#v0.1.3 import logging from freqtrade.strategy import IStrategy from pandas import DataFrame import talib.abstract as ta import pandas as pd import stratninja pd.set_option('future.no_silent_downcasting', True) logger = logging.getLogger(__name__) def rma(series: pd.Series, period: int) -> pd.Series: return series.ewm(alpha=1/period, min_periods=period, adjust=False).mean() class VolumeEMA_Strategy(IStrategy): INTERFACE_VERSION = 2 # Main timeframe is 5m timeframe = '5m' # Disable default ROI and stoploss so that only our logic triggers exits stoploss = -0.99 minimal_roi = {"0": 100} startup_candle_count = 4032 # 14 days of 5m candles # Volume spike parameters volume_lookback = 610 volume_threshold = 2.5 def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: # Volume-based indicators dataframe['volume_sma'] = dataframe['volume'].rolling(self.volume_lookback).mean() dataframe['volume_std'] = dataframe['volume'].rolling(self.volume_lookback).std() dataframe['volume_zscore'] = (dataframe['volume'] - dataframe['volume_sma']) / dataframe['volume_std'] dataframe['volume_spike'] = dataframe['volume_zscore'] > self.volume_threshold dataframe['volume_spike_consecutive'] = dataframe['volume_spike'] & dataframe['volume_spike'].shift(1).fillna(False) # ATR calculations dataframe['atr_24h'] = ta.ATR(dataframe, timeperiod=288) dataframe['avg_atr_14d'] = rma(dataframe['atr_24h'], period=4032) # Daily range (24h) dataframe['rolling_high_24h'] = dataframe['high'].rolling(288, min_periods=288).max() dataframe['rolling_low_24h'] = dataframe['low'].rolling(288, min_periods=288).min() dataframe['rolling_dtr_24h'] = dataframe['rolling_high_24h'] - dataframe['rolling_low_24h'] # EMAs for period in [5, 12, 34, 50, 180, 200]: dataframe[f'ema{period}'] = ta.EMA(dataframe['close'], timeperiod=period) # ADX dataframe['adx'] = ta.ADX(dataframe, timeperiod=14) return dataframe def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe['enter_long'] = 0 dataframe['enter_short'] = 0 volume_condition = dataframe['volume_spike_consecutive'] adx_condition = dataframe['adx'] > 25 # Long entry conditions long_ema_condition = dataframe[['ema5', 'ema12']].min(axis=1) > dataframe[['ema34', 'ema50']].max(axis=1) long_price_condition = ( (dataframe['close'] > dataframe['ema5']) & (dataframe['close'] > dataframe['ema12']) & (dataframe['close'] > dataframe['ema34']) & (dataframe['close'] > dataframe['ema50']) ) atr_condition_long = ( (dataframe['atr_24h'] < 0.9 * dataframe['avg_atr_14d']) | ( (dataframe['atr_24h'] >= 0.9 * dataframe['avg_atr_14d']) & (dataframe['close'] < (dataframe['rolling_high_24h'] - 0.3 * dataframe['rolling_dtr_24h'])) ) ) long_entry = volume_condition & adx_condition & long_ema_condition & long_price_condition & atr_condition_long dataframe.loc[long_entry, 'enter_long'] = 1 dataframe.loc[long_entry, 'enter_tag'] = "Long entry: volume, ADX, EMA and ATR conditions met" # Short entry conditions short_ema_condition = dataframe[['ema5', 'ema12']].max(axis=1) < dataframe[['ema34', 'ema50']].min(axis=1) short_price_condition = ( (dataframe['close'] < dataframe['ema5']) & (dataframe['close'] < dataframe['ema12']) & (dataframe['close'] < dataframe['ema34']) & (dataframe['close'] < dataframe['ema50']) ) atr_condition_short = ( (dataframe['atr_24h'] < 0.9 * dataframe['avg_atr_14d']) | ( (dataframe['atr_24h'] >= 0.9 * dataframe['avg_atr_14d']) & (dataframe['close'] > (dataframe['rolling_low_24h'] + 0.3 * dataframe['rolling_dtr_24h'])) ) ) short_entry = volume_condition & adx_condition & short_ema_condition & short_price_condition & atr_condition_short dataframe.loc[short_entry, 'enter_short'] = 1 dataframe.loc[short_entry, 