# source: https://raw.githubusercontent.com/lavaalone/freqtrade-backtest/345baf56853e8e59da9d403eefc143ba57201036/strategies/BB_RPB_TSL_RNG_TBS.py # --- Do not remove these libs --- import freqtrade.vendor.qtpylib.indicators as qtpylib import numpy as np import talib.abstract as ta import pandas_ta as pta from typing import Dict, List from freqtrade.persistence import Trade from freqtrade.strategy.interface import IStrategy from pandas import DataFrame, Series, DatetimeIndex, merge from datetime import datetime, timedelta from freqtrade.strategy import merge_informative_pair, CategoricalParameter, DecimalParameter, IntParameter, stoploss_from_open from functools import reduce from technical.indicators import RMI, zema # -------------------------------- def EWO(dataframe, ema_length=5, ema2_length=35): df = dataframe.copy() ema1 = ta.EMA(df, timeperiod=ema_length) ema2 = ta.EMA(df, timeperiod=ema2_length) emadif = (ema1 - ema2) / df['low'] * 100 return emadif # Williams %R def williams_r(dataframe: DataFrame, period: int = 14) -> Series: """Williams %R, or just %R, is a technical analysis oscillator showing the current closing price in relation to the high and low of the past N days (for a given N). It was developed by a publisher and promoter of trading materials, Larry Williams. Its purpose is to tell whether a stock or commodity market is trading near the high or the low, or somewhere in between, of its recent trading range. The oscillator is on a negative scale, from −100 (lowest) up to 0 (highest). """ highest_high = dataframe["high"].rolling(center=False, window=period).max() lowest_low = dataframe["low"].rolling(center=False, window=period).min() WR = Series( (highest_high - dataframe["close"]) / (highest_high - lowest_low), name=f"{period} Williams %R", ) return WR * -100 class github_lavaalone_freqtrade_backtest__BB_RPB_TSL_RNG_TBS__20220126_154312(IStrategy): ''' BB_RPB_TSL @author jilv220 Simple bollinger brand strategy inspired by this blog ( https://hacks-for-life.blogspot.com/2020/12/freqtrade-notes.html ) RPB, which stands for Real Pull Back, taken from ( https://github.com/GeorgeMurAlkh/freqtrade-stuff/blob/main/user_data/strategies/TheRealPullbackV2.py ) The trailing custom stoploss taken from BigZ04_TSL from Perkmeister ( modded by ilya ) I modified it to better suit my taste and added Hyperopt for this strategy. ''' ########################################################################## # Hyperopt result area # buy space buy_params = { ## "buy_btc_safe": -289, "buy_btc_safe_1d": -0.05, ## "buy_threshold": 0.003, "buy_bb_factor": 0.999, "buy_bb_delta": 0.025, "buy_bb_width": 0.095, ## "buy_cci": -116, "buy_cci_length": 25, "buy_rmi": 49, "buy_rmi_length": 17, "buy_srsi_fk": 32, ## "buy_closedelta": 12.148, "buy_ema_diff": 0.022, ## "buy_adx": 20, "buy_fastd": 20, "buy_fastk": 22, "buy_ema_cofi": 0.98, "buy_ewo_high": 4.179, ## "buy_ema_high_2": 1.087, "buy_ema_low_2": 0.970, ## } # sell space sell_params = { "pHSL": -0.178, "pPF_1": 0.019, "pPF_2": 0.065, "pSL_1": 0.019, "pSL_2": 0.062, "sell_btc_safe": -389, "base_nb_candles_sell": 24, "high_offset": 0.991, "high_offset_2": 0.997 } # really hard to use this minimal_roi = { "0": 0.10, } # Optimal timeframe for the strategy timeframe = '5m' inf_1h = '1h' # Disabled stoploss = -0.99 # Custom stoploss use_custom_stoploss = True use_sell_signal = True