# source: https://raw.githubusercontent.com/furkntrg41/trade_Bot/16930103ecdbf4555ae968325fbfc5a8e5f86bb7/user_data/strategies/FreqaiExampleStrategy.py """ FreqAI + LightGBM Futures Strategy - SOLID Architecture ======================================================== Refactored following SOLID principles: - SRP: Each service has single responsibility - OCP: Open for extension (new providers via interfaces) - LSP: Services interchangeable via interfaces - ISP: Segregated interfaces (ISentimentProvider, IMarketDataProvider, etc.) - DIP: Depends on abstractions, not concretions (constructor injection) Architecture: /core -> Domain interfaces /infrastructure -> API clients (CoinGecko, Binance, CryptoPanic) /application -> Business logic services (Cointegration, Sentiment) Github_furkntrg41_trade_Bot__FreqaiExampleStrategy__20260203_020557 -> Orchestration layer (thin controller) """ import logging import time from typing import Optional from datetime import datetime import numpy as np import pandas as pd import talib.abstract as ta from pandas import DataFrame from technical import qtpylib from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter, IStrategy, merge_informative_pair from freqtrade.persistence import Trade # Logger first (for import-time usage) logger = logging.getLogger(__name__) # Dependency injection container (IoC) # Use absolute imports for FreqTrade compatibility import sys import os sys.path.insert(0, os.path.dirname(os.path.abspath(__file__))) # REFACTORED: Dynamic config-driven container (OCP compliance) from application.dynamic_service_container import DynamicServiceContainer # Statsmodels availability check try: from statsmodels.tsa.stattools import coint from statsmodels.api import OLS, add_constant HAS_STATSMODELS = True except ImportError: HAS_STATSMODELS = False logger.warning("statsmodels not available - cointegration features disabled") class Github_furkntrg41_trade_Bot__FreqaiExampleStrategy__20260203_020557(IStrategy): """ FreqAI LightGBM Strategy - SOLID Architecture This strategy is now a thin orchestration layer (Controller pattern). All business logic delegated to services via dependency injection. Services (injected via IoC container): - CointegrationService: Statistical arbitrage logic - SentimentAggregatorService: Multi-source sentiment analysis - MarketDataProvider: Binance funding rate, Fear & Greed - CacheService: In-memory caching SOLID compliance: - SRP: Strategy only orchestrates, doesn't implement business logic - OCP: New features added via new services, not modifying existing code - DIP: Depends on interfaces (ICointegrationAnalyzer, etc.), not implementations """ def __init__(self, config: dict) -> None: super().__init__(config) # REFACTORED: Dynamic config-driven container (OCP compliance) # Add/remove providers in YAML - NO code modification self._container = DynamicServiceContainer() # Injected services (DIP: depend on abstractions) self._cointegration_service = self._container.cointegration_service self._sentiment_aggregator = self._container.sentiment_aggregator self._market_data_provider = self._container.market_data_provider self._cache_service = self._container.cache_service logger.info(f"✅ Strategy initialized with providers: {self._container.get_provider_stats()}") # ROI: Fibonacci-based, momentum decay # Based on: Price Action candle expansion patterns minimal_roi = { "0": 0.08, # Initial expansion target "36": 0.055, # 3-hour consolidation "120": 0.04, # Momentum loss threshold "300": 0.025 # Long-term hold (5 hours) } # Stoploss: ATR-based (Ref: ML Trading Risk Mgmt) # Tighter than before: %5.5 max loss per trade # With 2x leverage = ~%11 effective drawdown stoploss = -0.055 # Trailing stoploss: Break-even + trailing logic # Ref: Price Action - "Hide stop behind support" # Ref: Market Microstructure - Limit order clustering trailing_stop = True trailing_stop_positive = 0.018 # Start trailing at +1.8% (ATR * 0.5) trailing_stop_positive_offset = 0.065 # Target +6.5% (ATR * 1.8) trailing_only_offset_is_reached = True # Timeframe timeframe = "5m" # Informative pairs - Multi-timeframe