close'].pct_change(timeperiod)
|
||
informative[f"sma{timeperiod}"] = informative['mid'].ewm(span=timeperiod, adjust=False).mean()
|
||
self.calculeDerivees(informative, f"sma{timeperiod}", timeframe=self.timeframe, ema_period=timeperiod)
|
||
|
||
informative = self.calculateRegression(informative, column='mid', window=10, degree=1, future_offset=2)
|
||
informative = self.calculateRegression(informative, column='sma3', window=10, degree=1, future_offset=2)
|
||
informative = self.calculateRegression(informative, column='low', window=10, degree=1, future_offset=2)
|
||
|
||
for timeperiod in long_timeperiods:
|
||
informative[f"sma{timeperiod}"] = informative['mid'].ewm(span=timeperiod, adjust=False).mean()
|
||
self.calculeDerivees(informative, f"sma{timeperiod}", timeframe=self.timeframe, ema_period=timeperiod)
|
||
|
||
informative['rsi'] = talib.RSI(informative['close'], timeperiod=14)
|
||
self.calculeDerivees(informative, f"rsi", timeframe=self.timeframe, ema_period=14)
|
||
informative['max_rsi_12'] = talib.MAX(informative['rsi'], timeperiod=12)
|
||
informative['max_rsi_24'] = talib.MAX(informative['rsi'], timeperiod=24)
|
||
informative['min_rsi_12'] = talib.MIN(informative['rsi'], timeperiod=12)
|
||
informative['min_rsi_24'] = talib.MIN(informative['rsi'], timeperiod=24)
|
||
|
||
# informative[f'stop_buying_deb'] = qtpylib.crossed_below(informative[f"sma12"], informative['sma36']) & (informative['close'] < informative['sma100'])
|
||
# informative[f'stop_buying_end'] = qtpylib.crossed_above(informative[f"sma12"], informative['sma36']) & (informative['close'] > informative['sma100'])
|
||
|
||
# latched = np.zeros(len(informative), dtype=bool)
|
||
#
|
||
# for i in range(1, len(informative)):
|
||
# if informative['stop_buying_deb'].iloc[i]:
|
||
# latched[i] = True
|
||
# elif informative['stop_buying_end'].iloc[i]:
|
||
# latched[i] = False
|
||
# else:
|
||
# latched[i] = latched[i - 1]
|
||
# informative['stop_buying'] = latched
|
||
informative = self.calculateDownAndUp(informative, limit=0.0001)
|
||
|
||
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1h", ffill=True)
|
||
# ######################################################################################################
|
||
|
||
|
||
# ######################################################################################################
|
||
################### INFORMATIVE 1d
|
||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe="1d")
|
||
# informative = self.populateDataframe(informative, timeframe='1d')
|
||
# heikinashi = qtpylib.heikinashi(informative)
|
||
# informative['haopen'] = heikinashi['open']
|
||
# informative['haclose'] = heikinashi['close']
|
||
# informative['hapercent'] = (informative['haclose'] - informative['haopen']) / informative['haclose']
|
||
informative['mid'] = informative['open'] + (informative['close'] - informative['open']) / 2
|
||
for timeperiod in [3, 5, 12]:
|
||
informative[f'max{timeperiod}'] = talib.MAX(informative['close'], timeperiod=timeperiod)
|
||
informative[f'min{timeperiod}'] = talib.MIN(informative['close'], timeperiod=timeperiod)
|
||
# informative[f"range{timeperiod}"] = ((informative["close"] - informative[f'min{timeperiod}']) / (informative[f'max{timeperiod}'] - informative[f'min{timeperiod}']))
|
||
