BB_RPB_TSL @author jilv220 Simple bollinger brand strategy inspired by this blog ( https://hacks-for-life.blogspot.com/2020/12/freqtrade-notes.html ) RPB, which stands for Real Pull Back, taken from ( https://github.com/GeorgeMurAlkh/freqtrade-stuff/blob/main/user_data/strategies/TheRealPullbackV2.py ) The trailing custom stoploss taken from BigZ04_TSL from Perkmeister ( modded by ilya ) I modified it to better suit my taste and added Hyperopt for this strategy.
Timeframe
5m
Direction
Long Only
Stoploss
-99.0%
Trailing Stop
No
ROI
0m: 20.5%
Interface Version
N/A
Startup Candles
N/A
Indicators
23
freqtrade/freqtrade-strategies
Strategy 003 author@: Gerald Lonlas github@: https://github.com/freqtrade/freqtrade-strategies
import freqtrade.vendor.qtpylib.indicators as qtpylib
import numpy as np
import talib.abstract as ta
import pandas_ta as pta
import math
from math import e
from freqtrade.persistence import Trade
from freqtrade.strategy.interface import IStrategy
from pandas import DataFrame, Series, DatetimeIndex, merge
from datetime import datetime, timedelta
from freqtrade.strategy import merge_informative_pair, CategoricalParameter, DecimalParameter, IntParameter, stoploss_from_open
from freqtrade.exchange import timeframe_to_prev_date
from functools import reduce
from technical.indicators import RMI, zema, ichimoku
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['low'] * 100
return emadif
def SROC(dataframe, roclen=21, emalen=13, smooth=21):
df = dataframe.copy()
roc = ta.ROC(df, timeperiod=roclen)
ema = ta.EMA(df, timeperiod=emalen)
sroc = ta.ROC(ema, timeperiod=smooth)
return sroc
def williams_r(dataframe: DataFrame, period: int = 14) -> Series:
"""Williams %R, or just %R, is a technical analysis oscillator showing the current closing price in relation to the high and low
of the past N days (for a given N). It was developed by a publisher and promoter of trading materials, Larry Williams.
Its purpose is to tell whether a stock or commodity market is trading near the high or the low, or somewhere in between,
of its recent trading range.
The oscillator is on a negative scale, from −100 (lowest) up to 0 (highest).
"""
highest_high = dataframe["high"].rolling(center=False, window=period).max()
lowest_low = dataframe["low"].rolling(center=False, window=period).min()
WR = Series(
(highest_high - dataframe["close"]) / (highest_high - lowest_low),
name=f"{period} Williams %R",
)
return WR * -100
def chaikin_money_flow(dataframe, n=20, fillna=False) -> Series:
"""Chaikin Money Flow (CMF)
It measures the amount of Money Flow Volume over a specific period.
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:chaikin_money_flow_cmf
Args:
dataframe(pandas.Dataframe): dataframe containing ohlcv
n(int): n period.
fillna(bool): if fill nan values.
Returns:
pandas.Series: New feature generated.
"""
mfv = ((dataframe['close'] - dataframe['low']) - (dataframe['high'] - dataframe['close'])) / (dataframe['high'] - dataframe['low'])
mfv = mfv.fillna(0.0) # float division by zero
mfv *= dataframe['volume']
cmf = (mfv.rolling(n, min_periods=0).sum()
/ dataframe['volume'].rolling(n, min_periods=0).sum())
if fillna:
cmf = cmf.replace([np.inf, -np.inf], np.nan).fillna(0)
return Series(cmf, name='cmf')
class BB_RPB_TSL_5(IStrategy):
'''
BB_RPB_TSL
@author jilv220
Simple bollinger brand strategy inspired by this blog ( https://hacks-for-life.blogspot.com/2020/12/freqtrade-notes.html )
RPB, which stands for Real Pull Back, taken from ( https://github.com/GeorgeMurAlkh/freqtrade-stuff/blob/main/user_data/strategies/TheRealPullbackV2.py )
The trailing custom stoploss taken from BigZ04_TSL from Perkmeister ( modded by ilya )
I modified it to better suit my taste and added Hyperopt for this strategy.