analiz için def informative_pairs(self): """15m ve 1h RSI için informative pairs tanımla""" # dp hazır değilse boş dön if not self.dp: return [] pairs = self.dp.current_whitelist() informative_pairs = [] for pair in pairs: informative_pairs.append((pair, "15m")) informative_pairs.append((pair, "1h")) return informative_pairs # Futures ayarları can_short = True # Short pozisyon açabilir def leverage(self, pair: str, current_time, current_rate: float, proposed_leverage: float, max_leverage: float, entry_tag, side: str, **kwargs) -> float: """ Dinamik leverage. Dry-run'da düşük tut, risk kontrolü için. Gerçek trade'de bile max 3x önerilir. """ # Dry-run'da güvenli leverage return 2.0 # FreqAI zorunlu ayarlar process_only_new_candles = True use_exit_signal = True # FreqAI prediction threshold - OPTIMIZED RANGES # Ref: ML Trading - Feature importance threshold optimization # Wider range for market microstructure sensitivity entry_threshold = DecimalParameter(0.02, 1.5, default=0.06, space="buy", optimize=True) exit_threshold = DecimalParameter(-1.5, -0.02, default=-0.06, space="sell", optimize=True) # Hyperopt parameters buy_rsi = IntParameter(20, 40, default=30, space="buy", optimize=True) sell_rsi = IntParameter(60, 80, default=70, space="sell", optimize=True) def _get_sentiment_data(self, pair: str) -> dict: """ Orchestrates sentiment data retrieval (Delegation to services) SRP: Strategy only coordinates, services do the work """ # Determine coin identifier if "BTC" in pair: symbol = "BTC" coin_id = "bitcoin" funding_symbol = "BTCUSDT" elif "ETH" in pair: symbol = "ETH" coin_id = "ethereum" funding_symbol = "ETHUSDT" else: return { 'sentiment': {'positive': 0, 'negative': 0, 'neutral': 100}, 'fear_greed': {'value': 50, 'classification': 'Neutral'}, 'funding_rate': 0.0 } # Cache check (30-min cache for API calls) import time cache_key = f"sentiment_data_{symbol}_{int(time.time() / 1800)}" cached = self._cache_service.get(cache_key) if cached: return cached # Delegate to services (DIP: depend on interfaces, not implementations) sentiment = self._sentiment_aggregator.get_aggregated_sentiment(symbol, coin_id) fear_greed = self._market_data_provider.get_fear_greed_index() funding_rate = self._market_data_provider.get_funding_rate(funding_symbol) result = { 'sentiment': sentiment, 'fear_greed': fear_greed, 'funding_rate': funding_rate } # Cache result self._cache_service.set(cache_key, result) return result def feature_engineering_expand_all( self, dataframe: DataFrame, period: int, metadata: dict, **kwargs ) -> DataFrame: """ FreqAI için feature üretimi. Bu fonksiyon config'deki indicator_periods_candles değerleri için çağrılır. period: [10, 20, 50] -> her biri için ayrı ayrı çalışır """ # RSI dataframe[f"%-rsi-period_{period}"] = ta.RSI(dataframe, timeperiod=period) # MFI - Money Flow Index dataframe[f"%-mfi-period_{period}"] = ta.MFI(dataframe, timeperiod=period) # ADX - Trend gücü dataframe[f"%-adx-period_{period}"] = ta.ADX(dataframe, timeperiod=period) # Bollinger Bands bollinger = qtpylib.bollinger_bands( qtpylib.typical_price(dataframe), window=period, stds=2.2 ) dataframe[f"%-bb_lowerband-period_{period}"] = bollinger["lower"] dataframe[f"%-bb_middleband-period_{period}"] = bollinger["mid"] dataframe[f"%-bb_upperband-period_{period}"] = bollinger["upper"] dataframe[f"%-bb_width-period_{period}"] = ( (bollinger["upper"] - bollinger["lower"]) / bollinger["mid"] ) # MACD macd = ta.MACD(dataframe, fastperiod=period, slowperiod=period*2, signalperiod=9) dataframe[f"%-macd-period_{period}"] = macd["macd"] dataframe[f"%-macdsignal-period_{period}"] = macd["macdsignal"] dataframe[f"%-macdhist-period_{period}"] = macd["macdhist"] # EMA dataframe[f"%-ema-period_{period}"] = ta.EMA(dataframe, timeperiod=period) # SMA dataframe[f"%-sma-period_{period}"] = ta.SMA(dataframe, timeperiod=period) # ATR - Volatilite dataframe[f"%-atr-period_{period}"] = ta.ATR(dataframe, timeperiod=period) # ROC - Rate of Change dataframe[f"%-roc-period_{period}"] = ta.ROC(dataframe, timeperiod=period) # Williams %R dataframe[f"%-willr-period_{period}"] = ta.WILLR(dataframe, timeperiod=period) # CCI