# source: https://raw.githubusercontent.com/csnick93/freqtrade/d4660ee4af5d1bff1b1f59bd0a143e6fe63d92c0/ft_userdata/user_data/strategies/obelisk_ichimoku.py # --- Do not remove these libs --- from freqtrade.strategy import IStrategy, merge_informative_pair, DecimalParameter, IntParameter from pandas import DataFrame import talib.abstract as ta import freqtrade.vendor.qtpylib.indicators as qtpylib # -------------------------------- import pandas as pd import numpy as np import technical.indicators as ftt from freqtrade.exchange import timeframe_to_minutes import logging logger = logging.getLogger(__name__) # Obelisk_Ichimoku_ZEMA v1 - 2021-05-20 # # EXPERIMENTAL # # RUN AT YOUR OWN RISK # # by Obelisk # https://github.com/brookmiles/ def ssl_atr(dataframe, length=7): df = dataframe.copy() 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'] class github_csnick93_freqtrade__obelisk_ichimoku__20210608_205031(IStrategy): # Optimal timeframe for the strategy timeframe = '5m' # generate signals from the 1h timeframe informative_timeframe = '1h' # WARNING: ichimoku is a long indicator, if you remove or use a # shorter startup_candle_count your backtest results will be unreliable startup_candle_count = 500 # NOTE: this strat only uses candle information, so processing between # new candles is a waste of resources as nothing will change process_only_new_candles = True # ROI table: minimal_roi = {"0": 0.078, "40": 0.062, "99": 0.039, "218": 0} stoploss = -0.294 # Buy hyperspace params: buy_params = {'low_offset': 0.964, 'zema_len_buy': 51} # Sell hyperspace params: sell_params = {'high_offset': 1.004, 'zema_len_sell': 72} low_offset = DecimalParameter(0.80, 1.20, default=1.004, space='buy', optimize=True) high_offset = DecimalParameter(0.80, 1.20, default=0.964, space='sell', optimize=True) zema_len_buy = IntParameter(30, 90, default=72, space='buy', optimize=True) zema_len_sell = IntParameter(30, 90, default=51, space='sell', optimize=True) def informative_pairs(self): pairs = self.dp.current_whitelist() informative_pairs = [(pair, self.informative_timeframe) for pair in pairs] return informative_pairs def slow_tf_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: displacement = 30 ichimoku = ftt.ichimoku(dataframe, conversion_line_period=20, base_line_periods=60, laggin_span=120, displacement=displacement) dataframe['chikou_span'] = ichimoku['chikou_span'] # cross indicators dataframe['tenkan_sen'] = ichimoku['tenkan_sen'] dataframe['kijun_sen'] = ichimoku['kijun_sen'] # cloud, green a > b, red a < b dataframe['senkou_a'] = ichimoku['senkou_span_a'] dataframe['senkou_b'] = ichimoku['senkou_span_b'] dataframe['leading_senkou_span_a'] = ichimoku['leading_senkou_span_a'] dataframe['leading_senkou_span_b'] = ichimoku['leading_senkou_span_b'] dataframe['cloud_green'] = ichimoku['cloud_green'] * 1 dataframe['cloud_red'] = ichimoku['cloud_red'] * -1 dataframe.loc[:, 'cloud_top'] = dataframe.loc[:, ['senkou_a', 'senkou_b' ]].max(axis=1) dataframe.loc[:, 'cloud_bottom'] = dataframe.loc[:, ['senkou_a', 'senkou_b' ]].min(axis=1) # DANGER ZONE START # NOTE: Not actually the future, present data that is normally shifted forward for display as the cloud dataframe['future_green'] = ( dataframe['leading_senkou_span_a'] > dataframe['leading_senkou_span_b']).astype('int') * 2 dataframe['future_red'] = ( dataframe['leading_senkou_span_a'] < dataframe['leading_senkou_span_b']).astype('int') * 2 # The chikou_span is shifted into the past, so we need to be careful not to read the # current value. But if we shift it forward again by displacement it should be safe to use. # We're effectively "looking back" at where it normally appears on the chart. dataframe['chikou_high'] = ( (dataframe['chikou_span'] > dataframe['cloud_top'] )).shift(displacement).fillna(0).astype('int') dataframe['chikou_low'] = ( (dataframe['chikou_span'] < dataframe['cloud_bottom'] )).shift(displacement).fillna(0).astype('int') # DANGER ZONE END dataframe['atr'] = ta.ATR(dataframe, timeperiod=14) ssl_down, ssl_up = ssl_atr(dataframe, 10) dataframe['ssl_down'] = ssl_down dataframe['ssl_up'] = ssl_up