# source: https://raw.githubusercontent.com/imsatoshi/CryptoScript/376d93af95f252d7cf248d73976c4185c627e60d/strategies/ElliotV8_original_ichiv2.py # --- Do not remove these libs --- from freqtrade.strategy.interface import IStrategy from typing import Optional, Union from typing import Dict, List from functools import reduce from pandas import DataFrame # -------------------------------- import talib.abstract as ta import numpy as np import freqtrade.vendor.qtpylib.indicators as qtpylib import datetime from technical.util import resample_to_interval, resampled_merge from datetime import datetime, timedelta from freqtrade.persistence import Trade from freqtrade.strategy import stoploss_from_open, merge_informative_pair, DecimalParameter, IntParameter, CategoricalParameter import technical.indicators as ftt from freqtrade.strategy import DecimalParameter, IntParameter # @Rallipanos # changes by IcHiAT # Buy hyperspace params: buy_params = { "base_nb_candles_buy": 12, "ewo_high": 3.147, "ewo_low": -17.145, "low_offset": 0.987, "rsi_buy": 57, } # Sell hyperspace params: sell_params = { "base_nb_candles_sell": 22, "high_offset": 1.008, "high_offset_2": 1.016, } def EWO(dataframe, ema_length=5, ema2_length=3): df = dataframe.copy() ema1 = ta.EMA(df, timeperiod=ema_length) ema2 = ta.EMA(df, timeperiod=ema2_length) emadif = (ema1 - ema2) / df['close'] * 100 return emadif class github_imsatoshi_CryptoScript__ElliotV8_original_ichiv2__20230109_022154(IStrategy): INTERFACE_VERSION = 2 """ # ROI table: minimal_roi = { "0": 0.08, "20": 0.04, "40": 0.032, "87": 0.016, "201": 0 } """ is_optimize_deadfish = True sell_deadfish_bb_width = DecimalParameter(0.03, 0.75, default=0.05, space='sell', optimize=is_optimize_deadfish) sell_deadfish_profit = DecimalParameter(-0.15, -0.05, default=-0.05, space='sell', optimize=is_optimize_deadfish) sell_deadfish_bb_factor = DecimalParameter(0.90, 1.20, default=1.0, space='sell', optimize=is_optimize_deadfish) sell_deadfish_volume_factor = DecimalParameter(1, 2.5, default=1.0, space='sell', optimize=is_optimize_deadfish) @property def protections(self): return [ { "method": "CooldownPeriod", "stop_duration_candles": 5 }, { "method": "MaxDrawdown", "lookback_period_candles": 48, "trade_limit": 20, "stop_duration_candles": 4, "max_allowed_drawdown": 0.2 }, { "method": "StoplossGuard", "lookback_period_candles": 24, "trade_limit": 4, "stop_duration_candles": 2, "only_per_pair": False }, { "method": "LowProfitPairs", "lookback_period_candles": 6, "trade_limit": 2, "stop_duration_candles": 60, "required_profit": 0.02 }, { "method": "LowProfitPairs", "lookback_period_candles": 24, "trade_limit": 4, "stop_duration_candles": 2, "required_profit": 0.01 } ] # ROI table: minimal_roi = { "0": 0.99, } # Stoploss: stoploss = -0.20 # SMAOffset base_nb_candles_buy = IntParameter(5, 80, default=buy_params['base_nb_candles_buy'], space='buy', optimize=True) base_nb_candles_sell = IntParameter(5, 80, default=sell_params['base_nb_candles_sell'], space='sell', optimize=True) low_offset = DecimalParameter(0.9, 0.99, default=buy_params['low_offset'], space='buy', optimize=True) high_offset = DecimalParameter(0.95, 1.1, default=sell_params['high_offset'], space='sell', optimize=True) high_offset_2 = DecimalParameter(0.99, 1.5, default=sell_params['high_offset_2'], space='sell', optimize=True) # Protection fast_ewo = 50 slow_ewo = 200 ewo_low = DecimalParameter(-20.0, -8.0,default=buy_params['ewo_low'], space='buy', optimize=True) ewo_high = DecimalParameter(2.0, 12.0, default=buy_params['ewo_high'], space='buy', optimize=True) rsi_buy = IntParameter(30, 70, default=buy_params['rsi_buy'], space='buy', optimize=True) # Trailing stop: trailing_stop = True trailing_stop_positive = 0.001 