# THIS STRATEGY IS PRIVATE. DO NOT SHARE. # Heavily borrowed code from MultiMA_TSL3, ClucHAnix_BB_RPB. # Big thanks to all the giants whose shoulders this strat is standing on: # @stash86 # @Al # @Rallipanos # @pluxury from logging import FATAL from freqtrade.strategy.interface import IStrategy from typing import Dict, List from functools import reduce from pandas import DataFrame, Series import pandas_ta as pta import talib.abstract as ta import numpy as np import freqtrade.vendor.qtpylib.indicators as qtpylib import datetime from technical.util import resample_to_interval, resampled_merge from datetime import datetime, timedelta from freqtrade.persistence import Trade from freqtrade.strategy import stoploss_from_open, merge_informative_pair, DecimalParameter, IntParameter, CategoricalParameter, BooleanParameter from freqtrade.exchange import timeframe_to_minutes import technical.indicators as ftt from technical.indicators import zema # Buy hyperspace params: buy_params = {'base_nb_candles_buy': 17, 'ewo_high': 3.33, 'ewo_high_2': -0.444, 'ewo_low': -12.788, 'lookback_candles': 1, 'low_offset': 0.985, 'low_offset_2': 0.935, 'profit_threshold': 1.016, 'clucha_rocr_1h': 0.47782, 'clucha_bbdelta_close': 0.02206, 'clucha_bbdelta_tail': 1.02515, 'clucha_close_bblower': 0.03669, 'clucha_closedelta_close': 0.04401, 'base_nb_candles_buy_zema': 25, 'base_nb_candles_buy_zema2': 53, 'low_offset_zema': 0.958, 'low_offset_zema2': 0.961, 'base_nb_candles_buy_ema': 9, 'base_nb_candles_buy_ema2': 75, 'low_offset_ema': 1.067, 'low_offset_ema2': 0.973, 'high_offset_sell_ema': 0.994, 'rsi_buy': 71, 'max_change_pump': 35, 'cofi_adx': 8, 'cofi_ema': 0.639, 'cofi_enabled': False, 'cofi_ewo_high': 5.6, 'cofi_fastd': 40, 'cofi_fastk': 13, 'nfi32_cti_limit': -1.09639, 'nfi32_enabled': True, 'nfi32_rsi_14': 15, 'nfi32_rsi_4': 49, 'nfi32_sma_factor': 0.93391, 'ewo1_enabled': True, 'ewo2_enabled': True, 'ewolow_enabled': True, 'clucha_enabled': True, 'zema_enabled': True, 'vwma_enabled': True, 'base_nb_candles_buy_vwma': 26, 'base_nb_candles_buy_vwma2': 16, 'low_offset_vwma': 0.949, 'low_offset_vwma2': 0.951, 'vwap_enabled': True, 'ewo3_enabled': True, 'nfi24_enabled': True, 'keltner_enabled': True, 'gumbo_enabled': True, 'buy_gumbo_ema': 1.121, 'buy_gumbo_ewo_low': -9.442, 'buy_gumbo_cti': -0.374, 'buy_gumbo_r14': -51.971, 'nfix_39_enabled': True, 'buy_nfix_39_ema': 0.912, 'nfi7_33_enabled': True, 'nfi_38_enabled': True} # Sell hyperspace params: sell_params = {'base_nb_candles_sell': 8, 'high_offset': 1.01, 'high_offset_2': 1.406, 'ProfitLoss1': 0.005, 'ProfitLoss2': 0.021, 'ProfitMargin1': 0.018, 'ProfitMargin2': 0.051, 'pHSL': -0.15} # Protection hyperspace params: # value loaded from strategy # value loaded from strategy # value loaded from strategy protection_params = {'low_profit_lookback': 48, 'low_profit_min_req': 0.04, 'low_profit_stop_duration': 14, 'cooldown_lookback': 2, 'stoploss_lookback': 72, 'stoploss_stop_duration': 20} class NASOSRv6_private_Reinuvader_20211121(IStrategy): INTERFACE_VERSION = 3 # ROI table: minimal_roi = {'0': 10} # Stoploss: stoploss = -0.15 # SMAOffset base_nb_candles_buy = IntParameter(2, 26, default=buy_params['base_nb_candles_buy'], space='buy', optimize=True) base_nb_candles_sell = IntParameter(2, 20, default=sell_params['base_nb_candles_sell'], space='sell', optimize=True) low_offset = DecimalParameter(0.85, 0.99, default=buy_params['low_offset'], space='buy', optimize=True) low_offset_2 = DecimalParameter(0.9, 0.99, default=buy_params['low_offset_2'], space='buy', optimize=True) high_offset = DecimalParameter(0.95, 1.1, default=sell_params['high_offset'], space='sell', optimize=True) high_offset_2 = DecimalParameter(0.99, 1.5, default=sell_params['high_offset_2'], space='sell', optimize=True) # Protection fast_ewo = 50 slow_ewo = 200 cooldown_lookback = IntParameter(2, 48, default=protection_params['cooldown_lookback'], space='protection', optimize=True) low_profit_optimize = True low_profit_lookback = IntParameter(2, 60, default=protection_params['low_profit_lookback'], space='protection', optimize=low_profit_optimize) low_profit_stop_duration = IntParameter(12, 200, default=protection_params['low_profit_stop_duration'], space='protection', optimize=low_profit_optimize) low_profit_min_req = DecimalParameter(-0.05, 0.05, default=protection_params['low_profit_min_req'], space='protection', decimals=2, optimize=low_profit_optimize) lookback_candles = IntParameter(1, 36, default=buy_params['lookback_candles'], space='buy', optimize=True) profit_threshold = DecimalParameter(1.0, 1.08, default=buy_params['profit_threshold'], space='buy', optimize=True) ewo_low = DecimalParameter(-20.0, -8.0, default=buy_params['ewo_low'], space='buy', optimize=True) ewo_high = DecimalParameter(2.0, 12.0, default=buy_params['ewo_high'], space='buy', optimize=True) ewo_high_2 = DecimalParameter(-6.0, 12.0, default=buy_params['ewo_high_2'], space='buy', optimize=True) rsi_buy = IntParameter(60, 82, default=buy_params['rsi_buy'], space='buy', optimize=True) # trailing stoploss hyperopt parameters pHSL = DecimalParameter(-0.15, -0.08, default=sell_params['pHSL'], decimals=3, space='sell', optimize=True) ProfitMargin1 = DecimalParameter(0.009, 0.019, default=sell_params['ProfitMargin1'], decimals=3, space='sell', optimize=True) ProfitLoss1 = DecimalParameter(0.005, 