885 lines
39 KiB
Python
885 lines
39 KiB
Python
# Zeus Strategy: First Generation of GodStra Strategy with maximum
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# AVG/MID profit in USDT
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# Author: @Mablue (Masoud Azizi)
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# github: https://github.com/mablue/
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# IMPORTANT: INSTALL TA BEFOUR RUN(pip install ta)
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# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLoss --spaces buy sell roi --strategy Zeus
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# --- Do not remove these libs ---
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from datetime import timedelta, datetime
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from freqtrade.persistence import Trade
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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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import pandas as pd
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import numpy as np
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import os
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import json
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import csv
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from pandas import DataFrame
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from typing import Optional, Union, Tuple
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import math
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import logging
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from pathlib import Path
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# --------------------------------
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# Add your lib to import here test git
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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 datetime import timezone, timedelta
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logger = logging.getLogger(__name__)
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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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class Frictrade(IStrategy):
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startup_candle_count = 60 * 24
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# ROI table:
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minimal_roi = {
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"0": 0.564,
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"567": 0.273,
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"2814": 0.12,
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"7675": 0
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}
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# Stoploss:
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stoploss = -1 # 0.256
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# Custom stoploss
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use_custom_stoploss = False
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trailing_stop = False
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trailing_stop_positive = 0.15
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trailing_stop_positive_offset = 0.5
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trailing_only_offset_is_reached = True
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# Buy hypers
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timeframe = '1m'
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max_open_trades = 5
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max_amount = 40
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parameters = {}
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# DCA config
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position_adjustment_enable = True
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columns_logged = False
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pairs = {
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pair: {
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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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'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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'force_buy': False
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}
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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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trades = list()
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max_profit_pairs = {}
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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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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 #(last_candle[f"{indic_5m}_deriv1"] >= indic_deriv1_5m) and (last_candle[f"{indic_5m}_deriv2"] >= indic_deriv2_5m)
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allow_to_buy = True #(condition and not self.pairs[pair]['stop']) | (entry_tag == 'force_entry')