trailing_stop_positive_offset = 0.02 trailing_only_offset_is_reached = True # Sell signal use_sell_signal = True sell_profit_only = True sell_profit_offset = 0.01 ignore_roi_if_buy_signal = False ## Optional order time in force. order_time_in_force = { 'buy': 'gtc', 'sell': 'gtc' } # Optimal timeframe for the strategy timeframe = '5m' inf_1h = '1h' process_only_new_candles = True startup_candle_count = 400 plot_config = { 'main_plot': { 'ma_buy': {'color': 'orange'}, 'ma_sell': {'color': 'orange'}, }, } def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # Calculate all ma_buy values for val in self.base_nb_candles_buy.range: dataframe[f'ma_buy_{val}'] = ta.EMA(dataframe, timeperiod=val) # Calculate all ma_sell values for val in self.base_nb_candles_sell.range: dataframe[f'ma_sell_{val}'] = ta.EMA(dataframe, timeperiod=val) dataframe['hma_50'] = qtpylib.hull_moving_average(dataframe['close'], window=50) dataframe['sma_9'] = ta.SMA(dataframe, timeperiod=9) # Elliot dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) # RSI dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) dataframe['rsi_fast'] = ta.RSI(dataframe, timeperiod=4) dataframe['rsi_slow'] = ta.RSI(dataframe, timeperiod=20) # loss sell indicators bollinger2 = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) dataframe['bb_lowerband2'] = bollinger2['lower'] dataframe['bb_middleband2'] = bollinger2['mid'] dataframe['bb_upperband2'] = bollinger2['upper'] dataframe['bb_width'] = ( (dataframe['bb_upperband2'] - dataframe['bb_lowerband2']) / dataframe['bb_middleband2']) dataframe['volume_mean_12'] = dataframe['volume'].rolling(12).mean().shift(1) dataframe['volume_mean_24'] = dataframe['volume'].rolling(24).mean().shift(1) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] conditions.append( ( (dataframe['rsi_fast'] <35)& (dataframe['close'] < (dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value)) & (dataframe['EWO'] > self.ewo_high.value) & (dataframe['rsi'] < self.rsi_buy.value) & (dataframe['volume'] > 0)& (dataframe['close'] < (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) ) ) conditions.append( ( (dataframe['rsi_fast'] < 35)& (dataframe['close'] < (dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value)) & (dataframe['EWO'] < self.ewo_low.value) & (dataframe['volume'] > 0)& (dataframe['close'] < (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) ) ) if conditions: dataframe.loc[ reduce(lambda x, y: x | y, conditions), 'buy' ]=1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] conditions.append( ( (dataframe['close']>dataframe['hma_50'])& (dataframe['close'] > (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset_2.value)) & (dataframe['rsi']>50)& (dataframe['volume'] > 0)& (dataframe['rsi_fast']>dataframe['rsi_slow']) ) | ( (dataframe['close'] (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) & (dataframe['volume'] > 0)& (dataframe['rsi_fast']>dataframe['rsi_slow']) ) ) if conditions: dataframe.loc[ reduce(lambda x, y: x | y, conditions), 'sell' ]=1 return def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[(), ['exit_long', 'exit_tag']] = (0, 'long_out') return dataframe def custom_exit(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> Optional[Union[str, bool]]: dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) current_candle = dataframe.iloc[-1].squeeze() # stoploss - deadfish if ((current_profit < self.sell_deadfish_profit.value) and (current_candle['bb_width'] < self.sell_deadfish_bb_width.value) and (current_candle['close'] > current_candle['bb_middleband2'] * self.sell_deadfish_bb_factor.value) and (current_candle['volume_mean_12'] < current_candle[ 'volume_mean_24'] * self.sell_deadfish_volume_factor.value)): return "sell_stoploss_deadfish"