import logging from functools import reduce from typing import Any, Dict import talib.abstract as ta from pandas import DataFrame from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy logger: logging.Logger = logging.getLogger(__name__) class freqai_test_strat(IStrategy): """ Test strategy - used for testing freqAI functionalities. DO not use in production. """ minimal_roi: Dict[str, float] = {'0': 0.1, '240': -1} plot_config: Dict[str, Any] = { 'main_plot': {}, 'subplots': { 'prediction': {'prediction': {'color': 'blue'}}, 'target_roi': {'target_roi': {'color': 'brown'}}, 'do_predict': {'do_predict': {'color': 'brown'}} } } process_only_new_candles: bool = True stoploss: float = -0.05 use_exit_signal: bool = True startup_candle_count: int = 300 can_short: bool = False linear_roi_offset: DecimalParameter = DecimalParameter( 0.0, 0.02, default=0.005, space='sell', optimize=False, load=True ) max_roi_time_long: IntParameter = IntParameter( 0, 800, default=400, space='sell', optimize=False, load=True ) def feature_engineering_expand_all( self, dataframe: DataFrame, period: int, metadata: Dict[str, Any], **kwargs: Any ) -> DataFrame: dataframe['%-rsi-period'] = ta.RSI(dataframe, timeperiod=period) dataframe['%-mfi-period'] = ta.MFI(dataframe, timeperiod=period) dataframe['%-adx-period'] = ta.ADX(dataframe, timeperiod=period) return dataframe def feature_engineering_expand_basic( self, dataframe: DataFrame, metadata: Dict[str, Any], **kwargs: Any ) -> DataFrame: dataframe['%-pct-change'] = dataframe['close'].pct_change() dataframe['%-raw_volume'] = dataframe['volume'] dataframe['%-raw_price'] = dataframe['close'] return dataframe def feature_engineering_standard( self, dataframe: DataFrame, metadata: Dict[str, Any], **kwargs: Any ) -> DataFrame: dataframe['%-day_of_week'] = dataframe['date'].dt.dayofweek dataframe['%-hour_of_day'] = dataframe['date'].dt.hour return dataframe def set_freqai_targets( self, dataframe: DataFrame, metadata: Dict[str, Any], **kwargs: Any ) -> DataFrame: label_period_candles: int = self.freqai_info['feature_parameters']['label_period_candles'] dataframe['&-s_close'] = ( dataframe['close'] .shift(-label_period_candles) .rolling(label_period_candles) .mean() / dataframe['close'] - 1 ) return dataframe def populate_indicators( self, dataframe: DataFrame, metadata: Dict[str, Any] ) -> DataFrame: self.freqai_info: Dict[str, Any] = self.config['freqai'] dataframe = self.freqai.start(dataframe, metadata, self) dataframe['target_roi'] = dataframe['&-s_close_mean'] + dataframe['&-s_close_std'] * 1.25 dataframe['sell_roi'] = dataframe['&-s_close_mean'] - dataframe['&-s_close_std'] * 1.25 return dataframe def populate_entry_trend( self, df: DataFrame, metadata: Dict[str, Any] ) -> DataFrame: enter_long_conditions: list = [ df['do_predict'] == 1, df['&-s_close'] > df['target_roi'] ] if all(enter_long_conditions): condition = reduce(lambda x, y: x & y, enter_long_conditions) df.loc[condition, ['enter_long', 'enter_tag']] = (1, 'long') enter_short_conditions: list = [ df['do_predict'] == 1, df['&-s_close'] < df['sell_roi'] ] if all(enter_short_conditions): condition = reduce(lambda x, y: x & y, enter_short_conditions) df.loc[condition, ['enter_short', 'enter_tag']] = (1, 'short') return df def populate_exit_trend( self, df: DataFrame, metadata: Dict[str, Any] ) -> DataFrame: exit_long_conditions: list = [ df['do_predict'] == 1, df['&-s_close'] < df['sell_roi'] * 0.25 ] if all(exit_long_conditions): condition = reduce(lambda x, y: x & y, exit_long_conditions) df.loc[condition, 'exit_long'] = 1 exit_short_conditions: list = [ df['do_predict'] == 1, df['&-s_close'] > df['target_roi'] * 0.25 ] if all(exit_short_conditions): condition = reduce(lambda x, y: x & y, exit_short_conditions) df.loc[condition, 'exit_short'] = 1 return df