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if allow_to_buy:
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self.trades = list()
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self.pairs[pair]['first_buy'] = rate
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self.pairs[pair]['last_buy'] = rate
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self.pairs[pair]['max_touch'] = last_candle['close']
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self.pairs[pair]['last_candle'] = last_candle
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self.pairs[pair]['count_of_buys'] = 1
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self.pairs[pair]['current_profit'] = 0
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self.pairs[pair]['last_max'] = max(last_candle['close'], self.pairs[pair]['last_max'])
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self.pairs[pair]['last_min'] = min(last_candle['close'], self.pairs[pair]['last_min'])
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dispo = round(self.wallets.get_available_stake_amount())
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self.printLineLog()
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stake_amount = self.adjust_stake_amount(pair, last_candle)
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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=("🟩Buy" if allow_to_buy else "Canceled") + " " + str(minutes),
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pair=pair,
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rate=rate,
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dispo=dispo,
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profit=0,
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trade_type=entry_tag,
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buys=1,
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stake=round(stake_amount, 2)
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)
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return allow_to_buy
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def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float, rate: float,
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time_in_force: str,
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exit_reason: str, current_time, **kwargs, ) -> bool:
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# allow_to_sell = (minutes > 30)
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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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minutes = int(round((current_time - trade.open_date_utc).seconds / 60, 0))
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profit =trade.calc_profit(rate)
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force = self.pairs[pair]['force_sell']
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allow_to_sell = minutes > 30 and (last_candle['hapercent'] < 0 ) or force or (exit_reason == 'force_exit') or (exit_reason == 'stop_loss')
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if allow_to_sell:
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self.trades = list()
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self.pairs[pair]['last_count_of_buys'] = trade.nr_of_successful_entries # self.pairs[pair]['count_of_buys']
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self.pairs[pair]['last_sell'] = rate
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self.pairs[pair]['last_candle'] = last_candle
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self.pairs[pair]['previous_profit'] = 0
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self.trades = list()
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dispo = round(self.wallets.get_available_stake_amount())
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# print(f"Sell {pair} {current_time} {exit_reason} dispo={dispo} amount={amount} rate={rate} open_rate={trade.open_rate}")
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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="🟥Sell " + str(minutes),
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pair=pair,
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trade_type=exit_reason,
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rate=last_candle['close'],
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dispo=dispo,
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profit=round(profit, 2)
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)
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self.pairs[pair]['max_profit'] = 0
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self.pairs[pair]['force_sell'] = False
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self.pairs[pair]['has_gain'] = 0
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self.pairs[pair]['current_profit'] = 0
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self.pairs[pair]['total_amount'] = 0
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self.pairs[pair]['count_of_buys'] = 0
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self.pairs[pair]['max_touch'] = 0