# informative[f"percent{timeperiod}"] = informative['close'].pct_change(timeperiod)
|
||
informative[f"sma{timeperiod}"] = informative['mid'].ewm(span=timeperiod, adjust=False).mean()
|
||
self.calculeDerivees(informative, f"sma{timeperiod}", timeframe=self.timeframe, ema_period=timeperiod)
|
||
|
||
for timeperiod in long_timeperiods:
|
||
informative[f"sma{timeperiod}"] = informative['mid'].ewm(span=timeperiod, adjust=False).mean()
|
||
self.calculeDerivees(informative, f"sma{timeperiod}", timeframe=self.timeframe, ema_period=timeperiod)
|
||
|
||
informative['rsi'] = talib.RSI(informative['close'], timeperiod=14)
|
||
self.calculeDerivees(informative, f"rsi", timeframe=self.timeframe, ema_period=14)
|
||
informative['max_rsi_12'] = talib.MAX(informative['rsi'], timeperiod=12)
|
||
informative['max_rsi_24'] = talib.MAX(informative['rsi'], timeperiod=24)
|
||
|
||
# informative = self.calculateRegression(informative, column='mid', window=10, degree=1, future_offset=2)
|
||
informative = self.calculateRegression(informative, column='sma3', window=10, degree=1, future_offset=2)
|
||
# informative = self.calculateRegression(informative, column='low', window=10, degree=1, future_offset=2)
|
||
|
||
# informative[f'stop_buying_deb'] = qtpylib.crossed_below(informative[f"sma12"], informative['sma36']) & (informative['close'] < informative['sma100'])
|
||
# informative[f'stop_buying_end'] = qtpylib.crossed_above(informative[f"sma12"], informative['sma36']) & (informative['close'] > informative['sma100'])
|
||
#
|
||
# latched = np.zeros(len(informative), dtype=bool)
|
||
#
|
||
# for i in range(1, len(informative)):
|
||
# if informative['stop_buying_deb'].iloc[i]:
|
||
# latched[i] = True
|
||
# elif informative['stop_buying_end'].iloc[i]:
|
||
# latched[i] = False
|
||
# else:
|
||
# latched[i] = latched[i - 1]
|
||
# informative['stop_buying'] = latched
|
||
|
||
dataframe = merge_informative_pair(dataframe, informative, self.timeframe, "1d", ffill=True)
|
||
# ######################################################################################################
|
||
|
||
range_min = dataframe[f"min12_1d"]
|
||
range_max = dataframe[f"max12_1d"]
|
||
|
||
dataframe[f"range_pos"] = ((dataframe['mid'] - range_min) / (range_max - range_min)) #.rolling(5).mean()
|
||
dataframe['min_max_12_1d'] = ((range_max - dataframe['close']) / range_min)
|
||
dataframe['pct_min_max_12_1d'] = ((range_max - range_min) / range_min)
|
||
|
||
# dataframe['cross_sma60'] = qtpylib.crossed_below(dataframe[self.sell_sma_indicators.value], dataframe[self.sell_crossed_sma_indicators.value])
|
||
|
||
dataframe[f'has_cross_sma3_1h'] = qtpylib.crossed_above(dataframe[f"sma60"], dataframe['sma3_regression_1h'])
|
||
dataframe[f'has_cross_min'] = qtpylib.crossed_above(dataframe[f"close"], dataframe['min60'])
|
||
dataframe[f'has_cross_min_6'] = (dataframe['has_cross_min'].rolling(15).max() == 1)
|
||
|
||
dataframe['atr'] = talib.ATR(dataframe)
|
||
dataframe['rsi'] = talib.RSI(dataframe['close'], timeperiod=14)
|
||
dataframe['max_rsi_12'] = talib.MAX(dataframe['rsi'], timeperiod=12)
|
||
dataframe['max_rsi_24'] = talib.MAX(dataframe['rsi'], timeperiod=24)
|
||
|
||
dataframe["dist_sma200_1h"] = (
|
||
(dataframe["close_1h"] - dataframe["sma200_1h"])
|
||
/ dataframe["sma200_1h"]
|
||
)
|
||
|
||
# Compter les baisses / hausses consécutives
|
||