'enter_tag'] = "Short entry: volume, ADX, EMA and ATR conditions met" return dataframe def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Exit logic based solely on stop-loss conditions. """ dataframe['exit_long'] = 0 dataframe['exit_short'] = 0 # Long stop-loss only long_sl = (dataframe['close'] < dataframe['ema34']) & (dataframe['close'] < dataframe['ema50']) dataframe.loc[long_sl, 'exit_long'] = 1 # Short stop-loss only short_sl = (dataframe['close'] > dataframe['ema34']) & (dataframe['close'] > dataframe['ema50']) dataframe.loc[short_sl, 'exit_short'] = 1 return dataframe def custom_exit(self, pair: str, trade, current_time, current_rate, current_profit, **kwargs): dataframe = self.dp.get_pair_dataframe(pair, self.timeframe) if dataframe is None or dataframe.empty: raise ValueError("No dataframe available in custom_exit.") required_cols = ['ema34', 'ema50', 'ema5', 'ema12'] if not all(col in dataframe.columns for col in required_cols): dataframe = self.populate_indicators(dataframe, {}) if not all(col in dataframe.columns for col in required_cols): raise ValueError("Custom exit: Required indicators missing in the dataframe. " "Ensure that the data has enough candles (startup_candle_count) to compute them.") last_row = dataframe.iloc[-1] reason = None if not trade.is_short: # Long trade if last_row['close'] < last_row['ema34'] and last_row['close'] < last_row['ema50']: reason = "stop loss: price below EMA34 and EMA50" elif last_row['close'] < last_row['ema5'] and last_row['close'] < last_row['ema12'] and current_profit > 0: reason = "take profit: price below EMA5 and EMA12" else: # Short trade if last_row['close'] > last_row['ema34'] and last_row['close'] > last_row['ema50']: reason = "stop loss: price above EMA34 and EMA50" elif last_row['close'] > last_row['ema5'] and last_row['close'] > last_row['ema12'] and current_profit > 0: reason = "take profit: price above EMA5 and EMA12" return reason def on_tick(self, pair: str, current_time, current_rate, current_volume, **kwargs): dataframe = self.dp.get_pair_dataframe(pair, self.timeframe) if dataframe is None or dataframe.empty: return last_closed = dataframe.iloc[-1] current_candle = self.dp.get_current_candle(pair, self.timeframe) if current_candle is None: return volume_sma = last_closed['volume_sma'] volume_std = last_closed['volume_std'] if volume_std == 0: return current_volume_zscore = (current_candle['volume'] - volume_sma) / volume_std # Early long entry if current_volume_zscore > self.volume_threshold and last_closed['volume_spike']: if (current_rate > last_closed['ema5'] and current_rate > last_closed['ema12'] and current_rate > last_closed['ema34'] and current_rate > last_closed['ema50']): if last_closed['adx'] > 25: if ((last_closed['atr_24h'] < 0.9 * last_closed['avg_atr_14d']) or ((last_closed['atr_24h'] >= 0.9 * last_closed['avg_atr_14d']) and current_rate < (last_closed['rolling_high_24h'] - 0.3 * last_closed['rolling_dtr_24h']))): self.buy(pair, current_rate, tag="Early long entry: volume, ADX, EMA and ATR conditions met") # Early short entry if current_volume_zscore > self.volume_threshold and last_closed['volume_spike']: if (current_rate < last_closed['ema5'] and current_rate < last_closed['ema12'] and current_rate < last_closed['ema34'] and current_rate < last_closed['ema50']): if last_closed['adx'] > 25: if ((last_closed['atr_24h'] < 0.9 * last_closed['avg_atr_14d']) or ((last_closed['atr_24h'] >= 0.9 * last_closed['avg_atr_14d']) and current_rate > (last_closed['rolling_low_24h'] + 0.3 * last_closed['rolling_dtr_24h']))): self.sell(pair, current_rate, tag="Early short entry: volume, ADX, EMA and ATR conditions met")