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self.pairs[pair]['last_buy'] = 0
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self.pairs[pair]['last_date'] = current_time
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self.pairs[pair]['current_trade'] = None
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# else:
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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_exit(self, pair: str, trade: Trade, current_time, current_rate, current_profit, **kwargs):
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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_1h = dataframe.iloc[-13].squeeze()
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# before_last_candle = dataframe.iloc[-2].squeeze()
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# before_last_candle_2 = dataframe.iloc[-3].squeeze()
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# before_last_candle_12 = dataframe.iloc[-13].squeeze()
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#
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# expected_profit = self.expectedProfit(pair, last_candle)
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# # print(f"current_time={current_time} current_profit={current_profit} expected_profit={expected_profit}")
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#
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# max_touch_before = self.pairs[pair]['max_touch']
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# self.pairs[pair]['last_max'] = max(last_candle['close'], self.pairs[pair]['last_max'])
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# self.pairs[pair]['last_min'] = min(last_candle['close'], self.pairs[pair]['last_min'])
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# self.pairs[pair]['current_trade'] = trade
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#
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# count_of_buys = trade.nr_of_successful_entries
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#
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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 = 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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# mx = max_profit / 5
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# self.pairs[pair]['count_of_buys'] = count_of_buys
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# self.pairs[pair]['current_profit'] = profit
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#
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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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# minutes = (current_time - trade.date_last_filled_utc).total_seconds() / 60.0
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#
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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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# action="🟢 CURRENT", #🔴 CURRENT" if self.pairs[pair]['stop'] or last_candle['stop_buying'] else "
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# dispo=dispo,
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# pair=pair,
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# rate=last_candle['close'],
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# trade_type='',
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# profit=round(profit, 2),
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# buys=count_of_buys,
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# stake=0
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# )
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#
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# if (last_candle['close'] > last_candle['mid']) or (last_candle['sma5_deriv1'] > 0):
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# return None
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#
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# pair_name = self.getShortName(pair)
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#
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# if profit > 0.003 * count_of_buys and baisse > 0.30:
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# self.pairs[pair]['force_sell'] = False
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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) + '_' + 'B30_' + pair_name + '_' + str(self.pairs[pair]['has_gain'])
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#
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# self.pairs[pair]['max_touch'] = max(last_candle['close'], self.pairs[pair]['max_touch'])
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def getShortName(self, pair):
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return pair.replace("/USDT", '').replace("/USDC", '').replace("_USDC", '').replace("_USDT", '')
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def getLastLost(self, last_candle, pair):
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last_lost = round((last_candle['close'] - self.pairs[pair]['max_touch']) / self.pairs[pair]['max_touch'], 3)