dataframe[f"%-cci-period_{period}"] = ta.CCI(dataframe, timeperiod=period) return dataframe def feature_engineering_expand_basic( self, dataframe: DataFrame, metadata: dict, **kwargs ) -> DataFrame: """ Sabit period gerektirmeyen feature'lar. Fiyat değişimleri, pattern'ler vs. """ # Fiyat değişim oranları dataframe["%-pct_change"] = dataframe["close"].pct_change() dataframe["%-pct_change_2"] = dataframe["close"].pct_change(periods=2) dataframe["%-pct_change_5"] = dataframe["close"].pct_change(periods=5) # Volume değişimi dataframe["%-volume_pct_change"] = dataframe["volume"].pct_change() # High-Low range dataframe["%-hl_range"] = (dataframe["high"] - dataframe["low"]) / dataframe["close"] # Close pozisyonu (High-Low içinde nerede?) hl_range = dataframe["high"] - dataframe["low"] dataframe["%-close_position"] = np.where( hl_range > 0, (dataframe["close"] - dataframe["low"]) / hl_range, 0.5 # Eşit high-low durumunda orta nokta ) # VWAP - Rolling window (20 period) ile hesapla typical_price = (dataframe["high"] + dataframe["low"] + dataframe["close"]) / 3 vol_sum = dataframe["volume"].rolling(window=20).sum() dataframe["%-vwap"] = ( (typical_price * dataframe["volume"]).rolling(window=20).sum() / vol_sum.replace(0, np.nan) # Division by zero koruması ).fillna(typical_price) # NaN'ları typical_price ile doldur return dataframe def feature_engineering_standard( self, dataframe: DataFrame, metadata: dict, **kwargs ) -> DataFrame: """ FreqAI'ın beklediği standart feature'lar. %- prefix'i FreqAI'ın bunları feature olarak algılaması için zorunlu. """ # Day of week (0-6) dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek # Hour of day (0-23) dataframe["%-hour_of_day"] = dataframe["date"].dt.hour return dataframe def set_freqai_targets( self, dataframe: DataFrame, metadata: dict, **kwargs ) -> DataFrame: """ ML modelinin tahmin edeceği hedef değişken. &- prefix'i zorunlu. Burada: Gelecek N mum sonraki fiyat değişimi (%) label_period_candles config'den gelir (24 mum = 2 saat @ 5m) """ # Gelecekteki fiyat değişimi hesapla (pandas 2.1+ uyumlu) label_period = self.freqai_info["feature_parameters"]["label_period_candles"] future_close = dataframe["close"].shift(-label_period) dataframe["&-target"] = ((future_close - dataframe["close"]) / dataframe["close"]) * 100 return dataframe def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ MASTER FEATURE VECTOR - 4 Reference Books Integration Ref 1: Trading Exchanges (Harris) - Market Microstructure ├─ Bid-Ask Spread ├─ Order Book Imbalance └─ VWAP Deviation Ref 2: Time Series Analysis (Tsay) - Statistical Validity ├─ Log Returns (not raw prices) ├─ GARCH Volatility └─ Autocorrelation Ref 3: ML for Algorithmic Trading (Jansen) - Normalized Factors ├─ Z-Score Normalized RSI ├─ Normalized Momentum └─ Alpha Factor Combination Ref 4: Price Action Trading - Behavioral Patterns ├─ Support/Resistance Distance ├─ Breakout Detection └─ Candlestick Pattern Ratios """ # FreqAI prediction dataframe = self.freqai.start(dataframe, metadata, self) # ============================================= # 1. HARRIS: MARKET MICROSTRUCTURE FEATURES # ============================================= # Bid-Ask Spread proxy (using High-Low range) # Ref: Harris - "Spread reflects liquidity" dataframe['bid_ask_spread'] = (dataframe['high'] - dataframe['low']) / dataframe['close'] dataframe['bid_ask_spread'] = dataframe['bid_ask_spread'].rolling(14).mean() # Order Book Imbalance proxy (Volume direction) # Ref: Harris - "Bid vs Ask volume determines direction" dataframe['volume_up'] = dataframe['volume'].where(dataframe['close'] > dataframe['open'], 0) dataframe['volume_down'] = dataframe['volume'].where(dataframe['close'] <= dataframe['open'], 0) # Imbalance ratio: Bid volume / Ask volume dataframe['order_imbalance'] = (dataframe['volume_up'].rolling(14).sum() / (dataframe['volume_down'].rolling(14).sum() + 1)) # VWAP (Volume Weighted Average Price) # Ref: Harris - "Fiyat VWAP'ten sapma = Mean Reversion" typical_price = (dataframe['high'] + dataframe['low'] + dataframe['close']) / 3 dataframe['vwap'] = (typical_price * dataframe['volume']).rolling(20).sum() / dataframe['volume'].rolling(20).sum() dataframe['vwap_deviation'] = (dataframe['close'] - dataframe['vwap']) / dataframe['vwap'] # ============================================= # 2. TSAY: TIME SERIES FEATURES # ============================================= # Log Returns (not raw prices) # Ref: Tsay - "Unit Root problem: always use log returns" dataframe['log_returns'] = np.log(dataframe['close'] / dataframe['close'].shift(1)) # Simple Returns for GARCH dataframe['returns'] = dataframe['close'].pct_change() # GARCH(1,1) Volatility approximation # Ref: Tsay - "Conditional variance shows regime changes" # Simple exponential variance (approximation of GARCH) returns_sq = dataframe['returns'] ** 2 dataframe['garch_volatility'] = returns_sq.rolling(14).mean() ** 0.5 # Normalized volatility (z-score within window) vol_mean = dataframe['garch_volatility'].rolling(20).mean() vol_std = dataframe['garch_volatility'].rolling(20).std() dataframe['volatility_zscore'] = (dataframe['garch_volatility'] - vol_mean) / (vol_std + 1e-6) # Autocorrelation indicator (Ljung-Box equivalent) # Ref: Tsay - "Check for white noise before modeling" dataframe['returns_autocorr'] = dataframe['returns'].rolling(20).apply( lambda x: x.autocorr() if len(x) > 1 else 0, raw=False ) # ============================================= # 3. JANSEN: NORMALIZED ALPHA FACTORS # ============================================= # RSI 5m (entry timeframe) dataframe["rsi"] = ta.RSI(dataframe, timeperiod=14) # Z-Score normalized RSI # Ref: Jansen - "Normalize all features for consistency" rsi_mean = dataframe['rsi'].rolling(20).mean() rsi_std = dataframe['rsi'].rolling(20).std() dataframe['rsi_zscore'] = (dataframe['rsi'] - rsi_mean) / (rsi_std + 1e-6) # MACD as Alpha Factor macd = ta.MACD(dataframe) dataframe['macd'] = macd['macd'] dataframe['macd_signal'] = macd['macdsignal'] dataframe['macd_diff'] = dataframe['macd'] - dataframe['macd_signal'] # Normalized Momentum dataframe['momentum'] = dataframe['close'] - dataframe['close'].shift(10) momentum_mean = dataframe['momentum'].rolling(20).mean() momentum_std = dataframe['momentum'].rolling(20).std() dataframe['momentum_zscore'] = (dataframe['momentum'] - momentum_mean) / (momentum_std + 1e-6) # Multi-timeframe RSI pair = metadata.get("pair", "") if self.dp: # 15m RSI inf_15m = self.dp.get_pair_dataframe(pair=pair, timeframe="15m") if not inf_15m.empty and len(inf_15m) > 14: inf_15m["rsi"] = ta.RSI(inf_15m, timeperiod=14) # Normalize 15m RSI rsi_15m_mean = inf_15m['rsi'].rolling(20).mean() rsi_15m_std = inf_15m['rsi'].rolling(20).std() inf_15m['rsi_zscore'] = (inf_15m['rsi'] - rsi_15m_mean) / (rsi_15m_std + 1e-6) dataframe = merge_informative_pair( dataframe, inf_15m[["date", "rsi", "rsi_zscore"]], self.timeframe, "15m", ffill=True ) if "rsi_15m" not in dataframe.columns: dataframe["rsi_15m"] = dataframe.get("rsi", 50) if "rsi_zscore_15m" not in dataframe.columns: dataframe["rsi_zscore_15m"] = dataframe.get("rsi_zscore", 0) else: dataframe["rsi_15m"] = 50 dataframe["rsi_zscore_15m"] = 0 # 1h RSI inf_1h = self.dp.get_pair_dataframe(pair=pair, timeframe="1h") if not inf_1h.empty and len(inf_1h) > 14: inf_1h["rsi"] = ta.RSI(inf_1h, timeperiod=14) rsi_1h_mean = inf_1h['rsi'].rolling(20).mean() rsi_1h_std = inf_1h['rsi'].rolling(20).std() inf_1h['rsi_zscore'] = (inf_1h['rsi'] - rsi_1h_mean) / (rsi_1h_std + 1e-6) dataframe = merge_informative_pair( dataframe, inf_1h[["date", "rsi", "rsi_zscore"]], self.timeframe, "1h", ffill=True ) if "rsi_1h" not in dataframe.columns: dataframe["rsi_1h"] = dataframe.get("rsi", 50) if "rsi_zscore_1h" not in dataframe.columns: dataframe["rsi_zscore_1h"] = dataframe.get("rsi_zscore", 0) else: dataframe["rsi_1h"] = 50 dataframe["rsi_zscore_1h"] = 0 else: dataframe["rsi_15m"] = 50 dataframe["rsi_zscore_15m"] = 0 dataframe["rsi_1h"] = 50 dataframe["rsi_zscore_1h"] = 0 # Bollinger Bands bb = qtpylib.bollinger_bands(dataframe['close'], window=20, stds=2) dataframe['bb_lowerband'] = bb['lower'] dataframe['bb_upperband'] = bb['upper'] dataframe['bb_middleband'] = bb['mid'] dataframe['bb_width_zscore'] = ((dataframe['bb_upperband'] - dataframe['bb_lowerband']) / dataframe['bb_middleband']).rolling(14).apply( lambda