# Guru Skippyasurmuni Strategy
# Author: AZcoigreach
# github: https://github.com/azcoigreach/
# ___ _ _ ___ _ _
# / __|| | | || _ \| | | |
# | (_ || |_| || /| |_| |
# \___| \___/ |_|_\ \___/
# ___ _ __ ___ ___ ___ __ __ _ ___ _ _ ___ __ __ _ _ _ _ ___
# / __|| |/ /|_ _|| _ \| _ \\ \ / //_\ / __|| | | || _ \| \/ || | | || \| ||_ _|
# \__ \| ' < | | | _/| _/ \ V // _ \ \__ \| |_| || /| |\/| || |_| || .` | | |
# |___/|_|\_\|___||_| |_| |_|/_/ \_\|___/ \___/ |_|_\|_| |_| \___/ |_|\_||___|
#
'''
Guru Skippyasurmuni -
Even though Skippy is designed to be easily modified and hyperopted. However, Skippy has alread spent a lot of time thinking about the best way to trade crypto.
He has come to the conclusing - simple is better. A couple basic indicators and some simple rules will yield the best results in every condition.
'''
# Hyperopting
'''
docker-compose run --rm freqtrade hyperopt --hyperopt-loss SharpeHyperOptLoss --spaces buy sell --strategy GuruSkippyasurmuni -e 2000 --timerange=20220314- --eps
'''
# Backtesting - Powershell
'''
$1 = 20220314 ; $2 = "day" ;
docker-compose run --rm freqtrade backtesting --datadir user_data/data/binanceus --config /freqtrade/user_data/SkippyGod_config.json --export trades -s SkippyGod --fee 0.00075 --timerange=$1- --breakdown $2 --eps ;
docker-compose run --rm freqtrade plot-dataframe -s SkippyGod --config /freqtrade/user_data/SkippyGod_config.json -i 5m --timerange=$1- --indicators2 AROONOSC-5 RSI-5 ;
docker-compose run --rm freqtrade plot-profit -s SkippyGod --config /freqtrade/user_data/SkippyGod_config.json -i 5m --timerange=$1-
'''
# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from typing import Dict, List
from functools import reduce
from pandas import DataFrame
# --------------------------------
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
import technical.indicators as ftt
from freqtrade.exchange import timeframe_to_prev_date
import warnings
from pandas.core.common import SettingWithCopyWarning
warnings.simplefilter(action="ignore", category=SettingWithCopyWarning)
from random import shuffle
# Initiate genes splicing --> Source: MaBlue GodStrNew --> Target: Guru Skippyasurmuni strategy.
# TODO: this gene is removed 'MAVP' cuz or error on periods
all_god_genes = {
'Overlap Studies': {
'BBANDS-0', # Bollinger Bands
'BBANDS-1', # Bollinger Bands
'BBANDS-2', # Bollinger Bands
'DEMA', # Double Exponential Moving Average
'EMA', # Exponential Moving Average
'HT_TRENDLINE', # Hilbert Transform - Instantaneous Trendline
'KAMA', # Kaufman Adaptive Moving Average
'MA', # Moving average
'MAMA-0', # MESA Adaptive Moving Average
'MAMA-1', # MESA Adaptive Moving Average
# TODO: Fix this
# 'MAVP', # Moving average with variable period
'MIDPOINT', # MidPoint over period
'MIDPRICE', # Midpoint Price over period
'SAR', # Parabolic SAR
'SAREXT', # Parabolic SAR - Extended
'SMA', # Simple Moving Average
'T3', # Triple Exponential Moving Average (T3)
'TEMA', # Triple Exponential Moving Average
'TRIMA', # Triangular Moving Average
'WMA', # Weighted Moving Average
},
'Momentum Indicators': {
'ADX', # Average Directional Movement Index
'ADXR', # Average Directional Movement Index Rating
