import freqtrade.vendor.qtpylib.indicators as qtpylib import numpy as np import talib.abstract as ta from freqtrade.strategy.interface import IStrategy from freqtrade.strategy import merge_informative_pair from pandas import DataFrame def bollinger_bands(stock_price, window_size, num_of_std): rolling_mean = stock_price.rolling(window=window_size).mean() rolling_std = stock_price.rolling(window=window_size).std() lower_band = rolling_mean - rolling_std * num_of_std return (np.nan_to_num(rolling_mean), np.nan_to_num(lower_band)) class Cluc5werk(IStrategy): INTERFACE_VERSION = 3 '\n PASTE OUTPUT FROM HYPEROPT HERE\n ' # 989/1000: 331 trades. 305/9/17 Wins/Draws/Losses. Avg profit 1.54%. Median profit 2.13%. Total profit 0.00510181 BTC ( 509.36Σ%). Avg duration 367.3 min. Objective: -0.69786 # Buy hyperspace params: entry_params = {'bbdelta-close': 0.01853, 'bbdelta-tail': 0.78758, 'close-bblower': 0.00931, 'closedelta-close': 0.00169, 'rocr-1h': 0.8973, 'volume': 35} # Sell hyperspace params: exit_params = {'exit-bbmiddle-close': 0.97103} # ROI table: minimal_roi = {'0': 0.02134, '275': 0.01745, '559': 0.01618, '621': 0.0131, '791': 0.00843, '1048': 0.00443, '1074': 0} # Stoploss: stoploss = -0.22405 # Trailing stop: trailing_stop = True trailing_stop_positive = 0.18622 trailing_stop_positive_offset = 0.23091 trailing_only_offset_is_reached = False '\n END HYPEROPT\n ' timeframe = '1m' # Make sure these match or are not overridden in config use_exit_signal = True exit_profit_only = False exit_profit_offset = 0.0 ignore_roi_if_entry_signal = True def informative_pairs(self): pairs = self.dp.current_whitelist() informative_pairs = [(pair, '1h') for pair in pairs] return informative_pairs def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # Set Up Bollinger Bands mid, lower = bollinger_bands(dataframe['close'], window_size=40, num_of_std=2) dataframe['lower'] = lower dataframe['bbdelta'] = (mid - dataframe['lower']).abs() dataframe['closedelta'] = (dataframe['close'] - dataframe['close'].shift()).abs() dataframe['tail'] = (dataframe['close'] - dataframe['low']).abs() bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) dataframe['bb_lowerband'] = bollinger['lower'] dataframe['bb_middleband'] = bollinger['mid'] dataframe['ema_slow'] = ta.EMA(dataframe, timeperiod=50) dataframe['volume_mean_slow'] = dataframe['volume'].rolling(window=30).mean() dataframe['rocr'] = ta.ROCR(dataframe, timeperiod=28) inf_tf = '1h' informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=inf_tf) informative['rocr'] = ta.ROCR(informative, timeperiod=168) dataframe = merge_informative_pair(dataframe, informative, self.timeframe, inf_tf, ffill=True) return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: params = self.entry_params dataframe.loc[dataframe['rocr_1h'].gt(params['rocr-1h']) & (dataframe['lower'].shift().gt(0) & dataframe['bbdelta'].gt(dataframe['close'] * params['bbdelta-close']) & dataframe['closedelta'].gt(dataframe['close'] * params['closedelta-close']) & dataframe['tail'].lt(dataframe['bbdelta'] * params['bbdelta-tail']) & dataframe['close'].lt(dataframe['lower'].shift()) & dataframe['close'].le(dataframe['close'].shift()) | (dataframe['close'] < dataframe['ema_slow']) & (dataframe['close'] < params['close-bblower'] * dataframe['bb_lowerband']) & (dataframe['volume'] < dataframe['volume_mean_slow'].shift(1) * params['volume'])), 'fake_entry'] = 1 dataframe.loc[dataframe['fake_entry'].shift(1).eq(1) & dataframe['fake_entry'].eq(1) & (dataframe['volume'] > 0), 'entry'] = 1 return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: params = self.exit_params dataframe.loc[dataframe['high'].le(dataframe['high'].shift(1)) & dataframe['high'].shift(1).le(dataframe['high'].shift(2)) & dataframe['close'].le(dataframe['close'].shift(1)) & (dataframe['close'] * params['exit-bbmiddle-close'] > dataframe['bb_middleband']) & (dataframe['volume'] > 0), 'exit'] = 1 return dataframe class Cluc5werk_ETH(Cluc5werk): # hyperopt --config user_data/config-backtest-USD.json --hyperopt Cluc5werkHyperopt --hyperopt-loss OnlyProfitHyperOptLoss --strategy Cluc5werk_USD -e 1000 --spaces entry --timeframe 1m --timerange 20210101- # 677/1000: 618 trades. 