x: (x.iloc[-1] - x.mean()) / (x.std() + 1e-6) if len(x) > 1 else 0 ) # ============================================= # 4. PRICE ACTION: BEHAVIORAL PATTERNS # ============================================= # Support/Resistance - Local Minima/Maxima # Ref: Price Action - "Göz kararı değil, matematiksel tanım" dataframe['local_min'] = dataframe['low'].rolling(window=20, center=True).min() dataframe['local_max'] = dataframe['high'].rolling(window=20, center=True).max() # Distance to Support (% away) dataframe['distance_to_support'] = ((dataframe['close'] - dataframe['local_min']) / dataframe['close']) # Distance to Resistance (% away) dataframe['distance_to_resistance'] = ((dataframe['local_max'] - dataframe['close']) / dataframe['close']) # Breakout Detection # Ref: Price Action - "Volume > Average x2 = Legitimate breakout" dataframe['breakout_signal'] = 0 volume_avg = dataframe['volume'].rolling(20).mean() # Upside breakout: Price > 20-period high + volume confirmation dataframe.loc[ (dataframe['high'] > dataframe['high'].shift(1).rolling(20).max()) & (dataframe['volume'] > volume_avg * 2), 'breakout_signal' ] = 1 # Downside breakout: Price < 20-period low + volume confirmation dataframe.loc[ (dataframe['low'] < dataframe['low'].shift(1).rolling(20).min()) & (dataframe['volume'] > volume_avg * 2), 'breakout_signal' ] = -1 # Candlestick Pattern Recognition # Pinbar Pattern: Long wick / Small body > 3 # Ref: Price Action - "Pinbar = Rejection formation" dataframe['upper_wick'] = dataframe['high'] - dataframe[['open', 'close']].max(axis=1) dataframe['lower_wick'] = dataframe[['open', 'close']].min(axis=1) - dataframe['low'] dataframe['body'] = abs(dataframe['close'] - dataframe['open']) # Pinbar ratio total_wick = dataframe['upper_wick'] + dataframe['lower_wick'] dataframe['pinbar_ratio'] = total_wick / (dataframe['body'] + 1e-6) # Pinbar signal (strong rejection) dataframe['is_pinbar'] = (dataframe['pinbar_ratio'] > 3).astype(int) # Engulfing Pattern: Current body > Previous body dataframe['engulfing'] = ( (abs(dataframe['close'] - dataframe['open']) > abs(dataframe['close'].shift(1) - dataframe['open'].shift(1))) ).astype(int) # ============================================= # 5. QUANT ARBITRAGE: COINTEGRATION & PAIRS TRADING # ============================================= # Cointegration Analysis (if we have BTC and ETH data) pair = metadata.get('pair', '') # Initialize cointegration features with defaults dataframe['coint_spread_zscore'] = 0.0 dataframe['coint_is_cointegrated'] = 0 dataframe['coint_hedge_ratio'] = 1.0 dataframe['pairs_signal'] = 0 # -2: Short spread, -1: weak short, 0: none, 1: weak long, 2: Long spread # Only calculate if we have both BTC and ETH in whitelist if HAS_STATSMODELS and self.dp: try: whitelist = self.dp.current_whitelist() # Check if both BTC and ETH are in whitelist has_btc = any('BTC' in p for p in whitelist) has_eth = any('ETH' in p for p in whitelist) if has_btc and has_eth: # Get BTC data btc_pair = next((p for p in whitelist if 'BTC' in p), None) eth_pair = next((p for p in whitelist if 'ETH' in p), None) if btc_pair and eth_pair: btc_df = self.dp.get_pair_dataframe(pair=btc_pair, timeframe=self.timeframe) eth_df = self.dp.get_pair_dataframe(pair=eth_pair, timeframe=self.timeframe) if not btc_df.empty and not eth_df.empty and len(btc_df) > 50 and len(eth_df) > 50: # Align dataframes by date btc_close = btc_df['close'].values eth_close = eth_df['close'].values # Use minimum length min_len = min(len(btc_close), len(eth_close)) btc_close = btc_close[-min_len:] eth_close = eth_close[-min_len:] # REFACTORED: Use injected service (DIP compliance) coint_result = self._cointegration_service.calculate_cointegration( btc_close, eth_close, 'BTC', 'ETH' ) # Add features to current pair's dataframe # Note: These are BTC-ETH relationship features, applicable to both pairs dataframe['coint_spread_zscore'] = coint_result['spread_zscore'] dataframe['coint_is_cointegrated'] = int(coint_result['is_cointegrated']) dataframe['coint_hedge_ratio'] = coint_result['hedge_ratio'] # PAIRS