from freqtrade.strategy.interface import IStrategy from typing import Dict, List from functools import reduce from pandas import DataFrame import talib.abstract as ta import numpy as np import freqtrade.vendor.qtpylib.indicators as qtpylib import datetime from technical.util import resample_to_interval, resampled_merge from datetime import datetime, timedelta from freqtrade.persistence import Trade from freqtrade.strategy import stoploss_from_open, merge_informative_pair, DecimalParameter, IntParameter, CategoricalParameter import technical.indicators as ftt buy_params = { "ewo_high_2": -4.58, "low_offset_2": 0.951, "rsi_buy": 52, "base_nb_candles_buy": 16, # value loaded from strategy "ewo_high": 3.422, # value loaded from strategy "ewo_low": -8.562, # value loaded from strategy "low_offset": 0.966, # value loaded from strategy } sell_params = { "base_nb_candles_sell": 10, "high_offset_2": 1.002, "high_offset": 1.014, # value loaded from strategy } def EWO(dataframe, ema_length=5, ema2_length=35): df = dataframe.copy() ema1 = ta.EMA(df, timeperiod=ema_length) ema2 = ta.EMA(df, timeperiod=ema2_length) emadif = (ema1 - ema2) / df['low'] * 100 return emadif class NotAnotherSMAOffsetStrategyHO_2(IStrategy): INTERFACE_VERSION = 2 minimal_roi = { "0": 0.02, "10": 0.018, "20": 0.016, "30": 0.017, "40": 0.015, "50": 0.012, "60": 0.01, "70": 0.008, "90": 0.006, "120": 0.005 } stoploss = -0.35 base_nb_candles_buy = IntParameter( 5, 80, default=buy_params['base_nb_candles_buy'], space='buy', optimize=False) base_nb_candles_sell = IntParameter( 5, 80, default=sell_params['base_nb_candles_sell'], space='sell', optimize=True) low_offset = DecimalParameter( 0.9, 0.99, default=buy_params['low_offset'], space='buy', optimize=False) low_offset_2 = DecimalParameter( 0.9, 0.99, default=buy_params['low_offset_2'], space='buy', optimize=True) high_offset = DecimalParameter( 0.95, 1.1, default=sell_params['high_offset'], space='sell', optimize=False) high_offset_2 = DecimalParameter( 0.99, 1.5, default=sell_params['high_offset_2'], space='sell', optimize=True) fast_ewo = 50 slow_ewo = 200 ewo_low = DecimalParameter(-20.0, -8.0, default=buy_params['ewo_low'], space='buy', optimize=False) ewo_high = DecimalParameter( 2.0, 12.0, default=buy_params['ewo_high'], space='buy', optimize=False) ewo_high_2 = DecimalParameter( -6.0, 12.0, default=buy_params['ewo_high_2'], space='buy', optimize=True) rsi_buy = IntParameter(30, 70, default=buy_params['rsi_buy'], space='buy', optimize=True) trailing_stop = True trailing_stop_positive = 0.005 trailing_stop_positive_offset = 0.03 trailing_only_offset_is_reached = True use_sell_signal = True sell_profit_only = false sell_profit_offset = 0.001 ignore_roi_if_buy_signal = False order_time_in_force = { 'buy': 'gtc', 'sell': 'ioc' } timeframe = '5m' inf_1h = '1h' process_only_new_candles = True startup_candle_count = 200 plot_config = { 'main_plot': { 'ma_buy': {'color': 'orange'}, 'ma_sell': {'color': 'orange'}, }, } slippage_protection = { 'retries': 3, 'max_slippage': -0.02 } buy_signals = {} def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float, rate: float, time_in_force: str, sell_reason: str, current_time: datetime, **kwargs) -> bool: dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) last_candle = dataframe.iloc[-1] if (last_candle is not None): if (sell_reason in ['sell_signal']): if (last_candle['hma_50']*1.149 > last_candle['ema_100']) and (last_candle['close'] < last_candle['ema_100']*0.951): # *1.2 return False try: state = self.slippage_protection['__pair_retries'] except KeyError: state = self.slippage_protection['__pair_retries'] = {} candle = dataframe.iloc[-1].squeeze() slippage = (rate / candle['close']) - 1 if slippage < self.slippage_protection['max_slippage']: pair_retries = state.get(pair, 0) if pair_retries < self.slippage_protection['retries']: state[pair] = pair_retries + 1 return False state[pair] = 0 return True def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: for val in self.base_nb_candles_buy.range: dataframe[f'ma_buy_{val}'] = ta.EMA(dataframe, timeperiod=val) for val in self.base_nb_candles_sell.range: dataframe[f'ma_sell_{val}'] = ta.EMA(dataframe, timeperiod=val) dataframe['hma_50'] = qtpylib.hull_moving_average(dataframe['close'], window=50) dataframe['ema_100'] = ta.EMA(dataframe, timeperiod=100) dataframe['sma_9'] = ta.SMA(dataframe, timeperiod=9) dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) dataframe['rsi_fast'] = ta.RSI(dataframe, timeperiod=4) dataframe['rsi_slow'] = ta.RSI(dataframe, timeperiod=20) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[ ( (dataframe['rsi_fast'] < 35) & (dataframe['close'] < (dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value)) & (dataframe['EWO'] > self.ewo_high.value) & (dataframe['rsi'] < self.rsi_buy.value) & (dataframe['volume'] > 0) & (dataframe['close'] < ( dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) ), ['buy', 'buy_tag']] = (1, 'ewo1') dataframe.loc[ ( (dataframe['rsi_fast'] < 35) & (dataframe['close'] < (dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset_2.value)) & (dataframe['EWO'] > self.ewo_high_2.value) & (dataframe['rsi'] < self.rsi_buy.value) & (dataframe['volume'] > 0) & (dataframe['close'] < (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) & (dataframe['rsi'] < 25) ), ['buy', 'buy_tag']] = (1, 'ewo2') dataframe.loc[ ( (dataframe['rsi_fast'] < 35) & (dataframe['close'] < (dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value)) & (dataframe['EWO'] < self.ewo_low.value) & (dataframe['volume'] > 0) & (dataframe['close'] < ( dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) ), ['buy', 'buy_tag']] = (1, 'ewolow') return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] conditions.append( ((dataframe['close'] > dataframe['sma_9']) & (dataframe['close'] > (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset_2.value)) & (dataframe['rsi'] > 50) & (dataframe['volume'] > 0) & (dataframe['rsi_fast'] > dataframe['rsi_slow']) ) | ( (dataframe['close'] < dataframe['hma_50']) & (dataframe['close'] > (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) & (dataframe['volume'] > 0) & (dataframe['rsi_fast'] > dataframe['rsi_slow']) ) ) if conditions: dataframe.loc[ reduce(lambda x, y: x | y, conditions), 'sell' ]=1 return dataframe