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 def vwma(dataframe: DataFrame, length: int = 10): """Indicator: Volume Weighted Moving Average (VWMA)""" pv = dataframe['close'] * dataframe['volume'] vwma = Series(ta.SMA(pv, timeperiod=length) / ta.SMA(dataframe['volume'], timeperiod=length)) return vwma 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_params = { "ewo_high": 4.86, "for_ma_length": 22, "for_sigma": 1.74, } sell_params = { "for_ma_length_sell": 65, "for_sigma_sell": 1.895, "rsi_high": 72, } minimal_roi = { "0": 0.1 } stoploss = -0.25 # value loaded from strategy 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 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": "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) timeframe = '5m' fast_ewo = 50 slow_ewo = 200 def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: src = 'close' for_rsi = 14 for_mult = 2 for_sigma = 0.1 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): dataframe[f'basis_{for_ma}'] = ta.EMA(dataframe['rsi'], for_ma) dataframe[f'dev_{for_ma}'] = ta.STDDEV(dataframe['rsi'], for_ma) 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) 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) h1 = 70 h2 = 30 dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo) return dataframe 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['volume'] > 0) ), 'buy'] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe.loc[ ( ( (dataframe['rsi'] > self.rsi_high.value) | (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) ), '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_params = { "ewo_high": 4.964, "for_ma_length": 12, "for_sigma": 2.313, } sell_params = { "for_ma_length_sell": 78, "for_sigma_sell": 1.67, "rsi_high": 60, } minimal_roi = { "0": 0.1 } stoploss = -0.25 # value loaded from strategy 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_params = { "ewo_high": 4.85, "for_ma_length": 11, "for_sigma": 2.066, } sell_params = { "for_ma_length_sell": 61, "for_sigma_sell": 1.612, "rsi_high": 87, } minimal_roi = { "0": 0.1 } stoploss = -0.25 # value loaded from strategy 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_params = { "ewo_high": 4.86, "for_ma_length": 22, "for_sigma": 1.74, } sell_params = { "for_ma_length_sell": 65, "for_sigma_sell": 1.895, "rsi_high": 72, } minimal_roi = { "0": 0.1 } stoploss = -0.25 # value loaded from strategy trailing_stop = True trailing_stop_positive = 0.078 trailing_stop_positive_offset = 0.095 trailing_only_offset_is_reached = False