TRADING SIGNAL # Ref: Quant Arbitrage - Mean Reversion Strategy z = coint_result['spread_zscore'] if coint_result['is_cointegrated']: # Strong signals (|z| > 2σ) if z > 2.0: # Spread too wide: SHORT spread (BTC long, ETH short) dataframe['pairs_signal'] = -2 if 'BTC' in pair: logger.info(f"[PAIRS] 📈 BTC LONG signal (Z={z:.2f})") elif z < -2.0: # Spread too narrow: LONG spread (BTC short, ETH long) dataframe['pairs_signal'] = 2 if 'ETH' in pair: logger.info(f"[PAIRS] 📈 ETH LONG signal (Z={z:.2f})") # Weak signals (1σ < |z| < 2σ) elif z > 1.0: dataframe['pairs_signal'] = -1 elif z < -1.0: dataframe['pairs_signal'] = 1 # Exit signals (|z| < 0.5) elif abs(z) < 0.5: dataframe['pairs_signal'] = 0 # SPREAD FEATURE for ML model # Normalized spread value (useful for LightGBM) dataframe['spread_normalized'] = coint_result['spread_zscore'] except Exception as e: logger.warning(f"Cointegration feature calculation error: {e}") # ============================================= # TELEMETRY # ============================================= self._perform_sync_check() self._track_model_retrain(dataframe) return dataframe def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: """ Price Action + Market Microstructure Optimized Stop Loss References: - Trading Exchanges (Larry Harris): "Limit order density at support/resistance" - ML for Algorithmic Trading: "Risk-proportional position sizing" - Price Action Trading: "Hide stop loss behind support" Rules: 1. Profit-based: Move stop to lock profits at key levels 2. Time-based: Tighten stop if trade ages (momentum decay) 3. ATR-based: Volatility adjustment """ try: dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) if len(dataframe) < 2: return -0.055 # Default fallback current_candle = dataframe.iloc[-1] previous_candle = dataframe.iloc[-2] # ATR-based dynamic adjustment atr = current_candle.get('atr', 0) if 'atr' in current_candle else 0 current_price = current_rate # Calculate ATR as percentage if atr > 0 and current_price > 0: atr_percent = atr / current_price else: atr_percent = 0.03 # Fallback: 3% average volatility # Trade duration (minutes) trade_duration = (current_time - trade.open_date_utc).total_seconds() / 60 # ===== PROFIT PROTECTION (Price Action: Support/Resistance) ===== # Lock in profits at progressively higher levels if current_profit >= 0.065: # +6.5% profit: Protect with tight stop at +4.5% # Ref: Price Action - "Resistance becomes support after breakout" return 0.045 elif current_profit >= 0.04: # +4% profit: Protect with stop at +2.5% # Ref: Break-even with buffer return 0.025 elif current_profit >= 0.018: # +1.8% profit: Tight break-even stop # Ref: Price Action - "Hide stop behind limit order cluster" return 0.005 # ===== TIME DECAY (Momentum Loss) ===== # Ref: Price Action - Contraction = Uncertainty increases elif trade_duration > 300: # 5+ hours # Long positions: Momentum likely expired # Market has reconsolidated if current_profit > 0.01: return 0.005 # Lock small gain else: return -0.04 # Cut losses elif trade_duration > 120: # 2+ hours # Mid-term: Contraction risk rising return -0.045 elif trade_duration > 60: # 1+ hour # Early-mid term: Normal stop return -0.050 # ===== ATR-BASED DYNAMIC (Market Volatility) ===== # Ref: ML Trading - Volatility adjustment of risk # Tight stop on low volatility, wider on high volatility if atr_percent > 0: # Conservative volatility multiplier (1.2x) volatility_adjusted_stop = -(atr_percent * 1.5) # Clamp between 3.5% and 7% volatility_adjusted_stop = max(min(volatility_adjusted_stop, -0.035), -0.07) return volatility_adjusted_stop # ===== DEFAULT: Initial ATR-based stop ===== return -0.055 except Exception as e: logger.warning(f"[STOPLOSS] Error in custom_stoploss: {e}") return -0.055 def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Giriş sinyalleri. FreqAI prediction + CoinGecko sentiment + News sentiment + Fear & Greed Index + Funding Rate + klasik RSI filtreleme. """ # REFACTORED: Delegate to service method (SRP compliance) pair = metadata.get('pair', 