'APO', # Absolute Price Oscillator
'AROON-0', # Aroon
'AROON-1', # Aroon
'AROONOSC', # Aroon Oscillator
'BOP', # Balance Of Power
'CCI', # Commodity Channel Index
'CMO', # Chande Momentum Oscillator
'DX', # Directional Movement Index
'MACD-0', # Moving Average Convergence/Divergence
'MACD-1', # Moving Average Convergence/Divergence
'MACD-2', # Moving Average Convergence/Divergence
'MACDEXT-0', # MACD with controllable MA type
'MACDEXT-1', # MACD with controllable MA type
'MACDEXT-2', # MACD with controllable MA type
'MACDFIX-0', # Moving Average Convergence/Divergence Fix 12/26
'MACDFIX-1', # Moving Average Convergence/Divergence Fix 12/26
'MACDFIX-2', # Moving Average Convergence/Divergence Fix 12/26
'MFI', # Money Flow Index
'MINUS_DI', # Minus Directional Indicator
'MINUS_DM', # Minus Directional Movement
'MOM', # Momentum
'PLUS_DI', # Plus Directional Indicator
'PLUS_DM', # Plus Directional Movement
'PPO', # Percentage Price Oscillator
'ROC', # Rate of change : ((price/prevPrice)-1)*100
'ROCP', # Rate of change Percentage: (price-prevPrice)/prevPrice
'ROCR', # Rate of change ratio: (price/prevPrice)
'ROCR100', # Rate of change ratio 100 scale: (price/prevPrice)*100
'RSI', # Relative Strength Index
'STOCH-0', # Stochastic
'STOCH-1', # Stochastic
'STOCHF-0', # Stochastic Fast
'STOCHF-1', # Stochastic Fast
'STOCHRSI-0', # Stochastic Relative Strength Index
'STOCHRSI-1', # Stochastic Relative Strength Index
'TRIX', # 1-day Rate-Of-Change (ROC) of a Triple Smooth EMA
'ULTOSC', # Ultimate Oscillator
'WILLR', # Williams' %R
},
'Volume Indicators': {
'AD', # Chaikin A/D Line
'ADOSC', # Chaikin A/D Oscillator
'OBV', # On Balance Volume
},
'Volatility Indicators': {
'ATR', # Average True Range
'NATR', # Normalized Average True Range
'TRANGE', # True Range
},
'Price Transform': {
'AVGPRICE', # Average Price
'MEDPRICE', # Median Price
'TYPPRICE', # Typical Price
'WCLPRICE', # Weighted Close Price
},
'Cycle Indicators': {
'HT_DCPERIOD', # Hilbert Transform - Dominant Cycle Period
'HT_DCPHASE', # Hilbert Transform - Dominant Cycle Phase
'HT_PHASOR-0', # Hilbert Transform - Phasor Components
'HT_PHASOR-1', # Hilbert Transform - Phasor Components
'HT_SINE-0', # Hilbert Transform - SineWave
'HT_SINE-1', # Hilbert Transform - SineWave
'HT_TRENDMODE', # Hilbert Transform - Trend vs Cycle Mode
},
'Pattern Recognition': {
'CDL2CROWS', # Two Crows
'CDL3BLACKCROWS', # Three Black Crows
'CDL3INSIDE', # Three Inside Up/Down
'CDL3LINESTRIKE', # Three-Line Strike
'CDL3OUTSIDE', # Three Outside Up/Down
'CDL3STARSINSOUTH', # Three Stars In The South
'CDL3WHITESOLDIERS', # Three Advancing White Soldiers
'CDLABANDONEDBABY', # Abandoned Baby
'CDLADVANCEBLOCK', # Advance Block
'CDLBELTHOLD', # Belt-hold
'CDLBREAKAWAY', # Breakaway
'CDLCLOSINGMARUBOZU', # Closing Marubozu
'CDLCONCEALBABYSWALL', # Concealing Baby Swallow
'CDLCOUNTERATTACK', # Counterattack
'CDLDARKCLOUDCOVER', # Dark Cloud Cover
'CDLDOJI', # Doji
'CDLDOJISTAR', # Doji Star
'CDLDRAGONFLYDOJI', # Dragonfly Doji
'CDLENGULFING', # Engulfing Pattern
'CDLEVENINGDOJISTAR', # Evening Doji Star
'CDLEVENINGSTAR', # Evening Star
'CDLGAPSIDESIDEWHITE', # Up/Down-gap side-by-side white lines