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return last_lost
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def getPctFirstBuy(self, pair, last_candle):
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return round((last_candle['close'] - self.pairs[pair]['first_buy']) / self.pairs[pair]['first_buy'], 3)
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def getPctLastBuy(self, pair, last_candle):
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return round((last_candle['close'] - self.pairs[pair]['last_buy']) / self.pairs[pair]['last_buy'], 4)
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def expectedProfit(self, pair: str, last_candle: DataFrame):
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lim = 0.01
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pct = 0.002
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if (self.getShortName(pair) == 'BTC'):
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lim = 0.005
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pct = 0.001
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pct_to_max = lim + pct * self.pairs[pair]['count_of_buys']
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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)
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self.pairs[pair]['expected_profit'] = expected_profit
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return expected_profit
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def log_trade(self, action, pair, date, trade_type=None, rate=None, dispo=None, profit=None, buys=None, stake=None,
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last_candle=None):
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# Afficher les colonnes une seule fois
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if self.config.get('runmode') == 'hyperopt' or self.dp.runmode.value in ('hyperopt'):
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return
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if self.columns_logged % 10 == 0:
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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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)
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self.printLineLog()
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df = pd.DataFrame.from_dict(self.pairs, orient='index')
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colonnes_a_exclure = ['last_candle',
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'trade_info', 'last_date', 'last_count_of_buys', 'base_stake_amount', 'stop_buy']
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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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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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rsi = ''
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rsi_pct = ''
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sma5_1d = ''
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sma5_1h = ''
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sma5 = str(sma5_1d) + ' ' + str(sma5_1h)
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last_lost = self.getLastLost(last_candle, pair)
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if buys is None:
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buys = ''
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max_touch = ''
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pct_max = self.getPctFirstBuy(pair, last_candle)
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total_counts = str(buys) + '/' + str(sum(pair_data['count_of_buys'] for pair_data in self.pairs.values()))
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dist_max = ''
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last_max = int(self.pairs[pair]['last_max']) if self.pairs[pair]['last_max'] > 1 else round(
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self.pairs[pair]['last_max'], 3)
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last_min = int(self.pairs[pair]['last_min']) if self.pairs[pair]['last_min'] > 1 else round(
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self.pairs[pair]['last_min'], 3)
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color = GREEN if profit > 0 else RED
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profit = str(profit) + '/' + str(round(self.pairs[pair]['max_profit'], 2))
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# 🟢 Dérivée 1 > 0 et dérivée 2 > 0: tendance haussière qui s’accélère.
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# 🟡 Dérivée 1 > 0 et dérivée 2 < 0: tendance haussière qui ralentit → essoufflement potentiel.
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# 🔴 Dérivée 1 < 0 et dérivée 2 < 0: tendance baissière qui s’accélère.
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# 🟠 Dérivée 1 < 0 et dérivée 2 > 0: tendance baissière qui ralentit → possible bottom.
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self.printLog(
