# source: https://raw.githubusercontent.com/TheoBrigitte/freqtrade/82c1c1e1f5f3457fa5376f65124042aff88d7493/strategies/sponsors/zorkv7_0_0.py from datetime import datetime, timedelta from typing import Optional, Union import random import talib.abstract as ta import pandas as pd from pandas import DataFrame import numpy as np from freqtrade.persistence import Trade from freqtrade.strategy import IStrategy, DecimalParameter, IntParameter, CategoricalParameter, merge_informative_pair from freqtrade.exchange import timeframe_to_prev_date from technical.util import resample_to_interval, resampled_merge from technical.indicators import zema, vfi from sklearn import preprocessing import freqtrade.vendor.qtpylib.indicators as qtpylib # Hyperopt instructions # 0) set ROI to "0": 1, set stoploss to -0.3, and comment out trailing stoploss # 1) hyperopt on buy and sell spaces only and update params # 2) hyperopt on ROI only and update table # 3) hyperopt on stoploss and update # 4) hyperopt on trailing only if required # # author @jimmynixx and his special sauce - inspired by @rextea, rk2 version by @rk, roi and custom_sell from @your_secret_admirer, zema7 exit check from @zx, munged into being by @froggleston with Solipsis inspiration and memey goodness from @werkkrew class Github_TheoBrigitte_freqtrade__zorkv7_0_0__20241203_205711(IStrategy): # ROI table: minimal_roi = { "0":1 # "0": 0.078, # "40": 0.062, # "99": 0.039, # "218": 0 } stoploss = -0.1 # Buy hyperspace params: buy_params = { 'low_offset': 0.964, 'wma_low_offset': 0.979, 'ma_len_buy': 51, 'buy_ma_type': 'zema', } # Sell hyperspace params: # sell_params = { # "max_roi_time": 95, # "max_stoploss_time": 204, # "roi_factor_bear": 1.145, # "roi_factor_bull": 6.21, # "sl_factor_bear": 1.054, # "sl_factor_bull": 9.22, # "high_offset": 1.004, # value loaded from strategy # "ma_len_sell": 72, # value loaded from strategy # "msq_normabs_sell": 1.95, # value loaded from strategy # "sell_ma_type": "zema", # value loaded from strategy # "trail_amount": 0.006, # value loaded from strategy # "wma_high_offset": 1.04, # value loaded from strategy # } # Sell hyperspace params: sell_params = { "max_roi_time": 36, "max_stoploss_time": 65, "roi_factor_bear": 4.045, "roi_factor_bull": 4.75, "sl_factor_bear": 2.932, "sl_factor_bull": 8.648, "high_offset": 1.004, # value loaded from strategy "ma_len_sell": 72, # value loaded from strategy "msq_normabs_sell": 1.95, # value loaded from strategy "sell_ma_type": "zema", # value loaded from strategy "trail_amount": 0.006, # value loaded from strategy "wma_high_offset": 1.04, # value loaded from strategy } # Trailing stop: trailing_stop = False trailing_stop_positive = 0.02 # 0.02 trailing_stop_positive_offset = 0.045 # 0.045 trailing_only_offset_is_reached = False # Custom stoploss use_custom_stoploss = False use_sell_signal = True sell_profit_only = True ignore_roi_if_buy_signal = True # Run "populate_indicators()" only for new candle. process_only_new_candles = False # Number of candles the strategy requires before producing valid signals startup_candle_count: int = 300 timeframe = '5m' informative_timeframe = '5m' pair_informative_timeframe = '1h' informative_coin = "ETH" high_offset = DecimalParameter(1, 1.20, default=1.004, space='sell', optimize=False) wma_high_offset = DecimalParameter(1, 1.20, default=1.01, space='sell', optimize=False) low_offset = DecimalParameter(0.80, 0.99, default=0.974, space='buy', optimize=False) wma_low_offset = DecimalParameter(0.80, 0.99, default=0.944, space='buy', optimize=False) ma_len_buy = IntParameter(30, 90, default=72, space='buy', optimize=False) ma_len_sell = IntParameter(30, 90, default=51, space='sell', optimize=False) buy_ma_type = CategoricalParameter(['zema', 'wma'], space='buy', default='zema', optimize=False) sell_ma_type = CategoricalParameter(['zema', 'wma'], space='sell', default='zema', optimize=False) msq_normabs_sell = DecimalParameter(1.0, 4.0, default=2, space='sell', optimize=False) roi_factor_bear = DecimalParameter(0.5, 5, default=2, space='sell', optimize=True, load=True) roi_factor_bull = DecimalParameter(0.5, 5, default=2, space='sell', optimize=True, load=True) sl_factor_bear = DecimalParameter(1, 10, default=3, space='sell', optimize=True, load=True) sl_factor_bull = DecimalParameter(1, 10, default=3, space='sell', optimize=True, load=True) max_stoploss_time = IntParameter(30, 240, default=100, space='sell', optimize=True, load=True) max_roi_time = IntParameter(30, 240, default=100, space='sell', optimize=True, load=True) trail_amount = DecimalParameter(0.005, 0.03, default=0.01, space='sell', load=True, optimize=False) market_df = None plot_config = { 'main_plot': { 'ma_buy': {'color': 'green'}, 'ma_sell': {'color': 'red'}, }, 'subplots': { } } def get_ticker_indicator(self): return int(self.timeframe[:-1]) def informative_pairs(self): pairs = self.dp.current_whitelist() informative_pairs = [(pair, self.pair_informative_timeframe) for pair in pairs] return informative_pairs def inf_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=self.pair_informative_timeframe) informative['ema_50'] = ta.EMA(informative, timeperiod=50) informative['ema_200'] = ta.EMA(informative, timeperiod=200) return informative def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: pinformative = self.inf_indicators(dataframe, metadata) dataframe = merge_informative_pair(dataframe, pinformative, self.timeframe, self.pair_informative_timeframe, ffill=True) dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) dataframe['zema7'] = zema(dataframe, period=7) dataframe['zema100'] = ta.EMA(dataframe, timeperiod=100) dataframe['wma100'] = ta.WMA(dataframe, timeperiod=300) informative = self.dp.get_pair_dataframe(f'{self.informative_coin}/USDT', self.informative_timeframe) informative['sma50'] = ta.SMA(informative, timeperiod=50) informative['sma100'] = ta.SMA(informative, timeperiod=100) informative['sma200'] = ta.SMA(informative, timeperiod=200) informative['rsi'] = ta.RSI(informative, timeperiod=14) # Bollinger Bands because obviously bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=20, stds=1) informative['bb_lowerband'] = bollinger['lower'] informative['bb_middleband'] = bollinger['mid'] informative['bb_upperband'] = bollinger['upper'] # informative SAR if roi_decay<0.005: roi_estimate = 0.005 informative[f'{self.informative_coin}_sar'] = ta.SAR(informative) informative[f'{self.informative_coin}_dmi_plus'] = ta.PLUS_DI(informative, timeperiod=14) informative[f'{self.informative_coin}_dmi_minus'] = ta.MINUS_DI(informative, timeperiod=14) informative[f'{self.informative_coin}_adx'] = ta.ADX(informative, timeperiod=9) informative[f'{self.informative_coin}_roc'] = ta.ROC(informative, timeperiod=6) dataframe = merge_informative_pair(dataframe, informative, self.timeframe, self.informative_timeframe, ffill=True) for length in self.ma_len_buy.range: dataframe[f'zema_{length}'] = zema(dataframe, period=length) dataframe[f'wma_{length}'] = ta.WMA(dataframe, timeperiod=length) for length in self.ma_len_sell.range: if f'zema_{length}' not in dataframe: dataframe[f'zema_{length}'] = zema(dataframe, period=length) dataframe[f'wma_{length}'] = ta.WMA(dataframe, timeperiod=length) dataframe['zema_buy'] = dataframe[f'zema_{self.ma_len_buy.value}'] * self.low_offset.value dataframe['zema_sell'] = dataframe[f'zema_{self.ma_len_sell.value}'] * self.high_offset.value dataframe['wma_buy'] = dataframe[f'wma_{self.ma_len_buy.value}'] * self.wma_low_offset.value dataframe['wma_sell'] = dataframe[f'wma_{self.ma_len_sell.value}'] * self.wma_high_offset.value msq_normabs = self.MadSqueeze(dataframe, period=14, ref=13, sqzlen=5) dataframe['msq_normabs'] = msq_normabs dataframe['sar'] = ta.SAR(dataframe) dataframe['mfi'] = ta.MFI(dataframe) #dataframe_macro = resample_to_interval(dataframe, self.get_ticker_indicator()) dataframe['high-low'] = dataframe['high'] - dataframe['low'] dataframe['open-close'] = dataframe['open'] - dataframe['close'] dataframe['avg_candle_size'] = dataframe['high-low'].rolling(20).mean() dataframe['pct_change'] = (dataframe['close'] - dataframe['close'].shift(1)) / dataframe['close'] #dataframe = resampled_merge(dataframe, dataframe_macro) dataframe = self.custom_roi_stoploss_bmsb_ATR(dataframe,12) dataframe = self.get_market_trend(dataframe) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: ma_buy = f'{self.buy_ma_type.value}_{self.ma_len_buy.value}' outside_range = 4 dataframe.loc[ ( ## JIMMY'S SPECIAL SAUCE DO NOT TOUCH (dataframe['ema_50_1h'] > dataframe['ema_200_1h']) & (dataframe[f'{self.informative_coin}_dmi_minus_5m'] > dataframe[f'{self.informative_coin}_dmi_plus_5m']) & (dataframe[f'{self.informative_coin}_dmi_minus_5m'] > 25) & (dataframe[f'{self.informative_coin}_dmi_plus_5m'] < 10) & ( ( ((dataframe['open'] < (dataframe[ma_buy] * self.low_offset.value)).rolling(window=outside_range).sum() == outside_range) & ((dataframe['close'] < (dataframe[ma_buy] * self.low_offset.value)).rolling(window=outside_range).sum() == outside_range) & (dataframe['close'] < dataframe[f'{self.buy_ma_type.value}100']) ) | ( (dataframe['close'] < (dataframe[ma_buy] * self.low_offset.value)) & (dataframe['close'] > dataframe[f'{self.buy_ma_type.value}100']) ) ) & (dataframe['volume'] > 0) ), 'buy'] = 1 ## comment out to be less strict dataframe.loc[ ( ## don't buy shitecoins - thanks @rextea! (dataframe['up-ratio'] <= 0.15) | # low activity sideways periods - reduce to allow more buys (dataframe['msq_normabs'] < 1.2) | ( # wacky shit happening (dataframe['zema_sell'] > dataframe['wma_sell']) | (dataframe['zema_buy'] > dataframe['wma_buy']) ) & ( # informative guards (BTC/ETH) (dataframe[f'{self.informative_coin}_roc_5m'] < -5) & (dataframe[f'{self.informative_coin}_roc_5m'] < dataframe[f'{self.informative_coin}_roc_5m'].shift()) ) ),'buy'] = 0 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: ma_sell = f'{self.sell_ma_type.value}_{self.ma_len_sell.value}' #stock zemaoff_rk sell dataframe.loc[ ( (dataframe['close'] > (dataframe[ma_sell] * self.high_offset.value)) & (dataframe['close'] < dataframe[f'{self.sell_ma_type.value}100']) & (dataframe['volume'] > 0) ), 'sell'] = 1 ## comment out to be less strict dataframe.loc[ ( (dataframe['close'] < dataframe['wma100']) | ( (dataframe['close'] < dataframe['zema_sell']) & (dataframe['close'] < dataframe['sar']) ) ), 