AlexStrategyFinalV4

import logging
from functools import reduce

import numpy as np
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from technical import qtpylib

from freqtrade.exchange.exchange_utils import *
from freqtrade.strategy import IStrategy, RealParameter

logger = logging.getLogger(__name__)


class AlexStrategyFinalV4(IStrategy):
    """
    This is an example strategy that uses the LSTMRegressor model to predict the target score.
    Use at your own risk.
    This is a simple example strategy and should be used for educational purposes only.
    """
    # Hyperspace parameters:
    # Buy hyperspace params:
    # Hyperspace parameters:
    buy_params = {
        "threshold_buy": 0.59453,
        "w0": 0.54347,
        "w1": 0.82226,
        "w2": 0.56675,
        "w3": 0.77918,
        "w4": 0.98488,
        "w5": 0.31368,
        "w6": 0.75916,
        "w7": 0.09226,
        "w8": 0.85667,
    }

    sell_params = {
        "threshold_sell": 0.80573,
        "s0": 0.54347,
        "s1": 0.82226,
        "s2": 0.56675,
        "s3": 0.77918,
        "s4": 0.98488,
        "s5": 0.31368,
        "s6": 0.75916,
        "s7": 0.09226,
        "s8": 0.85667,
    
    }

    # ROI table:
    minimal_roi = {
        "600": 0  # we let the model decide when to exit
    }

    # Stoploss:
    stoploss = -1  # Were letting the model decide when to sell

    # Trailing stop:
    trailing_stop = True
    trailing_stop_positive = 0.001
    trailing_stop_positive_offset = 0.0139
    trailing_only_offset_is_reached = True

    timeframe = "5m"
    can_short = True
    use_exit_signal = True
    process_only_new_candles = True

    startup_candle_count = 20
    leverage_value = 7.0


    threshold_buy = RealParameter(-1, 1, default=0, space='buy')
    threshold_sell = RealParameter(-1, 1, default=0, space='sell')

    # Weights for calculating the aggregate score - the sum of all weighted normalized indicators has to be 1!
    w0 = RealParameter(0, 1, default=0.10, space='buy')
    w1 = RealParameter(0, 1, default=0.15, space='buy')
    w2 = RealParameter(0, 1, default=0.10, space='buy')
    w3 = RealParameter(0, 1, default=0.15, space='buy')
    w4 = RealParameter(0, 1, default=0.10, space='buy')
    w5 = RealParameter(0, 1, default=0.10, space='buy')
    w6 = RealParameter(0, 1, default=0.10, space='buy')
    w7 = RealParameter(0, 1, default=0.05, space='buy')
    w8 = RealParameter(0, 1, default=0.15, space='buy')
    s0 = RealParameter(0, 1, default=0.10, space='sell')
    s1 = RealParameter(0, 1, default=0.15, space='sell')
    s2 = RealParameter(0, 1, default=0.10, space='sell')
    s3 = RealParameter(0, 1, default=0.15, space='sell')
    s4 = RealParameter(0, 1, default=0.10, space='sell')
    s5 = RealParameter(0, 1, default=0.10, space='sell')
    s6 = RealParameter(0, 1, default=0.10, space='sell')
    s7 = RealParameter(0, 1, default=0.05, space='sell')
    s8 = RealParameter(0, 1, default=0.15, space='sell')

    def feature_engineering_expand_all(self, dataframe: DataFrame, period: int,
                                       metadata: Dict, **kwargs):

        dataframe["%-cci-period"] = ta.CCI(dataframe, timeperiod=20)
        dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=10)
        dataframe["%-momentum-period"] = ta.MOM(dataframe, timeperiod=4)
        dataframe['%-ma-period'] = ta.SMA(dataframe, timeperiod=10)
        dataframe['%-macd-period'], dataframe['%-macdsignal-period'], dataframe['%-macdhist-period'] = ta.MACD(
            dataframe['close'], slowperiod=12,
            fastperiod=26)
        dataframe['%-roc-period'] = ta.ROC(dataframe, timeperiod=2)

        bollinger = qtpylib.bollinger_bands(
            qtpylib.typical_price(dataframe), window=period, stds=2.2
        )
        dataframe["bb_lowerband-period"] = bollinger["lower"]
        dataframe["bb_middleband-period"] = bollinger["mid"]
        dataframe["bb_upperband-period"] = bollinger["upper"]
        dataframe["%-bb_width-period"] = (
                                                 dataframe["bb_upperband-period"]
                                                 - dataframe["bb_lowerband-period"]
                                         ) / dataframe["bb_middleband-period"]
        dataframe["%-close-bb_lower-period"] = (
                dataframe["close"] / dataframe["bb_lowerband-period"]
        )

        return dataframe

    def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: Dict, **kwargs):