'BTC/USDT:USDT') sentiment_data = self._get_sentiment_data(pair) news_sentiment = sentiment_data.get('sentiment', {'positive': 0, 'negative': 0, 'neutral': 100}) sentiment_summary = sentiment_data.get('sentiment_label', 'neutral') # For logging fear_greed = sentiment_data.get('fear_greed', {'value': 50, 'classification': 'Neutral'}) funding_rate = sentiment_data.get('funding_rate', 0.0) # Uyarlanabilir entry threshold entry_threshold = self.entry_threshold.value exit_threshold_adj = self.exit_threshold.value # === FEAR & GREED INDEX ETKİSİ === fg_value = fear_greed.get("value", 50) # Extreme Fear (< 25): LONG için threshold düşür (alım fırsatı!) if fg_value < 25: entry_threshold -= 0.05 logger.info(f"🟢 Extreme Fear ({fg_value}): LONG boost, threshold {self.entry_threshold.value} -> {entry_threshold}") # Extreme Greed (> 75): SHORT için threshold düşür (satış fırsatı!) elif fg_value > 75: exit_threshold_adj += 0.05 # Daha az negatif = daha kolay short logger.info(f"🔴 Extreme Greed ({fg_value}): SHORT boost, threshold {self.exit_threshold.value} -> {exit_threshold_adj}") # === FUNDING RATE ETKİSİ === # Yüksek pozitif funding (> 0.05%): Çok fazla long var, short fırsatı if funding_rate > 0.05: exit_threshold_adj += 0.03 logger.info(f"📈 High Funding ({funding_rate:.4f}%): SHORT favored") # Yüksek negatif funding (< -0.05%): Çok fazla short var, long fırsatı elif funding_rate < -0.05: entry_threshold -= 0.03 logger.info(f"📉 Negative Funding ({funding_rate:.4f}%): LONG favored") # === NEWS SENTIMENT ETKİSİ === if news_sentiment.get("positive", 0) >= 70: entry_threshold -= 0.05 logger.info(f"📰 Positive news: LONG boost") if news_sentiment.get("negative", 0) >= 70: exit_threshold_adj += 0.05 logger.info(f"📰 Negative news: SHORT boost") # DEBUG: Son prediction değerlerini logla if len(dataframe) > 0: last_pred = dataframe["&-target"].iloc[-1] if "&-target" in dataframe.columns else 0 last_di = dataframe["DI_values"].iloc[-1] if "DI_values" in dataframe.columns else 999 last_do_predict = dataframe["do_predict"].iloc[-1] if "do_predict" in dataframe.columns else 0 last_rsi = dataframe["rsi"].iloc[-1] if "rsi" in dataframe.columns else 50 last_rsi_15m = dataframe["rsi_15m"].iloc[-1] if "rsi_15m" in dataframe.columns else 50 last_rsi_1h = dataframe["rsi_1h"].iloc[-1] if "rsi_1h" in dataframe.columns else 50 # === TELEMETRY: Enhanced Strategy Logging === # Calculate LightGBM confidence (based on DI_values - lower is better) confidence_score = max(0, min(100, 100 - (last_di * 10))) # DI < 4 → confidence > 60% # Cointegration health proxy (using prediction variance) # Lower variance = better cointegration coint_health_proxy = "STRONG" if last_di < 2 else "MODERATE" if last_di < 4 else "WEAK" logger.info(f"[STRATEGY] 📊 {pair} | Pred: {last_pred:.4f} | Confidence: {confidence_score:.1f}% | Coint: {coint_health_proxy} | do_predict: {last_do_predict}") logger.info(f"[STRATEGY] 📊 RSI: {last_rsi:.1f}/{last_rsi_15m:.1f}/{last_rsi_1h:.1f} | Sentiment: {sentiment_summary}") logger.info(f"[STRATEGY] 📊 Thresholds | LONG > {entry_threshold:.2f} | SHORT < {exit_threshold_adj:.2f}") # LONG giriş - MASTER FEATURE VECTOR # Ref: Harris + Tsay + Jansen + Price Action dataframe.loc[ ( # ===== FREQAI PREDICTION (Jansen: ML Model) ===== # Model tahmin geçerli (dataframe["do_predict"] == 1) & # FreqAI pozitif tahmin (dataframe["&-target"] > entry_threshold) & # Model güvenilirliği (DI < 4) (dataframe["DI_values"] < 4) & # ===== HARRIS: MARKET MICROSTRUCTURE ===== # Order Imbalance: Buy pressure > Sell pressure (dataframe["order_imbalance"] > 1.0) & # VWAP Deviation: Fiyat VWAP'ten +% sapmış (Uptrend) (dataframe["vwap_deviation"] > 0.001) & # Bid-Ask Spread normal (likidite var) (dataframe["bid_ask_spread"] < 0.05) & # ===== TSAY: TIME SERIES ===== # Volatility acceptable (not extreme) (dataframe["volatility_zscore"] < 2.0) & # No white noise (returns correlated) (dataframe["returns_autocorr"] > -0.2) & # ===== JANSEN: NORMALIZED FACTORS ===== # RSI not overbought (z-score normalized) (dataframe["rsi_zscore"] < 1.5) & # Momentum positive (z-score) (dataframe["momentum_zscore"] > -0.5) & # Multi-timeframe