0.012, default=sell_params['ProfitLoss1'], decimals=3, space='sell', optimize=True) ProfitMargin2 = DecimalParameter(0.033, 0.099, default=sell_params['ProfitMargin2'], decimals=3, space='sell', optimize=True) ProfitLoss2 = DecimalParameter(0.01, 0.025, default=sell_params['ProfitLoss2'], decimals=3, space='sell', optimize=True) # ClucHA clucha_bbdelta_close = DecimalParameter(0.01, 0.05, default=buy_params['clucha_bbdelta_close'], decimals=5, space='buy', optimize=True) clucha_bbdelta_tail = DecimalParameter(0.7, 1.2, default=buy_params['clucha_bbdelta_tail'], decimals=5, space='buy', optimize=True) clucha_close_bblower = DecimalParameter(0.001, 0.05, default=buy_params['clucha_close_bblower'], decimals=5, space='buy', optimize=True) clucha_closedelta_close = DecimalParameter(0.001, 0.05, default=buy_params['clucha_closedelta_close'], decimals=5, space='buy', optimize=True) clucha_rocr_1h = DecimalParameter(0.1, 1.0, default=buy_params['clucha_rocr_1h'], decimals=5, space='buy', optimize=True) # Zema base_nb_candles_buy_zema = IntParameter(5, 80, default=buy_params['base_nb_candles_buy_zema'], space='buy', optimize=True) low_offset_zema = DecimalParameter(0.9, 0.99, default=buy_params['low_offset_zema'], space='buy', optimize=True) base_nb_candles_buy_zema2 = IntParameter(5, 80, default=buy_params['base_nb_candles_buy_zema2'], space='buy', optimize=True) low_offset_zema2 = DecimalParameter(0.9, 0.99, default=buy_params['low_offset_zema2'], space='buy', optimize=True) high_offset_sell_ema = DecimalParameter(0.99, 1.1, default=buy_params['high_offset_sell_ema'], space='buy', optimize=True) base_nb_candles_buy_ema = IntParameter(5, 80, default=buy_params['base_nb_candles_buy_ema'], space='buy', optimize=True) low_offset_ema = DecimalParameter(0.9, 1.1, default=buy_params['low_offset_ema'], space='buy', optimize=True) base_nb_candles_buy_ema2 = IntParameter(5, 80, default=buy_params['base_nb_candles_buy_ema2'], space='buy', optimize=True) low_offset_ema2 = DecimalParameter(0.9, 1.1, default=buy_params['low_offset_ema2'], space='buy', optimize=True) max_change_pump = IntParameter(10, 50, default=buy_params['max_change_pump'], space='buy', optimize=True) # cofi cofi_ema = DecimalParameter(0.6, 1.4, default=buy_params['cofi_ema'], space='buy', optimize=True) cofi_fastk = IntParameter(1, 100, default=buy_params['cofi_fastk'], space='buy', optimize=True) cofi_fastd = IntParameter(1, 100, default=buy_params['cofi_fastd'], space='buy', optimize=True) cofi_adx = IntParameter(1, 100, default=buy_params['cofi_adx'], space='buy', optimize=True) cofi_ewo_high = DecimalParameter(1.0, 15.0, default=buy_params['cofi_ewo_high'], space='buy', optimize=True) cofi_enabled = BooleanParameter(default=buy_params['cofi_enabled'], space='buy', optimize=True) # nfi32 nfi32_rsi_4 = IntParameter(1, 100, default=buy_params['nfi32_rsi_4'], space='buy', optimize=True) nfi32_rsi_14 = IntParameter(1, 100, default=buy_params['nfi32_rsi_14'], space='buy', optimize=True) nfi32_sma_factor = DecimalParameter(0.7, 1.2, default=buy_params['nfi32_sma_factor'], decimals=5, space='buy', optimize=True) nfi32_cti_limit = DecimalParameter(-1.2, 0, default=buy_params['nfi32_cti_limit'], decimals=5, space='buy', optimize=True) nfi32_enabled = BooleanParameter(default=buy_params['nfi32_enabled'], space='buy', optimize=True) ewo1_enabled = BooleanParameter(default=buy_params['ewo1_enabled'], space='buy', optimize=True) ewo2_enabled = BooleanParameter(default=buy_params['ewo2_enabled'], space='buy', optimize=True) ewolow_enabled = BooleanParameter(default=buy_params['ewolow_enabled'], space='buy', optimize=True) clucha_enabled = BooleanParameter(default=buy_params['clucha_enabled'], space='buy', optimize=True) zema_enabled = BooleanParameter(default=buy_params['zema_enabled'], space='buy', optimize=True) vwma_enabled = BooleanParameter(default=buy_params['vwma_enabled'], space='buy', optimize=True) optimize_buy_vwma = True base_nb_candles_buy_vwma = IntParameter(5, 80, default=buy_params['base_nb_candles_buy_vwma'], space='buy', optimize=optimize_buy_vwma) low_offset_vwma = DecimalParameter(0.9, 0.99, default=buy_params['low_offset_vwma'], space='buy', optimize=optimize_buy_vwma) base_nb_candles_buy_vwma2 = IntParameter(5, 80, default=buy_params['base_nb_candles_buy_vwma2'], space='buy', optimize=optimize_buy_vwma) low_offset_vwma2 = DecimalParameter(0.9, 0.99, default=buy_params['low_offset_vwma2'], space='buy', optimize=optimize_buy_vwma) vwap_enabled = BooleanParameter(default=buy_params['vwap_enabled'], space='buy', optimize=True) ewo3_enabled = BooleanParameter(default=buy_params['ewo3_enabled'], space='buy', optimize=True) # nfi24 nfi24_enabled = BooleanParameter(default=buy_params['nfi24_enabled'], space='buy', optimize=True) buy_24_rsi_14_max = 50.0 buy_24_rsi_14_1h_min = 66.9 # keltner channel keltner_enabled = BooleanParameter(default=buy_params['keltner_enabled'], space='buy', optimize=True) # gumbo is_optimize_gumbo = True gumbo_enabled = BooleanParameter(default=buy_params['gumbo_enabled'], space='buy', optimize=True) buy_gumbo_ema = DecimalParameter(0.9, 1.2, default=0.97, optimize=is_optimize_gumbo) buy_gumbo_ewo_low = DecimalParameter(-12.0, 5, default=-5.585, optimize=is_optimize_gumbo) is_optimize_gumbo_protection = True buy_gumbo_cti = DecimalParameter(-0.9, -0.0, default=-0.5, optimize=is_optimize_gumbo_protection) buy_gumbo_r14 = DecimalParameter(-100, -44, default=-60, optimize=is_optimize_gumbo_protection) # nfix_39 nfix_39_enabled = BooleanParameter(default=buy_params['nfix_39_enabled'], space='buy', optimize=True) buy_nfix_39_ema = DecimalParameter(0.9, 1.2, default=0.97, optimize=True) # nfi7_33 nfi7_33_enabled = BooleanParameter(default=buy_params['nfi7_33_enabled'], space='buy', optimize=True) # nfi_38 nfi_38_enabled = BooleanParameter(default=buy_params['nfi_38_enabled'], space='buy', optimize=True) # Trailing stop: trailing_stop = False # trailing_stop_positive = 0.001 # trailing_stop_positive_offset = 0.016 # trailing_only_offset_is_reached = True # Sell signal use_exit_signal = True # sell_profit_only = False # sell_profit_offset = -0.0001 # ignore_roi_if_buy_signal = False # Optional order time in force. order_time_in_force = {'entry': 'gtc', 'exit': 'gtc'} # Optimal timeframe for the strategy timeframe = '5m' inf_1h = '1h' timeframe_minutes = timeframe_to_minutes(timeframe) # 50 // timeframe_minutes, # 85 // timeframe_minutes, timeperiods = [180 // timeframe_minutes, 360 // timeframe_minutes, 420 // timeframe_minutes, 560 // timeframe_minutes] process_only_new_candles = True startup_candle_count = 400 use_custom_stoploss = True plot_config = {'main_plot': {'ma_buy': {'color': 'orange'}, 'ma_sell': {'color': 'orange'}}} slippage_protection = {'retries': 3, 'max_slippage': -0.02} @property def protections(self): prot = [] prot.append({'method': 'CooldownPeriod', 'stop_duration_candles': self.cooldown_lookback.value}) prot.append({'method': 'LowProfitPairs', 'lookback_period_candles': self.low_profit_lookback.value, 'trade_limit': 1, 'stop_duration': int(self.low_profit_stop_duration.value), 'required_profit': self.low_profit_min_req.value}) return prot def custom_exit(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float, current_profit: float, **kwargs): dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) last_candle = dataframe.iloc[-1] if (current_time - trade.open_date_utc).seconds / 60 > 1440: return 'unclog' # main sell if current_profit > 0.02: if last_candle['momdiv_sell_1h'] == True: return f'signal_profit_q_momdiv_1h' if last_candle['momdiv_sell'] == True: return f'signal_profit_q_momdiv' if last_candle['momdiv_coh'] == True: return f'signal_profit_q_momdiv_coh' def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: HSL = self.pHSL.value if current_profit > self.ProfitMargin2.value: sl_profit = self.ProfitLoss2.value elif current_profit > self.ProfitMargin1.value: sl_profit = self.ProfitLoss1.value + (current_profit - self.ProfitMargin1.value) * (self.ProfitLoss2.value - self.ProfitLoss1.value) / (self.ProfitMargin2.value - self.ProfitMargin1.value) else: sl_profit = HSL return sl_profit def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float, rate: float, time_in_force: str, exit_reason: str, current_time: datetime, **kwargs) -> bool: dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) last_candle = dataframe.iloc[-1] if last_candle is not None: if exit_reason in ['exit_signal']: if last_candle['hma_50'] * 1.149 > last_candle['ema_100'] and last_candle['close'] < last_candle['ema_100'] * 0.951: # *1.2 return False # slippage try: state = self.slippage_protection['__pair_retries'] except KeyError: state = self.slippage_protection['__pair_retries'] = {} candle = dataframe.iloc[-1].squeeze() slippage = rate / candle['close'] - 1 if slippage < self.slippage_protection['max_slippage']: pair_retries = state.get(pair, 0) if pair_retries < self.slippage_protection['retries']: state[pair] = pair_retries + 1 return False state[pair] = 0 if hasattr(last_candle, 'sell_tag') and str(last_candle.sell_tag) != 'nan': if exit_reason == 'exit_signal': exit_reason = last_candle.sell_tag else: exit_reason += last_candle.sell_tag trade.sell_reason = f'{trade.buy_tag}->{exit_reason}' return True def informative_pairs(self): pairs = self.dp.current_whitelist() informative_pairs = [(pair, '1h') for pair in pairs] if self.config['stake_currency'] in ['USDT', 'BUSD', 'USDC', 'DAI', 'TUSD', 'PAX', 'USD', 'EUR', 'GBP']: btc_info_pair = f'BTC/{self.config['stake_currency']}' else: btc_info_pair = 'BTC/USDT' informative_pairs.append((btc_info_pair, self.timeframe)) return informative_pairs def informative_1h_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: assert self.dp, 'DataProvider is required for multiple timeframes.' # Get the informative pair informative = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=self.inf_1h) inf_heikinashi = qtpylib.heikinashi(informative) informative['ha_close'] = inf_heikinashi['close'] informative['rocr'] = ta.ROCR(informative['ha_close'], timeperiod=168) informative['ema_12'] = ta.EMA(informative, timeperiod=12) informative['ema_35'] = ta.EMA(informative, timeperiod=35) informative['rsi_14'] = ta.RSI(informative, timeperiod=14) informative['cmf'] = chaikin_money_flow(informative, 20) bollinger2 = qtpylib.bollinger_bands(qtpylib.typical_price(informative), window=20, stds=2) informative['bb_lowerband2'] = bollinger2['lower'] informative['bb_middleband2'] = bollinger2['mid'] informative['bb_upperband2'] = bollinger2['upper'] informative['bb_width'] = (informative['bb_upperband2'] - informative['bb_lowerband2']) / informative['bb_middleband2'] informative['T3'] = T3(informative) informative['ema_200'] = ta.EMA(informative, timeperiod=200) # CRSI (3, 2, 100) crsi_closechange = informative['close'] / informative['close'].shift(1) crsi_updown = np.where(crsi_closechange.gt(1), 1.0, np.where(crsi_closechange.lt(1), -1.0, 0.0)) informative['crsi'] = (ta.RSI(informative['close'], timeperiod=3) + ta.RSI(crsi_updown, timeperiod=2) + ta.ROC(informative['close'], 100)) / 3 # MOMDIV mom = momdiv(informative) informative['momdiv_buy'] = mom['momdiv_buy'] informative['momdiv_sell'] = mom['momdiv_sell'] informative['momdiv_coh'] = mom['momdiv_coh'] informative['momdiv_col'] = mom['momdiv_col'] return informative def top_percent_change(self, dataframe: DataFrame, length: int) -> float: """ Percentage change of the current close from the range maximum Open price :param dataframe: DataFrame The original OHLC dataframe :param length: int The length to look back """ df = dataframe.copy() if length == 0: return (df['open'] - df['close']) / df['close'] else: return (df['open'].rolling(length).max() - df['close']) / df['close'] def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: informative_1h = self.informative_1h_indicators(dataframe, metadata) dataframe = merge_informative_pair(dataframe, informative_1h, self.timeframe, self.inf_1h, ffill=True) # The indicators for the normal (5m) timeframe dataframe = self.normal_tf_indicators(dataframe, metadata) return dataframe def normal_tf_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: df36h = dataframe.copy().shift(432) # TODO FIXME: This assumes 5m timeframe df24h = dataframe.copy().shift(288) # TODO FIXME: This assumes 5m timeframe # 15% drop in 8h # 20% drop in 12h # 25% drop in 24h # 30% drop in 36h # over 35% increase in the past 24h and 36h dataframe['long_term_price_warning'] = np.where((dataframe['close'].rolling(96).max() * 0.85 > dataframe['close'].rolling(6).mean()) | (dataframe['close'].rolling(144).max() * 0.8 > dataframe['close'].rolling(8).mean()) | (dataframe['close'].rolling(288).max() * 0.75 > dataframe['close'].rolling(12).mean()) | (dataframe['close'].rolling(432).max() * 0.7 > dataframe['close'].rolling(24).mean()) | (df24h['close'].rolling(24).mean() * 1.42 < dataframe['close'].rolling(18).mean()) & (df36h['close'].rolling(24).mean() * 1.42 < dataframe['close'].rolling(18).mean()), 1, 0) for period in self.timeperiods: dataframe[f'rsi_{period}'] = normalize(ta.RSI(dataframe, timeperiod=period), 0, 100) dataframe[f'linangle_{period}'] = normalize(ta.LINEARREG_ANGLE(dataframe, timeperiod=period), -35, 35) # MACD dataframe['close_min'] = dataframe['close'].rolling(window=960 // self.timeframe_minutes).min() dataframe['close_max'] = dataframe['close'].rolling(window=960 // self.timeframe_minutes).max() dataframe['relative_price'] = normalize(dataframe['close'], dataframe['close_min'], dataframe['close_max']) # macd = ta.MACD(dataframe) dataframe['macd'], dataframe['macdsignal'], dataframe['macdhist'] = ta.MACD(dataframe['close'], fastperiod=21, slowperiod=45, signalperiod=16) dataframe['macdmin'] = dataframe['macd'].rolling(window=360 // self.timeframe_minutes).min() dataframe['macdmax'] = dataframe['macd'].rolling(window=360 // self.timeframe_minutes).max() dataframe['macd_norm'] = np.where(dataframe['macdmin'] == dataframe['macdmax'], 0, 2.0 * (dataframe['macd'] - dataframe['macdmin']) / (dataframe['macdmax'] - dataframe['macdmin']) - 1.0) # Calculate all ma_buy values for val in self.base_nb_candles_buy.range: dataframe[f'ma_buy_{val}'] = ta.EMA(dataframe, timeperiod=val) # Calculate all ma_sell values for val in self.base_nb_candles_sell.range: dataframe[f'ma_sell_{val}'] = ta.EMA(dataframe, timeperiod=val) dataframe['hma_50'] = qtpylib.hull_moving_average(dataframe['close'], window=50) dataframe['ema_100'] = ta.EMA(dataframe, timeperiod=100) dataframe['ema_8'] = ta.EMA(dataframe, timeperiod=8) dataframe['sma_9'] = ta.SMA(dataframe, timeperiod=9) # Elliot dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) # RSI dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) dataframe['rsi_fast'] = ta.RSI(dataframe, timeperiod=4) dataframe['rsi_slow'] = ta.RSI(dataframe, timeperiod=20) dataframe['ema_fast'] = ta.EMA(dataframe, timeperiod=45 // self.timeframe_minutes) dataframe['ema_slow'] = ta.EMA(dataframe, timeperiod=60 // self.timeframe_minutes) dataframe['uptrend'] = (dataframe['ema_fast'] > dataframe['ema_slow']).astype('int') dataframe['trendline'] = dataframe['linangle_72'] / dataframe['linangle_72'].shift(12) # Heikin Ashi Candles heikinashi = qtpylib.heikinashi(dataframe) dataframe['ha_close'] = heikinashi['close'] dataframe['ha_high'] = heikinashi['high'] dataframe['ha_low'] = heikinashi['low'] # Profit Maximizer - PMAX dataframe['pm'], dataframe['pmx'] = pmax(heikinashi, MAtype=1, length=9, multiplier=27, period=10, src=3) dataframe['source'] = (dataframe['high'] + dataframe['low'] + dataframe['open'] + dataframe['close']) / 4 dataframe['pmax_thresh'] = ta.EMA(dataframe['source'], timeperiod=9) dataframe = HA(dataframe, 4) # Set Up Bollinger Bands mid, lower = bollinger_bands(ha_typical_price(dataframe), window_size=40, num_of_std=2) dataframe['lower'] = lower dataframe['mid'] = mid # # ClucHA dataframe['bbdelta'] = (mid - dataframe['lower']).abs() dataframe['ha_closedelta'] = (dataframe['ha_close'] - dataframe['ha_close'].shift()).abs() dataframe['tail'] = (dataframe['ha_close'] - dataframe['ha_low']).abs() dataframe['hema_slow'] = ta.EMA(dataframe['ha_close'], timeperiod=50) if