'sell'] = 0 return dataframe ## drafty's custom_sell from golden_corralation def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float, current_profit: float, **kwargs): dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe) current_candle = dataframe.iloc[-1].squeeze() current_profit = trade.calc_profit_ratio(current_candle['close']) trade_date = timeframe_to_prev_date("5m",trade.open_date_utc) trade_candle = dataframe.loc[(dataframe['date'] == trade_date)] if trade_candle.empty: return None trade_candle = trade_candle.squeeze() open_price = (1 - current_profit) * current_rate roi_price = trade_candle['roi_price'] roi_estimate = ( roi_price / open_price ) - 1 if roi_estimate > 0.08: roi_estimate=0.08 custom_roi = roi_estimate stoploss_price = trade_candle['custom_stop_loss'] if stoploss_price<0: stoploss_price = -stoploss_price stoploss_estimate = 1 - (stoploss_price / open_price) if stoploss_estimate>-self.stoploss: stoploss_estimate = -self.stoploss stoploss_decay = stoploss_estimate * ( 1 - ((current_time - trade.open_date_utc).seconds) / (self.max_stoploss_time.value*60)) # linear decay if (current_profit < -stoploss_decay): if trade_candle['resample_{}_bmsb'.format(self.get_ticker_indicator()*12)] == 0: return 'custom_bear_stop_loss' else: return 'custom_bull_stop_loss' roi_decay = roi_estimate * ( 1 - ((current_time - trade.open_date_utc).seconds) / (self.max_roi_time.value*60)) # linear decay #roi_decay = roi_estimate * np.exp(-(current_time - trade.open_date_utc).seconds) / (120*60) # exponential decay if roi_decay < 0.005: roi_estimate = 0.005 else: roi_estimate = roi_decay if current_profit > roi_estimate: if trade_candle['resample_{}_bmsb'.format(self.get_ticker_indicator()*12)] == 0: return 'roi_custom_bear' else: return 'roi_custom_bull' def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float, rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool: dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) last_candle = dataframe.iloc[-1].squeeze() # if rate < trade.stop_loss: return True if (last_candle is not None): current_profit = trade.calc_profit_ratio(rate) max_profit = max(0, trade.calc_profit_ratio(trade.max_rate)) pullback_value = max(0, (max_profit - self.trail_amount.value)) if (sell_reason in ('force_sell', 'sell_signal')) or (sell_reason.endswith('stop_loss')): return True # Ignore ROI if seems to go up: if sell_reason.startswith('roi'): if last_candle['buy']: return False if (current_profit >= pullback_value): if (last_candle['rsi'] > 40): if (last_candle['close'] > last_candle['wma100']) & (last_candle['close'] > last_candle['zema7']): return False if (last_candle['mfi'] < 70): return False return True return False return True ## comment in for @rextea's random coin purse sampler # def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, # time_in_force: str, current_time: datetime, **kwargs) -> bool: # rand = random.randint(1, 10) # if rand == 1: # return False # # return True ## def custom_roi_stoploss_bmsb_ATR(self, dataframe, window): dataframe_macro = resample_to_interval(dataframe, self.get_ticker_indicator()*window) # 1 hr dataframe_macro['ATR'] = ta.ATR(dataframe_macro, timeperiod=14) dataframe_macro['20sma'] = ta.SMA(dataframe_macro,timeperiod=20) dataframe_macro['21ema'] = ta.EMA(dataframe_macro,timeperiod=21) dataframe_macro['bmsb'] = np.where((dataframe_macro['20sma'] > dataframe_macro['21ema']) & (dataframe_macro['close'] > dataframe_macro['20sma']), 