        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, **kwargs):

        dataframe['date'] = pd.to_datetime(dataframe['date'])
        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, **kwargs) -> DataFrame:

        dataframe['ma'] = ta.SMA(dataframe, timeperiod=10)
        dataframe['roc'] = ta.ROC(dataframe, timeperiod=2)
        dataframe['macd'], dataframe['macdsignal'], dataframe['macdhist'] = ta.MACD(dataframe['close'], slowperiod=12,
                                                                                    fastperiod=26)
        dataframe['momentum'] = ta.MOM(dataframe, timeperiod=4)
        dataframe['rsi'] = ta.RSI(dataframe, timeperiod=10)
        bollinger = ta.BBANDS(dataframe, timeperiod=20)
        dataframe['bb_upperband'] = bollinger['upperband']
        dataframe['bb_middleband'] = bollinger['middleband']
        dataframe['bb_lowerband'] = bollinger['lowerband']
        dataframe['cci'] = ta.CCI(dataframe, timeperiod=20)
        dataframe['stoch'] = ta.STOCH(dataframe)['slowk']
        dataframe['atr'] = ta.ATR(dataframe, timeperiod=14)
        dataframe['obv'] = ta.OBV(dataframe)

        # Step 1: Normalize Indicators:
        # Why? Normalizing the indicators will make them comparable and allow us to assign weights to them.
        # How? We will calculate the z-score of each indicator by subtracting the rolling mean and dividing by the
        # rolling standard deviation. This will give us a normalized value that is centered around 0 with a standard
        # deviation of 1.
        dataframe['normalized_stoch'] = (dataframe['stoch'] - dataframe['stoch'].rolling(window=14).mean()) / dataframe[
            'stoch'].rolling(window=14).std()
        dataframe['normalized_atr'] = (dataframe['atr'] - dataframe['atr'].rolling(window=14).mean()) / dataframe[
            'atr'].rolling(window=14).std()
        dataframe['normalized_obv'] = (dataframe['obv'] - dataframe['obv'].rolling(window=14).mean()) / dataframe[
            'obv'].rolling(window=14).std()
        dataframe['normalized_ma'] = (dataframe['close'] - dataframe['close'].rolling(window=10).mean()) / dataframe[
            'close'].rolling(window=10).std()
        dataframe['normalized_macd'] = (dataframe['macd'] - dataframe['macd'].rolling(window=26).mean()) / dataframe[
            'macd'].rolling(window=26).std()
        dataframe['normalized_roc'] = (dataframe['roc'] - dataframe['roc'].rolling(window=2).mean()) / dataframe[
            'roc'].rolling(window=2).std()
        dataframe['normalized_momentum'] = (dataframe['momentum'] - dataframe['momentum'].rolling(window=4).mean()) / \
                                           dataframe['momentum'].rolling(window=4).std()
        dataframe['normalized_rsi'] = (dataframe['rsi'] - dataframe['rsi'].rolling(window=10).mean()) / dataframe[
            'rsi'].rolling(window=10).std()
        dataframe['normalized_bb_width'] = (dataframe['bb_upperband'] - dataframe['bb_lowerband']).rolling(
            window=20).mean() / (dataframe['bb_upperband'] - dataframe['bb_lowerband']).rolling(window=20).std()
        dataframe['normalized_cci'] = (dataframe['cci'] - dataframe['cci'].rolling(window=20).mean()) / dataframe[
            'cci'].rolling(window=20).std()

        # Dynamic Weights (Example: Increase the weight of momentum in a strong trend)
        trend_strength = abs(dataframe['ma'] - dataframe['close'])

        # Calculate the rolling mean and standard deviation of the trend strength to determine a strong trend
        # The threshold is set to 1.5 times the standard deviation above the mean, but can be adjusted as needed
        strong_trend_threshold = trend_strength.rolling(window=14).mean() + 1.5 * trend_strength.rolling(
            window=14).std()

        # Assign a higher weight to momentum if the trend is strong
        is_strong_trend = trend_strength > strong_trend_threshold

        # Dynamic Weights Adjustment
        trend_strength = abs(dataframe['ma'] - dataframe['close'])
        strong_trend_threshold = trend_strength.rolling(window=14).mean() + 1.5 * trend_strength.rolling(window=14).std()
        is_strong_trend = trend_strength > strong_trend_threshold
        dataframe['w_momentum'] = np.where(is_strong_trend, self.w3.value * 1.5, self.w3.value)

