import logging from functools import reduce import datetime import talib.abstract as ta import pandas_ta as pta import logging import numpy as np import pandas as pd #from murrey_math import calculate_murrey_math_levels import freqtrade.vendor.qtpylib.indicators as qtpylib from technical import qtpylib from datetime import timedelta, datetime, timezone from pandas import DataFrame, Series from technical import qtpylib from typing import Optional from freqtrade.strategy.interface import IStrategy from technical.pivots_points import pivots_points from freqtrade.exchange import timeframe_to_prev_date, timeframe_to_minutes from freqtrade.persistence import Trade from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter, IStrategy, IntParameter, RealParameter, merge_informative_pair) from scipy.signal import argrelextrema from typing import Optional from functools import reduce import warnings import math warnings.simplefilter(action="ignore", category=pd.errors.PerformanceWarning) logger = logging.getLogger(__name__) class TankAi15Modulus(IStrategy): exit_profit_only = True ### No selling at a loss use_custom_stoploss = True trailing_stop = False ignore_roi_if_entry_signal = True process_only_new_candles = True can_short = False use_exit_signal = True startup_candle_count: int = 200 stoploss = -0.99 timeframe = '15m' # DCA position_adjustment_enable = True max_entry_position_adjustment = 2 # initially set to 3 max_dca_multiplier = 1.5 safety_order_reserve = IntParameter(1, 10, default=1.5, space='buy', optimize=True) ### Custom Functions # Modulus peaks = IntParameter(70, 100, default=80, space='buy', optimize=True) ### initial smallest window bull_bear = IntParameter(120, 250, default=180, space='buy', optimize=True) trend = DecimalParameter(low=25, high=40, default=29.6, decimals=1 ,space='buy', optimize=True, load=True) volatility = DecimalParameter(low=30, high=50, default=38.4, decimals=1 ,space='buy', optimize=True, load=True) sensitivity = IntParameter(7, 15, default=11, space='buy', optimize=True, load=True) atr = IntParameter(3, 7, default=5, space='buy', optimize=True, load=True) # Custom Entry increment = DecimalParameter(low=1.0005, high=1.002, default=1.001, decimals=4 ,space='buy', optimize=True, load=True) last_entry_price = None #trailing stop loss optimiziation tsl_target5 = DecimalParameter(low=0.3, high=0.4, default=0.3, decimals=2, space='sell', optimize=True, load=True) ts5 = DecimalParameter(low=0.04, high=0.06, default=0.05,decimals=2, space='sell', optimize=True, load=True) tsl_target4 = DecimalParameter(low=0.18, high=0.3, default=0.2, decimals=2, space='sell', optimize=True, load=True) ts4 = DecimalParameter(low=0.03, high=0.05, default=0.045, decimals=3, space='sell', optimize=True, load=True) tsl_target3 = DecimalParameter(low=0.12, high=0.18, default=0.15, decimals=2,space='sell', optimize=True, load=True) ts3 = DecimalParameter(low=0.025, high=0.04, default=0.035, decimals=3,space='sell', optimize=True, load=True) tsl_target2 = DecimalParameter(low=0.07, high=0.12, default=0.1, decimals=2,space='sell', optimize=True, load=True) ts2 = DecimalParameter(low=0.015, high=0.03, default=0.02, decimals=2,space='sell', optimize=True, load=True) tsl_target1 = DecimalParameter(low=0.04, high=0.07, default=0.06, decimals=3,space='sell', optimize=True, load=True) ts1 = DecimalParameter(low=0.01, high=0.016, default=0.013, decimals=3,space='sell', optimize=True, load=True) tsl_target0 = DecimalParameter(low=0.02, high=0.05, default=0.040, decimals=3 ,space='sell', optimize=True, load=True) ts0 = DecimalParameter(low=0.008, high=0.015, default=0.012, decimals=3,space='sell', optimize=True, load=True) minute1 = IntParameter(low=360, high=1000, default=360, space='sell', optimize=True, load=True) minute0 = IntParameter(low=240, high=720, default=240, space='sell', optimize=True, load=True) # protections cooldown_lookback = IntParameter(2, 