# --- 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 pandas as pd # noqa pd.options.mode.chained_assignment = None # default='warn' import technical.indicators as ftt from technical.util import resample_to_interval, resampled_merge from functools import reduce from datetime import datetime, timedelta # Obelisk_TradeProIM v1 - 2021-03-25 # # by Obelisk # https://twitter.com/brookmiles # # Based on "Crazy Results Best Ichimoku Cloud Trading Strategy Proven 100 Trades" by Trade Pro # https://www.youtube.com/watch?v=8gWIykJgMNY # # Does not attempt to emulate the risk/reward take-profit/stop-loss, so the exit criteria are mine. class Obelisk_TradePro_Ichi_v1_1(IStrategy): INTERFACE_VERSION = 3 # Optimal timeframe for the strategy timeframe = '1h' startup_candle_count = 120 process_only_new_candles = True # no ROI minimal_roi = {'0': 10} # Stoploss: stoploss = -0.015 # Main plot indicators (Moving averages, ...) # plot senkou_b, too. Not only the area to it. plot_config = {'main_plot': {'senkou_a': {'color': 'green', 'fill_to': 'senkou_b', 'fill_label': 'Ichimoku Cloud', 'fill_color': 'rgba(0,0,0,0.2)'}, 'senkou_b': {'color': 'red'}, 'tenkan_sen': {'color': 'orange'}, 'kijun_sen': {'color': 'blue'}, 'chikou_span': {'color': 'lightgreen'}}, 'subplots': {'Signals': {'go_long': {'color': 'blue'}, 'future_green': {'color': 'green'}, 'chikou_high': {'color': 'lightgreen'}}}} def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # # Standard Settings # displacement = 26 # ichimoku = ftt.ichimoku(dataframe, # conversion_line_period=9, # base_line_periods=26, # laggin_span=52, # displacement=displacement # ) # Crypto Settings displacement = 30 ichimoku = ftt.ichimoku(dataframe, conversion_line_period=20, base_line_periods=60, laggin_span=120, displacement=displacement) dataframe['chikou_span'] = ichimoku['chikou_span'] # cross indicators dataframe['tenkan_sen'] = ichimoku['tenkan_sen'] dataframe['kijun_sen'] = ichimoku['kijun_sen'] # cloud, green a > b, red a < b dataframe['senkou_a'] = ichimoku['senkou_span_a'] dataframe['senkou_b'] = ichimoku['senkou_span_b'] dataframe['leading_senkou_span_a'] = ichimoku['leading_senkou_span_a'] dataframe['leading_senkou_span_b'] = ichimoku['leading_senkou_span_b'] dataframe['cloud_green'] = ichimoku['cloud_green'] * 1 dataframe['cloud_red'] = ichimoku['cloud_red'] * -1 # DANGER ZONE START # NOTE: Not actually the future, present data that is normally shifted forward for display as the cloud dataframe['future_green'] = (dataframe['leading_senkou_span_a'] > dataframe['leading_senkou_span_b']).astype('int') * 2 # The chikou_span is shifted into the past, so we need to be careful not to read the # current value. But if we shift it forward again by displacement it should be safe to use. # We're effectively "looking back" at where it normally appears on the chart. dataframe['chikou_high'] = ((dataframe['chikou_span'] > dataframe['senkou_a']) & (dataframe['chikou_span'] > dataframe['senkou_b'])).shift(displacement).fillna(0).astype('int') # DANGER ZONE END dataframe['go_long'] = ((dataframe['tenkan_sen'] > dataframe['kijun_sen']) & (dataframe['close'] > dataframe['senkou_a']) & (dataframe['close'] > dataframe['senkou_b']) & (dataframe['future_green'] > 0) & (dataframe['chikou_high'] > 0)).astype('int') * 3 return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[qtpylib.crossed_above(dataframe['go_long'], 0), 'enter_long'] = 1 return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[qtpylib.crossed_below(dataframe['tenkan_sen'], dataframe['kijun_sen']) | qtpylib.crossed_below(dataframe['close'], dataframe['kijun_sen']), 'exit_long'] = 1 return dataframe # # Fun with outliers. # # ============================================================= BACKTESTING REPORT ============================================================= # | Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit USD | Tot Profit % | Avg Duration | Wins | Draws | Losses | # |-------------+--------+----------------+----------------+------------------+----------------+-----------------+--------+---------+----------| # | BTC/USD | 12 | 0.92 | 11.02 | 55.129 | 2.20 | 1 day, 1:10:00 | 5 | 0 | 7 | # | ETH/USD | 12 | 2.13 | 25.50 | 127.549 | 5.10 | 1 day, 7:35:00 | 5 | 0 | 7 | # | PERP/USD | 11 | -0.76 | -8.35 | -41.752 | -1.67 | 6:27:00 | 3 | 0 | 8 | # | FTT/USD | 11 | 7.37 | 81.09 | 405.519 | 16.22 | 1 day, 15:11:00 | 5 | 0 | 6 | # | MOB/USD | 13 | 0.59 | 7.67 | 38.371 | 1.53 | 23:42:00 | 1 | 0 | 12 | # | RAY/USD | 5 | -0.88 | -4.42 | -22.129 | -0.88 | 13:12:00 | 1 | 0 | 4 | # | BULL/USD | 8 | -0.18 | -1.40 | -7.003 | -0.28 | 8:30:00 | 2 | 0 | 6 | # | SRM/USD | 6 | -1.54 | -9.24 | -46.191 | -1.85 | 4:30:00 | 0 | 0 | 6 | # | LINA/USD | 11 | 11.56 | 127.19 | 636.069 | 25.44 | 9:22:00 | 3 | 0 | 8 | # | SXPBULL/USD | 9 | -0.08 | -0.75 | -3.767 | -0.15 | 3:00:00 | 1 | 0 | 8 | # | BTMX/USD | 12 | 38.27 | 459.20 | 2296.435 | 91.84 | 1 day, 23:15:00 | 5 | 0 | 7 | # | LINK/USD | 13 | -0.68 | -8.81 | -44.053 | -1.76 | 13:00:00 | 3 | 0 | 10 | # | LTC/USD | 12 | 0.46 | 5.54 | 27.728 | 1.11 | 11:40:00 | 5 | 0 | 7 | # | SXP/USD | 11 | 1.79 | 19.71 | 98.578 | 3.94 | 10:22:00 | 2 | 0 | 9 | # | AAVE/USD | 7 | -1.38 | -9.68 | -48.425 | -1.94 | 2:00:00 | 0 | 0 | 7 | # | BNB/USD | 12 | -0.83 | -9.95 | -49.744 | -1.99 | 4:30:00 | 2 | 0 | 10 | # | UNI/USD | 14 | -0.62 | -8.71 | -43.580 | -1.74 | 2:34:00 | 2 | 0 | 12 | # | ADABULL/USD | 7 | -1.54 | -10.78 | -53.889 | -2.16 | 2:17:00 | 0 | 0 | 7 | # | SUSHI/USD | 9 | -0.44 | -4.00 | -20.000 | -0.80 | 5:40:00 | 1 | 0 | 8 | # | BCH/USD | 13 | -0.10 | -1.35 | -6.744 | -0.27 | 8:55:00 | 4 | 0 | 9 | # | TOTAL | 208 | 3.17 | 659.49 | 3298.103 | 131.90 | 14:42:00 | 50 | 0 | 158 | # ====================================================== SELL REASON STATS ====================================================== # | Sell Reason | Sells | Wins | Draws | Losses | Avg Profit % | Cum Profit % | Tot Profit USD | Tot Profit % | # |---------------+---------+--------+---------+----------+----------------+----------------+------------------+----------------| # | stop_loss | 145 | 0 | 0 | 145 | -1.54 | -223.21 | -1116.28 | -44.64 | # | exit_signal | 63 | 50 | 0 | 13 | 14.01 | 882.7 | 4414.39 | 176.54 | # ======================================================= LEFT OPEN TRADES REPORT ======================================================== # | Pair | Buys | Avg Profit % | Cum Profit % | Tot Profit USD | Tot Profit % | Avg Duration | Wins | Draws | Losses | # |--------+--------+----------------+----------------+------------------+----------------+----------------+--------+---------+----------| # | TOTAL | 0 | 0.00 | 0.00 | 0.000 | 0.00 | 0:00 | 0 | 0 | 0 | # =============== SUMMARY METRICS =============== # | Metric | Value | # |-----------------------+---------------------| # | Backtesting from | 2021-02-01 00:00:00 | # | Backtesting to | 2021-03-24 22:00:00 | # | Max open trades | 5 | # | | | # | Total trades | 208 | # | Total Profit % | 131.9% | # | Trades per day | 4.08 | # | | | # | Best Pair | BTMX/USD 459.2% | # | Worst Pair | ADABULL/USD -10.78% | # | Best trade | BTMX/USD 307.52% | # | Worst trade | AAVE/USD -1.54% | # | Best day | 304.44% | # | Worst day | -16.93% | # | Days win/draw/lose | 20 / 4 / 28 | # | Avg. Duration Winners | 2 days, 2:08:00 | # | Avg. Duration Loser | 3:30:00 | # | | | # | Abs Profit Min | -60.400 USD | # | Abs Profit Max | 3298.103 USD | # | Max Drawdown | 39.83% | # | Drawdown Start | 2021-02-27 01:00:00 | # | Drawdown End | 2021-03-10 02:00:00 | # | Market change | 229.59% | # ===============================================