process_only_new_candles = True ############################################################################ ## Buy params is_optimize_dip = False buy_rmi = IntParameter(30, 50, default=35, optimize= is_optimize_dip) buy_cci = IntParameter(-135, -90, default=-133, optimize= is_optimize_dip) buy_srsi_fk = IntParameter(30, 50, default=25, optimize= is_optimize_dip) buy_cci_length = IntParameter(25, 45, default=25, optimize = is_optimize_dip) buy_rmi_length = IntParameter(8, 20, default=8, optimize = is_optimize_dip) is_optimize_break = False buy_bb_width = DecimalParameter(0.05, 0.2, default=0.15, optimize = is_optimize_break) buy_bb_delta = DecimalParameter(0.025, 0.08, default=0.04, optimize = is_optimize_break) is_optimize_local_dip = False buy_ema_diff = DecimalParameter(0.022, 0.027, default=0.025, optimize = is_optimize_local_dip) buy_bb_factor = DecimalParameter(0.990, 0.999, default=0.995, optimize = False) buy_closedelta = DecimalParameter(12.0, 18.0, default=15.0, optimize = is_optimize_local_dip) is_optimize_ewo = False buy_rsi_fast = IntParameter(35, 50, default=45, optimize = False) buy_rsi = IntParameter(15, 30, default=35, optimize = False) buy_ewo = DecimalParameter(-6.0, 5, default=-5.585, optimize = is_optimize_ewo) buy_ema_low = DecimalParameter(0.9, 0.99, default=0.942 , optimize = is_optimize_ewo) buy_ema_high = DecimalParameter(0.95, 1.2, default=1.084 , optimize = is_optimize_ewo) is_optimize_ewo_2 = False buy_ema_low_2 = DecimalParameter(0.96, 0.978, default=0.96 , optimize = is_optimize_ewo_2) buy_ema_high_2 = DecimalParameter(1.05, 1.2, default=1.09 , optimize = is_optimize_ewo_2) is_optimize_cofi = False buy_ema_cofi = DecimalParameter(0.96, 0.98, default=0.97 , optimize = is_optimize_cofi) buy_fastk = IntParameter(20, 30, default=20, optimize = is_optimize_cofi) buy_fastd = IntParameter(20, 30, default=20, optimize = is_optimize_cofi) buy_adx = IntParameter(20, 30, default=30, optimize = is_optimize_cofi) buy_ewo_high = DecimalParameter(2, 12, default=3.553, optimize = is_optimize_cofi) is_optimize_btc_safe = False buy_btc_safe = IntParameter(-300, 50, default=-200, optimize = is_optimize_btc_safe) buy_btc_safe_1d = DecimalParameter(-0.075, -0.025, default=-0.05, optimize = is_optimize_btc_safe) buy_threshold = DecimalParameter(0.003, 0.012, default=0.008, optimize = is_optimize_btc_safe) # Buy params toggle buy_is_dip_enabled = CategoricalParameter([True, False], default=True, space='buy', optimize=False, load=True) buy_is_break_enabled = CategoricalParameter([True, False], default=True, space='buy', optimize=False, load=True) ## Sell params sell_btc_safe = IntParameter(-400, -300, default=-365, optimize = True) base_nb_candles_sell = IntParameter(5, 80, default=sell_params['base_nb_candles_sell'], space='sell', 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) ## Trailing params # hard stoploss profit pHSL = DecimalParameter(-0.200, -0.040, default=-0.08, decimals=3, space='sell', load=True) # profit threshold 1, trigger point, SL_1 is used pPF_1 = DecimalParameter(0.008, 0.020, default=0.016, decimals=3, space='sell', load=True) pSL_1 = DecimalParameter(0.008, 0.020, default=0.011, decimals=3, space='sell', load=True) # profit threshold 2, SL_2 is used pPF_2 = DecimalParameter(0.040, 0.100, default=0.080, decimals=3, space='sell', load=True) pSL_2 = DecimalParameter(0.020, 