# --- Do not remove these libs --- from freqtrade.strategy.interface import IStrategy from pandas import DataFrame, Series import talib.abstract as ta import freqtrade.vendor.qtpylib.indicators as qtpylib import numpy as np from freqtrade.strategy import DecimalParameter, IntParameter, stoploss_from_open from datetime import datetime, timedelta from functools import reduce # -------------------------------- 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 # Volume Weighted Moving Average def vwma(dataframe: DataFrame, length: int=10): """Indicator: Volume Weighted Moving Average (VWMA)""" # Calculate Result pv = dataframe['close'] * dataframe['volume'] vwma = Series(ta.SMA(pv, timeperiod=length) / ta.SMA(dataframe['volume'], timeperiod=length)) return vwma # Modified Elder Ray Index def moderi(dataframe: DataFrame, len_slow_ma: int=32) -> Series: slow_ma = Series(ta.EMA(vwma(dataframe, length=len_slow_ma), timeperiod=len_slow_ma)) return slow_ma >= slow_ma.shift(1) # we just need true & false for ERI trend class BBRSITV(IStrategy): INTERFACE_VERSION = 3 # Buy hyperspace params: entry_params = {'ewo_high': 4.86, 'for_ma_length': 22, 'for_sigma': 1.74} # Sell hyperspace params: exit_params = {'for_ma_length_exit': 65, 'for_sigma_exit': 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_exit_signal = True exit_profit_only = False exit_profit_offset = 0.01 ignore_roi_if_entry_signal = False process_only_new_candles = True startup_candle_count = 30 # { # "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 # }, protections = [{'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': 0.2}] ewo_high = DecimalParameter(0, 7.0, default=entry_params['ewo_high'], space='entry', optimize=True) for_sigma = DecimalParameter(0, 10.0, default=entry_params['for_sigma'], space='entry', optimize=True) for_sigma_exit = DecimalParameter(0, 10.0, default=exit_params['for_sigma_exit'], space='exit', optimize=True) rsi_high = IntParameter(60, 100, default=exit_params['rsi_high'], space='exit', optimize=True) for_ma_length = IntParameter(5, 80, default=entry_params['for_ma_length'], space='entry', optimize=True) for_ma_length_exit = IntParameter(5, 80, default=exit_params['for_ma_length_exit'], space='exit', 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) dataframe['rsi_4'] = ta.RSI(dataframe[src], 4) 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) else: # 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 dataframe[f'basis_{self.for_ma_length.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length.value) dataframe[f'basis_{self.for_ma_length_exit.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length_exit.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_exit.value}'] = ta.STDDEV(dataframe['rsi'], self.for_ma_length_exit.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_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # 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) dataframe.loc[(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), 'enter_long'] = 1 return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # 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) dataframe.loc[((dataframe['rsi'] > self.rsi_high.value) | (dataframe['rsi'] > dataframe[f'basis_{self.for_ma_length_exit.value}'] + dataframe[f'dev_{self.for_ma_length_exit.value}'] * self.for_sigma_exit.value)) & (dataframe['volume'] > 0), 'exit_long'] = 1 return dataframe class BBRSITV4(BBRSITV): minimal_roi = {'0': 0.07} ignore_roi_if_entry_signal = True startup_candle_count = 400 stoploss = -0.3 # value loaded from strategy def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # & # (dataframe["roc_bbwidth_max"] < 70) dataframe.loc[(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['EWO'] < 10) | (dataframe['EWO'] >= 10) & (dataframe['rsi'] < 40)) & (dataframe['rsi_4'] < 25) & (dataframe['volume'] > 0), 'enter_long'] = 1 return dataframe class BBRSITV1(BBRSITV): """ 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% | | BBRSITV | 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: entry_params = {'ewo_high': 4.964, 'for_ma_length': 12, 'for_sigma': 2.313} # Sell hyperspace params: exit_params = {'for_ma_length_exit': 78, 'for_sigma_exit': 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 BBRSITV2(BBRSITV): """ 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% | | BBRSITV | 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: entry_params = {'ewo_high': 4.85, 'for_ma_length': 11, 'for_sigma': 2.066} # Sell hyperspace params: exit_params = {'for_ma_length_exit': 61, 'for_sigma_exit': 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 BBRSITV3(BBRSITV): """ 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% | | BBRSITV | 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: entry_params = {'ewo_high': 4.86, 'for_ma_length': 22, 'for_sigma': 1.74} # Sell hyperspace params: exit_params = {'for_ma_length_exit': 65, 'for_sigma_exit': 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 class BBRSITV5(BBRSITV): minimal_roi = {'0': 0.04} ignore_roi_if_entry_signal = True startup_candle_count = 400 use_custom_stoploss = True stoploss = -0.3 # value loaded from strategy ## exit_params = {'pHSL': -0.178, 'pPF_1': 0.01, 'pPF_2': 0.048, 'pSL_1': 0.009, 'pSL_2': 0.043} is_optimize_trailing = True pHSL = DecimalParameter(-0.2, -0.04, default=-0.08, decimals=3, space='exit', optimize=is_optimize_trailing, load=True) # profit threshold 1, trigger point, SL_1 is used pPF_1 = DecimalParameter(0.008, 0.02, default=0.016, decimals=3, space='exit', optimize=is_optimize_trailing, load=True) pSL_1 = DecimalParameter(0.008, 0.02, default=0.011, decimals=3, space='exit', optimize=is_optimize_trailing, load=True) # profit threshold 2, SL_2 is used pPF_2 = DecimalParameter(0.04, 0.1, default=0.08, decimals=3, space='exit', optimize=is_optimize_trailing, load=True) pSL_2 = DecimalParameter(0.02, 0.07, default=0.04, decimals=3, space='exit', optimize=is_optimize_trailing, load=True) 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_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # & # (dataframe["roc_bbwidth_max"] < 70) dataframe.loc[(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['EWO'] < 10) | (dataframe['EWO'] >= 10) & (dataframe['rsi'] < 40)) & (dataframe['rsi_4'] < 25) & (dataframe['volume'] > 0), 'enter_long'] = 1 return dataframe