dataframe = self.calculateDownAndUp(dataframe, limit=0.0001)
|
||
|
||
# récupérer le dernier trade fermé
|
||
trades = Trade.get_trades_proxy(pair=pair,is_open=False)
|
||
if trades:
|
||
last_trade = trades[-1]
|
||
self.pairs[pair]['last_profit'] = last_trade.close_profit # ex: 0.12 = +12%
|
||
self.pairs[pair]['last_trade'] = last_trade
|
||
|
||
return dataframe
|
||
|
||
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
pair = metadata['pair']
|
||
dataframe.loc[
|
||
(
|
||
# (qtpylib.crossed_above(dataframe['sma60'], dataframe['mid_regression_1h']))
|
||
(dataframe['sma12_deriv1_1h'] > 0)
|
||
& (dataframe['max_rsi_12'] < 70)
|
||
& (dataframe['max_rsi_12_1h'] < 70)
|
||
& (dataframe['range_pos'] < 1)
|
||
& (dataframe['hapercent'] > 0)
|
||
& (dataframe['pct_min_max_12_1d'] < 0.04)
|
||
),
|
||
['enter_long', 'enter_tag']
|
||
] = (1, 'long')
|
||
|
||
dataframe.loc[
|
||
(
|
||
(dataframe['sma12_deriv1_1h'] < -0.0005)
|
||
& (dataframe['max_rsi_12'] < 60)
|
||
& (
|
||
(
|
||
(dataframe['max_rsi_24_1h'] > 60) & (dataframe['range_pos'] > 0.8)
|
||
| (dataframe['sma12_deriv1_1d'] < -0.01)
|
||
)
|
||
)
|
||
& (dataframe['hapercent'] < 0)
|
||
# & (dataframe['pct_min_max_12_1d'] > 0.04)
|
||
),
|
||
['enter_short', 'enter_tag']
|
||
] = (1, 'short')
|
||
dataframe['short'] = np.where(dataframe['enter_short'] == 1, dataframe['close'] * 0.99, np.nan)
|
||
dataframe['long'] = np.where(dataframe['enter_long'] == 1, dataframe['close'] * 1.01, np.nan)
|
||
|
||
return dataframe
|
||
|
||
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
# conditions = list()
|
||
# dataframe.loc[
|
||
# (
|
||
# # (qtpylib.crossed_above(
|
||
# # dataframe['sma'],
|
||
# # dataframe['mid_regression_1h'])
|
||
# # )
|
||
# # (dataframe['sma12_1h'] < dataframe['sma12_1h'].shift(61))
|
||
# # & (dataframe['range_pos'] > 0.5)
|
||
# # & (dataframe['close'] > dataframe['close_1d'])
|
||
# # & (dataframe['close'] > dataframe['close_1h'])
|
||
#
|
||
# (dataframe['sma12_deriv1_1h'] < -0.0005)
|
||
# # & (dataframe['max_rsi_12'] < 70)
|
||
# # & (dataframe['max_rsi_12_1h'] < 70)
|
||
# # & (dataframe['range_pos'] > 0.8)
|
||
# & (dataframe['hapercent'] < 0)
|
||
#
|
||
# ),
|
||
# ['exit_long', 'exit_tag']
|
||
# ] = (1, 'long')
|
||
#
|
||
# dataframe.loc[
|
||
# (
|
||
# # (qtpylib.crossed_above(
|
||
# # dataframe['sma'],
|
||
# # dataframe['mid_regression_1h'])
|
||
# # )
|
||
#
|
||
# # (dataframe['rsi_1h'] <= 30)
|
||
# # & (dataframe['min_rsi_12_1h'] == dataframe['rsi_1h'])
|
||
# # & (dataframe['hapercent'] > 0)
|
||
# # & (dataframe['sma60'] >= dataframe['sma60'].shift(1))
|
||
#
|
||
# (dataframe['sma12_deriv1_1h'] > 0.0005)
|
||
# # & (dataframe['max_rsi_12'] < 70)
|
||
# # & (dataframe['max_rsi_12_1h'] < 70)
|
||
# # & (dataframe['range_pos'] < 0.2)
|
||
# & (dataframe['hapercent'] > 0)
|
||
# ),
|
||
# ['exit_short', 'exit_tag']
|
||
# ] = (1, 'short')
|
||
|
||
return dataframe
|
||
|
||
def calculeDerivees(
|
||
self,
|
||
dataframe: pd.DataFrame,
|
||
name: str,
|
||
suffixe: str = '',
|
||
window: int = 100,
|
||
coef: float = 0.15,
|
||
ema_period: int = 10,
|
||
verbose: bool = True,
|
||
timeframe: str = '1m'
|
||
) -> pd.DataFrame:
|
||
"""
|
||
Calcule deriv1/deriv2 (relative simple), applique EMA, calcule tendency
|
||
avec epsilon adaptatif basé sur rolling percentiles.