48, default=1, space="protection", optimize=True) stop_duration = IntParameter(12, 200, default=4, space="protection", optimize=True) use_stop_protection = BooleanParameter(default=True, space="protection", optimize=True) minimal_roi = { '0': 0.40, '60': 0.35, '120': 0.30, '240': 0.25, '360': 0.20, '720': 0.15, '1440': 0.10, '2880': 0.075, '4320': 0.05, '5760': 0.03, '5761': 0.025, '7200': 0.005 } plot_config = { "main_plot": { "200sma": { "color": "#eec83f", "type": "line" }, "enter_tag": { "color": "#3ab61a" }, "exit_tag": { "color": "#6e16a4" } }, "subplots": { "AI": { "do_predict": { "color": "#4f227c", "type": "bar" }, "minima": { "color": "#2a643c", "type": "line" }, "maxima": { "color": "#e277b7", "type": "line" }, "minima_check": { "color": "#2a643c", "type": "line" }, "maxima_check": { "color": "#e277b7", "type": "line" } }, "order": { "order": { "color": "#20ba5f", "type": "line" } }, "max/min": { "max": { "color": "#8d299", "type": "line" }, "atr_pcnt": { "color": "#30e7da", "type": "line" }, "min": { "color": "#19f63a", "type": "line" } }, "ATR Pcnt": { "atr_pcnt": { "color": "#2187f0", "type": "line" }, "atr_threshold": { "color": "#d9cd6c", "type": "line" } } } } @property def protections(self): prot = [] prot.append({ "method": "CooldownPeriod", "stop_duration_candles": self.cooldown_lookback.value }) if self.use_stop_protection.value: prot.append({ "method": "StoplossGuard", "lookback_period_candles": 24 * 3, "trade_limit": 2, "stop_duration_candles": self.stop_duration.value, "only_per_pair": False }) return prot ### Custom Functions ### # This is called when placing the initial order (opening trade) # Let unlimited stakes leave funds open for DCA orders def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float, proposed_stake: float, min_stake: Optional[float], max_stake: float, leverage: float, entry_tag: Optional[str], side: str, **kwargs) -> float: # We need to leave most of the funds for possible further DCA orders proposed_stake = proposed_rate / (self.max_dca_multiplier + self.safety_order_reserve.value) # Leaving some reserve incase the market dumps!!! # This also applies to fixed staked return proposed_stake def adjust_trade_position(self, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, min_stake: Optional[float], max_stake: float, current_entry_rate: float, current_exit_rate: float, current_entry_profit: float, current_exit_profit: float, **kwargs) -> Optional[float]: dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe) filled_entries = trade.select_filled_orders(trade.entry_side) count_of_entries = trade.nr_of_successful_entries trade_duration = (current_time - trade.open_date_utc).seconds / 60 if current_profit is not None: logger.info(f"{trade.pair} - Current Profit: {current_profit} # of Entries: {trade.nr_of_successful_entries}") # Take Profit if m00n if current_profit > 0.10 and trade.nr_of_successful_exits == 0: # Take half of the profit at +5% return -(trade.stake_amount / 2) if current_profit > 0.15 and trade.nr_of_successful_exits == 1: # Take half of the profit at +5% return -(trade.stake_amount / 3) # Profit Based DCA if current_profit > -0.015 and trade.nr_of_successful_entries == 1: return None if current_profit > -0.065 and trade.nr_of_successful_entries == 2: return None if current_profit > -0.125 and trade.nr_of_successful_entries == 3: return None if current_profit > -0.20 and trade.nr_of_successful_entries == 4: return None if current_profit > -0.25 and trade.nr_of_successful_entries == 5: return None try: # This returns first order stake size # Modify the following parameters to enable more levels or different buy size: # max_entry_position_adjustment = 3 # max_dca_multiplier = 3.5 stake_amount = filled_entries[0].cost # This then calculates current safety order size if count_of_entries == 1: stake_amount = stake_amount * 1 elif count_of_entries == 2: stake_amount = stake_amount * 2 elif count_of_entries == 3: stake_amount = stake_amount * 4 elif count_of_entries == 4: stake_amount = stake_amount * 8 elif count_of_entries == 5: stake_amount = stake_amount * 16 else: stake_amount = stake_amount return stake_amount except Exception as exception: return None return None def custom_entry_price(self, pair: str, trade: Optional['Trade'], current_time: datetime, proposed_rate: float, entry_tag: Optional[str], side: str, **kwargs) -> float: dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe) entry_price = (dataframe['close'].iat[-1] + dataframe['open'].iat[-1] + proposed_rate + proposed_rate) / 4 if proposed_rate < entry_price: entry_price = proposed_rate logger.info(f"{pair} Using Entry Price: {entry_price} | close: {dataframe['close'].iat[-1]} open: {dataframe['open'].iat[-1]} proposed_rate: {proposed_rate}") # Check if there is a stored last entry price and if it matches the proposed entry price if self.last_entry_price is not None and abs(entry_price - self.last_entry_price) < 0.0001: # Tolerance for floating-point comparison entry_price *= self.increment.value # Increment by 0.2% logger.info(f"{pair} Incremented entry price: {entry_price} based on previous entry price : {self.last_entry_price}.") # Update the last entry price self.last_entry_price = entry_price return entry_price 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: if exit_reason == 'roi' and trade.calc_profit_ratio(rate) < 0: logger.info(f"{trade.pair} roi is below 0") self.dp.send_msg(f'{trade.pair} roi is below 0') return False if exit_reason == 'partial_exit' and trade.calc_profit_ratio(rate) < 0: logger.info(f"{trade.pair} partial exit is below 0") self.dp.send_msg(f'{trade.pair} partial exit is below 0') return False if exit_reason == 'trailing_stop_loss' and trade.calc_profit_ratio(rate) < 0: logger.info(f"{trade.pair} trailing stop price is below 0") self.dp.send_msg(f'{trade.pair} trailing stop price is below 0') return False return True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe) current_candle = dataframe.iloc[-1].squeeze() trade_duration = (current_time - trade.open_date_utc).seconds / 60 total_trade_days = (current_time - trade.open_date_utc).days if current_candle['rsi'] < 90: for stop5 in self.tsl_target5.range: if (current_profit > stop5): for stop5a in self.ts5.range: self.dp.send_msg(f'*** {pair} *** Profit: {current_profit} - lvl5 {stop5}/{stop5a} activated') return stop5a for stop4 in self.tsl_target4.range: if (current_profit > stop4): for stop4a in self.ts4.range: self.dp.send_msg(f'*** {pair} *** Profit {current_profit} - lvl4 {stop4}/{stop4a} activated') return stop4a for stop3 in self.tsl_target3.range: if (current_profit > stop3): for stop3a in self.ts3.range: self.dp.send_msg(f'*** {pair} *** Profit {current_profit} - lvl3 {stop3}/{stop3a} activated') return stop3a for stop2 in self.tsl_target2.range: if (current_profit > stop2): for stop2a in self.ts2.range: self.dp.send_msg(f'*** {pair} *** Profit {current_profit} - lvl2 {stop2}/{stop2a} activated') return stop2a ### if trade is past maturity or quick profit engage lower trailing stops to either exit or lock in profits if total_trade_days > 1: logging.info(f"{pair}: 2nd trailing stop engaged {trade_duration}m : {total_trade_days}d elapsed") for stop1 in self.tsl_target1.range: if (current_profit > stop1): for stop1a in self.ts1.range: self.dp.send_msg(f'*** {pair} *** Profit {current_profit} - lvl1 {stop1}/{stop1a} activated') return stop1a if total_trade_days < 1 and trade_duration < self.minute1.value: logging.info(f"{pair}: 2nd trailing stop engaged {trade_duration}m : {total_trade_days}d elapsed") for stop1 in self.tsl_target1.range: if (current_profit > stop1): for stop1a in self.ts1.range: self.dp.send_msg(f'*** {pair} *** Profit {current_profit} - lvl1 {stop1}/{stop1a} activated') return stop1a if total_trade_days > 2: logging.info(f"{pair} 1st trailing stop engaged {trade_duration} elapsed : {total_trade_days}d elapsed") for stop0 in self.tsl_target0.range: if (current_profit > stop0): for stop0a in self.ts0.range: self.dp.send_msg(f'*** {pair} *** Profit {current_profit} - lvl0 {stop0}/{stop0a} activated') return stop0a if total_trade_days < 1 and trade_duration < self.minute0.value: logging.info(f"{pair} 1st trailing stop engaged {trade_duration} elapsed : {total_trade_days}d elapsed") for stop0 in self.tsl_target0.range: if (current_profit > stop0): for stop0a in self.ts0.range: self.dp.send_msg(f'*** {pair} *** Profit {current_profit} - lvl0 {stop0}/{stop0a} activated') return stop0a else: for stop0 in self.tsl_target0.range: if (current_profit > stop0): self.dp.send_msg(f'*** {pair} *** Profit {current_profit} SWINGING FOR THE MOON!!!') return 0.99 return self.stoploss # Leverage # def leverage(self, pair: str, current_time: 'datetime', current_rate: float, # proposed_leverage: float, max_leverage: float, side: str, # **kwargs) -> float: # """ # Customize leverage for each new trade. # :param pair: Pair that's currently analyzed # :param current_time: datetime object, containing the current datetime # :param current_rate: Rate, calculated based on pricing settings in exit_pricing. # :param proposed_leverage: A leverage proposed by the bot. # :param max_leverage: Max leverage allowed on this pair # :param side: 'long' or 'short' - indicating the direction of the proposed trade # :return: A leverage amount, which is between 1.0 and max_leverage. # """ # return 20 def feature_engineering_expand_all(self, dataframe, period, **kwargs): dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period) dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period) dataframe["%-rocr-period"] = ta.ROCR(dataframe, timeperiod=period) dataframe["%-cmf-period"] = chaikin_mf(dataframe, periods=period) dataframe["%-chop-period"] = qtpylib.chopiness(dataframe, period) dataframe["%-linear-period"] = ta.LINEARREG_ANGLE( dataframe['close'], timeperiod=period) dataframe["%-atr-period"] = ta.ATR(dataframe, timeperiod=period) dataframe["%-atr-periodp"] = dataframe["%-atr-period"] / \ dataframe['close'] * 1000 return dataframe def feature_engineering_expand_basic(self, dataframe, metadata, **kwargs): dataframe["%-raw_volume"] = dataframe["volume"] dataframe["%-obv"] = ta.OBV(dataframe) dataframe["dpo"] = pta.dpo(dataframe['close'], length=40, centered=False) dataframe["%-dpo"] = dataframe["dpo"] # Williams R% dataframe['%-willr14'] = pta.willr(dataframe['high'], dataframe['low'], dataframe['close']) # VWAP vwap_low, vwap, vwap_high = VWAPB(dataframe, 20, 1) dataframe['%-vwap_upperband'] = vwap_high dataframe['%-vwap_middleband'] = vwap dataframe['%-vwap_lowerband'] = vwap_low dataframe['%-vwap_width'] = ((dataframe['%-vwap_upperband'] - dataframe['%-vwap_lowerband']) / dataframe['%-vwap_middleband']) * 100 dataframe = dataframe.copy() dataframe['%-dist_to_vwap_upperband'] = get_distance(dataframe['close'], dataframe['%-vwap_upperband']) dataframe['%-dist_to_vwap_middleband'] = get_distance(dataframe['close'], dataframe['%-vwap_middleband']) dataframe['%-dist_to_vwap_lowerband'] = get_distance(dataframe['close'], dataframe['%-vwap_lowerband']) dataframe['%-tail'] = (dataframe['close'] - dataframe['low']).abs() dataframe['%-wick'] = (dataframe['high'] - dataframe['close']).abs() dataframe['%-rawclose'] = dataframe['close'] dataframe["%-pct-change"] = dataframe["close"].pct_change() dataframe["%-raw_volume"] = dataframe["volume"] dataframe["%-raw_price"] = dataframe["close"] dataframe["%-raw_open"] = dataframe["open"] dataframe["%-raw_low"] = dataframe["low"] dataframe["%-raw_high"] = dataframe["high"] heikinashi = qtpylib.heikinashi(dataframe) dataframe['%-ha_open'] = heikinashi['open'] dataframe['%-ha_close'] = heikinashi['close'] dataframe['ha_open'] = heikinashi['open'] dataframe['ha_close'] = heikinashi['close'] dataframe['%-ha_high'] = heikinashi['high'] dataframe['%-ha_low'] = heikinashi['low'] dataframe['%-ha_closedelta'] = (heikinashi['close'] - heikinashi['close'].shift()) dataframe['%-ha_tail'] = (heikinashi['close'] - heikinashi['low']) dataframe['%-ha_wick'] = (heikinashi['high'] - heikinashi['close']) dataframe['%-HLC3'] = (heikinashi['high'] + heikinashi['low'] + heikinashi['close'])/3 murrey_math_levels = calculate_murrey_math_levels(dataframe) for level, value in murrey_math_levels.items(): dataframe[level] = value dataframe["%-+3/8"] = dataframe["[+3/8]P"] dataframe["%-+2/8"] = dataframe["[+2/8]P"] dataframe["%-+1/8"] = dataframe["[+1/8]P"] dataframe["%-8/8"] = dataframe["[8/8]P"] dataframe["%-7/8"] = dataframe["[7/8]P"] dataframe["%-6/8"] = dataframe["[6/8]P"] dataframe["%-5/8"] = dataframe["[5/8]P"] dataframe["%-4/8"] = dataframe["[4/8]P"] dataframe["%-3/8"] = dataframe["[3/8]P"] dataframe["%-2/8"] = dataframe["[2/8]P"] dataframe["%-1/8"] = dataframe["[1/8]P"] dataframe["%-0/8"] = dataframe["[0/8]P"] dataframe["%--1/8"] = dataframe["[-1/8]P"] dataframe["%--2/8"] = dataframe["[-2/8]P"] dataframe["%--3/8"] = dataframe["[-3/8]P"] dataframe['ema_2'] = ta.EMA(dataframe, timeperiod=2) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[+3/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[+2/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[+1/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[8/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[4/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[0/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[-1/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[-2/8]P']) dataframe['%-distema2'] = get_distance(dataframe['ema_2'], dataframe['[-3/8]P']) dataframe['%-entrythreshold4'] = (dataframe['%-tail'] - dataframe['[0/8]P']) dataframe["%-entrythreshold5"] = (dataframe['%-tail'] - dataframe['[-1/8]P']) dataframe["%-entrythreshold6"] = (dataframe['%-tail'] - dataframe['[-2/8]P']) dataframe["%-entrythreshold7"] = (dataframe['%-tail'] - dataframe['[-3/8]P']) dataframe["%-exitthreshold4"] = (dataframe['%-wick'] - dataframe['[8/8]P']) dataframe["%-exitthreshold5"] = (dataframe['%-wick'] - dataframe['[+1/8]P']) dataframe["%-exitthreshold6"] = (dataframe['%-wick'] - dataframe['[+2/8]P']) dataframe["%-exitthreshold7"] = (dataframe['%-wick'] - dataframe['[+3/8]P']) dataframe['mmlextreme_oscillator'] = 100 * ((dataframe['close'] - dataframe["[-3/8]P"]) / (dataframe["[+3/8]P"] - dataframe["[-3/8]P"])) dataframe['%-mmlextreme_oscillator'] = dataframe['mmlextreme_oscillator'] # Calculate the percentage change between the high and open prices for each 5-minute candle dataframe['%-perc_change'] = (dataframe['high'] / dataframe['open'] - 1) * 100 # Create a custom indicator that checks if any of the past 100 5-minute candles' high price is 3% or more above the open price dataframe['%-candle_1perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x >= 1, 1, 0).sum()).shift() dataframe['%-candle_2perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x >= 2, 1, 0).sum()).shift() dataframe['%-candle_3perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x >= 3, 1, 0).sum()).shift() dataframe['%-candle_5perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x >= 5, 1, 0).sum()).shift() dataframe['%-candle_-1perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x <= -1, -1, 0).sum()).shift() dataframe['%-candle_-2perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x <= -2, -1, 0).sum()).shift() dataframe['%-candle_-3perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x <= -3, -1, 0).sum()).shift() dataframe['%-candle_-5perc_50'] = dataframe['%-perc_change'].rolling(50).apply(lambda x: np.where(x <= -5, -1, 0).sum()).shift() # Calculate the percentage of the current candle's range where the close price is