# source: https://raw.githubusercontent.com/fortesenselabs/trade_flow/91d8c549438fbdf81cf5be32905269231b99c6ab/packages/ft_strategies/user_data/strategies/TradeFlowAgentStrategy.py # pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement # flake8: noqa: F401 # isort: skip_file # --- Do not remove these imports --- from functools import reduce import numpy as np import pandas as pd from datetime import datetime, timedelta, timezone from pandas import DataFrame from typing import Optional, Union from freqtrade.strategy import ( IStrategy, Trade, Order, PairLocks, informative, # @informative decorator BooleanParameter, CategoricalParameter, DecimalParameter, IntParameter, RealParameter, # timeframe helpers timeframe_to_minutes, timeframe_to_next_date, timeframe_to_prev_date, # Strategy helper functions merge_informative_pair, stoploss_from_absolute, stoploss_from_open, ) # Additional libraries import talib.abstract as ta from technical import qtpylib # from .indicators import OptimizedSupportResistanceIndicator class Github_fortesenselabs_trade_flow__TradeFlowAgentStrategy__20241128_170354(IStrategy): """ A sample reinforcement learning (RL) agent strategy for Freqtrade. This strategy is built to interface with FreqAI for feature engineering and training. The strategy includes: - Feature engineering functions to generate technical indicators - Custom target setting for RL models - Population of entry and exit conditions based on the model's predictions Documentation on Freqtrade strategy customization can be found here: https://www.freqtrade.io/en/latest/strategy-customization/ """ INTERFACE_VERSION = 3 # Strategy interface version # Set the optimal timeframe for the strategy. timeframe = "3m" # Can this strategy go short? can_short: bool = False # Optimal stoploss designed for the strategy. # This attribute will be overridden if the config file contains "stoploss". stoploss = -0.10 # Enable trailing stoploss functionality. trailing_stop = True # Define the number of candles required before producing valid signals startup_candle_count: int = 60 def informative_pairs(self): """ Define additional, informative pair/interval combinations to be cached from the exchange. These pair/interval combinations are non-tradeable, unless they are part of the whitelist as well. For more information, please consult the documentation :return: List of tuples in the format (pair, interval) Sample: return [("ETH/USDT", "5m"), ("BTC/USDT", "15m"), ] """ return [] def feature_engineering_expand_all( self, dataframe: DataFrame, period: int, **kwargs ) -> DataFrame: """ Expands the defined features for the strategy, including: - Normalized close price series - Returns over various time periods (1-month, 2-month, 3-month, 1-year) - Volatility adjustment for returns - MACD indicators using TA-Lib - RSI (Relative Strength Index) with a 30-day lookback :param dataframe: The strategy dataframe to receive the features :param period: The period for the indicators (for example, EMA or RSI period) :return: The updated dataframe with new features """ # Existing features (RSI, MFI, ADX, SMA, EMA) dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=30) # RSI (Relative Strength Index) with a 30-period lookback dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period) dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period) dataframe["%-sma-period"] = ta.SMA(dataframe, timeperiod=period) dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period) # MACD macd = ta.MACD(dataframe, fastperiod=12, slowperiod=26, signalperiod=9) dataframe["%-macd"] = macd["macd"] dataframe["%-macdsignal"] = macd["macdsignal"] dataframe["%-macdhist"] = macd["macdhist"] # Calculate the 63-period rolling standard deviation of prices for volatility normalization dataframe["%-price_volatility_63"] = dataframe["close"].rolling(window=63).std() # Normalize MACD indicator by dividing it by the 63-period rolling price volatility # dataframe["%-normalized_macd"] = macd["macd"] / dataframe["%-price_volatility_63"] # Normalized Close Price Series: (normalized by daily volatility adjustment) # Calculate daily returns dataframe["%-daily_returns"] = dataframe["close"].pct_change() # Calculate 252-period rolling volatility (standard deviation of daily returns) dataframe["%-volatility_252"] = ( dataframe["%-daily_returns"].ewm(span=60, min_periods=1).std() ) # Calculate returns for multiple periods (1-month, 2-months, 3-months, 1-year) dataframe["%-returns_one_month"] = dataframe["close"].pct_change( periods=21 ) # 1 month = 21 trading periods dataframe["%-returns_two_months"] = dataframe["close"].pct_change( periods=42 ) # 2 months = 42 trading periods