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NDrop.py
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NDrop.py
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# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from typing import Dict, List
from functools import reduce
from pandas import DataFrame
# --------------------------------
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
import numpy # noqa
from freqtrade.strategy.hyper import CategoricalParameter, DecimalParameter, IntParameter
import Config
class NDrop(IStrategy):
"""
Simple strategy that looks for N consecutive drops and then buys
This version doesn't issue a sell signal, just holds until ROI or stoploss kicks in
How to use it?
> python3 ./freqtrade/main.py -s NDrop
"""
# Hyperparameters
# Buy hyperspace params:
buy_params = Config.strategyParameters["NDrop"]
# Bollinger Band 'gain' (% difference between current price and upper band).
# Since we are looking for potential swings of >2%, we look for potential of more than that
buy_num_candles = IntParameter(2, 9, default=3, space="buy")
buy_drop = DecimalParameter(0.01, 0.06, decimals=3, default=0.029, space="buy")
buy_fisher = DecimalParameter(-1, 1, decimals=2, default=-0.23, space="buy")
buy_mfi = DecimalParameter(10, 40, decimals=0, default=38.0, space="buy")
# Categorical parameters that control whether a trend/check is used or not
buy_fisher_enabled = CategoricalParameter([True, False], default=True, space="buy")
buy_mfi_enabled = CategoricalParameter([True, False], default=False, space="buy")
buy_bb_enabled = CategoricalParameter([True, False], default=False, space="buy")
# set the startup candles count to the longest average used (EMA, EMA etc)
startup_candle_count = 20
# set common parameters
minimal_roi = Config.minimal_roi
trailing_stop = Config.trailing_stop
trailing_stop_positive = Config.trailing_stop_positive
trailing_stop_positive_offset = Config.trailing_stop_positive_offset
trailing_only_offset_is_reached = Config.trailing_only_offset_is_reached
stoploss = Config.stoploss
timeframe = Config.timeframe
process_only_new_candles = Config.process_only_new_candles
use_sell_signal = Config.use_sell_signal
sell_profit_only = Config.sell_profit_only
ignore_roi_if_buy_signal = Config.ignore_roi_if_buy_signal
order_types = Config.order_types
def informative_pairs(self):
"""
Define additional, informative pair/interval combinations to be cached from the exchange.
These pair/interval combinations are non-tradeable, unless they are part
of the whitelist as well.
For more information, please consult the documentation
:return: List of tuples in the format (pair, interval)
Sample: return [("ETH/USDT", "5m"),
("BTC/USDT", "15m"),
]
"""
return []
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Adds several different TA indicators to the given DataFrame
Performance Note: For the best performance be frugal on the number of indicators
you are using. Let uncomment only the indicator you are using in your strategies
or your hyperopt configuration, otherwise you will waste your memory and CPU usage.
"""
# MFI
dataframe['mfi'] = ta.MFI(dataframe)
# SMA - Simple Moving Average
dataframe['sma'] = ta.SMA(dataframe, timeperiod=40)
# MACD
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
# Stoch fast
stoch_fast = ta.STOCHF(dataframe)
dataframe['fastd'] = stoch_fast['fastd']
dataframe['fastk'] = stoch_fast['fastk']
# RSI
dataframe['rsi'] = ta.RSI(dataframe)
# Inverse Fisher transform on RSI, values [-1.0, 1.0] (https://goo.gl/2JGGoy)
rsi = 0.1 * (dataframe['rsi'] - 50)
dataframe['fisher_rsi'] = (numpy.exp(2 * rsi) - 1) / (numpy.exp(2 * rsi) + 1)
# Bollinger bands
#bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
bollinger = qtpylib.weighted_bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
# A little different than normal - adjust band values based on buy_bb_ratio
#dataframe['bb_upperband'] = bollinger['mid'] + (bollinger['upper']-bollinger['mid'])*self.buy_bb_uratio.value
#dataframe['bb_middleband'] = bollinger['mid']
#dataframe['bb_lowerband'] = bollinger['mid'] - (bollinger['mid']-bollinger['lower'])*self.buy_bb_lratio.value
dataframe['bb_upperband'] = bollinger['upper']
dataframe['bb_middleband'] = bollinger['mid']
dataframe['bb_lowerband'] = bollinger['lower']
dataframe["bb_gain"] = ((dataframe["bb_upperband"] - dataframe["close"]) / dataframe["close"])
# EMA - Exponential Moving Average
dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100)
# SAR Parabol
dataframe['sar'] = ta.SAR(dataframe)
return dataframe
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
conditions = []
# GUARDS AND TRENDS
if self.buy_mfi_enabled.value:
conditions.append(dataframe['mfi'] <= self.buy_mfi.value)
if self.buy_fisher_enabled.value:
conditions.append(dataframe['fisher_rsi'] < self.buy_fisher.value)
if self.buy_bb_enabled.value:
conditions.append(dataframe['close'] <= dataframe['bb_lowerband'])
# TRIGGERS
# N red candles
if self.buy_num_candles.value >= 1:
for i in range(self.buy_num_candles.value):
conditions.append(dataframe['close'].shift(i) <= dataframe['open'].shift(i))
# big enough drop?
conditions.append(
(((dataframe['open'].shift(self.buy_num_candles.value-1) - dataframe['close']) /
dataframe['open'].shift(self.buy_num_candles.value-1)) >= self.buy_drop.value)
)
# build the dataframe using the conditions
if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy'] = 1
return dataframe
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators, populates the sell signal for the given dataframe
:param dataframe: DataFrame
:return: DataFrame with buy column
"""
# Don't sell (have to set something in 'sell' column)
dataframe.loc[(dataframe['close'] >= 0), 'sell'] = 0
return dataframe