|
||
"""
|
||
d1_col = f"{name}{suffixe}_deriv1"
|
||
d2_col = f"{name}{suffixe}_deriv2"
|
||
tendency_col = f"{name}{suffixe}_state"
|
||
|
||
series = dataframe[f"{name}{suffixe}"]
|
||
d1 = series.diff()
|
||
d2 = d1.diff()
|
||
pmin = int(ema_period / 3)
|
||
cond_bas = (d1.rolling(pmin).mean() > d1.rolling(ema_period).mean())
|
||
cond_haut = (d1.rolling(pmin).mean() < d1.rolling(ema_period).mean())
|
||
|
||
dataframe[d1_col] = (dataframe[name] - dataframe[name].shift(3)) / dataframe[name].shift(3)
|
||
dataframe[d2_col] = (dataframe[d1_col] - dataframe[d1_col].shift(1))
|
||
|
||
# dataframe[f"{name}{suffixe}_inv"] = np.where(cond_bas, -1, np.where(cond_haut, 1, 0))
|
||
|
||
# col = f"{name}{suffixe}"
|
||
# slope = dataframe[col].diff()
|
||
# threshold = 0.02 #slope.rolling(20).std() * 0.1
|
||
# sign = np.sign(slope.where(slope.abs() > threshold, 0))
|
||
# turn = sign.diff()
|
||
# dataframe[f"{name}{suffixe}_inv"] = np.where(turn == -2, 1, np.where(turn == 2, -1, 0))
|
||
# # dataframe[f"{name}{suffixe}_inv"] = (
|
||
# # (dataframe[f"{name}{suffixe}_inv"] != 0) &
|
||
# # (dataframe['slope'].abs() > dataframe['slope'].rolling(20).mean())
|
||
# # )
|
||
|
||
col = f"{name}{suffixe}"
|
||
# pente (variation)
|
||
dataframe['slope'] = dataframe[col].diff()
|
||
# signe de la pente
|
||
dataframe['sign'] = dataframe['slope'].apply(lambda x: 1 if x > 0 else (-1 if x < 0 else 0))
|
||
# changement de signe = inversion
|
||
dataframe[f"{name}{suffixe}_turn"] = dataframe['sign'].diff()
|
||
# mapping :
|
||
# +2 -> passage -1 → +1 => creux => inversion haussière
|
||
# -2 -> passage +1 → -1 => sommet => inversion baissière
|
||
col_inv = f"{name}{suffixe}_inv"
|
||
dataframe[col_inv] = 0
|
||
dataframe.loc[dataframe[f"{name}{suffixe}_turn"] == -2, col_inv] = 1 # sommet (max)
|
||
dataframe.loc[dataframe[f"{name}{suffixe}_turn"] == 2, col_inv] = -1 # creux (min)
|
||
|
||
|
||
short = d1.rolling(pmin).mean()
|
||
long = d1.rolling(ema_period).mean()
|
||
|
||
spread = short - long
|
||
zscore = (spread - spread.rolling(ema_period).mean()) / spread.rolling(ema_period).std()
|
||
|
||
dataframe[f"{name}{suffixe}_score"] = zscore
|
||
|
||
# ####################################################################
|
||
# Calcul de la pente lissée
|
||
# d1 = series.diff()
|
||
# d1_smooth = d1.rolling(5).mean()
|
||
# # Normalisation
|
||
# z = (d1_smooth - d1_smooth.rolling(ema_period).mean()) / d1_smooth.rolling(ema_period).std()
|
||
|
||
# dataframe[f"{name}{suffixe}_trend_up"] = (
|
||
# (d1_smooth.shift(1) < 0) &
|
||
# (d1_smooth > 0) &
|
||
# (z > 1.0)
|
||
# )
|
||
#
|
||