        # Step 2: Calculate aggregate score S
        # Calculate aggregate score S
        w = [self.w0.value, self.w1.value, self.w2.value, self.w3.value, self.w4.value, self.w5.value, self.w6.value, self.w7.value, self.w8.value]
        s = [self.s0.value, self.s1.value, self.s2.value, self.s3.value, self.s4.value, self.s5.value, self.s6.value, self.s7.value, self.s8.value]

        dataframe['S'] = w[0] * dataframe['normalized_ma'] + w[1] * dataframe['normalized_macd'] + w[2] * dataframe[
            'normalized_roc'] + w[3] * dataframe['normalized_rsi'] + w[4] * \
                         dataframe['normalized_bb_width'] + w[5] * dataframe['normalized_cci'] + dataframe[
                             'w_momentum'] * dataframe['normalized_momentum'] + self.w8.value * dataframe[
                             'normalized_stoch'] + self.w7.value * dataframe['normalized_atr'] + self.w6.value * \
                         dataframe['normalized_obv']

        # Step 3: Market Regime Filter R

        dataframe['R'] = 0
        dataframe.loc[(dataframe['close'] > dataframe['bb_middleband']) & (
                dataframe['close'] > dataframe['bb_upperband']), 'R'] = 1
        dataframe.loc[(dataframe['close'] < dataframe['bb_middleband']) & (
                dataframe['close'] < dataframe['bb_lowerband']), 'R'] = -1

        # Additional Market Regime Filter based on long-term MA
        dataframe['ma_100'] = ta.SMA(dataframe, timeperiod=100)
        dataframe['R2'] = np.where(dataframe['close'] > dataframe['ma_100'], 1, -1)

        # Step 4: Volatility Adjustment V
        # EXPLANATION: Calculate the Bollinger Band width and assign it to V. The Bollinger Band width is the
        # difference between the upper and lower Bollinger Bands divided by the middle Bollinger Band. The idea is
        # that when the Bollinger Bands are wide, the market is volatile, and when the Bollinger Bands are narrow,
        # the market is less volatile. So we are using the Bollinger Band width as a measure of volatility. You can
        # use other indicators to measure volatility as well. For example, you can use the ATR (Average True Range)
        dataframe['V'] = 1 / (dataframe['bb_upperband'] - dataframe['bb_lowerband']).replace(0, np.nan)
        dataframe['V2'] = 1 / dataframe['atr'].replace(0, np.nan)

        # Get Final Target Score to incorporate new calculations
        dataframe['T'] = dataframe['S'] * dataframe['R'] * dataframe['V'] * dataframe['R2'] * dataframe['V2']

        # Assign the target score T to the AI target column
        target_horizon = 5  # Define your prediction horizon here
        dataframe['&-target'] = dataframe['T'].shift(-target_horizon)
        return dataframe

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:

        self.freqai_info = self.config["freqai"]

        dataframe = self.freqai.start(dataframe, metadata, self)
        # One can define indicators here if needed and add logic to populate_entry_trend and populate_exit_trend
        return dataframe

    def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
        enter_long_conditions = [
            df["do_predict"] == 1,
            df['&-target'] > self.threshold_buy.value,  #
            df['volume'] > 0
        ]

        enter_short_conditions = [
            df["do_predict"] == 1,
            df['&-target'] < self.threshold_sell.value,
            df["volume"] > 0

        ]

        df.loc[
            reduce(lambda x, y: x & y, enter_long_conditions), ["enter_long", "enter_tag"]
        ] = (1, "long")

        df.loc[
            reduce(lambda x, y: x & y, enter_short_conditions), ["enter_short", "enter_tag"]
        ] = (1, "short")

        return df

    def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
        exit_long_conditions = [
            df["do_predict"] == 1,

            df['&-target'] < self.threshold_sell.value
        ]

        exit_short_conditions = [
            df["do_predict"] == 1,
            df['&-target'] > self.threshold_buy.value
        ]

        if exit_long_conditions:
            df.loc[
                reduce(lambda x, y: x & y, exit_long_conditions), ["exit_long", "exit_tag"]
            ] = (1, "exit_long")

        if exit_short_conditions:
            df.loc[
                reduce(lambda x, y: x & y, exit_short_conditions), ["exit_short", "exit_tag"]
            ] = (1, "exit_short")

        return df
    def leverage(self, pair: str, current_time: 'datetime', current_rate: float, proposed_leverage: float, **kwargs) -> float:
        return self.leverage_value