# source: https://raw.githubusercontent.com/ntsd/freqtrade-configs/16fffee9d0dc8b3a1bca072b01f01bf5fc02a241/binance/usdt/MyStrategyNew/MyStrategyNew8.py
# github_ntsd_freqtrade_configs__MyStrategyNew8__20220130_211015
# Author: @ntsd (Jirawat Boonkumnerd)
# Github: https://github.com/ntsd
# V2 Update: Add periods for each timeframe
# V3 Update: Add operators
# V6 Update: Optimise by categories
# V7 Update: Optimise by using int parameter
# V8 Update: sell trend condition use from buy condition
# V8.1 Update: Remove second timeframe and second indicator to use same as first
# freqtrade download-data --exchange binance -t 5m --days 500
# freqtrade download-data --exchange binance -t 15m --days 500
# freqtrade download-data --exchange binance -t 30m --days 500
# freqtrade download-data --exchange binance -t 1h --days 500
# freqtrade download-data --exchange binance -t 4h --days 500
# ShortTradeDurHyperOptLoss, SharpeHyperOptLoss, SharpeHyperOptLossDaily, OnlyProfitHyperOptLoss
# freqtrade hyperopt --hyperopt-loss OnlyProfitHyperOptLoss --spaces buy sell --timeframe 5m -e 2000 --timerange 20210101-20210813 --strategy github_ntsd_freqtrade_configs__MyStrategyNew8__20220130_211015
# freqtrade backtesting --timeframe 5m --timerange 20200807-20210807 --strategy github_ntsd_freqtrade_configs__MyStrategyNew8__20220130_211015

from freqtrade.strategy import IStrategy, CategoricalParameter, IntParameter, merge_informative_pair
from pandas import DataFrame, Series

import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
from functools import reduce
import numpy as np

########################### Static Parameters ###########################

# Timeframes available for the exchange `Binance`: 1m, 3m, 5m, 15m, 30m, 1h, 2h, 4h, 6h, 8h, 12h, 1d, 3d, 1w, 1M
INDICATORS = ('EMA', 'SMA')

TIMEFRAMES = ('5m', '15m', '30m', '1h', '4h')
BASE_TIMEFRAME = TIMEFRAMES[0]
INFO_TIMEFRAMES = TIMEFRAMES[1:]
TIMEFRAMES_LEN = len(TIMEFRAMES)

PERIODS = range(10, 100)  # (5, 8, 15, 25, 40, 80)
PERIODS_LEN = len(PERIODS)

MAX_CONDITIONS = 3

########################### Indicator ###########################


def normalize(df):
    df = (df-df.min())/(df.max()-df.min())
    return df


def apply_indicator(dataframe: DataFrame, key: str, indicator: str, period: int):
    if key in dataframe.keys():
        return

    result = getattr(ta, indicator)(dataframe, timeperiod=period)
    dataframe[key] = normalize(result)

########################### Operators ###########################


def greater_operator(dataframe: DataFrame, main_indicator: str, crossed_indicator: str):
    return (dataframe[main_indicator] > dataframe[crossed_indicator])


def true_operator(dataframe: DataFrame, main_indicator: str, crossed_indicator: str):
    return (dataframe['volume'] > 10)


def close_operator(dataframe: DataFrame, main_indicator: str, crossed_indicator: str):
    return (np.isclose(dataframe[main_indicator], dataframe[crossed_indicator]))


def crossed_operator(dataframe: DataFrame, main_indicator: str, crossed_indicator: str):
    return (
        (qtpylib.crossed_below(dataframe[main_indicator], dataframe[crossed_indicator])) |
        (qtpylib.crossed_above(dataframe[main_indicator], dataframe[crossed_indicator]))
    )


def crossed_above_operator(dataframe: DataFrame, main_indicator: str, crossed_indicator: str):
    return (
        qtpylib.crossed_above(dataframe[main_indicator], dataframe[crossed_indicator])
    )


def crossed_below_operator(dataframe: DataFrame, main_indicator: str, crossed_indicator: str):
    return (
        qtpylib.crossed_below(dataframe[main_indicator], dataframe[crossed_indicator])
    )


OPERATORS = {
    # 'D': true_operator,
    '>': greater_operator,
    # '=': close_operator,
    # 'C': crossed_operator,
    'CA': crossed_above_operator,
    # 'CB': crossed_below_operator,
}


def apply_operator(dataframe: DataFrame, main_indicator, crossed_indicator, operator) -> tuple[Series, DataFrame]:
    condition = OPERATORS[operator](dataframe, main_indicator, crossed_indicator)
    return condition, dataframe