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f"| {date:<16} |{action:<10} | {pair[0:3]:<3} | {trade_type or '-':<18} |{rate or '-':>9}| {dispo or '-':>6} "
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f"|{color}{profit or '-':>10}{RESET}| {pct_max or '-':>6} | {round(self.pairs[pair]['max_touch'], 2) or '-':>11} | {last_lost or '-':>12} "
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f"| {last_max or '-':>7} | {last_min or '-':>7} |{total_counts or '-':>5}|{stake or '-':>7}"
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f"{round(last_candle['max_rsi_24'], 1) or '-' :>6}|{round(last_candle['rsi_1h'], 1) or '-' :>6}|{round(last_candle['rsi_1d'], 1) or '-' :>6}|"
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f"{round(last_candle['rtp_1h'] * 100, 0) or '-' :>6}|{round(last_candle['rtp_1d'] * 100, 0) or '-' :>6}|"
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)
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def printLineLog(self):
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# f"sum1h|sum1d|Tdc|Tdh|Tdd| drv1 |drv|drv_1d|"
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self.printLog(
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f"+{'-' * 18}+{'-' * 12}+{'-' * 5}+{'-' * 20}+{'-' * 9}+{'-' * 8}+{'-' * 12}+{'-' * 8}+{'-' * 13}+{'-' * 14}+{'-' * 9}{'-' * 9}+{'-' * 5}+{'-' * 7}+"
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f"+{'-' * 6}+{'-' * 7}+{'-' * 5}+{'-' * 5}+{'-' * 5}+{'-' * 5}+{'-' * 5}+{'-' * 5}+"
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)
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def printLog(self, str):
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if self.config.get('runmode') == 'hyperopt' or self.dp.runmode.value in ('hyperopt'):
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return;
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if not self.dp.runmode.value in ('backtest', 'hyperopt', 'lookahead-analysis'):
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logger.info(str)
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else:
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if not self.dp.runmode.value in ('hyperopt'):
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print(str)
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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# Add all ta features
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pair = metadata['pair']
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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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heikinashi = qtpylib.heikinashi(dataframe)
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dataframe['haopen'] = heikinashi['open']
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dataframe['haclose'] = heikinashi['close']
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dataframe['hapercent'] = (dataframe['haclose'] - dataframe['haopen']) / dataframe['haclose']
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dataframe['mid'] = dataframe['open'] + (dataframe['close'] - dataframe['open']) / 2
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dataframe['sma5'] = dataframe['mid'].ewm(span=5, adjust=False).mean() #dataframe["mid"].rolling(window=5).mean()
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dataframe['sma5_deriv1'] = 1000 * (dataframe['sma5'] - dataframe['sma5'].shift(1)) / dataframe['sma5'].shift(1)
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dataframe['sma60'] = dataframe['mid'].ewm(span=60, adjust=False).mean()
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dataframe['sma60_deriv1'] = 1000 * (dataframe['sma60'] - dataframe['sma60'].shift(1)) / dataframe['sma60'].shift(1)
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|
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# dataframe[f"sma5_inv"] = (dataframe[f"sma5"].shift(2) >= dataframe[f"sma5"].shift(1)) \
|
||
# & (dataframe[f"sma5"].shift(1) <= dataframe[f"sma5"])
|
||
|
||
dataframe["sma5_sqrt"] = (
|
||
np.sqrt(np.abs(dataframe["sma5"] - dataframe["sma5"].shift(1)))
|
||
+ np.sqrt(np.abs(dataframe["sma5"].shift(2) - dataframe["sma5"].shift(1)))
|
||
)
|
||
dataframe["sma5_inv"] = (
|
||
(dataframe["sma5"].shift(2) >= dataframe["sma5"].shift(1))
|
||
& (dataframe["sma5"].shift(1) <= dataframe["sma5"])
|
||
& (dataframe["sma5_sqrt"] > 5)
|
||
)
|
||
|
||
dataframe["percent"] = dataframe['mid'].pct_change()
|
||
dataframe["percent3"] = dataframe['mid'].pct_change(3).rolling(3).mean()
|
||
dataframe["percent12"] = dataframe['mid'].pct_change(12).rolling(12).mean()
|
||
dataframe["percent24"] = dataframe['mid'].pct_change(24).rolling(24).mean()
|
||
|
||
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)
|
||
dataframe['max5'] = talib.MAX(dataframe['mid'], timeperiod=5)
|
||
dataframe['min180'] = talib.MIN(dataframe['mid'], timeperiod=180)
|
||
dataframe['max180'] = talib.MAX(dataframe['mid'], timeperiod=180)
|
||
|
||
# ################### INFORMATIVE 1h
|
||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1h')
|
||
informative['mid'] = informative['open'] + (informative['close'] - informative['open']) / 2
|
||
# informative = self.populate1hIndicators(df=informative, metadata=metadata)
|