# dataframe[f"{name}{suffixe}_trend_down"] = (
|
||
# (d1_smooth.shift(1) > 0) &
|
||
# (d1_smooth < 0) &
|
||
# (z < -1.0)
|
||
# )
|
||
#
|
||
# momentum_short = d1.rolling(int(ema_period / 2)).mean()
|
||
# momentum_long = d1.rolling(ema_period * 2).mean()
|
||
#
|
||
# dataframe[f"{name}{suffixe}_trend_change_up"] = (
|
||
# (momentum_short.shift(1) < momentum_long.shift(1)) &
|
||
# (momentum_short > momentum_long)
|
||
# )
|
||
#
|
||
# dataframe[f"{name}{suffixe}_trend_change_down"] = (
|
||
# (momentum_short.shift(1) > momentum_long.shift(1)) &
|
||
# (momentum_short < momentum_long)
|
||
# )
|
||
|
||
return dataframe
|
||
|
||
@property
|
||
def protections(self):
|
||
return [
|
||
{
|
||
"method": "CooldownPeriod",
|
||
"stop_duration_candles": 6
|
||
},
|
||
# {
|
||
# "method": "MaxDrawdown",
|
||
# "lookback_period_candles": 96,
|
||
# "trade_limit": 4,
|
||
# "max_allowed_drawdown": 0.1,
|
||
# "stop_duration_candles": 24
|
||
# },
|
||
# {
|
||
# "method": "StoplossGuard",
|
||
# "lookback_period_candles": 96,
|
||
# "trade_limit": 2,
|
||
# "stop_duration_candles": 48,
|
||
# "only_per_pair": False
|
||
# },
|
||
# {
|
||
# "method": "LowProfitPairs",
|
||
# "lookback_period_candles": 6,
|
||
# "trade_limit": 2,
|
||
# "stop_duration_candles": 60,
|
||
# "required_profit": 0.02
|
||
# },
|
||
# {
|
||
# "method": "LowProfitPairs",
|
||
# "lookback_period_candles": 24,
|
||
# "trade_limit": 4,
|
||
# "stop_duration_candles": 2,
|
||
# "required_profit": 0.01
|
||
# }
|
||
]
|
||
|
||
def log_trade(self, action, pair, date, trade_type=None, rate=None, dispo=None, profit=None, buys=None, stake=None,
|
||
last_candle=None):
|
||
# Afficher les colonnes une seule fois
|
||
if self.config.get('runmode') == 'hyperopt' or self.dp.runmode.value in ('hyperopt'):
|
||
return
|
||
if self.columns_logged % 10 == 0:
|
||
self.printLog(
|
||
f"| {'Date':<16} | {'Action':<10} |{'Pair':<5}| {'Trade Type':<18} |{'Rate':>8} | {'Dispo':>6} | {'Profit':>8} "
|
||
f"| {'Pct':>6} | {'max_touch':>11} | {'last_lost':>12} | {'last_max':>7}| {'last_max':>7}|{'Buys':>5}| {'Stake':>5} |"
|
||
f"{'rsi':>6}|"
|
||
)
|
||
self.printLineLog()
|
||
# df = pd.DataFrame.from_dict(self.pairs, orient='index')
|
||
# colonnes_a_exclure = ['last_candle',
|
||
# 'trade_info', 'last_date', 'last_count_of_buys', 'base_stake_amount', 'stop_buy']
|
||
# 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.columns_logged += 1
|
||
date = str(date)[:16] if date else "-"
|
||
limit = None
|
||
# if buys is not None:
|
||
# limit = round(last_rate * (1 - self.fibo[buys] / 100), 4)
|
||
|
||
rsi = ''
|
||
rsi_pct = ''
|
||