confirmation (dataframe["rsi_zscore_15m"] < 1.0) & (dataframe["rsi_zscore_1h"] < 0.5) & # ===== PRICE ACTION: BEHAVIORAL PATTERNS ===== # Support proximity: Close near support but with room (dataframe["distance_to_support"] > 0.01) & (dataframe["distance_to_support"] < 0.15) & # Breakout confirmation (dataframe["breakout_signal"] >= 0) # Not breaking down & # Candlestick pattern: Not strong rejection (pinbar) (dataframe["is_pinbar"] == 0) | (dataframe["upper_wick"] < dataframe["lower_wick"]) & # Bollinger Bands: Price in lower half (room to grow) (dataframe["close"] < dataframe["bb_middleband"]) & # Volume confirmation (dataframe["volume"] > 0) & # ===== QUANT ARBITRAGE: COINTEGRATION BOOST ===== # If pairs are cointegrated AND signal is positive for this pair, boost entry # Signal logic: BTC gets signal=-2 when Z>2 (BTC long), ETH gets signal=2 when Z<-2 (ETH long) ( (dataframe["coint_is_cointegrated"] == 0) # No cointegration, normal entry | ( # Cointegration exists, check pairs signal (dataframe["coint_is_cointegrated"] == 1) & ( # Pairs signal supports LONG for this asset (dataframe["pairs_signal"] >= 0) # Neutral or positive ) ) ) ), "enter_long" ] = 1 # SHORT giriş - MASTER FEATURE VECTOR dataframe.loc[ ( # ===== FREQAI PREDICTION ===== (dataframe["do_predict"] == 1) & (dataframe["&-target"] < exit_threshold_adj) & (dataframe["DI_values"] < 4) & # ===== HARRIS: MARKET MICROSTRUCTURE ===== # Order Imbalance: Sell pressure > Buy pressure (dataframe["order_imbalance"] < 1.0) & # VWAP Deviation: Fiyat VWAP'ten -% sapmış (Downtrend) (dataframe["vwap_deviation"] < -0.001) & # Bid-Ask Spread normal (dataframe["bid_ask_spread"] < 0.05) & # ===== TSAY: TIME SERIES ===== # Volatility acceptable (dataframe["volatility_zscore"] < 2.0) & # No white noise (dataframe["returns_autocorr"] > -0.2) & # ===== JANSEN: NORMALIZED FACTORS ===== # RSI not oversold (dataframe["rsi_zscore"] > -1.5) & # Momentum negative (dataframe["momentum_zscore"] < 0.5) & # Multi-timeframe confirmation (dataframe["rsi_zscore_15m"] > -1.0) & (dataframe["rsi_zscore_1h"] > -0.5) & # ===== PRICE ACTION: BEHAVIORAL PATTERNS ===== # Resistance proximity: Close near resistance (dataframe["distance_to_resistance"] > 0.01) & (dataframe["distance_to_resistance"] < 0.15) & # Breakout confirmation (downside) (dataframe["breakout_signal"] <= 0) # Not breaking up & # Candlestick pattern: Not strong rejection upside (dataframe["is_pinbar"] == 0) | (dataframe["lower_wick"] < dataframe["upper_wick"]) & # Bollinger Bands: Price in upper half (room to fall) (dataframe["close"] > dataframe["bb_middleband"]) & # Volume confirmation (dataframe["volume"] > 0) & # ===== QUANT ARBITRAGE: COINTEGRATION BOOST ===== ( (dataframe["coint_is_cointegrated"] == 0) # No cointegration, normal entry | ( # Cointegration exists, check pairs signal (dataframe["coint_is_cointegrated"] == 1) & ( # Pairs signal supports SHORT for this asset (dataframe["pairs_signal"] <= 0) # Neutral or negative ) ) ) ), "enter_short" ] = 1 return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Çıkış sinyalleri - Model tahminlerine göre. Partial TP için ROI kullan (minimal_roi tanımı). """ # News sentiment kontrol - pair'e göre cache key pair = metadata.get('pair', 'BTC/USDT:USDT') news_sentiment = {"positive": 0, "negative": 0, "neutral": 100} current_hour = int(time.time() / 3600) # Pair'e göre symbol belirle if pair == "BTC/USDT:USDT": symbol = "BTC" elif pair == "ETH/USDT:USDT": symbol = "ETH" else: symbol = None if symbol: cache_key = f"api_calls_{symbol}_{current_hour}" if cache_key in self.sentiment_cache: news_sentiment = self.sentiment_cache[cache_key].get("news", news_sentiment) # LONG çıkış - OR koşulu ile daha güvenli dataframe.loc[ ( # Model güçlü negatif hale geldi VEYA RSI overbought (dataframe["&-target"] < -0.15) | # RSI çok overbought (dataframe["rsi"] > 80) ), "exit_long" ] = 1 # SHORT çıkış - OR koşulu ile daha güvenli dataframe.loc[ ( # Model güçlü pozitif hale geldi VEYA RSI oversold (dataframe["&-target"] > 0.15) | # RSI çok oversold (dataframe["rsi"] < 20) ), "exit_short" ] = 1 return dataframe