# --- Do not remove these libs --- 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 hyperspace params: buy_params = { "base_nb_candles_buy": 21, "ewo_high": 3.904, "ewo_low": -19.306, "low_offset": 0.976, "rsi_buy": 41 } # Sell hyperspace params: sell_params = { "base_nb_candles_sell": 69, "high_offset": 1.014 } 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['close'] * 100 return emadif def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # Momentum Indicators # ------------------------------------ # ADX dataframe['adx'] = ta.ADX(dataframe) # Plus Directional Indicator / Movement dataframe['plus_dm'] = ta.PLUS_DM(dataframe) dataframe['plus_di'] = ta.PLUS_DI(dataframe) # Minus Directional Indicator / Movement dataframe['minus_dm'] = ta.MINUS_DM(dataframe) dataframe['minus_di'] = ta.MINUS_DI(dataframe) # Aroon, Aroon Oscillator aroon = ta.AROON(dataframe) dataframe['aroonup'] = aroon['aroonup'] dataframe['aroondown'] = aroon['aroondown'] dataframe['aroonosc'] = ta.AROONOSC(dataframe) # Awesome Oscillator dataframe['ao'] = qtpylib.awesome_oscillator(dataframe) # Keltner Channel keltner = qtpylib.keltner_channel(dataframe) dataframe["kc_upperband"] = keltner["upper"] dataframe["kc_lowerband"] = keltner["lower"] dataframe["kc_middleband"] = keltner["mid"] dataframe["kc_percent"] = ( (dataframe["close"] - dataframe["kc_lowerband"]) / (dataframe["kc_upperband"] - dataframe["kc_lowerband"]) ) dataframe["kc_width"] = ( (dataframe["kc_upperband"] - dataframe["kc_lowerband"]) / dataframe["kc_middleband"] ) # Ultimate Oscillator dataframe['uo'] = ta.ULTOSC(dataframe) # Commodity Channel Index: values [Oversold:-100, Overbought:100] dataframe['cci'] = ta.CCI(dataframe) # RSI dataframe['rsi'] = ta.RSI(dataframe) # # Inverse Fisher transform on RSI: values [-1.0, 1.0] (https://goo.gl/2JGGoy) rsi = 0.1 * (dataframe['rsi'] - 50) dataframe['fisher_rsi'] = (np.exp(2 * rsi) - 1) / (np.exp(2 * rsi) + 1) # # Inverse Fisher transform on RSI normalized: values [0.0, 100.0] (https://goo.gl/2JGGoy) dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1) # # Stochastic Slow stoch = ta.STOCH(dataframe) dataframe['slowd'] = stoch['slowd'] dataframe['slowk'] = stoch['slowk'] # Stochastic Fast stoch_fast = ta.STOCHF(dataframe) dataframe['fastd'] = stoch_fast['fastd'] dataframe['fastk'] = stoch_fast['fastk'] # # Stochastic RSI # Please read https://github.com/freqtrade/freqtrade/issues/2961 before using this. # STOCHRSI is NOT aligned with tradingview, which may result in non-expected results. stoch_rsi = ta.STOCHRSI(dataframe) dataframe['fastd_rsi'] = stoch_rsi['fastd'] dataframe['fastk_rsi'] = stoch_rsi['fastk'] # MACD macd = ta.MACD(dataframe) dataframe['macd'] = macd['macd'] dataframe['macdsignal'] = macd['macdsignal'] dataframe['macdhist'] = macd['macdhist'] # MFI dataframe['mfi'] = ta.MFI(dataframe) # # ROC dataframe['roc'] = ta.ROC(dataframe) # Overlap Studies # ------------------------------------ # Bollinger Bands bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) dataframe['bb_lowerband'] = bollinger['lower'] dataframe['bb_middleband'] = bollinger['mid'] dataframe['bb_upperband'] = bollinger['upper'] dataframe["bb_percent"] = ( (dataframe["close"] - dataframe["bb_lowerband"]) / (dataframe["bb_upperband"] - dataframe["bb_lowerband"]) ) dataframe["bb_width"] = ( (dataframe["bb_upperband"] - dataframe["bb_lowerband"]) / dataframe["bb_middleband"] ) # Parabolic SAR dataframe['sar'] = ta.SAR(dataframe) # TEMA - Triple Exponential Moving Average dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9) # Cycle Indicator # ------------------------------------ # Hilbert Transform Indicator - SineWave hilbert = ta.HT_SINE(dataframe) dataframe['htsine'] = hilbert['sine'] dataframe['htleadsine'] = hilbert['leadsine'] # Pattern Recognition - Bullish candlestick patterns # ------------------------------------ # Hammer: values [0, 100] dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe) # Inverted Hammer: values [0, 100] dataframe['CDLINVERTEDHAMMER'] = ta.CDLINVERTEDHAMMER(dataframe) # Dragonfly Doji: values [0, 100] dataframe['CDLDRAGONFLYDOJI'] = ta.CDLDRAGONFLYDOJI(dataframe) # Piercing Line: values [0, 100] dataframe['CDLPIERCING'] = ta.CDLPIERCING(dataframe) # values [0, 100] # Morningstar: values [0, 100] dataframe['CDLMORNINGSTAR'] = ta.CDLMORNINGSTAR(dataframe) # values [0, 100] # Three White Soldiers: values [0, 100] dataframe['CDL3WHITESOLDIERS'] = ta.CDL3WHITESOLDIERS(dataframe) # values [0, 100] # Pattern