0.070, default=0.040, decimals=3, space='sell', load=True) ############################################################################ def informative_pairs(self): pairs = self.dp.current_whitelist() # Assign tf to each pair so they can be downloaded and cached for strategy. informative_pairs = [(pair, self.timeframe) for pair in pairs] if self.config['stake_currency'] in ['USDT', 'BUSD', 'USDC', 'DAI', 'TUSD', 'PAX', 'USD', 'EUR', 'GBP', 'TRY', 'BRL', 'USDT:USDT', 'BUSD:BUSD', 'USDC:USDC', 'DAI:DAI', 'TUSD:TUSD', 'PAX:PAX', 'USD:USD', 'EUR:EUR', 'GBP']: btc_info_pair = f"BTC/{self.config['stake_currency']}" else: btc_info_pair = "BTC/USDT" informative_pairs.append((btc_info_pair, self.timeframe)) #informative_pairs = [("BTC/BUSD", "5m")] return informative_pairs ############################################################################ ## Custom Trailing stoploss ( credit to Perkmeister for this custom stoploss to help the strategy ride a green candle ) def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: # hard stoploss profit HSL = self.pHSL.value PF_1 = self.pPF_1.value SL_1 = self.pSL_1.value PF_2 = self.pPF_2.value SL_2 = self.pSL_2.value # For profits between PF_1 and PF_2 the stoploss (sl_profit) used is linearly interpolated # between the values of SL_1 and SL_2. For all profits above PL_2 the sl_profit value # rises linearly with current profit, for profits below PF_1 the hard stoploss profit is used. if (current_profit > PF_2): sl_profit = SL_2 + (current_profit - PF_2) elif (current_profit > PF_1): sl_profit = SL_1 + ((current_profit - PF_1) * (SL_2 - SL_1) / (PF_2 - PF_1)) else: sl_profit = HSL # Only for hyperopt invalid return if (sl_profit >= current_profit): return -0.99 return stoploss_from_open(sl_profit, current_profit) ############################################################################ def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: assert self.dp, "DataProvider is required for multiple timeframes." # Bollinger bands (hyperopt hard to implement) 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'] bollinger3 = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=3) dataframe['bb_lowerband3'] = bollinger3['lower'] dataframe['bb_middleband3'] = bollinger3['mid'] dataframe['bb_upperband3'] = bollinger3['upper'] ### BTC protection # BTC info if self.config['stake_currency'] in ['USDT', 'BUSD', 'USDC', 'DAI', 'TUSD', 'PAX', 'USD', 'EUR', 'GBP', 'TRY', 'BRL', 'USDT:USDT', 'BUSD:BUSD', 'USDC:USDC', 'DAI:DAI', 'TUSD:TUSD', 'PAX:PAX', 'USD:USD', 'EUR:EUR', 'GBP']: btc_info_pair = f"BTC/{self.config['stake_currency']}" else: btc_info_pair = "BTC/USDT" inf_tf = '5m' informative = self.dp.get_pair_dataframe(btc_info_pair, timeframe=inf_tf) informative_past = informative.copy().shift(1) # Get recent BTC info # BTC 5m dump protection informative_past_source = (informative_past['open'] + informative_past['close'] + informative_past['high'] + informative_past['low']) / 4 # Get BTC price informative_threshold = informative_past_source * self.buy_threshold.value # BTC dump n% in 5 min informative_past_delta = informative_past['close'].shift(1) - informative_past['close'] # should be positive if dump informative_diff = informative_threshold - informative_past_delta # Need be larger than 0 dataframe['btc_threshold'] = informative_threshold dataframe['btc_diff'] = informative_diff # BTC 1d dump