'CDLGRAVESTONEDOJI', # Gravestone Doji
'CDLHAMMER', # Hammer
'CDLHANGINGMAN', # Hanging Man
'CDLHARAMI', # Harami Pattern
'CDLHARAMICROSS', # Harami Cross Pattern
'CDLHIGHWAVE', # High-Wave Candle
'CDLHIKKAKE', # Hikkake Pattern
'CDLHIKKAKEMOD', # Modified Hikkake Pattern
'CDLHOMINGPIGEON', # Homing Pigeon
'CDLIDENTICAL3CROWS', # Identical Three Crows
'CDLINNECK', # In-Neck Pattern
'CDLINVERTEDHAMMER', # Inverted Hammer
'CDLKICKING', # Kicking
'CDLKICKINGBYLENGTH', # Kicking - bull/bear determined by the longer marubozu
'CDLLADDERBOTTOM', # Ladder Bottom
'CDLLONGLEGGEDDOJI', # Long Legged Doji
'CDLLONGLINE', # Long Line Candle
'CDLMARUBOZU', # Marubozu
'CDLMATCHINGLOW', # Matching Low
'CDLMATHOLD', # Mat Hold
'CDLMORNINGDOJISTAR', # Morning Doji Star
'CDLMORNINGSTAR', # Morning Star
'CDLONNECK', # On-Neck Pattern
'CDLPIERCING', # Piercing Pattern
'CDLRICKSHAWMAN', # Rickshaw Man
'CDLRISEFALL3METHODS', # Rising/Falling Three Methods
'CDLSEPARATINGLINES', # Separating Lines
'CDLSHOOTINGSTAR', # Shooting Star
'CDLSHORTLINE', # Short Line Candle
'CDLSPINNINGTOP', # Spinning Top
'CDLSTALLEDPATTERN', # Stalled Pattern
'CDLSTICKSANDWICH', # Stick Sandwich
'CDLTAKURI', # Takuri (Dragonfly Doji with very long lower shadow)
'CDLTASUKIGAP', # Tasuki Gap
'CDLTHRUSTING', # Thrusting Pattern
'CDLTRISTAR', # Tristar Pattern
'CDLUNIQUE3RIVER', # Unique 3 River
'CDLUPSIDEGAP2CROWS', # Upside Gap Two Crows
'CDLXSIDEGAP3METHODS', # Upside/Downside Gap Three Methods
},
'Statistic Functions': {
'BETA', # Beta
'CORREL', # Pearson's Correlation Coefficient (r)
'LINEARREG', # Linear Regression
'LINEARREG_ANGLE', # Linear Regression Angle
'LINEARREG_INTERCEPT', # Linear Regression Intercept
'LINEARREG_SLOPE', # Linear Regression Slope
'STDDEV', # Standard Deviation
'TSF', # Time Series Forecast
'VAR', # Variance
}
}
god_genes = set()
########################### SETTINGS ##############################
# RSI and an Aroon Oscillator are the only two metrics you need to catch the highs and lows
god_genes = {
'RSI', # Relative Strength Index
'AROONOSC', # Aroon Oscillator
}
# god_genes |= all_god_genes['Overlap Studies']
# god_genes |= all_god_genes['Momentum Indicators']
# god_genes |= all_god_genes['Volume Indicators']
# god_genes |= all_god_genes['Volatility Indicators']
# god_genes |= all_god_genes['Price Transform']
# god_genes |= all_god_genes['Cycle Indicators']
# god_genes |= all_god_genes['Pattern Recognition']
# god_genes |= all_god_genes['Statistic Functions']
timeperiods = [5, 6, 12, 15, 50, 55, 100, 110]
operators = [
"D", # Disabled gene
">", # Indicator, bigger than cross indicator
"<", # Indicator, smaller than cross indicator
"=", # Indicator, equal with cross indicator
"C", # Indicator, crossed the cross indicator
"CA", # Indicator, crossed above the cross indicator
"CB", # Indicator, crossed below the cross indicator
">R", # Normalized indicator, bigger than real number
"=R", # Normalized indicator, equal with real number
"R", # Normalized indicator devided to cross indicator, bigger than real number
"/=R", # Normalized indicator devided to cross indicator, equal with real number
"/ 10)
