# source: https://raw.githubusercontent.com/geovedi/ngepet/9e0cfe8fb82a7d0a0d977257cc007785f1ce9f80/freqtrade/strategies/Finder.py import numpy as np import pandas as pd import talib.abstract as ta import pandas_ta as pta from itertools import product from functools import reduce from pandas import DataFrame, Series from datetime import datetime from typing import Any, Dict, List from freqtrade.constants import Config from freqtrade.strategy import BooleanParameter, CategoricalParameter, IStrategy from freqtrade.optimize.space import Categorical, SKDecimal, Dimension class Github_geovedi_ngepet__Finder__20240104_021722(IStrategy): INTERFACE_VERSION = 3 process_only_new_candles = True can_short = False stoploss = -0.20 minimal_roi = {"0": 0.30} max_open_trades = 10 trailing_stop = False trailing_stop_positive = 0.02 trailing_stop_positive_offset = 0.03 trailing_only_offset_is_reached = True use_custom_stoploss = False use_exit_signal = True exit_profit_only = False ignore_roi_if_entry_signal = False ignore_buying_expired_candle_after = 300 timeframe = "4h" NUM_RULES = 2 SIDES = ["buy", "sell"] class HyperOpt: def stoploss_space() -> List[Dimension]: return [SKDecimal(-0.30, -0.01, decimals=2, name="stoploss")] def roi_space() -> List[Dimension]: return [SKDecimal(0.01, 0.30, decimals=2, name="roi")] def generate_roi_table(p: Dict) -> Dict[int, float]: return {0: p["roi"]} def max_open_trades_space() -> List[Dimension]: return [Categorical(range(5, 10, 1), name="max_open_trades")] def __init__(self, config: Config): super().__init__(config) self.config = config self._initialize_parameters() def _initialize_parameters(self): INDICATORS = """ upperband lowerband macd macdsignal slowk slowd fastk fastd dema ema kama midpoint midprice sar sma t3 tema trima wma adx aroonosc cci cmo mfi mom roc rsi trix willr atr natr supertrend """.split() OPERATORS = [ "DISABLED", "GOING_UP", "GOING_DOWN", "RISING", "FALLING", "ABOVE_AVERAGED", "BELOW_AVERAGED", ] PERIOD_RANGE = list(range(3, 15)) + list(range(15, 55, 5)) SHIFT_RANGE = range(0, 12, 2) DOW_RANGE = range(0, 7) for side in self.SIDES: for idx in range(self.NUM_RULES): setattr(self, f"{side}_{idx}_indicator", CategoricalParameter(INDICATORS, default="sma", space=side), ) setattr(self, f"{side}_{idx}_period", CategoricalParameter(PERIOD_RANGE, default=10, space=side), ) setattr(self, f"{side}_{idx}_shift", CategoricalParameter(SHIFT_RANGE, default=0, space=side), ) setattr(self, f"{side}_{idx}_operator", CategoricalParameter(OPERATORS, default="DISABLED", space=side), ) setattr(self, f"{side}_min_dow", CategoricalParameter(DOW_RANGE, default=0, space=side)) setattr(self, f"{side}_max_dow", CategoricalParameter(DOW_RANGE, default=0, space=side)) def _is_rule_disabled(self, side: str, idx: int) -> bool: return getattr(self, f"{side}_{idx}_operator").value == "DISABLED" def _get_rule_parameters(self, side: str, idx: int): ind = getattr(self, f"{side}_{idx}_indicator").value prd = int(getattr(self, f"{side}_{idx}_period").value) sft = int(getattr(self, f"{side}_{idx}_shift").value) return ind, prd, sft def _calculate_indicator(self, dataframe, indicator, period): indicator_mapping = { "upperband": "bbands", "lowerband": "bbands", "macd": "macd", "macdsignal": "macd", "slowk": "stoch", "slowd": "stoch", "fastk": "stochf", "fastd": "stochf", } if indicator in indicator_mapping: ta_func = getattr(ta, indicator_mapping[indicator].upper()) result = ta_func(dataframe, timeperiod=period) result = result[indicator] elif indicator == "supertrend": result = pta.supertrend( dataframe["high"], dataframe["low"], dataframe["close"], length=period )[f"SUPERT_{period}_3.0"] else: ta_func = getattr(ta, indicator.upper()) result = ta_func(dataframe, timeperiod=period) return pd.Series(result) def _apply_operator(self, series, side, idx, shift): operator = getattr(self, f"{side}_{idx}_operator").value averaged = pd.Series(ta.EMA(series, timeperiod=10)) shifted = series.shift(shift) if operator in ["ABOVE_AVERAGED", "BELOW_AVERAGED"]: comparison = ( series > averaged.shift(shift) if operator == "ABOVE_AVERAGED" else series < averaged.shift(shift) ) return comparison value0, value1, value2 = shifted, shifted.shift(1), shifted.shift(2) comparison_operators = { "GOING_UP": (value0 > value1) & (value1 < value2), "GOING_DOWN": (value0 < value1) & (value1 > value2), "RISING": (value0 > value1) & (value1 > value2), "FALLING": (value0 < value1) & (value1 < value2), } return comparison_operators.get(operator, pd.Series(False, index=series.index)) def _apply_dow_conditions(self, dataframe, side): min_dow = getattr(self, f"{side}_min_dow").value max_dow = getattr(self, f"{side}_max_dow").value if min_dow < max_dow: return [(dataframe["dow"] >= min_dow) & (dataframe["dow"] <= max_dow)] else: return [(dataframe["dow"] <= min_dow) & (dataframe["dow"] >= max_dow)] def _populate_trend(self, dataframe: pd.DataFrame, side: str) -> pd.DataFrame: conditions = [] for idx in range(self.NUM_RULES): if self._is_rule_disabled(side, idx): continue indicator, period, shift = self._get_rule_parameters(side, idx) result = self._calculate_indicator(dataframe, indicator, period) conditions.append(self._apply_operator(result, side, idx, shift)) conditions.append(dataframe["volume"] > 0) conditions.extend(self._apply_dow_conditions(dataframe, side)) return conditions def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe["dow"] = dataframe["date"].dt.dayofweek return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = self._populate_trend(dataframe, "buy") if conditions: dataframe.loc[reduce(lambda x, y: x & y, conditions), "enter_long"] = 1 return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = self._populate_trend(dataframe, "sell") if conditions: dataframe.loc[reduce(lambda x, y: x & y, conditions), "exit_long"] = 1 return dataframe