protection informative_past_1d = informative.copy().shift(288) informative_past_source_1d = (informative_past_1d['open'] + informative_past_1d['close'] + informative_past_1d['high'] + informative_past_1d['low']) / 4 dataframe['btc_5m'] = informative_past_source dataframe['btc_1d'] = informative_past_source_1d ### Other checks dataframe['bb_width'] = ((dataframe['bb_upperband2'] - dataframe['bb_lowerband2']) / dataframe['bb_middleband2']) dataframe['bb_delta'] = ((dataframe['bb_lowerband2'] - dataframe['bb_lowerband3']) / dataframe['bb_lowerband2']) dataframe['bb_bottom_cross'] = qtpylib.crossed_below(dataframe['close'], dataframe['bb_lowerband3']).astype('int') # CCI hyperopt for val in self.buy_cci_length.range: dataframe[f'cci_length_{val}'] = ta.CCI(dataframe, val) dataframe['cci'] = ta.CCI(dataframe, 26) dataframe['cci_long'] = ta.CCI(dataframe, 170) # RMI hyperopt for val in self.buy_rmi_length.range: dataframe[f'rmi_length_{val}'] = RMI(dataframe, length=val, mom=4) #dataframe['rmi'] = RMI(dataframe, length=8, mom=4) # SRSI hyperopt ? stoch = ta.STOCHRSI(dataframe, 15, 20, 2, 2) dataframe['srsi_fk'] = stoch['fastk'] dataframe['srsi_fd'] = stoch['fastd'] # BinH dataframe['closedelta'] = (dataframe['close'] - dataframe['close'].shift()).abs() # SMA dataframe['sma_15'] = ta.SMA(dataframe, timeperiod=15) dataframe['sma_30'] = ta.SMA(dataframe, timeperiod=30) # CTI dataframe['cti'] = pta.cti(dataframe["close"], length=20) # EMA dataframe['ema_8'] = ta.EMA(dataframe, timeperiod=8) dataframe['ema_12'] = ta.EMA(dataframe, timeperiod=12) dataframe['ema_13'] = ta.EMA(dataframe, timeperiod=13) dataframe['ema_16'] = ta.EMA(dataframe, timeperiod=16) dataframe['ema_26'] = ta.EMA(dataframe, timeperiod=26) dataframe['hma_50'] = qtpylib.hull_moving_average(dataframe['close'], window=50) dataframe['ema_100'] = ta.EMA(dataframe, timeperiod=100) dataframe['sma_9'] = ta.SMA(dataframe, timeperiod=9) # RSI dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) dataframe['rsi_fast'] = ta.RSI(dataframe, timeperiod=4) dataframe['rsi_slow'] = ta.RSI(dataframe, timeperiod=20) # Elliot dataframe['EWO'] = EWO(dataframe, 50, 200) # Cofi stoch_fast = ta.STOCHF(dataframe, 5, 3, 0, 3, 0) dataframe['fastd'] = stoch_fast['fastd'] dataframe['fastk'] = stoch_fast['fastk'] dataframe['adx'] = ta.ADX(dataframe) # Williams %R dataframe['r_14'] = williams_r(dataframe, period=14) # Volume dataframe['volume_mean_4'] = dataframe['volume'].rolling(4).mean().shift(1) # Calculate all ma_sell values for val in self.base_nb_candles_sell.range: dataframe[f'ma_sell_{val}'] = ta.EMA(dataframe, timeperiod=val) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] dataframe.loc[:, 'buy_tag'] = '' if self.buy_is_dip_enabled.value: is_dip = ( (dataframe[f'rmi_length_{self.buy_rmi_length.value}'] < self.buy_rmi.value) & (dataframe[f'cci_length_{self.buy_cci_length.value}'] <= self.buy_cci.value) & (dataframe['srsi_fk'] < self.buy_srsi_fk.value) ) #conditions.append(is_dip) if self.buy_is_break_enabled.value: is_break = ( ( (dataframe['bb_delta'] > self.buy_bb_delta.value) #"buy_bb_delta": 0.025 0.036 & #"buy_bb_width": 0.095 0.133 (dataframe['bb_width'] > self.buy_bb_width.value) ) & (dataframe['closedelta'] > dataframe['close'] * self.buy_closedelta.value / 1000 ) & # from BinH (dataframe['close'] < dataframe['bb_lowerband3'] * self.buy_bb_factor.value) ) #conditions.append(is_break) is_local_uptrend = ( # from NFI next gen (dataframe['ema_26'] > dataframe['ema_12']) & (dataframe['ema_26'] - dataframe['ema_12'] > dataframe['open'] * self.buy_ema_diff.value) & (dataframe['ema_26'].shift() - dataframe['ema_12'].shift() > dataframe['open'] / 100) & (dataframe['close'] < dataframe['bb_lowerband2'] * self.buy_bb_factor.value) & (dataframe['closedelta'] > dataframe['close'] * self.buy_closedelta.value / 1000 ) ) is_ewo = ( # from SMA offset (dataframe['rsi_fast'] < self.buy_rsi_fast.value) & (dataframe['close'] < dataframe['ema_8'] * self.buy_ema_low.value) & (dataframe['EWO'] > self.buy_ewo.value) & (dataframe['close'] < dataframe['ema_16'] * self.buy_ema_high.value) & (dataframe['rsi'] < self.buy_rsi.value) ) is_ewo_2 = ( (dataframe['rsi_fast'] < self.buy_rsi_fast.value) & (dataframe['close'] < dataframe['ema_8'] * self.buy_ema_low_2.value) & (dataframe['EWO'] > self.buy_ewo_high.value) & (dataframe['close'] < dataframe['ema_16'] * self.buy_ema_high_2.value) & (dataframe['rsi'] < self.buy_rsi.value) ) is_cofi = ( (dataframe['open'] < dataframe['ema_8'] * self.buy_ema_cofi.value) & (qtpylib.crossed_above(dataframe['fastk'], dataframe['fastd'])) & (dataframe['fastk'] < self.buy_fastk.value) & (dataframe['fastd'] < self.buy_fastd.value) & (dataframe['adx'] > self.buy_adx.value) & (dataframe['EWO'] > self.buy_ewo_high.value) ) # NFI quick mode is_nfi_32 = ( (dataframe['rsi_slow'] < dataframe['rsi_slow'].shift(1)) & (dataframe['rsi_fast'] < 46) & (dataframe['rsi'] > 19) & (dataframe['close'] < dataframe['sma_15'] * 0.942) & (dataframe['cti'] < -0.86) ) is_nfi_33 = ( (dataframe['close'] < (dataframe['ema_13'] * 0.978)) & (dataframe['EWO'] > 8) & (dataframe['cti'] < -0.88) & (dataframe['rsi'] < 32) & (dataframe['r_14'] < -98.0) & (dataframe['volume'] < (dataframe['volume_mean_4'] * 2.5)) ) # is_btc_safe = ( # (dataframe['btc_diff'] > self.buy_btc_safe.value) # &(dataframe['btc_5m'] - dataframe['btc_1d'] > dataframe['btc_1d'] * self.buy_btc_safe_1d.value) # &(dataframe['volume'] > 0) # Make sure Volume is not 0 # ) is_BB_checked = is_dip & is_break ##print(dataframe['btc_5m']) ##print(dataframe['btc_1d']) ##print(dataframe['btc_5m'] - dataframe['btc_1d']) ##print(dataframe['btc_1d'] * -0.025) ##print(dataframe['btc_5m'] - dataframe['btc_1d'] > dataframe['btc_1d'] * -0.025) ## condition append conditions.append(is_BB_checked) # ~1.7 89% dataframe.loc[is_BB_checked, 'buy_tag'] += 'bb ' conditions.append(is_local_uptrend) # ~3.84 90.2% dataframe.loc[is_local_uptrend, 'buy_tag'] += 'local uptrend ' conditions.append(is_ewo) # ~2.26 93.5% dataframe.loc[is_ewo, 'buy_tag'] += 'ewo ' conditions.append(is_ewo_2) # ~3.68 90.3% dataframe.loc[is_ewo_2, 'buy_tag'] += 'ewo2 ' conditions.append(is_cofi) # ~3.21 90.8% dataframe.loc[is_cofi, 'buy_tag'] += 'cofi ' conditions.append(is_nfi_32) # ~2.43 91.3% dataframe.loc[is_nfi_32, 'buy_tag'] += 'nfi 32 ' conditions.append(is_nfi_33) # ~0.11 100% dataframe.loc[is_nfi_33, 'buy_tag'] += 'nfi 33 ' 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['sma_9'])& (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['sma_9'] > (dataframe['sma_9'].shift(1) + dataframe['sma_9'].shift(1)*0.005 )) & (dataframe['close'] < dataframe['hma_50'])& (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 dataframe class TrailingBuyStrat2(github_lavaalone_freqtrade_backtest__BB_RPB_TSL_RNG_TBS__20220126_154312): # Original