# if last_candle is not None:
|
||
# if (not np.isnan(last_candle['rsi_1h'])) and (not np.isnan(last_candle['rsi_1h'])):
|
||
# rsi = str(int(last_candle['rsi_1h'])) + " " + str(int(last_candle['rsi_1h']))
|
||
# if (not np.isnan(last_candle['rsi_pct_1h'])) and (not np.isnan(last_candle['rsi_pct_1h'])):
|
||
# rsi_pct = str(int(10000 * last_candle['bb_mid_pct_1h'])) + " " + str(
|
||
# int(last_candle['rsi_pct_1h'])) + " " + str(int(last_candle['rsi_pct_1h']))
|
||
|
||
# first_rate = self.percent_threshold.value
|
||
# last_rate = self.threshold.value
|
||
# action = self.color_line(action, action)
|
||
sma5_1h = ''
|
||
sma5_1h = ''
|
||
|
||
sma5 = str(sma5_1h) + ' ' + str(sma5_1h)
|
||
|
||
last_lost = self.getLastLost(last_candle, pair)
|
||
|
||
if buys is None:
|
||
buys = ''
|
||
|
||
max_touch = '' # round(last_candle['max12_1h'], 1) #round(self.pairs[pair]['max_touch'], 1)
|
||
pct_max = self.getPctFirstBuy(pair, last_candle)
|
||
|
||
total_counts = str(buys) + '/' + str(sum(pair_data['count_of_buys'] for pair_data in self.pairs.values()))
|
||
|
||
dist_max = self.getDistMax(last_candle, pair)
|
||
|
||
# if trade_type is not None:
|
||
# if np.isnan(last_candle['rsi_1h']):
|
||
# string = ' '
|
||
# else:
|
||
# string = (str(int(last_candle['rsi_1h']))) + " " + str(int(last_candle['rsi_deriv1_1h']))
|
||
# trade_type = trade_type \
|
||
# + " " + string \
|
||
# + " " + str(int(last_candle['rsi_1h'])) \
|
||
# + " " + str(int(last_candle['rsi_deriv1_1h']))
|
||
|
||
# val144 = self.getProbaHausse144(last_candle)
|
||
# val1h = self.getProbaHausse1h(last_candle)
|
||
|
||
color = GREEN if profit > 0 else RED
|
||
# color_sma24 = GREEN if last_candle['sma24_deriv1_1h'] > 0 else RED
|
||
# color_sma24_2 = GREEN if last_candle['sma24_deriv2_1h'] > 0 else RED
|
||
# color_sma5 = GREEN if last_candle['mid_smooth_5_deriv1_1h'] > 0 else RED
|
||
# color_sma5_2 = GREEN if last_candle['mid_smooth_5_deriv2_1h'] > 0 else RED
|
||
# color_sma5_1h = GREEN if last_candle['sma60_deriv1'] > 0 else RED
|
||
# color_sma5_2h = GREEN if last_candle['sma60_deriv2'] > 0 else RED
|
||
# color_smooth_1h = GREEN if last_candle['mid_smooth_1h_deriv1'] > 0 else RED
|
||
# color_smooth2_1h = GREEN if last_candle['mid_smooth_1h_deriv2'] > 0 else RED
|
||
|
||
last_max = int(self.pairs[pair]['last_max']) if self.pairs[pair]['last_max'] > 1 else round(
|
||
self.pairs[pair]['last_max'], 3)
|
||
last_min = int(self.pairs[pair]['last_min']) if self.pairs[pair]['last_min'] > 1 else round(
|
||
self.pairs[pair]['last_min'], 3)
|
||
|
||
profit = str(round(profit, 2)) + '/' + str(round(self.pairs[pair]['max_profit'], 2))