dataframe['ssl_ok'] = ((ssl_up > ssl_down)).astype('int') * 3 dataframe['ssl_bear'] = ((ssl_up < ssl_down)).astype('int') * 3 dataframe['ichimoku_ok'] = ( (dataframe['tenkan_sen'] > dataframe['kijun_sen']) & (dataframe['close'] > dataframe['cloud_top']) & (dataframe['future_green'] > 0) & (dataframe['chikou_high'] > 0)).astype('int') * 4 dataframe['ichimoku_bear'] = ( (dataframe['tenkan_sen'] < dataframe['kijun_sen']) & (dataframe['close'] < dataframe['cloud_bottom']) & (dataframe['future_red'] > 0) & (dataframe['chikou_low'] > 0)).astype('int') * 4 dataframe['ichimoku_valid'] = ( (dataframe['leading_senkou_span_b'] == dataframe['leading_senkou_span_b']) # not NaN ).astype('int') * 1 dataframe['trend_pulse'] = ( (dataframe['ichimoku_ok'] > 0) & (dataframe['ssl_ok'] > 0)).astype('int') * 2 dataframe['bear_trend_pulse'] = ( (dataframe['ichimoku_bear'] > 0) & (dataframe['ssl_bear'] > 0)).astype('int') * 2 dataframe['trend_over'] = ( (dataframe['ssl_ok'] == 0) | (dataframe['close'] < dataframe['cloud_top'])).astype('int') * 1 dataframe['bear_trend_over'] = ( (dataframe['ssl_bear'] == 0) | (dataframe['close'] > dataframe['cloud_bottom'])).astype('int') * 1 dataframe.loc[(dataframe['trend_pulse'] > 0), 'trending'] = 3 dataframe.loc[(dataframe['trend_over'] > 0), 'trending'] = 0 dataframe['trending'].fillna(method='ffill', inplace=True) dataframe.loc[(dataframe['bear_trend_pulse'] > 0), 'bear_trending'] = 3 dataframe.loc[(dataframe['bear_trend_over'] > 0), 'bear_trending'] = 0 dataframe['bear_trending'].fillna(method='ffill', inplace=True) return dataframe def fast_tf_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: if self.config['runmode'].value == 'hyperopt': for len in range(30, 91): dataframe[f'zema_{len}'] = ftt.zema(dataframe, period=len) else: dataframe[f'zema_{self.zema_len_buy.value}'] = ftt.zema( dataframe, period=self.zema_len_buy.value) dataframe[f'zema_{self.zema_len_sell.value}'] = ftt.zema( dataframe, period=self.zema_len_sell.value) dataframe['zema_buy'] = ftt.zema( dataframe, period=self.zema_len_buy.value) * self.low_offset.value dataframe['zema_sell'] = ftt.zema( dataframe, period=self.zema_len_sell.value) * self.high_offset.value return dataframe def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: assert (timeframe_to_minutes( self.timeframe) == 5), "Run this strategy at 5m." if self.timeframe == self.informative_timeframe: dataframe = self.slow_tf_indicators(dataframe, metadata) else: assert self.dp, "DataProvider is required for multiple timeframes." informative = self.dp.get_pair_dataframe( pair=metadata['pair'], timeframe=self.informative_timeframe) informative = self.slow_tf_indicators(informative.copy(), metadata) dataframe = merge_informative_pair(dataframe, informative, self.timeframe, self.informative_timeframe, ffill=True) # don't overwrite the base dataframe's OHLCV information skip_columns = [ (s + "_" + self.informative_timeframe) for s in ['date', 'open', 'high', 'low', 'close', 'volume'] ] dataframe.rename(columns=lambda s: s.replace( "_{}".format(self.informative_timeframe), "") if (s not in skip_columns) else s, inplace=True) dataframe = self.fast_tf_indicators(dataframe, metadata) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: zema = f'zema_{self.zema_len_buy.value}' dataframe.loc[(dataframe['ichimoku_valid'] > 0) & (dataframe['bear_trending'] == 0) & (dataframe['close'] < (dataframe[zema] * self.low_offset.value)), 'buy'] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: zema = f'zema_{self.zema_len_sell.value}' dataframe.loc[((dataframe['close'] > (dataframe[zema] * self.high_offset.value))), 'sell'] = 1 return dataframe def confirm_trade_exit(self, pair: str, trade, order_type: str, amount: float, rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool: if sell_reason in ('roi', ): dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) if dataframe.shape[0] > 0: current_candle = dataframe.iloc[-1] if current_candle is not None: current_candle = current_candle.squeeze() # don't sell during ichimoku uptrend if current_candle['trending'] > 0: return False return True