idea by @MukavaValkku, code by @tirail and @stash86 # # This class is designed to inherit from yours and starts trailing buy with your buy signals # Trailing buy starts at any buy signal and will move to next candles if the trailing still active # Trailing buy stops with BUY if : price decreases and rises again more than trailing_buy_offset # Trailing buy stops with NO BUY : current price is > initial price * (1 + trailing_buy_max) OR custom_sell tag # IT IS NOT COMPATIBLE WITH BACKTEST/HYPEROPT # process_only_new_candles = True custom_info_trail_buy = dict() # Trailing buy parameters trailing_buy_order_enabled = True trailing_expire_seconds = 1800 # If the current candle goes above min_uptrend_trailing_profit % before trailing_expire_seconds_uptrend seconds, buy the coin trailing_buy_uptrend_enabled = False trailing_expire_seconds_uptrend = 90 min_uptrend_trailing_profit = 0.02 debug_mode = True trailing_buy_max_stop = 0.02 # stop trailing buy if current_price > starting_price * (1+trailing_buy_max_stop) trailing_buy_max_buy = 0.000 # buy if price between uplimit (=min of serie (current_price * (1 + trailing_buy_offset())) and (start_price * 1+trailing_buy_max_buy)) init_trailing_dict = { 'trailing_buy_order_started': False, 'trailing_buy_order_uplimit': 0, 'start_trailing_price': 0, 'buy_tag': None, 'start_trailing_time': None, 'offset': 0, 'allow_trailing': False, } def trailing_buy(self, pair, reinit=False): # returns trailing buy info for pair (init if necessary) if not pair in self.custom_info_trail_buy: self.custom_info_trail_buy[pair] = dict() if (reinit or not 'trailing_buy' in self.custom_info_trail_buy[pair]): self.custom_info_trail_buy[pair]['trailing_buy'] = self.init_trailing_dict.copy() return self.custom_info_trail_buy[pair]['trailing_buy'] def trailing_buy_info(self, pair: str, current_price: float): # current_time live, dry run current_time = datetime.now(timezone.utc) if not self.debug_mode: return trailing_buy = self.trailing_buy(pair) duration = 0 try: duration = (current_time - trailing_buy['start_trailing_time']) except TypeError: duration = 0 finally: logger.info( f"pair: {pair} : " f"start: {trailing_buy['start_trailing_price']:.4f}, " f"duration: {duration}, " f"current: {current_price:.4f}, " f"uplimit: {trailing_buy['trailing_buy_order_uplimit']:.4f}, " f"profit: {self.current_trailing_profit_ratio(pair, current_price)*100:.2f}%, " f"offset: {trailing_buy['offset']}") def current_trailing_profit_ratio(self, pair: str, current_price: float) -> float: trailing_buy = self.trailing_buy(pair) if trailing_buy['trailing_buy_order_started']: return (trailing_buy['start_trailing_price'] - current_price) / trailing_buy['start_trailing_price'] else: return 0 def trailing_buy_offset(self, dataframe, pair: str, current_price: float): # return rebound limit before a buy in % of initial price, function of current price # return None to stop trailing buy (will start again at next buy signal) # return 'forcebuy' to force immediate buy # (example with 0.5%. initial price : 100 (uplimit is 100.5), 2nd price : 99 (no buy, uplimit updated to 99.5), 3price 98 (no buy uplimit updated to 98.5), 4th price 99 -> BUY current_trailing_profit_ratio = self.current_trailing_profit_ratio(pair, current_price) default_offset = 0.005 trailing_buy = self.trailing_buy(pair) if