|
||
|
||
# 🟢 Dérivée 1 > 0 et dérivée 2 > 0: tendance haussière qui s’accélère.
|
||
# 🟡 Dérivée 1 > 0 et dérivée 2 < 0: tendance haussière qui ralentit → essoufflement potentiel.
|
||
# 🔴 Dérivée 1 < 0 et dérivée 2 < 0: tendance baissière qui s’accélère.
|
||
# 🟠 Dérivée 1 < 0 et dérivée 2 > 0: tendance baissière qui ralentit → possible bottom.
|
||
|
||
self.printLog(
|
||
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}"
|
||
)
|
||
|
||
def printLineLog(self):
|
||
# f"sum1h|sum1d|Tdc|Tdh|Tdd| drv1 |drv_1h|drv_1h|"
|
||
self.printLog(
|
||
f"+{'-' * 18}+{'-' * 12}+{'-' * 5}+{'-' * 20}+{'-' * 9}+{'-' * 8}+{'-' * 12}+{'-' * 8}+{'-' * 13}+{'-' * 14}+{'-' * 9}{'-' * 9}+{'-' * 5}+{'-' * 7}+"
|
||
f"+{'-' * 6}+{'-' * 7}+{'-' * 5}+{'-' * 5}+{'-' * 5}+{'-' * 5}+{'-' * 5}+{'-' * 5}+"
|
||
)
|
||
|
||
def printLog(self, str):
|
||
if self.config.get('runmode') == 'hyperopt' or self.dp.runmode.value in ('hyperopt'):
|
||
return;
|
||
if not self.dp.runmode.value in ('backtest', 'hyperopt', 'lookahead-analysis'):
|
||
logger.info(str)
|
||
else:
|
||
if not self.dp.runmode.value in ('hyperopt'):
|
||
print(str)
|
||
|
||
def getLastLost(self, last_candle, pair):
|
||
last_lost = round((last_candle['close'] - self.pairs[pair]['max_touch']) / self.pairs[pair]['max_touch'], 3)
|
||
return last_lost
|
||
|
||
def getDistMax(self, last_candle, pair):
|
||
mx = last_candle['max12_1h']
|
||
dist_max = round(100 * (mx - last_candle['close']) / mx, 0)
|
||
return dist_max
|
||
|
||
def getPctFirstBuy(self, pair, last_candle):
|
||
return round((last_candle['close'] - self.pairs[pair]['first_buy']) / self.pairs[pair]['first_buy'], 3)
|
||
|
||
def getPctLastBuy(self, pair, last_candle):
|
||
return round((last_candle['close'] - self.pairs[pair]['last_buy']) / self.pairs[pair]['last_buy'], 4)
|
||
|
||
def expectedProfit(self, pair: str, last_candle: DataFrame):
|
||
lim = 0.005
|
||
pct = 0.001
|
||
pct_to_max = lim + pct * self.pairs[pair]['count_of_buys']
|
||
expected_profit = lim * self.pairs[pair]['total_amount'] # min(3 * lim, max(lim, pct_to_max)) # 0.004 + 0.002 * self.pairs[pair]['count_of_buys'] #min(0.01, first_max)
|
||
|
||
self.pairs[pair]['expected_profit'] = expected_profit
|
||
return expected_profit
|
||
|
||
def getLastClosedTrade(self, pair):
|
||
# récupérer le dernier trade fermé
|
||
trades = Trade.get_trades_proxy(pair=pair,is_open=False)
|
||
if trades:
|
||
last_trade = trades[-1]