########################### HyperOpt Parameters ###########################


def get_parameter_keys(trend: str, condition_idx: int):
    k_1 = f'{trend}_indicator_{condition_idx}'
    k_2 = f'{trend}_timeframe_{condition_idx}'
    k_3 = f'{trend}_fperiod_{condition_idx}'
    k_4 = f'{trend}_speriod_{condition_idx}'
    k_5 = f'{trend}_operator_{condition_idx}'
    return k_1, k_2, k_3, k_4, k_5


def set_hyperopt_parameters(self):
    trend = 'buy'
    for condition_idx in range(MAX_CONDITIONS):
        k_1, k_2, k_3, k_4, k_5 = get_parameter_keys(trend, condition_idx)
        setattr(self, k_1, CategoricalParameter(INDICATORS, space=trend))
        setattr(self, k_2, IntParameter(0, TIMEFRAMES_LEN - 1, space=trend, default=0))
        setattr(self, k_3, IntParameter(0, PERIODS_LEN - 1, space=trend, default=0))
        setattr(self, k_4, IntParameter(0, PERIODS_LEN - 1, space=trend, default=0))
        setattr(self, k_5, CategoricalParameter(OPERATORS.keys(), space=trend))

    setattr(self, 'sell_condition', IntParameter(0, MAX_CONDITIONS - 1, space='sell', default=0))
    return self


@set_hyperopt_parameters
class github_ntsd_freqtrade_configs__MyStrategyNew8__20220130_211015(IStrategy):
    # ROI table:
    minimal_roi = {"0": 1}

    # Trailing stop:
    trailing_stop = False
    trailing_stop_positive = 0.03
    trailing_stop_positive_offset = 0.05
    trailing_only_offset_is_reached = False

    # Stoploss
    stoploss = -1

    # Timeframe
    timeframe = BASE_TIMEFRAME

    def __init__(self, config: dict) -> None:
        super().__init__(config)
        #print("Self:", self.__dict__)

    def get_hyperopt_parameters(self, trend: str, condition_idx: int):
        k_1, k_2, k_3, k_4, k_5 = get_parameter_keys(trend, condition_idx)
        indicator = getattr(self, k_1).value
        timeframe = getattr(self, k_2).value
        fperiod = getattr(self, k_3).value
        speriod = getattr(self, k_4).value
        operator = getattr(self, k_5).value
        return indicator, timeframe, fperiod, speriod, operator

    def get_indicators_pair(self, trend: str, condition_idx: int) -> tuple[str, str, str]:
        indicator, timeframe, fperiod, speriod, operator = self.get_hyperopt_parameters(trend, condition_idx)
        main_indicator = f'{indicator}_{PERIODS[fperiod]}_{TIMEFRAMES[timeframe]}'
        crossed_indicator = f'{indicator}_{PERIODS[speriod]}_{TIMEFRAMES[timeframe]}'
        return main_indicator, crossed_indicator, operator

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        assert self.dp, "DataProvider is required for multiple timeframes."

        avalidable_indicators = set()
        avalidable_info_timeframes = set()
        avalidable_periods = set()

        run_mode = self.dp.runmode.value
        if run_mode in ('backtest', 'live', 'dry_run'):
            # for these mode only add for current parameters setting
            trend = 'buy'
            for condition_idx in range(MAX_CONDITIONS):
                indicator, timeframe, fperiod, speriod, _ = self.get_hyperopt_parameters(trend, condition_idx)
                avalidable_indicators.add(indicator)
                avalidable_info_timeframes.add(TIMEFRAMES[timeframe])
                avalidable_periods.add(PERIODS[fperiod])
                avalidable_periods.add(PERIODS[speriod])
        else:
            avalidable_indicators = INDICATORS
            avalidable_info_timeframes = INFO_TIMEFRAMES
            avalidable_periods = PERIODS

        # apply info timeframe indicator
        for info_timeframe in avalidable_info_timeframes:
            info_dataframe = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=info_timeframe)
            for indicator in avalidable_indicators:
                for period in avalidable_periods:
                    apply_indicator(info_dataframe, f'{indicator}_{period}', indicator, period)
            dataframe = merge_informative_pair(dataframe, info_dataframe, self.timeframe, info_timeframe, ffill=True)

        # apply base timeframe indicator
        for indicator in avalidable_indicators:
            for period in avalidable_periods:
                apply_indicator(dataframe, f'{indicator}_{period}_{BASE_TIMEFRAME}', indicator, period)

        return dataframe

    def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        trend = 'buy'

        conditions = list()

        for condition_idx in range(MAX_CONDITIONS):
            main_indicator, crossed_indicator, operator = self.get_indicators_pair(trend, condition_idx)
            condition, dataframe = apply_operator(dataframe, main_indicator, crossed_indicator, operator)
            conditions.append(condition)

        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 = list()

        condition_idx = getattr(self, 'sell_condition').value
        main_indicator, crossed_indicator, operator = self.get_indicators_pair('buy', condition_idx)
        condition, dataframe = apply_operator(dataframe, main_indicator, crossed_indicator, operator)
        conditions.append(~condition)  # bitwaise not condition

        if conditions:
            dataframe.loc[reduce(lambda x, y: x & y, conditions), 'sell'] = 1

        return dataframe