not trailing_buy['trailing_buy_order_started']: return default_offset # example with duration and indicators # dry run, live only last_candle = dataframe.iloc[-1] current_time = datetime.now(timezone.utc) trailing_duration = current_time - trailing_buy['start_trailing_time'] if trailing_duration.total_seconds() > self.trailing_expire_seconds: if ((current_trailing_profit_ratio > 0) and (last_candle['buy'] == 1)): # more than 1h, price under first signal, buy signal still active -> buy return 'forcebuy' else: # wait for next signal return None elif (self.trailing_buy_uptrend_enabled and (trailing_duration.total_seconds() < self.trailing_expire_seconds_uptrend) and (current_trailing_profit_ratio < (-1 * self.min_uptrend_trailing_profit))): # less than 90s and price is rising, buy return 'forcebuy' if current_trailing_profit_ratio < 0: # current price is higher than initial price return default_offset trailing_buy_offset = { 0.06: 0.02, 0.03: 0.01, 0: default_offset, } for key in trailing_buy_offset: if current_trailing_profit_ratio > key: return trailing_buy_offset[key] return default_offset # end of trailing buy parameters # ----------------------------------------------------- def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe = super().populate_indicators(dataframe, metadata) self.trailing_buy(metadata['pair']) return dataframe def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str, **kwargs) -> bool: val = super().confirm_trade_entry(pair, order_type, amount, rate, time_in_force, **kwargs) if val: if self.trailing_buy_order_enabled and self.config['runmode'].value in ('live', 'dry_run'): val = False dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) if(len(dataframe) >= 1): last_candle = dataframe.iloc[-1].squeeze() current_price = rate trailing_buy = self.trailing_buy(pair) trailing_buy_offset = self.trailing_buy_offset(dataframe, pair, current_price) if trailing_buy['allow_trailing']: if (not trailing_buy['trailing_buy_order_started'] and (last_candle['buy'] == 1)): # start trailing buy # self.custom_info_trail_buy[pair]['trailing_buy']['trailing_buy_order_started'] = True # self.custom_info_trail_buy[pair]['trailing_buy']['trailing_buy_order_uplimit'] = last_candle['close'] # self.custom_info_trail_buy[pair]['trailing_buy']['start_trailing_price'] = last_candle['close'] # self.custom_info_trail_buy[pair]['trailing_buy']['buy_tag'] = f"initial_buy_tag (strat trail price {last_candle['close']})" # self.custom_info_trail_buy[pair]['trailing_buy']['start_trailing_time'] = datetime.now(timezone.utc) # self.custom_info_trail_buy[pair]['trailing_buy']['offset'] = 0 trailing_buy['trailing_buy_order_started'] = True trailing_buy['trailing_buy_order_uplimit'] = last_candle['close'] trailing_buy['start_trailing_price'] = last_candle['close'] trailing_buy['buy_tag'] = last_candle['buy_tag'] trailing_buy['start_trailing_time'] = datetime.now(timezone.utc) trailing_buy['offset'] = 0 self.trailing_buy_info(pair, current_price) logger.info(f'start trailing buy for {pair} at {last_candle["close"]}') elif trailing_buy['trailing_buy_order_started']: if trailing_buy_offset == 'forcebuy': # buy in custom conditions val = True ratio = "%.2f" % ((self.current_trailing_profit_ratio(pair, current_price)) * 100) self.trailing_buy_info(pair, current_price) logger.info(f"price OK for {pair} ({ratio} %, {current_price}), order