# TODO : it ill callculated in populate indicators.
dataframe[indicator] = gene_calculator(dataframe, indicator)
dataframe[crossed_indicator] = gene_calculator(dataframe, crossed_indicator)
indicator_trend_sma = f"{indicator}-SMA-{TREND_CHECK_CANDLES}"
if operator in ["UT", "DT", "OT", "CUT", "CDT", "COT"]:
dataframe[indicator_trend_sma] = gene_calculator(dataframe, indicator_trend_sma)
if operator == ">":
condition = (
dataframe[indicator] > dataframe[crossed_indicator]
)
elif operator == "=":
condition = (
np.isclose(dataframe[indicator], dataframe[crossed_indicator])
)
elif operator == "<":
condition = (
dataframe[indicator] < dataframe[crossed_indicator]
)
elif operator == "C":
condition = (
(qtpylib.crossed_below(dataframe[indicator], dataframe[crossed_indicator])) |
(qtpylib.crossed_above(dataframe[indicator], dataframe[crossed_indicator]))
)
elif operator == "CA":
condition = (
qtpylib.crossed_above(dataframe[indicator], dataframe[crossed_indicator])
)
elif operator == "CB":
condition = (
qtpylib.crossed_below(
dataframe[indicator], dataframe[crossed_indicator])
)
elif operator == ">R":
condition = (
dataframe[indicator] > real_num
)
elif operator == "=R":
condition = (
np.isclose(dataframe[indicator], real_num)
)
elif operator == "R":
condition = (
dataframe[indicator].div(dataframe[crossed_indicator]) > real_num
)
elif operator == "/=R":
condition = (
np.isclose(dataframe[indicator].div(dataframe[crossed_indicator]), real_num)
)
elif operator == "/ dataframe[indicator_trend_sma]
)
elif operator == "DT":
condition = (
dataframe[indicator] < dataframe[indicator_trend_sma]
)
elif operator == "OT":
condition = (
np.isclose(dataframe[indicator], dataframe[indicator_trend_sma])
)
elif operator == "CUT":
condition = (
(
qtpylib.crossed_above(
dataframe[indicator],
dataframe[indicator_trend_sma]
)
) &
(
dataframe[indicator] > dataframe[indicator_trend_sma]
)
)
elif operator == "CDT":
condition = (
(
qtpylib.crossed_below(
dataframe[indicator],
dataframe[indicator_trend_sma]
)
) &
(
dataframe[indicator] < dataframe[indicator_trend_sma]
)
)
elif operator == "COT":
condition = (
(
(
qtpylib.crossed_below(
dataframe[indicator],
dataframe[indicator_trend_sma]
)
) |
(
qtpylib.crossed_above(
dataframe[indicator],
dataframe[indicator_trend_sma]
)
)
) &
(
np.isclose(
dataframe[indicator],
dataframe[indicator_trend_sma]
)
)
)
return condition, dataframe
class GuruSkippyasurmuni(IStrategy):
INTERFACE_VERSION = 2
# Variables
DATESTAMP = 0
COUNT = 0
custom_info = { }
# Skippy's BUY and SELL conditions
# Buy hyperspace params:
buy_params = {
"buy_crossed_indicator0": "STOCHRSI-0-15",
"buy_crossed_indicator1": "MACDFIX-0-15",
"buy_crossed_indicator2": "STOCHRSI-0-55",
"buy_indicator0": "MACDFIX-0-15",
"buy_indicator1": "RSI-5",
"buy_indicator2": "AROONOSC-5",
"buy_operator0": "D",
"buy_operator1": "R",
"sell_operator2": "=R",
"sell_real_num0": 0.65,
"sell_real_num1": 0.9,
"sell_real_num2": 1.0,
}
# ROI table:
minimal_roi = {
"0": 1000.0
}
# Stoploss:
stoploss = -1.0
# Trailing stop:
trailing_stop = False
trailing_stop_positive = 0.001
trailing_stop_positive_offset = 0.01
trailing_only_offset_is_reached = True
# Sell signal
use_sell_signal = True
sell_profit_only = True
# sell_profit_offset = 0.01
ignore_roi_if_buy_signal = False
# Optimal timeframe for the strategy
timeframe = '5m'
# timeframe = '1m'
process_only_new_candles = True
plot_config = {
'subplots': {
"buy_1": {
'buy_1': {'color': 'blue'}
},
"sell_1": {
'sell_1': {'color': 'orange'}
},
}
}
# DCA config
position_adjustment_enable = True
max_entry_position_adjustment = 24
# Protections
@property
def protections(self):
return [
{
"method": "CooldownPeriod",
"stop_duration_candles": 3
}
]