Recognition - Bearish candlestick patterns # ------------------------------------ # Hanging Man: values [0, 100] dataframe['CDLHANGINGMAN'] = ta.CDLHANGINGMAN(dataframe) # Shooting Star: values [0, 100] dataframe['CDLSHOOTINGSTAR'] = ta.CDLSHOOTINGSTAR(dataframe) # Gravestone Doji: values [0, 100] dataframe['CDLGRAVESTONEDOJI'] = ta.CDLGRAVESTONEDOJI(dataframe) # Dark Cloud Cover: values [0, 100] dataframe['CDLDARKCLOUDCOVER'] = ta.CDLDARKCLOUDCOVER(dataframe) # Evening Doji Star: values [0, 100] dataframe['CDLEVENINGDOJISTAR'] = ta.CDLEVENINGDOJISTAR(dataframe) # Evening Star: values [0, 100] dataframe['CDLEVENINGSTAR'] = ta.CDLEVENINGSTAR(dataframe) # Pattern Recognition - Bullish/Bearish candlestick patterns # ------------------------------------ # Three Line Strike: values [0, -100, 100] dataframe['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(dataframe) # Spinning Top: values [0, -100, 100] dataframe['CDLSPINNINGTOP'] = ta.CDLSPINNINGTOP(dataframe) # values [0, -100, 100] # Engulfing: values [0, -100, 100] dataframe['CDLENGULFING'] = ta.CDLENGULFING(dataframe) # values [0, -100, 100] # Harami: values [0, -100, 100] dataframe['CDLHARAMI'] = ta.CDLHARAMI(dataframe) # values [0, -100, 100] # Three Outside Up/Down: values [0, -100, 100] dataframe['CDL3OUTSIDE'] = ta.CDL3OUTSIDE(dataframe) # values [0, -100, 100] # Three Inside Up/Down: values [0, -100, 100] dataframe['CDL3INSIDE'] = ta.CDL3INSIDE(dataframe) # values [0, -100, 100] # # Chart type # # ------------------------------------ # # Heikin Ashi Strategy heikinashi = qtpylib.heikinashi(dataframe) dataframe['ha_open'] = heikinashi['open'] dataframe['ha_close'] = heikinashi['close'] dataframe['ha_high'] = heikinashi['high'] dataframe['ha_low'] = heikinashi['low'] return dataframe class ElliotV3_20210724(IStrategy): INTERFACE_VERSION = 2 # ROI table: minimal_roi = { "0": 0.259, "20": 0.087, "64": 0.038, "168": 0 } # Stoploss: stoploss = -0.274 # SMAOffset base_nb_candles_buy = IntParameter( 5, 80, default=buy_params['base_nb_candles_buy'], space='buy', optimize=True) 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=True) high_offset = DecimalParameter( 0.99, 1.1, default=sell_params['high_offset'], space='sell', optimize=True) # Protection fast_ewo = 50 slow_ewo = 200 ewo_low = DecimalParameter(-20.0, -8.0, default=buy_params['ewo_low'], space='buy', optimize=True) ewo_high = DecimalParameter( 2.0, 12.0, default=buy_params['ewo_high'], space='buy', optimize=True) rsi_buy = IntParameter(30, 70, default=buy_params['rsi_buy'], space='buy', optimize=True) # Trailing stop: trailing_stop = True trailing_stop_positive = 0.01 trailing_stop_positive_offset = 0.049 trailing_only_offset_is_reached = True # Sell signal use_sell_signal = True sell_profit_only = False sell_profit_offset = 0.01 ignore_roi_if_buy_signal = True ## Optional order time in force. order_time_in_force = { 'buy': 'gtc', 'sell': 'ioc' } # Optimal timeframe for the strategy timeframe = '5m' informative_timeframe = '1h' process_only_new_candles = True startup_candle_count = 39 plot_config = { 'main_plot': { 'ma_buy': {'color': 'orange'}, 'ma_sell': {'color': 'orange'}, }, } use_custom_stoploss = False def informative_pairs(self): pairs = self.dp.current_whitelist() informative_pairs = [(pair, self.informative_timeframe) for pair in pairs] return informative_pairs def get_informative_indicators(self, metadata: dict): dataframe = self.dp.get_pair_dataframe( pair=metadata['pair'], timeframe=self.informative_timeframe) return dataframe def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # Calculate all ma_buy values for val in self.base_nb_candles_buy.range: dataframe[f'ma_buy_{val}'] = ta.EMA(dataframe, timeperiod=val) # Calculate all ma_sell values for val in self.base_nb_candles_sell.range: dataframe[f'ma_sell_{val}'] = ta.EMA(dataframe, timeperiod=val) # Elliot dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) # RSI dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] conditions.append( ( (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) ) ) conditions.append( ( (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) ) ) if conditions: dataframe.loc[ reduce(lambda x, y: x | y, conditions), 'buy' ]=1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] conditions.append( ( (dataframe['close'] > (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) & (dataframe['volume'] > 0) ) ) if conditions: dataframe.loc[ reduce(lambda x, y: x | y, conditions), 'sell' ]=1 return dataframe