||
informative['rsi'] = talib.RSI(informative['mid'], timeperiod=14)
|
||
informative = self.rsi_trend_probability(informative)
|
||
# informative = self.calculateRegression(informative, 'mid', lookback=15)
|
||
dataframe = merge_informative_pair(dataframe, informative, '1m', '1h', ffill=True)
|
||
|
||
# ################### INFORMATIVE 1d
|
||
informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1d')
|
||
informative['mid'] = informative['open'] + (informative['close'] - informative['open']) / 2
|
||
informative['rsi'] = talib.RSI(informative['mid'], timeperiod=5)
|
||
informative = self.rsi_trend_probability(informative)
|
||
# informative = self.calculateRegression(informative, 'mid', lookback=15)
|
||
dataframe = merge_informative_pair(dataframe, informative, '1m', '1d', ffill=True)
|
||
|
||
dataframe['last_price'] = dataframe['close']
|
||
dataframe['first_price'] = dataframe['close']
|
||
if self.dp:
|
||
if self.dp.runmode.value in ('live', 'dry_run'):
|
||
self.getOpenTrades()
|
||
|
||
for trade in self.trades:
|
||
if trade.pair != pair:
|
||
continue
|
||
filled_buys = trade.select_filled_orders('buy')
|
||
count = 0
|
||
amount = 0
|
||
for buy in filled_buys:
|
||
if count == 0:
|
||
dataframe['first_price'] = buy.price
|
||
self.pairs[pair]['first_buy'] = buy.price
|
||
self.pairs[pair]['first_amount'] = buy.price * buy.filled
|
||
# dataframe['close01'] = buy.price * 1.01
|
||
|
||
# Order(id=2396, trade=1019, order_id=29870026652, side=buy, filled=0.00078, price=63921.01,
|
||
# status=closed, date=2024-08-26 02:20:11)
|
||
dataframe['last_price'] = buy.price
|
||
self.pairs[pair]['last_buy'] = buy.price
|
||
count = count + 1
|
||
amount += buy.price * buy.filled
|
||
count_buys = count
|
||
self.pairs[pair]['total_amount'] = amount
|
||
|
||
dataframe['absolute_min'] = dataframe['mid'].rolling(1440, min_periods=1).min()
|
||
dataframe['absolute_max'] = dataframe['mid'].rolling(1440, min_periods=1).max()
|
||
# steps = (dataframe['absolute_max'] - dataframe['absolute_min']) / (dataframe['absolute_min'] * 0.01)
|
||
# levels = [dataframe['absolute_min'] * (1 + i / 100) for i in range(1, steps + 1)]
|
||
#
|
||
# print(levels)
|
||
|
||
# print(f"min={dataframe['absolute_min'].min()} max={dataframe['absolute_max'].max()}")
|
||
for i in [0, 1, 2, 3]:
|
||
dataframe[f"lvl_{i}_pct"] = dataframe['absolute_min'] * (1 + 0.01 * i)
|
||
|
||
#
|
||
# absolute_min = dataframe['absolute_min'].min()
|
||
# absolute_max = dataframe['absolute_max'].max()
|
||
#
|
||
# # Écart total
|
||
# diff = absolute_max - absolute_min
|
||
#
|
||
# # Nombre de lignes intermédiaires (1% steps)
|
||
# steps = int((absolute_max - absolute_min) / (absolute_min * 0.01))
|
||
#
|
||
# # Niveaux de prix à 1%, 2%, ..., steps%
|
||
# levels = [absolute_min * (1 + i / 100) for i in range(1, steps + 1)]
|
||
# levels = [lvl for lvl in levels if lvl < absolute_max] # évite le dernier niveau exact
|
||
#
|
||
# # ajout dans le DataFrame
|
||
# for i, lvl in enumerate(levels, start=1):
|
||
# dataframe[f"lvl_{i}_pct"] = lvl
|
||
|
||
# # Indices correspondants
|
||
# indices = [(dataframe['mid'] - lvl).abs().idxmin() for lvl in levels]
|
||
|
||
return dataframe
|
||
|
||
def getOpenTrades(self):
|
||
# if len(self.trades) == 0:
|
||
self.trades = Trade.get_open_trades()
|
||
return self.trades
|
||
|
||
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
dataframe.loc[
|
||
(
|
||
(dataframe['sma5_inv'] == 1)
|
||
# & (dataframe['max_rsi_24'] < 80)
|
||
# & (
|
||
# (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'] * 1.003, np.nan)
|
||
|
||
return dataframe
|
||
|
||
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||
|
||
return dataframe
|
||
|
||
# def adjust_stake_amount(self, pair: str, last_candle: DataFrame):
|
||
# # Calculer le minimum des 14 derniers jours
|
||
# nb_pairs = len(self.dp.current_whitelist())
|
||
#
|
||
# base_stake_amount = self.config.get('stake_amount')
|
||
#
|
||
# 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 = base_stake_amount #max(base_stake_amount / 5, base_stake_amount * factor)
|
||
# else:
|
||
# adjusted_stake_amount = self.pairs[pair]['first_amount']
|
||
#
|
||
# if self.pairs[pair]['count_of_buys'] == 0:
|
||
# self.pairs[pair]['first_amount'] = adjusted_stake_amount
|
||
#
|
||
# return adjusted_stake_amount
|
||
|
||
def adjust_stake_amount(self, pair: str, last_candle: DataFrame):
|
||
# Calcule max/min 180
|
||
low180 = last_candle["min180"]
|
||
high180 = last_candle["max180"]
|
||
|
||
mult = 1 - ((last_candle["mid"] - low180) / (high180 - low180))
|
||
|
||
print(f"low={low180} mid={last_candle['mid']} high={high180} mult={mult}")
|
||
# base_size = montant de base que tu veux utiliser (ex: stake_amount ou autre)
|
||
base_size = 2 * self.config.get('stake_amount') # exemple fraction du portefeuille; adapte selon ton code
|
||
# new stake proportionnel à mult
|
||
new_stake = base_size * mult
|
||
return new_stake
|
||
|
||
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:
|
||
# self.printLog("skip open orders")
|
||
return None
|
||
if (self.wallets.get_available_stake_amount() < 10): # or trade.stake_amount >= max_stake:
|
||
return 0