|
||
self.pairs[pair]['last_profit'] = last_trade.close_profit # ex: 0.12 = +12%
|
||
self.pairs[pair]['last_trade'] = last_trade
|
||
|
||
# ✅ Première dérivée(variation ou pente)
|
||
# Positive: la courbe est croissante → tendance haussière.
|
||
# Négative: la courbe est décroissante → tendance baissière.
|
||
# Proche de 0: la courbe est plate → marché stable ou en transition.
|
||
#
|
||
# Applications:
|
||
# Détecter les points d’inflexion(changement de tendance) quand elle s’annule.\
|
||
# Analyser la vitesse d’un mouvement(plus elle est forte, plus le mouvement est impulsif).
|
||
#
|
||
# ✅ Seconde dérivée(accélération ou concavité)
|
||
# Positive: la pente augmente → accélération de la hausse ou ralentissement de la baisse.
|
||
# Négative: la pente diminue → accélération de la baisse ou ralentissement de la hausse.
|
||
# Changement de signe: indique souvent un changement de courbure, utile pour prévoir des retournements.
|
||
#
|
||
# Exemples:
|
||
# 🟢 Dérivée 1 > 0 et dérivée 2 > 0: tendance haussière qui s’accélère.
|
||
# 🟡 Dérivée 1 > 0 et dérivée 2 < 0: tendance haussière qui ralentit → essoufflement potentiel.
|
||
# 🔴 Dérivée 1 < 0 et dérivée 2 < 0: tendance baissière qui s’accélère.
|
||
# 🟠 Dérivée 1 < 0 et dérivée 2 > 0: tendance baissière qui ralentit → possible bottom.
|
||
#
|
||
# Filtrer les signaux: ne prendre un signal haussier que si dérivée1 > 0 et dérivée2 > 0.
|
||
# Détecter les zones de retournement: quand dérivée1 ≈ 0 et que dérivée2 change de signe.
|
||
def calculateRegression(self,
|
||
dataframe: DataFrame,
|
||
column='close',
|
||
window=50,
|
||
degree=3,
|
||
future_offset: int = 10 # projection à n bougies après
|
||
) -> DataFrame:
|
||
df = dataframe.copy()
|
||
|
||
regression_fit = []
|
||
regression_future_fit = []
|
||
|
||
regression_fit = []
|
||
regression_future_fit = []
|
||
|
||
for i in range(len(df)):
|
||
if i < window:
|
||
regression_fit.append(np.nan)
|
||
regression_future_fit.append(np.nan)
|
||
continue
|
||
|
||
# Fin de la fenêtre d’apprentissage
|
||
end_index = i
|
||
start_index = i - window
|
||
y = df[column].iloc[start_index:end_index].values
|
||
|
||
# Si les données sont insuffisantes (juste par précaution)
|
||
if len(y) < window:
|
||
regression_fit.append(np.nan)
|
||
regression_future_fit.append(np.nan)
|
||
continue
|
||
|
||
# x centré pour meilleure stabilité numérique
|
||
x = np.linspace(-1, 1, window)
|
||
coeffs = np.polyfit(x, y, degree)
|
||
poly = np.poly1d(coeffs)
|
||
|
||
# Calcul point présent (dernier de la fenêtre)
|
||
x_now = x[-1]
|
||
regression_fit.append(poly(x_now))
|
||
|
||
# Calcul point futur, en ajustant si on dépasse la fin
|
||
remaining = len(df) - i - 1
|
||
effective_offset = min(future_offset, remaining)
|
||
x_future = x_now + (effective_offset / window) * 2 # respect du même pas
|
||
regression_future_fit.append(poly(x_future))
|
||
|
||
df[f"{column}_regression"] = regression_fit
|
||
# # 2. Dérivée première = différence entre deux bougies successives
|
||
# df[f"{column}_regression_deriv1"] = round(100 * df[f"{column}_regression"].diff() / df[f"{column}_regression"],
|
||
# 4)
|
||
#
|
||
# # 3. Dérivée seconde = différence de la dérivée première
|
||
# df[f"{column}_regression_deriv2"] = round(
|
||
# 10 * df[f"{column}_regression_deriv1"].rolling(int(window / 4)).mean().diff(), 4)
|
||
#
|
||
df[f"{column}_future_{future_offset}"] = regression_future_fit
|
||
|
||
# # 2. Dérivée première = différence entre deux bougies successives
|
||
# df[f"{column}_future_{future_offset}_deriv1"] = round(100 * df[f"{column}_future_{future_offset}"].diff() / df[f"{column}_future_{future_offset}"], 4)
|
||
#
|
||
# # 3. Dérivée seconde = différence de la dérivée première
|
||
# df[f"{column}_future_{future_offset}_deriv2"] = round(10 * df[f"{column}_future_{future_offset}_deriv1"].rolling(int(window / 4)).mean().diff(), 4)
|
||
|
||
return df
|
||
|
||
def calculateDownAndUp(self, dataframe, limit=0.0001):
|
||
dataframe['down'] = dataframe['mid_regression'] <= dataframe['mid_regression'].shift(1)
|
||
dataframe['up'] = dataframe['mid_regression'] >= dataframe['mid_regression'].shift(1)
|
||
dataframe['down_count'] = - dataframe['down'].astype(int) * (
|
||
dataframe['down'].groupby((dataframe['down'] != dataframe['down'].shift()).cumsum()).cumcount() + 1)
|
||
dataframe['up_count'] = dataframe['up'].astype(int) * (
|
||
dataframe['up'].groupby((dataframe['up'] != dataframe['up'].shift()).cumsum()).cumcount() + 1)
|
||
# Créer une colonne vide
|
||
dataframe['down_pct'] = self.calculateUpDownPct(dataframe, 'down_count')
|
||
dataframe['up_pct'] = self.calculateUpDownPct(dataframe, 'up_count')
|
||
return dataframe
|
||
|
||
def calculateUpDownPct(self, dataframe, key):
|
||
down_pct_values = np.full(len(dataframe), np.nan)
|
||
# Remplir la colonne avec les bons calculs
|
||
for i in range(len(dataframe)):
|
||
shift_value = abs(int(dataframe[key].iloc[i])) # Récupérer le shift actuel
|
||
if i - shift_value > 1: # Vérifier que le shift ne dépasse pas l'index
|
||
down_pct_values[i] = 100 * (dataframe['close'].iloc[i] - dataframe['close'].iloc[i - shift_value]) / \
|
||
dataframe['close'].iloc[i - shift_value]
|
||
return down_pct_values |