dataframe['%-close_percentage'] = (dataframe['close'] - dataframe['low']) / (dataframe['high'] - dataframe['low']) dataframe['%-body_size'] = abs(dataframe['open'] - dataframe['close']) dataframe['%-range_size'] = dataframe['high'] - dataframe['low'] dataframe['%-body_range_ratio'] = dataframe['%-body_size'] / dataframe['%-range_size'] dataframe['%-upper_wick_size'] = dataframe['high'] - dataframe[['open', 'close']].max(axis=1) dataframe['%-upper_wick_range_ratio'] = dataframe['%-upper_wick_size'] / dataframe['%-range_size'] lookback_period = 10 dataframe['%-max_high'] = dataframe['high'].rolling(50).max() dataframe['%-min_low'] = dataframe['low'].rolling(50).min() dataframe['%-close_position'] = (dataframe['close'] - dataframe['%-min_low']) / (dataframe['%-max_high'] - dataframe['%-min_low']) dataframe['%-current_candle_perc_change'] = (dataframe['high'] / dataframe['open'] - 1) * 100 # Lazy Bear Impulse Macd dataframe['%-hi'] = ta.SMA(dataframe['high'], timeperiod = 28) dataframe['%-lo'] = ta.SMA(dataframe['low'], timeperiod = 28) dataframe['%-ema1'] = ta.EMA(dataframe['%-HLC3'], timeperiod = 28) dataframe['%-ema2'] = ta.EMA(dataframe['%-ema1'], timeperiod = 28) dataframe['%-d'] = dataframe['%-ema1'] - dataframe['%-ema2'] dataframe['%-mi'] = dataframe['%-ema1'] + dataframe['%-d'] dataframe['%-md'] = np.where(dataframe['%-mi'] > dataframe['%-hi'], dataframe['%-mi'] - dataframe['%-hi'], np.where(dataframe['%-mi'] < dataframe['%-lo'], dataframe['%-mi'] - dataframe['%-lo'], 0)) dataframe['%-sb'] = ta.SMA(dataframe['%-md'], timeperiod = 8) dataframe['%-sh'] = dataframe['%-md'] - dataframe['%-sb'] # WaveTrend using OHLC4 or HA close - 3/21 ap = (0.333 * (heikinashi['high'] + heikinashi['low'] + heikinashi["close"])) dataframe['esa'] = ta.EMA(ap, timeperiod = 9) dataframe['d'] = ta.EMA(abs(ap - dataframe['esa']), timeperiod = 9) dataframe['%-wave_ci'] = (ap-dataframe['esa']) / (0.015 * dataframe['d']) dataframe['%-wave_t1'] = ta.EMA(dataframe['%-wave_ci'], timeperiod = 12) dataframe['%-wave_t2'] = ta.SMA(dataframe['%-wave_t1'], timeperiod = 4) # 200 SMA and distance dataframe['%-200sma'] = ta.SMA(dataframe, timeperiod = 200) dataframe['%-200sma_dist'] = get_distance(heikinashi["close"], dataframe['%-200sma']) return dataframe def feature_engineering_standard(self, dataframe, **kwargs): dataframe["%-day_of_week"] = (dataframe["date"].dt.dayofweek + 1) / 7 dataframe["%-hour_of_day"] = (dataframe["date"].dt.hour + 1) / 25 return dataframe def set_freqai_targets(self, dataframe, **kwargs): # Modulus heikinashi = qtpylib.heikinashi(dataframe) dataframe['ha_open'] = heikinashi['open'] dataframe['ha_close'] = heikinashi['close'] dataframe['sma'] = ta.EMA(dataframe, timeperiod=184) dataframe['sma_pc'] = abs((dataframe['sma'] - dataframe['sma'].shift()) / dataframe['sma']) * 100 dataframe['atr_pcnt'] = (qtpylib.atr(dataframe, window = self.atr.value)) / dataframe['ha_close'] dataframe['modulation'] = 1 + (dataframe['sma_pc'] * self.trend.value) + (dataframe['atr_pcnt'] * self.volatility.value) # Set minimum and maximum window size min_window = self.peaks.value max_window = self.bull_bear.value dataframe['order'] = (dataframe['modulation'] * self.peaks.value).round().fillna(self.bull_bear.value).astype(int) dataframe['order'] = np.where(dataframe['order'] > max_window, max_window, dataframe['order']) dataframe['order'] = np.where(dataframe['order'] < min_window, min_window, dataframe['order']) if not dataframe['order'].empty: order = dataframe['order'].iloc[-1] else: order = self.bear.value dataframe["&s-extrema"] = 0 min_peaks = argrelextrema( dataframe["low"].values, np.less, order=order ) max_peaks = argrelextrema( dataframe["high"].values, np.greater, order=order ) for mp in min_peaks[0]: dataframe.at[mp, "&s-extrema"] = -1 for mp in max_peaks[0]: dataframe.at[mp, "&s-extrema"] = 1 dataframe["minima"] = np.where(dataframe["&s-extrema"] == -1, 1, 0) dataframe["maxima"] = np.where(dataframe["&s-extrema"] == 1, 1, 