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 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 class ElliotV5HO(IStrategy): INTERFACE_VERSION = 2 buy_params = { "base_nb_candles_buy": 17, "ewo_high": 3.34, "ewo_low": -17.457, "low_offset": 0.978, "rsi_buy": 60 } sell_params = { "base_nb_candles_sell": 39, "high_offset": 1.011 } minimal_roi = { "0": 0.215, "40": 0.132, "87": 0.086, "201": 0.03 } stoploss = -0.189 base_nb_candles_buy = IntParameter( 5, 80, default=buy_params['base_nb_candles_buy'], space='buy', optimize=True) base_nb_candles_sell = IntParameter( 5, 80, default=sell_params['base_nb_candles_sell'], space='sell', optimize=True) low_offset = DecimalParameter( 0.9, 0.99, default=buy_params['low_offset'], space='buy', optimize=True) high_offset = DecimalParameter( 0.99, 1.1, default=sell_params['high_offset'], space='sell', optimize=True) fast_ewo = 50 slow_ewo = 200 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) rsi_buy = IntParameter( 30, 70, default=buy_params['rsi_buy'], space='buy', optimize=True) trailing_stop = True trailing_stop_positive = 0.005 trailing_stop_positive_offset = 0.03 trailing_only_offset_is_reached = True use_sell_signal = True sell_profit_only = False sell_profit_offset = 0.01 ignore_roi_if_buy_signal = True order_types = { 'buy': 'limit', 'sell': 'limit', 'stoploss': 'market', 'stoploss_on_exchange': False } order_time_in_force = { 'buy': 'gtc', 'sell': 'gtc' } timeframe = '5m' informative_timeframe = '1h' process_only_new_candles = True startup_candle_count = 79 plot_config = { 'main_plot': { f'ma_buy_{base_nb_candles_buy.value}': {'color': 'orange'}, f'ma_sell_{base_nb_candles_sell.value}': {'color': 'green'}, }, } use_custom_stoploss = False def informative_pairs(self): pairs = self.dp.current_whitelist() informative_pairs = [(pair, self.informative_timeframe) for pair in pairs] return informative_pairs def get_informative_indicators(self, metadata: dict): dataframe = self.dp.get_pair_dataframe( pair=metadata['pair'], timeframe=self.informative_timeframe) return dataframe def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: if self.config['runmode'].value == 'hyperopt': for val in self.base_nb_candles_buy.range: dataframe[f'ma_buy_{val}'] = ta.EMA(dataframe, timeperiod=val) for val in self.base_nb_candles_sell.range: dataframe[f'ma_sell_{val}'] = ta.EMA(dataframe, timeperiod=val) else: dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] = ta.EMA( dataframe, timeperiod=self.base_nb_candles_buy.value) dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] = ta.EMA( dataframe, timeperiod=self.base_nb_candles_sell.value) dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14) return dataframe def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: conditions = [] conditions.append( ( (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) ) ) conditions.append( ( (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) ) ) 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 = [] conditions.append( ( (dataframe['close'] > (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) & (dataframe['volume'] > 0) ) ) if conditions: dataframe.loc[ reduce(lambda x, y: x | y, conditions), 'sell' ]=1 return dataframe def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: df, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) candle = df.iloc[-1].squeeze() if current_profit < 0.001 and current_time - timedelta(minutes=140) > trade.open_date_utc: return -0.005 return 1