# source: https://raw.githubusercontent.com/thierryjmartin/freqtrade-stuff/e252062ed010cfc100581130064652b0459e931e/BBRSITV.py # --- Do not remove these libs --- from freqtrade.strategy.interface import IStrategy from pandas import DataFrame import talib.abstract as ta import freqtrade.vendor.qtpylib.indicators as qtpylib import numpy as np from freqtrade.strategy import DecimalParameter, IntParameter # -------------------------------- 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['close'] * 100 return emadif class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_145810(IStrategy): INTERFACE_VERSION = 2 # Buy hyperspace params: buy_params = { "ewo_high": 4.86, "for_ma_length": 22, "for_sigma": 1.74, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 65, "for_sigma_sell": 1.895, "rsi_high": 72, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = False # value loaded from strategy trailing_stop_positive = 0.005 # value loaded from strategy trailing_stop_positive_offset = 0.025 # value loaded from strategy trailing_only_offset_is_reached = True # value loaded from strategy # Sell signal use_sell_signal = True sell_profit_only = False sell_profit_offset = 0.01 ignore_roi_if_buy_signal = False process_only_new_candles = True startup_candle_count = 30 protections = [ # { # "method": "StoplossGuard", # "lookback_period_candles": 12, # "trade_limit": 1, # "stop_duration_candles": 6, # "only_per_pair": True # }, # { # "method": "StoplossGuard", # "lookback_period_candles": 12, # "trade_limit": 2, # "stop_duration_candles": 6, # "only_per_pair": False # }, { "method": "LowProfitPairs", "lookback_period_candles": 60, "trade_limit": 1, "stop_duration": 60, "required_profit": -0.05 }, { "method": "MaxDrawdown", "lookback_period_candles": 24, "trade_limit": 1, "stop_duration_candles": 12, "max_allowed_drawdown": 0.14 }, ] ewo_high = DecimalParameter(0, 7.0, default=buy_params['ewo_high'], space='buy', optimize=True) for_sigma = DecimalParameter(0, 10.0, default=buy_params['for_sigma'], space='buy', optimize=True) for_sigma_sell = DecimalParameter(0, 10.0, default=sell_params['for_sigma_sell'], space='sell', optimize=True) rsi_high = IntParameter(60, 100, default=sell_params['rsi_high'], space='sell', optimize=True) for_ma_length = IntParameter(5, 80, default=buy_params['for_ma_length'], space='buy', optimize=True) for_ma_length_sell = IntParameter(5, 80, default=sell_params['for_ma_length_sell'], space='sell', optimize=True) # Optimal timeframe for the strategy timeframe = '5m' # Protection fast_ewo = 50 slow_ewo = 200 def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # //@version=3 # study(" RSI + BB (EMA) + Dispersion (2.0)", overlay=false) # # // Инициализация параметров # src = input(title="Source", type=source, defval=close) // Устанавливаем тип цены для расчетов src = 'close' # for_rsi = input(title="RSI_period", type=integer, defval=14) // Период для RSI for_rsi = 14 # for_ma = input(title="Basis_BB", type=integer, defval=20) // Период для MA внутри BB # for_ma = 20 # for_mult = input(title="Stdev", type=integer, defval=2, minval=1, maxval=5) // Число стандартных отклонений для BB for_mult = 2 # for_sigma = input(title="Dispersion", type=float, defval=0.1, minval=0.01, maxval=1) // Дисперсия вокруг MA for_sigma = 0.1 # # // Условия работы скрипта # current_rsi = rsi(src, for_rsi) // Текущее положение индикатора RSI dataframe['rsi'] = ta.RSI(dataframe[src], for_rsi) if self.config['runmode'].value == 'hyperopt': for for_ma in range(5, 81): # basis = ema(current_rsi, for_ma) dataframe[f'basis_{for_ma}'] = ta.EMA(dataframe['rsi'], for_ma) # dev = for_mult * stdev(current_rsi, for_ma) dataframe[f'dev_{for_ma}'] = ta.STDDEV(dataframe['rsi'], for_ma) # upper = basis + dev #dataframe[f'upper_{for_ma}'] = (dataframe[f'basis_{for_ma}'] + (dataframe[f'dev_{for_ma}'] * for_mult)) # lower = basis - dev #dataframe[f'lower_{for_ma}'] = dataframe[f'basis_{for_ma}'] - (dataframe[f'dev_{for_ma}'] * for_mult) # disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # dataframe[f'disp_up_{for_ma}'] = dataframe[f'basis_{for_ma}'] + ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma) # disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу) # dataframe[f'disp_down_{for_ma}'] = dataframe[f'basis_{for_ma}'] - ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma) # color_rsi = current_rsi >= disp_up ? lime : current_rsi <= disp_down ? red : #ffea00 // Текущий цвет RSI, в зависимости от его местоположения внутри BB else: dataframe[f'basis_{self.for_ma_length.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length.value) dataframe[f'basis_{self.for_ma_length_sell.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length_sell.value) # dev = for_mult * stdev(current_rsi, for_ma) dataframe[f'dev_{self.for_ma_length.value}'] = ta.STDDEV(dataframe['rsi'], self.for_ma_length.value) dataframe[f'dev_{self.for_ma_length_sell.value}'] = ta.STDDEV(dataframe['rsi'], self.for_ma_length_sell.value) # # // Дополнительные линии и заливка для областей для RSI # h1 = hline(70, color=#d4d4d4, linestyle=dotted, linewidth=1) h1 = 70 # h2 = hline(30, color=#d4d4d4, linestyle=dotted, linewidth=1) h2 = 30 # fill (h1, h2, transp=95) # # // Алерты и условия срабатывания # rsi_Green = crossover(current_rsi, disp_up) # rsi_Red = crossunder(current_rsi, disp_down) # alertcondition(condition=rsi_Green, # title="RSI cross Above Dispersion Area", # message="The RSI line closing crossed above the Dispersion area.") # # alertcondition(condition=rsi_Red, # title="RSI cross Under Dispersion Area", # message="The RSI line closing crossed below the Dispersion area") # # // Результаты и покраска # plot(basis, color=black) # plot(upper, color=#00fff0, linewidth=2) # plot(lower, color=#00fff0, linewidth=2) # s1 = plot(disp_up, color=white) # s2 = plot(disp_down, color=white) # fill(s1, s2, color=white, transp=80) # plot(current_rsi, color=color_rsi, linewidth=2) dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[ ( # upper = basis + dev # lower = basis - dev # disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # disp_up = basis + ((basis + dev * for_mult) - (basis - dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # disp_up = basis + (basis + dev * for_mult - basis + dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # disp_up = basis + (2 * dev * for_sigma * for_mult) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) qtpylib.crossed_below(dataframe['rsi'], (dataframe[f'basis_{self.for_ma_length.value}'] - (dataframe[f'dev_{self.for_ma_length.value}'] * self.for_sigma.value))) & (dataframe['EWO'] > self.ewo_high.value) & (dataframe['volume'] > 0) ), 'buy'] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[ ( ( (dataframe['rsi'] > self.rsi_high.value) | # upper = basis + dev # lower = basis - dev # disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу) # disp_down = basis - ((2* dev * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу) qtpylib.crossed_above(dataframe['rsi'], dataframe[f'basis_{self.for_ma_length_sell.value}'] + ((dataframe[f'dev_{self.for_ma_length_sell.value}'] * self.for_sigma_sell.value))) ) & (dataframe['volume'] > 0) ), 'sell'] = 1 return dataframe class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_145810): """ 2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4 ============================================================================= STRATEGY SUMMARY ============================================================================= | Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown | |-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+-----------------------| | Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% | | SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% | | github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_145810 | 309 | 1.10 | 340.17 | 3869.800 | 128.99 | 2:53:00 | 223 0 86 72.2 | 261.984 USDT 25.84% | ============================================================================================================================================================================ """ INTERFACE_VERSION = 2 # Buy hyperspace params: buy_params = { "ewo_high": 4.964, "for_ma_length": 12, "for_sigma": 2.313, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 78, "for_sigma_sell": 1.67, "rsi_high": 60, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = False # value loaded from strategy trailing_stop_positive = 0.005 # value loaded from strategy trailing_stop_positive_offset = 0.025 # value loaded from strategy trailing_only_offset_is_reached = True # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101_SL20(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101): # Stoploss: stoploss = -0.20 # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101_SL18(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101): # Stoploss: stoploss = -0.18 # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101_SL15(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101): # Stoploss: stoploss = -0.15 # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101_SL12(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101): # Stoploss: stoploss = -0.12 # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101_SL10(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101): # Stoploss: stoploss = -0.1 # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101_SL08(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101): # Stoploss: stoploss = -0.08 # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101_SL06(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458101): # Stoploss: stoploss = -0.06 # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458102(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_145810): """ 2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4 ============================================================================= STRATEGY SUMMARY ============================================================================= | Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown | |-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+-----------------------| | Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% | | SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% | | github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_145810 | 486 | 1.11 | 537.58 | 7689.862 | 256.33 | 5:01:00 | 287 0 199 59.1 | 1279.461 USDT 75.45% | ============================================================================================================================================================================ """ # Buy hyperspace params: buy_params = { "ewo_high": 4.85, "for_ma_length": 11, "for_sigma": 2.066, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 61, "for_sigma_sell": 1.612, "rsi_high": 87, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = False # value loaded from strategy trailing_stop_positive = 0.005 # value loaded from strategy trailing_stop_positive_offset = 0.025 # value loaded from strategy trailing_only_offset_is_reached = True # value loaded from strategy class github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_1458103(github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_145810): """ 2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4 ============================================================================== STRATEGY SUMMARY ============================================================================= | Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown | |-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+------------------------| | Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% | | SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% | | github_thierryjmartin_freqtrade_stuff__BBRSITV__20211220_145810 | 627 | 1.14 | 715.85 | 12998.605 | 433.29 | 5:35:00 | 374 0 253 59.6 | 2294.408 USDT 100.60% | =============================================================================================================================================================================""" INTERFACE_VERSION = 2 # Buy hyperspace params: buy_params = { "ewo_high": 4.86, "for_ma_length": 22, "for_sigma": 1.74, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 65, "for_sigma_sell": 1.895, "rsi_high": 72, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = True trailing_stop_positive = 0.078 trailing_stop_positive_offset = 0.095 trailing_only_offset_is_reached = False