0) dataframe['&s-extrema'] = dataframe['&s-extrema'].rolling( window=5, win_type='gaussian', center=True).mean(std=0.5) dataframe['max'] = dataframe["close"].rolling(order).max()/dataframe["close"] - 1 dataframe['min'] = abs(dataframe["close"].rolling(order).min()/dataframe["close"] - 1) dataframe['mm_width'] = dataframe['max'] - dataframe['min'] dataframe['atr_threshold'] = dataframe['atr_pcnt'].rolling(order).max() return dataframe def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['rsi'] = ta.RSI(dataframe) dataframe['200sma'] = ta.SMA(dataframe, timeperiod=200) dataframe = self.freqai.start(dataframe, metadata, self) murrey_math_levels = calculate_murrey_math_levels(dataframe) for level, value in murrey_math_levels.items(): dataframe[level] = value dataframe['mmlextreme_oscillator'] = 100 * ((dataframe['close'] - dataframe["[4/8]P"]) / (dataframe["[+3/8]P"] - dataframe["[-3/8]P"])) dataframe["DI_catch"] = np.where( dataframe["DI_values"] > dataframe["DI_cutoff"], 0, 1, ) dataframe["minima_sort_threshold"] = dataframe["&s-minima_sort_threshold"] dataframe["maxima_sort_threshold"] = dataframe["&s-maxima_sort_threshold"] dataframe['min_threshold_mean'] = dataframe["minima_sort_threshold"].expanding().mean() dataframe['max_threshold_mean'] = dataframe["maxima_sort_threshold"].expanding().mean() dataframe['maxima_check'] = dataframe['maxima'].rolling(4).apply(lambda x: int((x != 1).all()), raw=True).fillna(0) dataframe['minima_check'] = dataframe['minima'].rolling(4).apply(lambda x: int((x != 1).all()), raw=True).fillna(0) pair = metadata['pair'] if dataframe['maxima'].iloc[-1] == 1 and dataframe['maxima_check'].iloc[-1] == 0: self.dp.send_msg(f'*** {pair} *** Maxima Detected - Potential Short!!!' ) if dataframe['minima'].iloc[-1] == 1 and dataframe['minima_check'].iloc[-1] == 0: self.dp.send_msg(f'*** {pair} *** Minima Detected - Potential Long!!!' ) return dataframe def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame: ### This signal becomes Invalid after Training is completed df.loc[ ( (df["do_predict"] == 0) & (df["minima_check"] == 0) & (df["minima_check"].shift(4) == 1) & (df["atr_pcnt"] > df["min"]) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['enter_long', 'enter_tag']] = (1, 'Minima Check Full Send') ### df.loc[ ( (df["do_predict"] == 1) & (df["DI_catch"] == 1) & (df["minima_check"] == 0) & (df["minima_check"].shift(4) == 1) & (df['order'] == self.bull_bear.value) & (df["atr_pcnt"] > df["min"]) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['enter_long', 'enter_tag']] = (1, 'Minima Check Predicted Max Order') df.loc[ ( (df["do_predict"] == 1) & (df["DI_catch"] == 1) & (df["minima_check"] == 0) & (df["minima_check"].shift(4) == 1) & (df["atr_pcnt"] > df["min"]) & (df['order'] < self.bull_bear.value) & (df['order'] > 135) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['enter_long', 'enter_tag']] = (1, 'Minima Check Predicted Mid Order') df.loc[ ( (df["do_predict"] == 1) & (df["DI_catch"] == 1) & (df["minima_check"] == 0) & (df["minima_check"].shift(4) == 1) & ((df["atr_threshold"] * 2) > df["min"]) & (df['order'] <= 135) & (df['order'] >= self.peaks.value) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['enter_long', 'enter_tag']] = (1, 'Minima Check Predicted Min Order') return df def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame: ### This signal becomes Invalid after Training is completed df.loc[ ( (df["do_predict"] == 0) & (df["maxima_check"] == 0) & (df["&s-extrema"] > df["max"]) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['exit_long', 'exit_tag']] = (1, 'Maxima Full Send') ### df.loc[ ( (df["do_predict"] == 1) & (df["DI_catch"] == 1) & (df["maxima_check"] == 0) & (df["maxima_check"].shift(4) == 1) & (df['order'] == self.bull_bear.value) & (df["atr_pcnt"] > df["max"]) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['exit_long', 'exit_tag']] = (1, 'Maxima Check Predicted Max Order') df.loc[ ( (df["do_predict"] == 1) & (df["DI_catch"] == 1) & (df["maxima_check"] == 