# TODO: Its not dry code!
# Buy Hyperoptable Parameters/Spaces.
buy_crossed_indicator0 = CategoricalParameter(
god_genes_with_timeperiod, default="STOCHRSI-0-15", space='buy')
buy_crossed_indicator1 = CategoricalParameter(
god_genes_with_timeperiod, default="MACDFIX-0-15", space='buy')
buy_crossed_indicator2 = CategoricalParameter(
god_genes_with_timeperiod, default="STOCHRSI-0-55", space='buy')
buy_indicator0 = CategoricalParameter(
god_genes_with_timeperiod, default="MACDFIX-0-15", space='buy')
buy_indicator1 = CategoricalParameter(
god_genes_with_timeperiod, default="RSI-5", space='buy')
buy_indicator2 = CategoricalParameter(
god_genes_with_timeperiod, default="AROONOSC-5", space='buy')
buy_operator0 = CategoricalParameter(operators, default="D", space='buy')
buy_operator1 = CategoricalParameter(operators, default=" DataFrame:
# Check if the entry already exists
pair = metadata['pair']
if not pair in self.custom_info:
# Create empty entry for this pair {DATESTAMP}
self.custom_info[pair] = ['', 0]
# count = self.custom_info[pair][self.COUNT]
# dataframe['buy_1'] = 0
# # # iterate through dataframe, create buys and sells
# row = 0
# last_row = dataframe.tail(1).index.item()
# while (row <= last_row):
# if(count == 0):
# dataframe['buy'].iloc[row] = 1
# if(count > 0):
# dataframe['buy_1'].iloc[row] = 1
# else:
# count += 1
# if(row == 0):
# self.custom_info[pair][self.COUNT] = count
# row += 1
return dataframe
def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float,
rate: float, time_in_force: str, sell_reason: str, current_profit: float,
**kwargs) -> bool:
# Minimum 1% profit before Sell trigger
if current_profit < 0.01:
return False
return True
def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
**kwargs) -> float:
return proposed_stake
# Skippy's has finally figured out how to stake positions
def adjust_trade_position(self, trade: Trade, current_time: datetime,
current_rate: float, current_profit: float, min_stake: float,
max_stake: float, **kwargs):
dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
if(len(dataframe) < 1):
return None
last_candle = dataframe.iloc[-1].squeeze()
if(self.custom_info[trade.pair][self.DATESTAMP] != last_candle['date']):
# Trigger once per cnadle
self.custom_info[trade.pair][self.DATESTAMP] = last_candle['date']
# If current total profit is greater than value don't adjust.
if current_profit > -0.01:
return None
# If last candle had 'buy' indicator adjust stake by original stake_amount
if last_candle['buy'] > 0:
filled_buys = trade.select_filled_orders('buy')
try:
stake_amount = filled_buys[0].cost
return stake_amount
except Exception as exception:
return None
return None
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
conditions = list()
# Buy Condition 0
buy_indicator = self.buy_indicator0.value
buy_crossed_indicator = self.buy_crossed_indicator0.value
buy_operator = self.buy_operator0.value
buy_real_num = self.buy_real_num0.value
condition, dataframe = condition_generator(
dataframe,
buy_operator,
buy_indicator,
buy_crossed_indicator,
buy_real_num
)
conditions.append(condition)
# Buy Condition 1
buy_indicator = self.buy_indicator1.value
buy_crossed_indicator = self.buy_crossed_indicator1.value
buy_operator = self.buy_operator1.value
buy_real_num = self.buy_real_num1.value
condition, dataframe = condition_generator(
dataframe,
buy_operator,
buy_indicator,
buy_crossed_indicator,
buy_real_num
)
conditions.append(condition)
# Buy Condition 2
buy_indicator = self.buy_indicator2.value
buy_crossed_indicator = self.buy_crossed_indicator2.value
buy_operator = self.buy_operator2.value
buy_real_num = self.buy_real_num2.value
condition, dataframe = condition_generator(
dataframe,
buy_operator,
buy_indicator,
buy_crossed_indicator,
buy_real_num
)
conditions.append(condition)
if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'buy']=1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
conditions = list()
# Sell Condition 0
sell_indicator = self.sell_indicator0.value
sell_crossed_indicator = self.sell_crossed_indicator0.value
sell_operator = self.sell_operator0.value
sell_real_num = self.sell_real_num0.value
condition, dataframe = condition_generator(
dataframe,
sell_operator,
sell_indicator,
sell_crossed_indicator,
sell_real_num
)
conditions.append(condition)
# Sell Condition 1
sell_indicator = self.sell_indicator1.value
sell_crossed_indicator = self.sell_crossed_indicator1.value
sell_operator = self.sell_operator1.value
sell_real_num = self.sell_real_num1.value
condition, dataframe = condition_generator(
dataframe,
sell_operator,
sell_indicator,
sell_crossed_indicator,
sell_real_num
)
conditions.append(condition)
# Sell Condition 2
sell_indicator = self.sell_indicator2.value
sell_crossed_indicator = self.sell_crossed_indicator2.value
sell_operator = self.sell_operator2.value
sell_real_num = self.sell_real_num2.value
condition, dataframe = condition_generator(
dataframe,
sell_operator,
sell_indicator,
sell_crossed_indicator,
sell_real_num
)
conditions.append(condition)
if conditions:
dataframe.loc[
reduce(lambda x, y: x & y, conditions),
'sell']=1
return dataframe