may not be triggered if all slots are full") elif trailing_buy_offset is None: # stop trailing buy custom conditions self.trailing_buy(pair, reinit=True) logger.info(f'STOP trailing buy for {pair} because "trailing buy offset" returned None') elif current_price < trailing_buy['trailing_buy_order_uplimit']: # update uplimit old_uplimit = trailing_buy["trailing_buy_order_uplimit"] self.custom_info_trail_buy[pair]['trailing_buy']['trailing_buy_order_uplimit'] = min(current_price * (1 + trailing_buy_offset), self.custom_info_trail_buy[pair]['trailing_buy']['trailing_buy_order_uplimit']) self.custom_info_trail_buy[pair]['trailing_buy']['offset'] = trailing_buy_offset self.trailing_buy_info(pair, current_price) logger.info(f'update trailing buy for {pair} at {old_uplimit} -> {self.custom_info_trail_buy[pair]["trailing_buy"]["trailing_buy_order_uplimit"]}') elif current_price < (trailing_buy['start_trailing_price'] * (1 + self.trailing_buy_max_buy)): # buy ! current price > uplimit && lower thant starting price val = True ratio = "%.2f" % ((self.current_trailing_profit_ratio(pair, current_price)) * 100) self.trailing_buy_info(pair, current_price) logger.info(f"current price ({current_price}) > uplimit ({trailing_buy['trailing_buy_order_uplimit']}) and lower than starting price price ({(trailing_buy['start_trailing_price'] * (1 + self.trailing_buy_max_buy))}). OK for {pair} ({ratio} %), order may not be triggered if all slots are full") elif current_price > (trailing_buy['start_trailing_price'] * (1 + self.trailing_buy_max_stop)): # stop trailing buy because price is too high self.trailing_buy(pair, reinit=True) self.trailing_buy_info(pair, current_price) logger.info(f'STOP trailing buy for {pair} because of the price is higher than starting price * {1 + self.trailing_buy_max_stop}') else: # uplimit > current_price > max_price, continue trailing and wait for the price to go down self.trailing_buy_info(pair, current_price) logger.info(f'price too high for {pair} !') else: logger.info(f"Wait for next buy signal for {pair}") if (val == True): self.trailing_buy_info(pair, rate) self.trailing_buy(pair, reinit=True) logger.info(f'STOP trailing buy for {pair} because I buy it') return val def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe = super().populate_buy_trend(dataframe, metadata) if self.trailing_buy_order_enabled and self.config['runmode'].value in ('live', 'dry_run'): last_candle = dataframe.iloc[-1].squeeze() trailing_buy = self.trailing_buy(metadata['pair']) if (last_candle['buy'] == 1): if not trailing_buy['trailing_buy_order_started']: open_trades = Trade.get_trades([Trade.pair == metadata['pair'], Trade.is_open.is_(True), ]).all() if not open_trades: logger.info(f"Set 'allow_trailing' to True for {metadata['pair']} to start trailing!!!") # self.custom_info_trail_buy[metadata['pair']]['trailing_buy']['allow_trailing'] = True trailing_buy['allow_trailing'] = True initial_buy_tag = last_candle['buy_tag'] if 'buy_tag' in last_candle else 'buy signal' dataframe.loc[:, 'buy_tag'] = f"{initial_buy_tag} (start trail price {last_candle['close']})" else: if (trailing_buy['trailing_buy_order_started'] == True): logger.info(f"Continue trailing for {metadata['pair']}. Manually trigger buy signal!!") dataframe.loc[:,'buy'] = 1 dataframe.loc[:, 'buy_tag'] = trailing_buy['buy_tag'] # dataframe['buy'] = 1 return dataframe