0) & (df["maxima_check"].shift(4) == 1) & ((df["atr_threshold"] * 2) > df["max"]) & (df["atr_pcnt"] > df["max"]) & (df['order'] < self.bull_bear.value) & (df['order'] > 135) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['exit_long', 'exit_tag']] = (1, 'Maxima Check Predicted Mid Order') df.loc[ ( (df["do_predict"] == 1) & (df["DI_catch"] == 1) & (df["maxima_check"] == 0) & (df["maxima_check"].shift(4) == 1) & ((df["atr_threshold"] * 2) > df["max"]) & (df['order'] <= 135) & (df['order'] >= self.peaks.value) & (df['volume'] > 0) # Make sure Volume is not 0 ), ['exit_long', 'exit_tag']] = (1, 'Maxima Check Predicted Min Order') return df def top_percent_change(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 """ if length == 0: return (dataframe['open'] - dataframe['close']) / dataframe['close'] else: return (dataframe['open'].rolling(length).max() - dataframe['close']) / dataframe['close'] def chaikin_mf(df, periods=20): close = df['close'] low = df['low'] high = df['high'] volume = df['volume'] mfv = ((close - low) - (high - close)) / (high - low) mfv = mfv.fillna(0.0) mfv *= volume cmf = mfv.rolling(periods).sum() / volume.rolling(periods).sum() return Series(cmf, name='cmf') 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'] def get_distance(p1, p2): return abs((p1) - (p2)) def calculate_murrey_math_levels(df, window_size=64): #df = df.iloc[-window_size:] # Calculate rolling 64-bar maximum and minimum values rolling_max_H = df['high'].rolling(window=window_size).max() rolling_min_L = df['low'].rolling(window=window_size).min() max_H = rolling_max_H min_L = rolling_min_L range_HL = max_H - min_L def calculate_fractal(v2): fractal = 0 if 25000 < v2 <= 250000: fractal = 100000 elif 2500 < v2 <= 25000: fractal = 10000 elif 250 < v2 <= 2500: fractal = 1000 elif 25 < v2 <= 250: fractal = 100 elif 12.5 < v2 <= 25: fractal = 12.5 elif 6.25 < v2 <= 12.5: fractal = 12.5 elif 3.125 < v2 <= 6.25: fractal = 6.25 elif 1.5625 < v2 <= 3.125: fractal = 3.125 elif 0.390625 < v2 <= 1.5625: fractal = 1.5625 elif 0 < v2 <= 0.390625: fractal = 0.1953125 return fractal def calculate_octave(v1, v2, mn, mx): range_ = v2 - v1 sum_ = np.floor(np.log(calculate_fractal(v1) / range_) / np.log(2)) octave = calculate_fractal(v1) * (0.5 ** sum_) mn = np.floor(v1 / octave) * octave if mn + octave > v2: mx = mn + octave else: mx = mn + (2 * octave) return mx def calculate_x_values(v1, v2, mn, mx): dmml = (v2 - v1) / 8 x_values = [] # Calculate the midpoints of each segment midpoints = [mn + i * dmml for i in range(8)] for i in range(7): x_i = (midpoints[i] + midpoints[i + 1]) / 2 x_values.append(x_i) finalH = max(x_values) # Maximum of the x_values is the finalH return x_values, finalH def calculate_y_values(x_values, mn): y_values = [] for x in x_values: if x > 0: y = mn else: y = 0 y_values.append(y) return y_values def calculate_mml(mn, finalH, mx): dmml = ((finalH - finalL) / 8) * 1.0699 mml = (float([mx][0]) * 0.99875) + (dmml * 3) # mml = (float([mx]) * 0.99875) + (dmml * 3) ml = [] for i in range(0, 16): calc = mml - (dmml * (i)) ml.append(calc) murrey_math_levels = { "[-3/8]P": ml[14], "[-2/8]P": ml[13], "[-1/8]P": ml[12], "[0/8]P": ml[11], "[1/8]P": ml[10], "[2/8]P": ml[9], "[3/8]P": ml[8], "[4/8]P": ml[7], "[5/8]P": ml[6], "[6/8]P": ml[5], "[7/8]P": ml[4], "[8/8]P": ml[3], "[+1/8]P": ml[2], "[+2/8]P": ml[1], "[+3/8]P": ml[0] } return mml, murrey_math_levels for i in range(len(df)): mn = np.min(min_L.iloc[:i + 1]) mx = np.max(max_H.iloc[:i + 1]) x_values, finalH = calculate_x_values(mn, mx, mn, mx) y_values = calculate_y_values(x_values, mn) finalL = np.min(y_values) mml, murrey_math_levels = calculate_mml(finalL, finalH, mx) # Add Murrey Math levels to the DataFrame at each time step for level, value in murrey_math_levels.items(): df.at[df.index[i], level] = value return df def PC(dataframe, in1, in2): df = dataframe.copy() pc = ((in2-in1)/in1) * 100 return pc