|
||
|
||
dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
|
||
last_candle = dataframe.iloc[-1].squeeze()
|
||
before_last_candle = dataframe.iloc[-2].squeeze()
|
||
# prépare les données
|
||
current_time = current_time.astimezone(timezone.utc)
|
||
open_date = trade.open_date.astimezone(timezone.utc)
|
||
dispo = round(self.wallets.get_available_stake_amount())
|
||
hours_since_first_buy = (current_time - trade.open_date_utc).seconds / 3600.0
|
||
days_since_first_buy = (current_time - trade.open_date_utc).days
|
||
hours = (current_time - trade.date_last_filled_utc).total_seconds() / 3600.0
|
||
count_of_buys = trade.nr_of_successful_entries
|
||
current_time_utc = current_time.astimezone(timezone.utc)
|
||
open_date = trade.open_date.astimezone(timezone.utc)
|
||
days_since_open = (current_time_utc - open_date).days
|
||
pair = trade.pair
|
||
profit = trade.calc_profit(current_rate) #round(current_profit * trade.stake_amount, 1)
|
||
last_lost = self.getLastLost(last_candle, pair)
|
||
pct_first = 0
|
||
|
||
total_counts = sum(
|
||
pair_data['count_of_buys'] for pair_data in self.pairs.values() if not self.getShortName(pair) == 'BTC')
|
||
|
||
if self.pairs[pair]['first_buy']:
|
||
pct_first = self.getPctFirstBuy(pair, last_candle)
|
||
|
||
lim = 0.3
|
||
if (len(dataframe) < 1):
|
||
# self.printLog("skip dataframe")
|
||
return None
|
||
|
||
# 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 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 * count_of_buys
|
||
decline = (last_fill_price - current_rate) / last_fill_price
|
||
increase = - decline
|
||
|
||
# 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
|
||
|
||
condition = last_candle['hapercent'] > 0 and last_candle['sma60_deriv1'] > 0
|
||
limit_buy = 40
|
||
if decline >= dca_threshold and condition:
|
||
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))
|
||
# 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
|
||
self.log_trade(
|
||
last_candle=last_candle,
|
||
date=current_time,
|
||
action="🟧 Loss -",
|
||
dispo=dispo,
|
||
pair=trade.pair,
|
||
rate=current_rate,
|
||
trade_type=trade_type,
|
||
profit=round(profit, 1),
|
||
buys=trade.nr_of_successful_entries + 1,
|
||
stake=round(stake_amount, 2)
|
||
)
|
||
|
||
self.pairs[trade.pair]['last_buy'] = current_rate
|
||
self.pairs[trade.pair]['max_touch'] = last_candle['close']
|
||
self.pairs[trade.pair]['last_candle'] = last_candle
|
||
|
||
# df = pd.DataFrame.from_dict(self.pairs, orient='index')
|
||
# colonnes_a_exclure = ['last_candle', 'stop',
|
||
# 'trade_info', 'last_date', 'expected_profit', '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']
|
||
#
|
||
# self.printLog(df_filtered)
|
||
|
||
return stake_amount
|
||
return None
|
||
except Exception as exception:
|
||
self.printLog(exception)
|
||
return None
|
||
|
||
if current_profit > 0 and (increase >= dca_threshold and self.wallets.get_available_stake_amount() > 0) \
|
||
and (last_candle['max_rsi_24'] < 60):
|
||
try:
|
||
self.pairs[pair]['previous_profit'] = profit
|
||
stake_amount = min(self.wallets.get_available_stake_amount(), self.adjust_stake_amount(pair, last_candle))
|
||
if stake_amount > 0:
|
||
self.pairs[pair]['has_gain'] += 1
|
||
|
||
trade_type = 'Gain +' + (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
|
||
self.log_trade(
|
||
last_candle=last_candle,
|
||
date=current_time,
|
||
action="🟡 Gain +",
|
||
dispo=dispo,
|
||
pair=trade.pair,
|
||
rate=current_rate,
|
||
trade_type='Gain',
|
||
profit=round(profit, 1),
|
||
buys=trade.nr_of_successful_entries + 1,
|
||
stake=round(stake_amount, 2)
|
||
)
|
||
self.pairs[trade.pair]['last_buy'] = current_rate
|
||
self.pairs[trade.pair]['max_touch'] = last_candle['close']
|
||
self.pairs[trade.pair]['last_candle'] = last_candle
|
||
return stake_amount
|
||
return None
|
||
except Exception as exception:
|
||
self.printLog(exception)
|
||
return None
|
||
|
||
return None
|
||
|
||
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].squeeze()
|
||
last_candle_1h = dataframe.iloc[-13].squeeze()
|
||
before_last_candle = dataframe.iloc[-2].squeeze()
|
||
before_last_candle_2 = dataframe.iloc[-3].squeeze()
|
||
before_last_candle_12 = dataframe.iloc[-13].squeeze()
|
||
|
||
expected_profit = self.expectedProfit(pair, last_candle)
|
||
# print(f"current_time={current_time} current_profit={current_profit} expected_profit={expected_profit}")
|
||
|
||
# ----- 1) Charger les variables de trailing pour ce trade -----
|
||
max_price = self.pairs[pair]['max_touch']
|
||
|
||
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]['current_trade'] = trade
|
||
|
||
count_of_buys = trade.nr_of_successful_entries
|
||
|
||
profit = trade.calc_profit(current_rate) #round(current_profit * trade.stake_amount, 1)
|
||
|
||
if current_profit > 0:
|
||
self.pairs[pair]['max_profit'] = max(self.pairs[pair]['max_profit'], profit)
|
||
# else:
|
||
# self.pairs[pair]['max_profit'] = 0
|
||
|
||
max_profit = self.pairs[pair]['max_profit']
|
||
|
||
# if current_profit > 0:
|
||
# print(f"profit={profit} max_profit={max_profit} current_profit={current_profit}")
|
||
|
||
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())
