# source: https://raw.githubusercontent.com/Sahillatif0/FreqTrade/1b8aea69659c872ae2fbeacba289f66615a938b2/userdata/strategies/InstitutionalLiquidity5m.py # directory_url: https://github.com/Sahillatif0/FreqTrade/blob/main/userdata/strategies/ # User: Sahillatif0 # Repository: FreqTrade # --------------------from datetime import datetime from functools import reduce import numpy as np import pandas as pd import talib.abstract as ta from pandas import DataFrame from freqtrade.persistence import Trade from freqtrade.strategy import ( IStrategy, merge_informative_pair, stoploss_from_open, ) class Github_Sahillatif0_FreqTrade__InstitutionalLiquidity5m__20261010_112950(IStrategy): """ Github_Sahillatif0_FreqTrade__InstitutionalLiquidity5m__20261010_112950 (v3 Pure Profit Architecture): 1. Removed harmful trailing stoploss that caused 28 unnecessary losses. 2. Uses strict hard stoploss (-1.4%) + profit locks (+0.8%, +1.4%). 3. Relies on exit_signal (11.72 Profit Factor) and ROI ladder for clean profitable exits. """ INTERFACE_VERSION = 3 timeframe = "5m" informative_timeframe_15m = "15m" informative_timeframe_1h = "1h" can_short: bool = False # Staged Risk-to-Reward Profit Ladder minimal_roi = { "0": 0.024, # 2.4% target "15": 0.015, # 1.5% target after 15 mins "40": 0.010, # 1.0% target after 40 mins "80": 0.006 # 0.6% floor target after 1.3 hours } # Hard Stop-Loss (-1.4%) stoploss = -0.014 trailing_stop = False use_custom_stoploss = True order_types = { "entry": "limit", "exit": "limit", "stoploss": "market", "stoploss_on_exchange": False } startup_candle_count: int = 150 @property def protections(self): return [ { "method": "CooldownPeriod", "stop_duration_candles": 3 # Pause 15 mins after trade exit }, { "method": "StoplossGuard", "lookback_period_candles": 24, "trade_limit": 2, "stop_duration_candles": 24, "only_per_pair": False } ] def informative_pairs(self): pairs = self.dp.current_whitelist() informative = [] for pair in pairs: informative.append((pair, self.informative_timeframe_15m)) informative.append((pair, self.informative_timeframe_1h)) informative.append(("BTC/USDT", self.informative_timeframe_1h)) return informative def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: """ Clean Asymmetric Profit Lock: - Once trade is +0.8% in profit, move stop to Breakeven (+0.2%). - Once trade is +1.4% in profit, lock +0.8%. """ # Tier 2: Up +1.4% -> Lock in +0.8% if current_profit >= 0.014: return stoploss_from_open(0.008, current_profit) # Tier 1: Move to Breakeven (+0.2% to cover fees) once profit reaches +0.8% if current_profit >= 0.008: return stoploss_from_open(0.002, current_profit) return 1 def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # ------------------------------------------------------------- # 1. Macro Higher Timeframe (1h) - Trend & BTC Anchor # ------------------------------------------------------------- pair_1h = self.dp.get_pair_dataframe(pair=metadata["pair"], timeframe=self.informative_timeframe_1h) if not pair_1h.empty: pair_1h["ema_50"] = ta.EMA(pair_1h, timeperiod=50) pair_1h["macro_uptrend_1h"] = pair_1h["close"] > pair_1h["ema_50"] dataframe = merge_informative_pair( dataframe, pair_1h, self.timeframe, self.informative_timeframe_1h, ffill=True ) btc_1h = self.dp.get_pair_dataframe(pair="BTC/USDT", timeframe=self.informative_timeframe_1h) if not btc_1h.empty: btc_1h["btc_ema_50"] = ta.EMA(btc_1h, timeperiod=50) btc_1h["btc_uptrend_1h"] = btc_1h["close"] > btc_1h["btc_ema_50"] dataframe = merge_informative_pair( dataframe, btc_1h, self.timeframe, self.informative_timeframe_1h, ffill=True ) # ------------------------------------------------------------- # 2. Intermediate Timeframe (15m) - Momentum Confluence # ------------------------------------------------------------- pair_15m = self.dp.get_pair_dataframe(pair=metadata["pair"], timeframe=self.informative_timeframe_15m) if not pair_15m.empty: pair_15m["rsi_15m"] = ta.RSI(pair_15m, timeperiod=14) pair_15m["trend_15m"] = pair_15m["rsi_15m"].between(46, 68) dataframe = merge_informative_pair( dataframe, pair_15m, self.timeframe, self.informative_timeframe_15m, ffill=True ) # ------------------------------------------------------------- # 3. Base 5m Indicators # ------------------------------------------------------------- dataframe["ema_9"] = ta.EMA(dataframe, timeperiod=9) dataframe["ema_21"] = ta.EMA(dataframe, timeperiod=21) dataframe["ema_50"] = ta.EMA(dataframe, timeperiod=50) dataframe["rsi"] = ta.RSI(dataframe, timeperiod=14) dataframe["adx"] = ta.ADX(dataframe, timeperiod=14) dataframe["atr"] = ta.ATR(dataframe, timeperiod=14) dataframe["volume_sma"] = dataframe["volume"].rolling(window=20).mean() # ------------------------------------------------------------- # 4. Institutional Anchored Session VWAP # ------------------------------------------------------------- typical_price = (dataframe["high"] + dataframe["low"] + dataframe["close"]) / 3.0 pv = typical_price * dataframe["volume"] window_5m = 288 # 24 Hours of 5m candles cum_pv = pv.rolling(window=window_5m, min_periods=1).sum() cum_vol = dataframe["volume"].rolling(window=window_5m, min_periods=1).sum() dataframe["vwap"] = cum_pv / np.where(cum_vol == 0, 1, cum_vol) dataframe["vwap_upper"] = dataframe["vwap"] + (1.20 * dataframe["atr"]) dataframe["vwap_lower"] = dataframe["vwap"] - (1.20 * dataframe["atr"]) # ------------------------------------------------------------- # 5. Smart Money Concept (SMC) Calculations # ------------------------------------------------------------- # A) Liquidity Sweep dataframe["recent_low_12"] = dataframe["low"].shift(1).rolling(window=12).min() dataframe["liquidity_swept"] = (dataframe["low"] < dataframe["recent_low_12"]) & (dataframe["close"] > dataframe["recent_low_12"]) # B) Displacement dataframe["is_displacement"] = ( (dataframe["close"] > dataframe["open"]) & (dataframe["close"] - dataframe["open"] > dataframe["atr"] * 0.75) & (dataframe["volume"] > dataframe["volume_sma"] * 1.35) ) # C) Bullish Fair Value Gap (FVG) Detection fvg_gap = dataframe["low"] - dataframe["high"].shift(2) dataframe["bullish_fvg"] = ( (fvg_gap > 0) & (dataframe["close"].shift(1) > dataframe["open"].shift(1)) ).astype(int) dataframe["fvg_active"] = dataframe["bullish_fvg"].rolling(window=3).max() dataframe["is_green"] = dataframe["close"] > dataframe["open"] return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[:, "enter_long"] = 0 dataframe.loc[:, "enter_tag"] = "" # Global Multi-Timeframe Alignment macro_btc = dataframe.get("btc_uptrend_1h_1h", pd.Series(True, index=dataframe.index)) == True macro_asset = dataframe.get("macro_uptrend_1h_1h", pd.Series(True, index=dataframe.index)) == True intermediate_15m = dataframe.get("trend_15m_15m", pd.Series(True, index=dataframe.index)) == True base_filters = macro_btc & macro_asset & intermediate_15m # ------------------------------------------------------------- # Setup 1: Liquidity Sweep + Fair Value Gap (FVG) Retest # ------------------------------------------------------------- fvg_retest = ( base_filters & (dataframe["fvg_active"] == 1) & (dataframe["liquidity_swept"].rolling(window=4).max() == 1) & (dataframe["close"] > dataframe["ema_21"]) & (dataframe["rsi"].between(50, 64)) & (dataframe["adx"] > 18) & dataframe["is_green"] ) dataframe.loc[fvg_retest, "enter_long"] = 1 dataframe.loc[fvg_retest, "enter_tag"] = "smc_fvg_retest" # ------------------------------------------------------------- # Setup 2: VWAP Institutional Discount Reclaim # ------------------------------------------------------------- vwap_reclaim = ( base_filters & (dataframe["low"].shift(1) <= dataframe["vwap_lower"].shift(1)) & (dataframe["close"] > dataframe["vwap"]) & (dataframe["volume"] > dataframe["volume_sma"] * 1.20) & (dataframe["rsi"].between(40, 62)) & dataframe["is_green"] ) dataframe.loc[vwap_reclaim, "enter_long"] = 1 dataframe.loc[vwap_reclaim, "enter_tag"] = "vwap_discount_reclaim" return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] # Institutional Profit Target: Price overextended past upper VWAP band with high RSI conditions.append(dataframe["close"] >= dataframe["vwap_upper"]) conditions.append(dataframe["rsi"] > 68) if conditions: dataframe.loc[ reduce(lambda x, y: x & y, conditions), "exit_long" ] = 1 return dataframe