1, 0) dataframe = resampled_merge(dataframe, dataframe_macro) dataframe['custom_stop_loss'] = np.where(dataframe['resample_{}_bmsb'.format(self.get_ticker_indicator()*window)] == 0, dataframe['low'] - dataframe['resample_{}_ATR'.format(self.get_ticker_indicator()*window)] * self.sl_factor_bear.value, dataframe['low'] - dataframe['resample_{}_ATR'.format(self.get_ticker_indicator()*window)] * self.sl_factor_bull.value) dataframe['roi_price'] = np.where(dataframe['resample_{}_bmsb'.format(self.get_ticker_indicator()*window)] == 0, dataframe['close'] + dataframe['resample_{}_ATR'.format(self.get_ticker_indicator()*window)] * self.roi_factor_bear.value, dataframe['close'] + dataframe['resample_{}_ATR'.format(self.get_ticker_indicator()*window)] * self.roi_factor_bull.value) return dataframe def get_market_trend(self, dataframe): pairs = self.dp.current_whitelist() top20 = pairs[:20] if self.market_df is None: self.market_df = dataframe.copy()[['date']] self.market_df['up'] = 0 for pair in top20: df = self.dp.get_pair_dataframe(pair=pair, timeframe=self.informative_timeframe) df['up'] = np.where(df['close'] > df['close'].shift(12), 1, 0) self.market_df['up'] = self.market_df['up'].add(df['up']) self.market_df['up-ratio'] = self.market_df['up'] / len(top20) dataframe = pd.merge(dataframe, self.market_df[['date', 'up', 'up-ratio']], on='date', how='left') return dataframe def SSLChannels_ATR(self, dataframe, length=7): """ SSL Channels with ATR: https://www.tradingview.com/script/SKHqWzql-SSL-ATR-channel/ Credit to @JimmyNixx for python """ df = dataframe.copy() df['ATR'] = ta.ATR(df, timeperiod=14) df['smaHigh'] = df['high'].rolling(length).mean() + df['ATR'] df['smaLow'] = df['low'].rolling(length).mean() - df['ATR'] df['hlv'] = np.where(df['close'] > df['smaHigh'], 1, np.where(df['close'] < df['smaLow'], -1, np.NAN)) df['hlv'] = df['hlv'].ffill() df['sslDown'] = np.where(df['hlv'] < 0, df['smaHigh'], df['smaLow']) df['sslUp'] = np.where(df['hlv'] < 0, df['smaLow'], df['smaHigh']) return df['sslDown'], df['sslUp'] def SROC(self, dataframe, roclen=21, emalen=13, smooth=21): df = dataframe.copy() roc = ta.ROC(df, timeperiod=roclen) ema = ta.EMA(df, timeperiod=emalen) sroc = ta.ROC(ema, timeperiod=smooth) return sroc ## based on https://www.tradingview.com/script/9bUUSzM3-Madrid-Trend-Squeeze/ def MadSqueeze(self, dataframe, period=34, ref=13, sqzlen=5): df = dataframe.copy() # min period force if period < 14: period = 14 ma = ta.EMA(df['close'], period) closema = df['close'] - ma df['msq_closema'] = closema refma = ta.EMA(df['close'], ref) - ma df['msq_refma'] = refma sqzma = ta.EMA(df['close'], sqzlen) - ma df['msq_sqzma'] = sqzma ## Apply a non-parametric transformation to map the Madrid Trend Squeeze data to a Gaussian. ## We do this to even out the peaks across the dataframe, and end up with a normally distributed measure of the variance ## between ma, the reference EMA and the squeezed EMA ## The bigger the number, the bigger the peak detected. Buys and sells tend to happen at the peaks. # max samples 100000 n_quants = 100000 if df.shape[0] >= 100000 else df.shape[0]-1 quantt = preprocessing.QuantileTransformer(output_distribution='normal', random_state=0, n_quantiles=n_quants) df['msq_abs'] = (df['msq_closema'].fillna(0).abs() + df['msq_refma'].fillna(0).abs() + df['msq_sqzma'].fillna(0).abs()) df['msq_normabs'] = quantt.fit_transform(df[['msq_abs']]) return df['msq_normabs']