# --- Do not remove these libs --- from freqtrade.strategy.interface import IStrategy from pandas import DataFrame, Series import talib.abstract as ta import freqtrade.vendor.qtpylib.indicators as qtpylib import numpy as np from freqtrade.strategy import DecimalParameter, IntParameter from datetime import datetime, timedelta from functools import reduce # -------------------------------- 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['close'] * 100 return emadif # 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 # 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 class BBRSITV(IStrategy): INTERFACE_VERSION = 2 # Buy hyperspace params: buy_params = { "ewo_high": 4.86, "for_ma_length": 22, "for_sigma": 1.74, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 65, "for_sigma_sell": 1.895, "rsi_high": 72, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = False # value loaded from strategy trailing_stop_positive = 0.005 # value loaded from strategy trailing_stop_positive_offset = 0.025 # value loaded from strategy trailing_only_offset_is_reached = True # value loaded from strategy # Sell signal use_sell_signal = True sell_profit_only = False sell_profit_offset = 0.01 ignore_roi_if_buy_signal = False process_only_new_candles = True startup_candle_count = 30 protections = [ # { # "method": "StoplossGuard", # "lookback_period_candles": 12, # "trade_limit": 1, # "stop_duration_candles": 6, # "only_per_pair": True # }, # { # "method": "StoplossGuard", # "lookback_period_candles": 12, # "trade_limit": 2, # "stop_duration_candles": 6, # "only_per_pair": False # }, { "method": "LowProfitPairs", "lookback_period_candles": 60, "trade_limit": 1, "stop_duration": 60, "required_profit": -0.05 }, { "method": "MaxDrawdown", "lookback_period_candles": 24, "trade_limit": 1, "stop_duration_candles": 12, "max_allowed_drawdown": 0.2 }, ] ewo_high = DecimalParameter(0, 7.0, default=buy_params['ewo_high'], space='buy', optimize=True) for_sigma = DecimalParameter(0, 10.0, default=buy_params['for_sigma'], space='buy', optimize=True) for_sigma_sell = DecimalParameter(0, 10.0, default=sell_params['for_sigma_sell'], space='sell', optimize=True) rsi_high = IntParameter(60, 100, default=sell_params['rsi_high'], space='sell', optimize=True) for_ma_length = IntParameter(5, 80, default=buy_params['for_ma_length'], space='buy', optimize=True) for_ma_length_sell = IntParameter(5, 80, default=sell_params['for_ma_length_sell'], space='sell', optimize=True) # Optimal timeframe for the strategy timeframe = '5m' # Protection fast_ewo = 50 slow_ewo = 200 def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # //@version=3 # study(" RSI + BB (EMA) + Dispersion (2.0)", overlay=false) # # // Инициализация параметров # src = input(title="Source", type=source, defval=close) // Устанавливаем тип цены для расчетов src = 'close' # for_rsi = input(title="RSI_period", type=integer, defval=14) // Период для RSI for_rsi = 14 # for_ma = input(title="Basis_BB", type=integer, defval=20) // Период для MA внутри BB # for_ma = 20 # for_mult = input(title="Stdev", type=integer, defval=2, minval=1, maxval=5) // Число стандартных отклонений для BB for_mult = 2 # for_sigma = input(title="Dispersion", type=float, defval=0.1, minval=0.01, maxval=1) // Дисперсия вокруг MA for_sigma = 0.1 # # // Условия работы скрипта # current_rsi = rsi(src, for_rsi) // Текущее положение индикатора RSI dataframe['rsi'] = ta.RSI(dataframe[src], for_rsi) dataframe['rsi_4'] = ta.RSI(dataframe[src], 4) if self.config['runmode'].value == 'hyperopt': for for_ma in range(5, 81): # basis = ema(current_rsi, for_ma) dataframe[f'basis_{for_ma}'] = ta.EMA(dataframe['rsi'], for_ma) # dev = for_mult * stdev(current_rsi, for_ma) dataframe[f'dev_{for_ma}'] = ta.STDDEV(dataframe['rsi'], for_ma) # upper = basis + dev #dataframe[f'upper_{for_ma}'] = (dataframe[f'basis_{for_ma}'] + (dataframe[f'dev_{for_ma}'] * for_mult)) # lower = basis - dev #dataframe[f'lower_{for_ma}'] = dataframe[f'basis_{for_ma}'] - (dataframe[f'dev_{for_ma}'] * for_mult) # disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # dataframe[f'disp_up_{for_ma}'] = dataframe[f'basis_{for_ma}'] + ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma) # disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу) # dataframe[f'disp_down_{for_ma}'] = dataframe[f'basis_{for_ma}'] - ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma) # color_rsi = current_rsi >= disp_up ? lime : current_rsi <= disp_down ? red : #ffea00 // Текущий цвет RSI, в зависимости от его местоположения внутри BB else: dataframe[f'basis_{self.for_ma_length.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length.value) dataframe[f'basis_{self.for_ma_length_sell.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length_sell.value) # dev = for_mult * stdev(current_rsi, for_ma) dataframe[f'dev_{self.for_ma_length.value}'] = ta.STDDEV(dataframe['rsi'], self.for_ma_length.value) dataframe[f'dev_{self.for_ma_length_sell.value}'] = ta.STDDEV(dataframe['rsi'], self.for_ma_length_sell.value) # # // Дополнительные линии и заливка для областей для RSI # h1 = hline(70, color=#d4d4d4, linestyle=dotted, linewidth=1) h1 = 70 # h2 = hline(30, color=#d4d4d4, linestyle=dotted, linewidth=1) h2 = 30 # fill (h1, h2, transp=95) # # // Алерты и условия срабатывания # rsi_Green = crossover(current_rsi, disp_up) # rsi_Red = crossunder(current_rsi, disp_down) # alertcondition(condition=rsi_Green, # title="RSI cross Above Dispersion Area", # message="The RSI line closing crossed above the Dispersion area.") # # alertcondition(condition=rsi_Red, # title="RSI cross Under Dispersion Area", # message="The RSI line closing crossed below the Dispersion area") # # // Результаты и покраска # plot(basis, color=black) # plot(upper, color=#00fff0, linewidth=2) # plot(lower, color=#00fff0, linewidth=2) # s1 = plot(disp_up, color=white) # s2 = plot(disp_down, color=white) # fill(s1, s2, color=white, transp=80) # plot(current_rsi, color=color_rsi, linewidth=2) dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[ ( # upper = basis + dev # lower = basis - dev # disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # disp_up = basis + ((basis + dev * for_mult) - (basis - dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # disp_up = basis + (basis + dev * for_mult - basis + dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) # disp_up = basis + (2 * dev * for_sigma * for_mult) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху) (dataframe['rsi'] < (dataframe[f'basis_{self.for_ma_length.value}'] - (dataframe[f'dev_{self.for_ma_length.value}'] * self.for_sigma.value))) & (dataframe['EWO'] > self.ewo_high.value) & (dataframe['volume'] > 0) ), 'buy'] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[ ( ( (dataframe['rsi'] > self.rsi_high.value) | # upper = basis + dev # lower = basis - dev # disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу) # disp_down = basis - ((2* dev * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу) (dataframe['rsi'] > dataframe[f'basis_{self.for_ma_length_sell.value}'] + ((dataframe[f'dev_{self.for_ma_length_sell.value}'] * self.for_sigma_sell.value))) ) & (dataframe['volume'] > 0) ), 'sell'] = 1 return dataframe class BBRSITV4(BBRSITV): minimal_roi = { "0": 0.07 } ignore_roi_if_buy_signal = True startup_candle_count = 400 stoploss = -0.3 # value loaded from strategy def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[ ( (dataframe['rsi'] < (dataframe[f'basis_{self.for_ma_length.value}'] - (dataframe[f'dev_{self.for_ma_length.value}'] * self.for_sigma.value))) & ( ( (dataframe['EWO'] > self.ewo_high.value) & (dataframe['EWO'] < 10) ) | ( (dataframe['EWO'] >= 10) & (dataframe['rsi'] < 40) ) ) & (dataframe['rsi_4'] < 25) & (dataframe['volume'] > 0) # & # (dataframe["roc_bbwidth_max"] < 70) ), 'buy'] = 1 return dataframe class BBRSITV1(BBRSITV): """ 2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4 ============================================================================= STRATEGY SUMMARY ============================================================================= | Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown | |-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+-----------------------| | Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% | | SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% | | BBRSITV | 309 | 1.10 | 340.17 | 3869.800 | 128.99 | 2:53:00 | 223 0 86 72.2 | 261.984 USDT 25.84% | ============================================================================================================================================================================ """ INTERFACE_VERSION = 2 # Buy hyperspace params: buy_params = { "ewo_high": 4.964, "for_ma_length": 12, "for_sigma": 2.313, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 78, "for_sigma_sell": 1.67, "rsi_high": 60, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = False # value loaded from strategy trailing_stop_positive = 0.005 # value loaded from strategy trailing_stop_positive_offset = 0.025 # value loaded from strategy trailing_only_offset_is_reached = True # value loaded from strategy class BBRSITV2(BBRSITV): """ 2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4 ============================================================================= STRATEGY SUMMARY ============================================================================= | Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown | |-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+-----------------------| | Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% | | SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% | | BBRSITV | 486 | 1.11 | 537.58 | 7689.862 | 256.33 | 5:01:00 | 287 0 199 59.1 | 1279.461 USDT 75.45% | ============================================================================================================================================================================ """ # Buy hyperspace params: buy_params = { "ewo_high": 4.85, "for_ma_length": 11, "for_sigma": 2.066, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 61, "for_sigma_sell": 1.612, "rsi_high": 87, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = False # value loaded from strategy trailing_stop_positive = 0.005 # value loaded from strategy trailing_stop_positive_offset = 0.025 # value loaded from strategy trailing_only_offset_is_reached = True # value loaded from strategy class BBRSITV3(BBRSITV): """ 2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4 ============================================================================== STRATEGY SUMMARY ============================================================================= | Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown | |-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+------------------------| | Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% | | SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% | | BBRSITV | 627 | 1.14 | 715.85 | 12998.605 | 433.29 | 5:35:00 | 374 0 253 59.6 | 2294.408 USDT 100.60% | =============================================================================================================================================================================""" INTERFACE_VERSION = 2 # Buy hyperspace params: buy_params = { "ewo_high": 4.86, "for_ma_length": 22, "for_sigma": 1.74, } # Sell hyperspace params: sell_params = { "for_ma_length_sell": 65, "for_sigma_sell": 1.895, "rsi_high": 72, } # ROI table: # value loaded from strategy minimal_roi = { "0": 0.1 } # Stoploss: stoploss = -0.25 # value loaded from strategy # Trailing stop: trailing_stop = True trailing_stop_positive = 0.078 trailing_stop_positive_offset = 0.095 trailing_only_offset_is_reached = False