|
||
hours_since_first_buy = (current_time - trade.open_date_utc).seconds / 3600.0
|
||
days_since_first_buy = (current_time - trade.open_date_utc).days
|
||
hours = (current_time - trade.date_last_filled_utc).total_seconds() / 3600.0
|
||
minutes = (current_time - trade.date_last_filled_utc).total_seconds() / 60.0
|
||
|
||
# ----- 2) Mise à jour du max_price -----
|
||
self.pairs[pair]['max_touch'] = max(last_candle['close'], self.pairs[pair]['max_touch'])
|
||
|
||
# ----- 3) Calcul du profit max atteint -----
|
||
# profit_max = (max_price - trade.open_rate) / trade.open_rate
|
||
|
||
current_trailing_stop_positive = self.trailing_stop_positive
|
||
current_trailing_only_offset_is_reached = self.trailing_only_offset_is_reached
|
||
current_trailing_stop_positive_offset = self.trailing_stop_positive_offset
|
||
|
||
max_ = last_candle['max180']
|
||
min_ = last_candle['min180']
|
||
mid = last_candle['mid']
|
||
# éviter division par zéro
|
||
position = (mid - min_) / (max_ - min_)
|
||
zone = int(position * 3) # 0 à 2
|
||
|
||
if zone == 0:
|
||
current_trailing_stop_positive = True
|
||
current_trailing_stop_positive_offset = self.trailing_stop_positive_offset * 2
|
||
# if zone == 1:
|
||
|
||
|
||
# ----- 5) Calcul du trailing stop dynamique -----
|
||
# Exemple : offset=0.321 => stop à +24.8%
|
||
trailing_stop = max_profit * (1.0 - current_trailing_stop_positive)
|
||
baisse = 0
|
||
if max_profit:
|
||
baisse = (max_profit - profit) / max_profit
|
||
|
||
if minutes % 15 == 0:
|
||
self.log_trade(
|
||
last_candle=last_candle,
|
||
date=current_time,
|
||
action="🟢 CURRENT", #🔴 CURRENT" if self.pairs[pair]['stop'] or last_candle['stop_buying'] else "
|
||
dispo=dispo,
|
||
pair=pair,
|
||
rate=last_candle['close'],
|
||
trade_type=f"{round(profit, 2)} {round(max_profit, 2)} {round(trailing_stop,2)}",
|
||
profit=round(profit, 2),
|
||
buys=count_of_buys,
|
||
stake=0
|
||
)
|
||
|
||
# ----- 4) OFFSET : faut-il attendre de dépasser trailing_stop_positive_offset ? -----
|
||
if current_trailing_only_offset_is_reached:
|
||
# Max profit pas atteint ET perte < 2 * current_trailing_stop_positive
|
||
if max_profit < min(2, current_trailing_stop_positive_offset * (count_of_buys - self.pairs[pair]['has_gain']))\
|
||
and (baisse < 0.5 and max_profit > current_trailing_stop_positive_offset): #2 * current_trailing_stop_positive:
|
||
return None # ne pas activer le trailing encore
|
||
# Sinon : trailing actif dès le début
|
||
|
||
# ----- 6) Condition de vente -----
|
||
if profit > 0 and profit <= trailing_stop:
|
||
return f"stop_{count_of_buys}"
|
||
return None
|
||
|
||
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 populate1hIndicators(self, df: pd.DataFrame, metadata: dict) -> pd.DataFrame:
|
||
|
||
# --- WEEKLY LEVELS ---
|
||
# semaine précédente = semaine ISO différente
|
||
df["week"] = df.index.isocalendar().week
|
||
df["year"] = df.index.year
|
||
|
||
df["weekly_low"] = (
|
||
df.groupby(["year", "week"])["low"]
|
||
.transform("min")
|
||
.shift(1) # décalé -> pas regarder la semaine en cours
|
||
)
|
||
df["weekly_high"] = (
|
||
df.groupby(["year", "week"])["high"]
|
||
.transform("max")
|
||
.shift(1)
|
||
)
|
||
|
||
# Définition simple d'une zone de demande hebdo :
|
||
# bas + 25% de la bougie => modifiable
|
||
df["weekly_demand_zone_low"] = df["weekly_low"]
|
||
df["weekly_demand_zone_high"] = df["weekly_low"] * 1.025
|
||
|
||
# --- MONTHLY LEVELS ---
|
||
df["month"] = df.index.month
|
||
|
||
df["monthly_low"] = (
|
||
df.groupby(["year", "month"])["low"]
|
||
.transform("min")
|
||
.shift(1) # mois précédent uniquement
|
||
)
|
||
df["monthly_high"] = (
|
||
df.groupby(["year", "month"])["high"]
|
||
.transform("max")
|
||
.shift(1)
|
||
)
|
||
|
||
df["monthly_demand_zone_low"] = df["monthly_low"]
|
||
df["monthly_demand_zone_high"] = df["monthly_low"] * 1.03
|
||
|
||
return df
|
||
|
||
# ----- SIGNALS SIMPLES POUR EXEMPLE -----
|
||
|
||
# def populate_buy_trend(self, df: pd.DataFrame, metadata: dict) -> pd.DataFrame:
|
||
# df["buy"] = 0
|
||
#
|
||
# # Exemple : acheter si le prix tape la zone de demande hebdomadaire
|
||
# df.loc[
|
||
# (df["close"] <= df["weekly_demand_zone_high"]) &
|
||
# (df["close"] >= df["weekly_demand_zone_low"]),
|
||
# "buy"
|
||
# ] = 1
|
||
#
|
||
# return df
|
||
#
|
||
# def populate_sell_trend(self, df: pd.DataFrame, metadata: dict) -> pd.DataFrame:
|
||
# df["sell"] = 0
|
||
#
|
||
# # Exemple : vendre sur retour au weekly_high précédent
|
||
# df.loc[df["close"] >= df["weekly_high"], "sell"] = 1
|
||
#
|
||
# return df
|
||
|
||
|
||
def rsi_trend_probability(self, dataframe):
|
||
dataframe = dataframe.copy()
|
||
|
||
dataframe['rsi14'] = talib.RSI(dataframe['mid'], 14)
|
||
dataframe['rsi60'] = talib.RSI(dataframe['mid'], 60)
|
||
|
||
dataframe['cross_soft'] = np.tanh((dataframe['rsi14'] - dataframe['rsi60']) / 7)
|
||
|
||
dataframe['gap'] = (dataframe['rsi14'] - dataframe['rsi60']) / 100
|
||
dataframe['trend'] = (dataframe['rsi60'] - 50) / 50
|
||
|
||
dataframe['rtp'] = (
|
||
0.6 * dataframe['cross_soft'] +
|
||
0.25 * dataframe['gap'] +
|
||
0.15 * dataframe['trend']
|
||
).clip(-1, 1)
|
||
|
||
return dataframe
|
||
|