dataframe["%-returns_three_months"] = dataframe["close"].pct_change( periods=63 ) # 3 months = 63 trading periods dataframe["%-returns_one_year"] = dataframe["close"].pct_change( periods=252 ) # 1 year = 252 trading periods # Normalize returns over the past 1-year period (252 periods) using daily volatility dataframe["%-normalized_annual_returns"] = ( dataframe["%-daily_returns"].rolling(window=252).mean() / dataframe["%-volatility_252"] ) # Bollinger Bands - Weighted (EMA based instead of SMA) weighted_bollinger = qtpylib.weighted_bollinger_bands( qtpylib.typical_price(dataframe), window=20, stds=2 ) dataframe["%-wbb_upperband"] = weighted_bollinger["upper"] dataframe["%-wbb_lowerband"] = weighted_bollinger["lower"] dataframe["%-wbb_middleband"] = weighted_bollinger["mid"] dataframe["%-wbb_percent"] = ( (dataframe["close"] - dataframe["%-wbb_lowerband"]) / (dataframe["%-wbb_upperband"] - dataframe["%-wbb_lowerband"]) ) dataframe["%-wbb_width"] = ( (weighted_bollinger["upper"] - weighted_bollinger["lower"]) / weighted_bollinger["mid"] ) # 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] # sr_indicator = OptimizedSupportResistanceIndicator(self.raw_features) # get_sr_levels = sr_indicator.detect(window_size=1) # dataframe['%-support_levels'] = get_sr_levels["Support"] # dataframe['%-resistance_levels'] = get_sr_levels["Resistance"] return dataframe def feature_engineering_expand_basic(self, dataframe: DataFrame, **kwargs) -> DataFrame: """ Expands basic features using config-defined settings like `include_timeframes` and `include_shifted_candles`. Features added: pct-change, raw volume, raw price. :param dataframe: The strategy dataframe to receive the features :return: The updated dataframe with basic features """ dataframe["%-pct-change"] = dataframe["close"].pct_change() # dataframe["%-raw_volume"] = dataframe["volume"] # dataframe["%-raw_price"] = dataframe["close"] return dataframe def feature_engineering_standard(self, dataframe: DataFrame, **kwargs) -> DataFrame: """ Adds standard features necessary for RL models and custom features like `day_of_week` and `hour_of_day`. :param dataframe: The strategy dataframe to receive the features :return: The updated dataframe with standard features """ dataframe["%-raw_close"] = dataframe["close"] dataframe["%-raw_open"] = dataframe["open"] dataframe["%-raw_high"] = dataframe["high"] dataframe["%-raw_low"] = dataframe["low"] dataframe["%-raw_volume"] = dataframe["volume"] dataframe["%-day_of_week"] = (dataframe["date"].dt.dayofweek + 1) / 7 dataframe["%-hour_of_day"] = (dataframe["date"].dt.hour + 1) / 25 return dataframe def set_freqai_targets(self, dataframe: DataFrame, **kwargs) -> DataFrame: """ Sets the targets for the FreqAI model. For RL, this is a neutral filler until the agent provides its action. :param dataframe: The strategy dataframe to receive the targets :return: The updated dataframe with targets """ dataframe["&-action"] = 0 # Default neutral target for RL return dataframe def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Populates the indicators in the dataframe, using FreqAI's start method. :param dataframe: The strategy dataframe to receive the indicators :param metadata: Metadata associated with the strategy :return: The updated dataframe with indicators """ dataframe = self.freqai.start(dataframe, metadata, self) return dataframe def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame: """ Populates the entry conditions for the strategy based on model predictions. :param df: The strategy dataframe to receive the entry trends :param metadata: Metadata associated with the strategy :return: The updated dataframe with entry trends """ enter_long_conditions = [df["do_predict"] == 1, df["&-action"] == 1] if enter_long_conditions: df.loc[ reduce(lambda x, y: x & y, enter_long_conditions), ["enter_long", "enter_tag"] ] = (1, "long") enter_short_conditions = [df["do_predict"] == 1, df["&-action"] == 3] if enter_short_conditions: df.loc[ reduce(lambda x, y: x & y, enter_short_conditions), ["enter_short", "enter_tag"] ] = (1, "short") return df def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame: """ Populates the exit conditions for the strategy based on model predictions. :param df: The strategy dataframe to receive the exit trends :param metadata: Metadata associated with the strategy :return: The updated dataframe with exit trends """ exit_long_conditions = [df["do_predict"] == 1, df["&-action"] == 2] if exit_long_conditions: df.loc[reduce(lambda x, y: x & y, exit_long_conditions), "exit_long"] = 1 exit_short_conditions = [df["do_predict"] == 1, df["&-action"] == 4] if exit_short_conditions: df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1 return df