self.config['stake_currency'] in ['USDT', 'BUSD', 'USDC', 'DAI', 'TUSD', 'PAX', 'USD', 'EUR', 'GBP']: btc_info_pair = f'BTC/{self.config['stake_currency']}' else: btc_info_pair = 'BTC/USDT' btc_df = self.dp.get_pair_dataframe(pair=btc_info_pair, timeframe=self.timeframe) dataframe['btc_rsi'] = normalize(ta.RSI(btc_df, timeperiod=14), 0, 100) dataframe['btc_ema_45'] = ta.TEMA(btc_df, timeperiod=45 // self.timeframe_minutes) dataframe['btc_ema_60'] = ta.TEMA(btc_df, timeperiod=60 // self.timeframe_minutes) dataframe['btc_uptrend'] = (dataframe['btc_ema_45'] > dataframe['btc_ema_60']).astype('int') dataframe['zema_offset_buy'] = zema(dataframe, int(self.base_nb_candles_buy_zema.value)) * self.low_offset_zema.value dataframe['zema_offset_buy2'] = zema(dataframe, int(self.base_nb_candles_buy_zema2.value)) * self.low_offset_zema2.value dataframe['ema_sell'] = ta.EMA(dataframe, 5) dataframe['ema_offset_buy'] = ta.EMA(dataframe, int(self.base_nb_candles_buy_ema.value)) * self.low_offset_ema.value dataframe['ema_offset_buy2'] = ta.EMA(dataframe, int(self.base_nb_candles_buy_ema2.value)) * self.low_offset_ema2.value # pump detector dataframe['pump'] = pump_warning(dataframe, perc=int(self.max_change_pump.value)) # Cofi stoch_fast = ta.STOCHF(dataframe, 5, 3, 0, 3, 0) dataframe['fastd'] = stoch_fast['fastd'] dataframe['fastk'] = stoch_fast['fastk'] dataframe['adx'] = ta.ADX(dataframe) dataframe['rsi_4'] = ta.RSI(dataframe, timeperiod=4) dataframe['rsi_14'] = ta.RSI(dataframe, timeperiod=14) dataframe['rsi_20'] = ta.RSI(dataframe, timeperiod=20) dataframe['rsi_36'] = ta.RSI(dataframe, timeperiod=36) dataframe['rsi_84'] = ta.RSI(dataframe, timeperiod=84) dataframe['rsi_112'] = ta.RSI(dataframe, timeperiod=112) dataframe['sma_15'] = ta.SMA(dataframe, timeperiod=15) # CTI dataframe['cti'] = pta.cti(dataframe['close'], length=20) # vwap vwap_low, vwap, vwap_high = VWAPB(dataframe, 20, 1) dataframe['vwap_low'] = vwap_low dataframe['tcp_percent_4'] = self.top_percent_change(dataframe, 4) # TEMA - Triple Exponential Moving Average dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9) dataframe['cci'] = ta.CCI(dataframe, 26) # CMF dataframe['cmf'] = chaikin_money_flow(dataframe, 20) # keltner keltner = qtpylib.keltner_channel(dataframe, window=20, atrs=1) dataframe['kc_upperband'] = keltner['upper'] dataframe['kc_lowerband'] = keltner['lower'] dataframe['kc_middleband'] = keltner['mid'] # Horizontal RSI line hline = 55 dataframe['hline'] = hline # Williams %R dataframe['r_14'] = williams_r(dataframe, period=14) dataframe['r_32'] = williams_r(dataframe, period=32) dataframe['r_64'] = williams_r(dataframe, period=64) dataframe['r_96'] = williams_r(dataframe, period=96) dataframe['r_480'] = williams_r(dataframe, period=480) # T3 dataframe['T3'] = T3(dataframe) ## BB 40 bollinger2_40 = qtpylib.bollinger_bands(ha_typical_price(dataframe), window=40, stds=2) dataframe['bb_lowerband2_40'] = bollinger2_40['lower'] dataframe['bb_middleband2_40'] = bollinger2_40['mid'] dataframe['bb_upperband2_40'] = bollinger2_40['upper'] dataframe['bb_delta_cluc'] = (dataframe['bb_middleband2_40'] - dataframe['bb_lowerband2_40']).abs() dataframe['closedelta'] = (dataframe['close'] - dataframe['close'].shift()).abs() dataframe['ema_13'] = ta.EMA(dataframe, timeperiod=13) # Modified Elder Ray Index dataframe['moderi_96'] = moderi(dataframe, 96) # Volume dataframe['volume_mean_4'] = dataframe['volume'].rolling(4).mean().shift(1) dataframe['volume_mean_12'] = dataframe['volume'].rolling(12).mean().shift(1) dataframe['volume_mean_24'] = dataframe['volume'].rolling(24).mean().shift(1) # SMA dataframe['sma_9'] = ta.SMA(dataframe, timeperiod=9) dataframe['sma_15'] = ta.SMA(dataframe, timeperiod=15) dataframe['sma_20'] = ta.SMA(dataframe, timeperiod=20) dataframe['sma_21'] = ta.SMA(dataframe, timeperiod=21) dataframe['sma_28'] = ta.SMA(dataframe, timeperiod=28) dataframe['sma_30'] = ta.SMA(dataframe, timeperiod=30) dataframe['sma_75'] = ta.SMA(dataframe, timeperiod=75) # MOMDIV mom = momdiv(dataframe) dataframe['momdiv_buy'] = mom['momdiv_buy'] dataframe['momdiv_sell'] = mom['momdiv_sell'] dataframe['momdiv_coh'] = mom['momdiv_coh'] dataframe['momdiv_col'] = mom['momdiv_col'] return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dont_buy_conditions = [] # don't buy if there isn't some profit to be made dont_buy_conditions.append(dataframe['close_1h'].rolling(self.lookback_candles.value).max() < dataframe['close'] * self.profit_threshold.value) dont_buy_conditions.append(dataframe['trendline'] < 0.995) dont_buy_conditions.append(dataframe['relative_price'] > 0.51) # if there's a pump, don't buy dont_buy_conditions.append(dataframe['pump'].rolling(20).max() >= 1) dataframe.loc[bool(self.ewo1_enabled.value) & (dataframe['rsi_fast'] < 35) & (dataframe['rsi_36'] < 0.45) & (dataframe['close'] < dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value) & (dataframe['EWO'] > self.ewo_high.value) & (dataframe['rsi'] < self.rsi_buy.value) & (dataframe['volume'] > 0) & (dataframe['close'] < dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value), ['enter_long', 'enter_tag']] = (1, 'ewo1') dataframe.loc[bool(self.ewo2_enabled.value) & (dataframe['rsi_fast'] < 