581/20/17 Wins/Draws/Losses. Avg profit 1.23%. Median profit 1.65%. Total profit 379.36403713 USD ( 757.52Σ%). Avg duration 297.5 min. Objective: -1.52505 # Buy hyperspace params: entry_params = {'bbdelta-close': 0.00902, 'bbdelta-tail': 0.91508, 'close-bblower': 0.00603, 'closedelta-close': 0.00424, 'rocr-1h': 0.93725, 'volume': 38} # Sell hyperspace params: exit_params = {'exit-bbmiddle-close': 0.97181} # ROI table: minimal_roi = {'0': 0.01648, '38': 0.01484, '303': 0.01317, '597': 0.00952, '869': 0.00724, '896': 0.00253, '1062': 0} # Stoploss: stoploss = -0.33703 # Trailing stop: trailing_stop = True trailing_stop_positive = 0.29564 trailing_stop_positive_offset = 0.38855 trailing_only_offset_is_reached = False class Cluc5werk_BTC(Cluc5werk): # hyperopt --config user_data/config-backtest-BTC.json --hyperopt Cluc5werkHyperopt --hyperopt-loss OnlyProfitHyperOptLoss --strategy Cluc5werk_BTC -e 500 --spaces all --timeframe 1m --timerange 20210101- # 125/500: 422 trades. 369/14/39 Wins/Draws/Losses. Avg profit 0.97%. Median profit 2.18%. Total profit 0.00408737 BTC ( 408.13Σ%). Avg duration 307.8 min. Objective: -0.36043 # Buy hyperspace params: entry_params = {'bbdelta-close': 0.01511, 'bbdelta-tail': 0.90705, 'close-bblower': 0.01972, 'closedelta-close': 0.00099, 'rocr-1h': 0.97131, 'volume': 27} # Sell hyperspace params: exit_params = {'exit-bbmiddle-close': 0.97906} # ROI table: minimal_roi = {'0': 0.0218, '242': 0.02079, '308': 0.01803, '372': 0.01325, '390': 0.00905, '619': 0.00467, '737': 0} # Stoploss: stoploss = -0.14515 # Trailing stop: trailing_stop = True trailing_stop_positive = 0.03046 trailing_stop_positive_offset = 0.04631 trailing_only_offset_is_reached = True '\n END HYPEROPT\n ' class Cluc5werk_USD(Cluc5werk): # hyperopt --config user_data/config-backtest-USD.json --hyperopt Cluc5werkHyperopt --hyperopt-loss OnlyProfitHyperOptLoss --strategy Cluc5werk_USD -e 1000 --spaces entry --timeframe 1m --timerange 20210101- # 677/1000: 618 trades. 581/20/17 Wins/Draws/Losses. Avg profit 1.23%. Median profit 1.65%. Total profit 379.36403713 USD ( 757.52Σ%). Avg duration 297.5 min. Objective: -1.52505 # Buy hyperspace params: entry_params = {'bbdelta-close': 0.00902, 'bbdelta-tail': 0.91508, 'close-bblower': 0.00603, 'closedelta-close': 0.00424, 'rocr-1h': 0.93725, 'volume': 38} # hyperopt --config user_data/config-backtest-USD.json --hyperopt Cluc5werkHyperopt --hyperopt-loss OnlyProfitHyperOptLoss --strategy Cluc5werk_USD -e 250 --spaces exit --timeframe 1m --timerange 20210101- # 38/250: 609 trades. 573/20/16 Wins/Draws/Losses. Avg profit 1.25%. Median profit 1.65%. Total profit 382.03235064 USD ( 762.84Σ%). Avg duration 304.3 min. Objective: -1.54281 # Sell hyperspace params: exit_params = {'exit-bbmiddle-close': 0.97008} # hyperopt --config user_data/config-backtest-USD.json --hyperopt Cluc5werkHyperopt --hyperopt-loss OnlyProfitHyperOptLoss --strategy Cluc5werk_USD -e 250 --spaces roi --timeframe 1m --timerange 20210101- # 139/250: 575 trades. 531/28/16 Wins/Draws/Losses. Avg profit 1.38%. Median profit 1.88%. Total profit 396.08871240 USD ( 790.91Σ%). Avg duration 330.9 min. Objective: -1.63637 # ROI table: minimal_roi = {'0': 0.01887, '150': 0.016, '243': 0.01193, '471': 0.0103, '475': 0.00687, '744': 0.00271, '793': 0} # Stoploss: stoploss = -0.33703 # Trailing stop: trailing_stop = True trailing_stop_positive = 0.29564 trailing_stop_positive_offset = 0.38855 trailing_only_offset_is_reached = False