35) & (dataframe['close'] < dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset_2.value) & (dataframe['EWO'] > self.ewo_high_2.value) & (dataframe['rsi'] < self.rsi_buy.value) & (dataframe['volume'] > 0) & (dataframe['close'] < dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value) & (dataframe['rsi'] < 25), ['enter_long', 'enter_tag']] = (1, 'ewo2') dataframe.loc[bool(self.ewolow_enabled.value) & (dataframe['rsi_fast'] < 35) & (dataframe['close'] < dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value) & (dataframe['EWO'] < self.ewo_low.value) & (dataframe['volume'] > 0) & (dataframe['close'] < dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value), ['enter_long', 'enter_tag']] = (1, 'ewolow') # This produces around 0.85% - 1.0% profitable trades but long durations so decided against it. # dataframe.loc[ # ( # ( # ( # (dataframe['macd_norm'] < -0.9) & # (dataframe['linangle_17'] > 0.5) # ) # ) & # (dataframe['rsi_36'] < 0.55) & # (dataframe['uptrend'] < 1) # ), # ['buy', 'buy_tag']] = (1, 'MacD') if dont_buy_conditions: for condition in dont_buy_conditions: dataframe.loc[condition, 'enter_long'] = 0 # This does not fit well the protections for EWO buys. dataframe.loc[bool(self.clucha_enabled.value) & (dataframe['volume'] > 0) & dataframe['rocr_1h'].gt(self.clucha_rocr_1h.value) & (dataframe['lower'].shift().gt(0) & dataframe['bbdelta'].gt(dataframe['ha_close'] * self.clucha_bbdelta_close.value) & dataframe['ha_closedelta'].gt(dataframe['ha_close'] * self.clucha_closedelta_close.value) & dataframe['tail'].lt(dataframe['bbdelta'] * self.clucha_bbdelta_tail.value) & dataframe['ha_close'].lt(dataframe['lower'].shift()) & dataframe['ha_close'].le(dataframe['ha_close'].shift()) | (dataframe['ha_close'] < dataframe['hema_slow']) & (dataframe['ha_close'] < self.clucha_close_bblower.value * dataframe['lower'])), ['enter_long', 'enter_tag']] = (1, 'clucHA') # This does not fit well the protections for EWO buys. dataframe.loc[bool(self.zema_enabled.value) & ((dataframe['close'] < dataframe['zema_offset_buy']) & (dataframe['pm'] <= dataframe['pmax_thresh']) | (dataframe['close'] < dataframe['zema_offset_buy2']) & (dataframe['pm'] > dataframe['pmax_thresh'])) & (dataframe['volume'] > 0) & (dataframe['long_term_price_warning'] < 1) & (dataframe['trendline'] > 0.996) & (dataframe['btc_rsi'] > 0.49) & (dataframe['close'] < dataframe['Smooth_HA_L']) & (dataframe['close'] < dataframe['ema_sell'] * self.high_offset_sell_ema.value) & (dataframe['close'].rolling(288).max() >= dataframe['close'] * 1.1) & (dataframe['Smooth_HA_O'].shift(1) < dataframe['Smooth_HA_H'].shift(1)) & (dataframe['rsi_fast'] < 35) & (dataframe['rsi_84'] < 60) & (dataframe['rsi_112'] < 60) & ((dataframe['close'] < dataframe['ema_offset_buy']) & (dataframe['pm'] <= dataframe['pmax_thresh']) & ((dataframe['EWO'] < -19.632) | (dataframe['EWO'] > 2.615) & (dataframe['rsi'] < 60)) | (dataframe['close'] < dataframe['ema_offset_buy2']) & (dataframe['pm'] > dataframe['pmax_thresh']) & ((dataframe['EWO'] < -19.955) | (dataframe['EWO'] > 2.188) & (dataframe['rsi'] < 45))), ['enter_long', 'enter_tag']] = (1, 'zema') # cofi cofi = bool(self.cofi_enabled.value) & (dataframe['open'] < dataframe['ema_8'] * self.cofi_ema.value) & qtpylib.crossed_above(dataframe['fastk'], dataframe['fastd']) & (dataframe['fastk'] < self.cofi_fastk.value) & (dataframe['fastd'] < self.cofi_fastd.value) & (dataframe['adx'] > self.cofi_adx.value) & (dataframe['EWO'] > self.cofi_ewo_high.value) dataframe.loc[cofi, ['enter_long', 'enter_tag']] = (1, 'cofi') # nfi nfi_32 = bool(self.nfi32_enabled.value) & (dataframe['rsi_20'] < dataframe['rsi_20'].shift(1)) & (dataframe['rsi_4'] < self.nfi32_rsi_4.value) & (dataframe['rsi_14'] > self.nfi32_rsi_14.value) & (dataframe['close'] < dataframe['sma_15'] * self.nfi32_sma_factor.value) & (dataframe['cti'] < self.nfi32_cti_limit.value) dataframe.loc[nfi_32, ['enter_long', 'enter_tag']] = (1, 'nfi32') # vwma dataframe['vwma_offset_buy'] = pta.vwma(dataframe['close'], dataframe['volume'], int(self.base_nb_candles_buy_vwma.value)) * self.low_offset_vwma.value dataframe['vwma_offset_buy2'] = pta.vwma(dataframe['close'], dataframe['volume'], int(self.base_nb_candles_buy_vwma2.value)) * self.low_offset_vwma2.value buy_offset_vwma = bool(self.vwma_enabled.value) & ((dataframe['close'] < dataframe['vwma_offset_buy']) & (dataframe['pm'] <= dataframe['pmax_thresh']) | (dataframe['close'] < dataframe['vwma_offset_buy2']) & (dataframe['pm'] > dataframe['pmax_thresh'])) dataframe.loc[buy_offset_vwma, ['enter_long', 'enter_tag']] = (1, 'vwma') # vwap buy_offset_vwap = bool(self.vwap_enabled.value) & (dataframe['close'] < dataframe['vwap_low']) & (dataframe['tcp_percent_4'] > 0.04) & (dataframe['cti'] < -0.8) & (dataframe['rsi'] < 35) & (dataframe['rsi_84'] < 60) & (dataframe['rsi_112'] < 60) & (dataframe['volume'] > 0) dataframe.loc[buy_offset_vwap, ['enter_long', 'enter_tag']] = (1, 'vwap') # ewo3 ewo3 = bool(self.ewo3_enabled.value) & qtpylib.crossed_above(dataframe['rsi_fast'], dataframe['rsi_slow']) & (dataframe['open'] < dataframe['lower']) & (dataframe['tema'] < dataframe['mid']) & (dataframe['cci'] < -100) & ((dataframe['EWO'] < -19.993) | (dataframe['EWO'] > 5.638)) & (dataframe['volume'] > 0) dataframe.loc[ewo3, ['enter_long', 'enter_tag']] = (1, 'ewo3') # nfi24 nfi24 = bool(self.nfi24_enabled.value) & (dataframe['ema_12_1h'].shift(12) < dataframe['ema_35_1h'].shift(12)) & (dataframe['ema_12_1h'] > dataframe['ema_35_1h']) & (dataframe['cmf_1h'].shift(12) < 0) & (dataframe['cmf_1h'] > 0) & (dataframe['rsi_14'] < self.buy_24_rsi_14_max) & (dataframe['rsi_14_1h'] > self.buy_24_rsi_14_1h_min) dataframe.loc[nfi24, ['enter_long', 'enter_tag']] = (1, 'nfi24') # keltner keltner = bool(self.keltner_enabled.value) & qtpylib.crossed_above(dataframe['close'], dataframe['kc_upperband']) & (dataframe['rsi'] > dataframe['hline']) dataframe.loc[keltner, ['enter_long', 'enter_tag']] = (1, 'keltner') # gumbo gumbo = bool(self.gumbo_enabled.value) & (dataframe['EWO'] < self.buy_gumbo_ewo_low.value) & (dataframe['bb_middleband2_1h'] >= dataframe['T3_1h']) & (dataframe['T3'] <= dataframe['ema_8'] * self.buy_gumbo_ema.value) & (dataframe['cti'] < self.buy_gumbo_cti.value) & (dataframe['r_14'] < self.buy_gumbo_r14.value) dataframe.loc[gumbo, ['enter_long', 'enter_tag']] = (1, 'gumbo') # nfix_39 nfix_39 = bool(self.nfix_39_enabled.value) & (dataframe['ema_200_1h'] > dataframe['ema_200_1h'].shift(12)) & (dataframe['ema_200_1h'].shift(12) > dataframe['ema_200_1h'].shift(24)) & dataframe['bb_lowerband2_40'].shift().gt(0) & dataframe['bb_delta_cluc'].gt(dataframe['close'] * 0.056) & dataframe['closedelta'].gt(dataframe['close'] * 0.01) & dataframe['tail'].lt(dataframe['bb_delta_cluc'] * 0.5) & dataframe['close'].lt(dataframe['bb_lowerband2_40'].shift()) & dataframe['close'].le(dataframe['close'].shift()) & (dataframe['close'] > dataframe['ema_13'] * self.buy_nfix_39_ema.value) dataframe.loc[nfix_39, ['enter_long', 'enter_tag']] = (1, 'nfix_39') # nfi7_33 nfi7_33 = bool(self.nfi7_33_enabled.value) & dataframe['moderi_96'] & (dataframe['cti'] < -0.88) & (dataframe['close'] < dataframe['ema_13'] * 0.988) & (dataframe['EWO'] > 6.4) & (dataframe['rsi'] < 32.0) & (dataframe['volume'] < dataframe['volume_mean_4'] * 2.0) dataframe.loc[nfi7_33, ['enter_long', 'enter_tag']] = (1, 'nfi7_33') # nfi_38 nfi_38 = bool(self.nfi_38_enabled.value) & (dataframe['pm'] > dataframe['pmax_thresh']) & (dataframe['close'] < dataframe['sma_75'] * 0.98) & (dataframe['EWO'] < -4.4) & (dataframe['cti'] < -0.95) & (dataframe['r_14'] < -97) & (dataframe['crsi_1h'] > 0.5) dataframe.loc[nfi_38, ['enter_long', 'enter_tag']] = (1, 'nfi_38') return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] conditions.append((dataframe['close'] > dataframe['sma_9']) & (dataframe['close'] > dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset_2.value) & (dataframe['rsi'] > 50) & (dataframe['volume'] > 0) & (dataframe['uptrend'] == 1) & (dataframe['rsi_fast'] > dataframe['rsi_slow']) | (dataframe['close'] < dataframe['hma_50']) & (dataframe['close'] > dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value) & (dataframe['volume'] > 0) & (dataframe['uptrend'] == 1) & (dataframe['rsi_fast'] > dataframe['rsi_slow'])) if conditions: dataframe.loc[reduce(lambda x, y: x | y, conditions), 'exit_long'] = 1 return dataframe def rollingNormalize(self, dataframe, name): df = dataframe.copy() df[name + '_nmin'] = df[name].rolling(window=1440 // self.timeframe_minutes).min() df[name + '_nmax'] = df[name].rolling(window=1440 // self.timeframe_minutes).max() return np.where(df[name + '_nmin'] == df[name + '_nmax'], 0, 2.0 * (df[name] - df[name + '_nmin']) / (df[name + '_nmax'] - df[name + '_nmin']) - 1.0) 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['low'] * 100 return emadif def normalize(data, min_value, max_value): return (data - min_value) / (max_value - min_value) def williams_r(dataframe: DataFrame, period: int=14) -> Series: """Williams %R, or just %R, is a technical analysis oscillator showing the current closing price in relation to the high and low of the past N days (for a given N). It was developed by a publisher and promoter of trading materials, Larry Williams. Its purpose is to tell whether a stock or commodity market is trading near the high or the low, or somewhere in between, of its recent trading range. The oscillator is on a negative scale, from −100 (lowest) up to 0 (highest). """ highest_high = dataframe['high'].rolling(center=False, window=period).max() lowest_low = dataframe['low'].rolling(center=False, window=period).min() WR = Series((highest_high - dataframe['close']) / (highest_high - lowest_low), name=f'{period} Williams %R') return WR * -100 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)) def ha_typical_price(bars): res = (bars['ha_high'] + bars['ha_low'] + bars['ha_close']) / 3.0 return Series(index=bars.index, data=res) # PMAX def pmax(df, period, multiplier, length, MAtype, src): period = int(period) multiplier = int(multiplier) length = int(length) MAtype = int(MAtype) src = int(src) mavalue = f'MA_{MAtype}_{length}' atr = f'ATR_{period}' pm = f'pm_{period}_{multiplier}_{length}_{MAtype}' pmx = f'pmX_{period}_{multiplier}_{length}_{MAtype}' # MAtype==1 --> EMA # MAtype==2 --> DEMA # MAtype==3 --> T3 # MAtype==4 --> SMA # MAtype==5 --> VIDYA # MAtype==6 --> TEMA # MAtype==7 --> WMA # MAtype==8 --> VWMA # MAtype==9 --> zema if src == 1: masrc = df['close'] elif src == 2: masrc = (df['high'] + df['low']) / 2 elif src == 3: masrc = (df['high'] + df['low'] + df['close'] + df['open']) / 4 if MAtype == 1: mavalue = ta.EMA(masrc, timeperiod=length) elif MAtype == 2: mavalue = ta.DEMA(masrc, timeperiod=length) elif MAtype == 3: mavalue = ta.T3(masrc, timeperiod=length) elif MAtype == 4: mavalue = ta.SMA(masrc, timeperiod=length) elif MAtype == 5: mavalue = ta.VIDYA(df, length=length) elif MAtype == 6: mavalue = ta.TEMA(masrc, timeperiod=length) elif MAtype == 7: mavalue = ta.WMA(df, timeperiod=length) elif MAtype == 8: mavalue = ta.vwma(df, length) elif MAtype == 9: mavalue = zema(df, period=length) df[atr] = ta.ATR(df, timeperiod=period) df['basic_ub'] = mavalue + multiplier / 10 * df[atr] df['basic_lb'] = mavalue - multiplier / 10 * df[atr] basic_ub = df['basic_ub'].values final_ub = np.full(len(df), 0.0) basic_lb = df['basic_lb'].values final_lb = np.full(len(df), 0.0) for i in range(period, len(df)): final_ub[i] = basic_ub[i] if basic_ub[i] < final_ub[i - 1] or mavalue[i - 1] > final_ub[i - 1] else final_ub[i - 1] final_lb[i] = basic_lb[i] if basic_lb[i] > final_lb[i - 1] or mavalue[i - 1] < final_lb[i - 1] else final_lb[i - 1] df['final_ub'] = final_ub df['final_lb'] = final_lb pm_arr = np.full(len(df), 0.0) for i in range(period, len(df)): pm_arr[i] = final_ub[i] if pm_arr[i - 1] == final_ub[i - 1] and mavalue[i] <= final_ub[i] else final_lb[i] if pm_arr[i - 1] == final_ub[i - 1] and mavalue[i] > final_ub[i] else final_lb[i] if pm_arr[i - 1] == final_lb[i - 1] and mavalue[i] >= final_lb[i] else final_ub[i] if pm_arr[i - 1] == final_lb[i - 1] and mavalue[i] < final_lb[i] else 0.0 pm = Series(pm_arr) # Mark the trend direction up/down pmx = np.where(pm_arr > 0.0, np.where(mavalue < pm_arr, 'down', 'up'), np.NaN) return (pm, pmx) # smoothed Heiken Ashi def HA(dataframe, smoothing=None): df = dataframe.copy() df['HA_Close'] = (df['open'] + df['high'] + df['low'] + df['close']) / 4 df.reset_index(inplace=True) ha_open = [(df['open'][0] + df['close'][0]) / 2] [ha_open.append((ha_open[i] + df['HA_Close'].values[i]) / 2) for i in range(0, len(df) - 1)] df['HA_Open'] = ha_open df.set_index('index', inplace=True) df['HA_High'] = df[['HA_Open', 'HA_Close', 'high']].max(axis=1) df['HA_Low'] = df[['HA_Open', 'HA_Close', 'low']].min(axis=1) if smoothing is not None: sml = abs(int(smoothing)) if sml > 0: df['Smooth_HA_O'] = ta.EMA(df['HA_Open'], sml) df['Smooth_HA_C'] = ta.EMA(df['HA_Close'], sml) df['Smooth_HA_H'] = ta.EMA(df['HA_High'], sml) df['Smooth_HA_L'] = ta.EMA(df['HA_Low'], sml) return df def pump_warning(dataframe, perc=15): df = dataframe.copy() df['change'] = df['high'] - df['low'] df['test1'] = df['close'] > df['open'] df['test2'] = df['change'] / df['low'] > perc / 100 df['result'] = (df['test1'] & df['test2']).astype('int') return df['result'] # VWAP bands def VWAPB(dataframe, window_size=20, num_of_std=1): df = dataframe.copy() df['vwap'] = qtpylib.rolling_vwap(df, window=window_size) rolling_std = df['vwap'].rolling(window=window_size).std() df['vwap_low'] = df['vwap'] - rolling_std * num_of_std df['vwap_high'] = df['vwap'] + rolling_std * num_of_std return (df['vwap_low'], df['vwap'], df['vwap_high']) # Chaikin Money Flow def chaikin_money_flow(dataframe, n=20, fillna=False) -> Series: """Chaikin Money Flow (CMF) It measures the amount of Money Flow Volume over a specific period. http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:chaikin_money_flow_cmf Args: dataframe(pandas.Dataframe): dataframe containing ohlcv n(int): n period. fillna(bool): if True, fill nan values. Returns: pandas.Series: New feature generated. """ mfv = (dataframe['close'] - dataframe['low'] - (dataframe['high'] - dataframe['close'])) / (dataframe['high'] - dataframe['low']) mfv = mfv.fillna(0.0) # float division by zero mfv *= dataframe['volume'] cmf = mfv.rolling(n, min_periods=0).sum() / dataframe['volume'].rolling(n, min_periods=0).sum() if fillna: cmf = cmf.replace([np.inf, -np.inf], np.nan).fillna(0) return Series(cmf, name='cmf') def T3(dataframe, length=5): """ T3 Average by HPotter on Tradingview https://www.tradingview.com/script/qzoC9H1I-T3-Average/ """ df = dataframe.copy() df['xe1'] = ta.EMA(df['close'], timeperiod=length) df['xe2'] = ta.EMA(df['xe1'], timeperiod=length) df['xe3'] = ta.EMA(df['xe2'], timeperiod=length) df['xe4'] = ta.EMA(df['xe3'], timeperiod=length) df['xe5'] = ta.EMA(df['xe4'], timeperiod=length) df['xe6'] = ta.EMA(df['xe5'], timeperiod=length) b = 0.7 c1 = -b * b * b c2 = 3 * b * b + 3 * b * b * b c3 = -6 * b * b - 3 * b - 3 * b * b * b c4 = 1 + 3 * b + b * b * b + 3 * b * b df['T3Average'] = c1 * df['xe6'] + c2 * df['xe5'] + c3 * df['xe4'] + c4 * df['xe3'] return df['T3Average'] # 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 # 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 # Mom DIV def momdiv(dataframe: DataFrame, mom_length: int=10, bb_length: int=20, bb_dev: float=2.0, lookback: int=30) -> DataFrame: mom: Series = ta.MOM(dataframe, timeperiod=mom_length) upperband, middleband, lowerband = ta.BBANDS(mom, timeperiod=bb_length, nbdevup=bb_dev, nbdevdn=bb_dev, matype=0) enter_long = qtpylib.crossed_below(mom, lowerband) exit_long = qtpylib.crossed_above(mom, upperband) hh = dataframe['high'].rolling(lookback).max() ll = dataframe['low'].rolling(lookback).min() coh = dataframe['high'] >= hh col = dataframe['low'] <= ll df = DataFrame({'momdiv_mom': mom, 'momdiv_upperb': upperband, 'momdiv_lowerb': lowerband, 'momdiv_buy': enter_long, 'momdiv_sell': exit_long, 'momdiv_coh': coh, 'momdiv_col': col}, index=dataframe['close'].index) return df