'''
buy_params = {
"max_slip": 0.668,
"buy_bb_width_1h": 0.954,
"buy_roc_1h": 86,
"buy_threshold": 0.003,
"buy_bb_factor": 0.999,
"buy_bb_delta": 0.025,
"buy_bb_width": 0.095,
"buy_cci": -116,
"buy_cci_length": 25,
"buy_rmi": 49,
"buy_rmi_length": 17,
"buy_srsi_fk": 32,
"buy_closedelta": 17.922,
"buy_ema_diff": 0.026,
"buy_ema_high": 0.968,
"buy_ema_low": 0.935,
"buy_ewo": -5.001,
"buy_rsi": 23,
"buy_rsi_fast": 44,
"buy_ema_high_2": 1.154,
"buy_ema_low_2": 0.974,
"buy_ewo_high_2": 3.886,
"buy_rsi_ewo_2": 35,
"buy_rsi_fast_ewo_2": 36,
"buy_closedelta_local_dip": 12.044,
"buy_ema_diff_local_dip": 0.024,
"buy_ema_high_local_dip": 1.014,
"buy_rsi_local_dip": 21,
}
sell_params = {
"sell_cmf": -0.046,
"sell_ema": 0.988,
"sell_ema_close_delta": 0.022,
"sell_deadfish_bb_factor": 0.954,
"sell_deadfish_bb_width": 0.043,
"sell_deadfish_volume_factor": 2.37
}
minimal_roi = {
"0": 0.205,
}
timeframe = '5m'
inf_1h = '1h'
process_only_new_candles = True
stoploss = -0.99
use_custom_stoploss = True
use_sell_signal = True
is_optimize_dip = False
buy_rmi = IntParameter(30, 50, default=35, optimize= is_optimize_dip)
buy_cci = IntParameter(-135, -90, default=-133, optimize= is_optimize_dip)
buy_srsi_fk = IntParameter(30, 50, default=25, optimize= is_optimize_dip)
buy_cci_length = IntParameter(25, 45, default=25, optimize = is_optimize_dip)
buy_rmi_length = IntParameter(8, 20, default=8, optimize = is_optimize_dip)
is_optimize_break = False
buy_bb_width = DecimalParameter(0.065, 0.135, default=0.095, optimize = is_optimize_break)
buy_bb_delta = DecimalParameter(0.018, 0.035, default=0.025, optimize = is_optimize_break)
is_optimize_local_uptrend = False
buy_ema_diff = DecimalParameter(0.022, 0.027, default=0.025, optimize = is_optimize_local_uptrend)
buy_bb_factor = DecimalParameter(0.990, 0.999, default=0.995, optimize = False)
buy_closedelta = DecimalParameter(12.0, 18.0, default=15.0, optimize = is_optimize_local_uptrend)
is_optimize_local_dip = False
buy_ema_diff_local_dip = DecimalParameter(0.022, 0.027, default=0.025, optimize = is_optimize_local_dip)
buy_ema_high_local_dip = DecimalParameter(0.90, 1.2, default=0.942 , optimize = is_optimize_local_dip)
buy_closedelta_local_dip = DecimalParameter(12.0, 18.0, default=15.0, optimize = is_optimize_local_dip)
buy_rsi_local_dip = IntParameter(15, 45, default=28, optimize = is_optimize_local_dip)
buy_crsi_local_dip = IntParameter(10, 18, default=10, optimize = False)
is_optimize_ewo = False
buy_rsi_fast = IntParameter(35, 50, default=45, optimize = is_optimize_ewo)
buy_rsi = IntParameter(15, 35, default=35, optimize = is_optimize_ewo)
buy_ewo = DecimalParameter(-6.0, 5, default=-5.585, optimize = is_optimize_ewo)
buy_ema_low = DecimalParameter(0.9, 0.99, default=0.942 , optimize = is_optimize_ewo)
buy_ema_high = DecimalParameter(0.95, 1.2, default=1.084 , optimize = is_optimize_ewo)
is_optimize_ewo_2 = True
buy_rsi_fast_ewo_2 = IntParameter(35, 50, default=45, optimize = is_optimize_ewo_2)
buy_rsi_ewo_2 = IntParameter(15, 35, default=35, optimize = is_optimize_ewo_2)
buy_ema_low_2 = DecimalParameter(0.96, 0.978, default=0.96 , optimize = is_optimize_ewo_2)
buy_ema_high_2 = DecimalParameter(1.05, 1.2, default=1.09 , optimize = is_optimize_ewo_2)
buy_ewo_high_2 = DecimalParameter(2, 12, default=3.553, optimize = is_optimize_ewo_2)
is_optimize_btc_safe = False
buy_btc_safe = IntParameter(-300, 50, default=-200, optimize = is_optimize_btc_safe)
buy_btc_safe_1d = DecimalParameter(-0.075, -0.025, default=-0.05, optimize = is_optimize_btc_safe)
buy_threshold = DecimalParameter(0.003, 0.012, default=0.008, optimize = is_optimize_btc_safe)
is_optimize_check = False
buy_roc_1h = IntParameter(-25, 200, default=10, optimize = is_optimize_check)
buy_bb_width_1h = DecimalParameter(0.3, 2.0, default=0.3, optimize = is_optimize_check)
is_optimize_slip = False
max_slip = DecimalParameter(0.33, 0.80, default=0.33, decimals=3, space='buy', optimize=is_optimize_slip , load=True)
sell_btc_safe = IntParameter(-400, -300, default=-365, optimize = False)
is_optimize_sell_stoploss = False
sell_cmf = DecimalParameter(-0.4, 0.0, default=0.0, optimize = is_optimize_sell_stoploss)
sell_ema_close_delta = DecimalParameter(0.022, 0.027, default= 0.024, optimize = is_optimize_sell_stoploss)
sell_ema = DecimalParameter(0.97, 0.99, default=0.987 , optimize = is_optimize_sell_stoploss)
is_optimize_deadfish = True
sell_deadfish_bb_width = DecimalParameter(0.03, 0.75, default=0.05 , optimize = is_optimize_deadfish)
sell_deadfish_profit = DecimalParameter(-0.10, -0.05, default=-0.05 , optimize = False)
sell_deadfish_bb_factor = DecimalParameter(0.90, 1.20, default=1.0 , optimize = is_optimize_deadfish)
sell_deadfish_volume_factor = DecimalParameter(1, 2.5, default=1.0 , optimize = is_optimize_deadfish)
is_optimize_trailing = False
p_target_1 = DecimalParameter(0.05, 0.199, default=0.05, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
p_target_2 = DecimalParameter(0.03, 0.099, default=0.03, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
p_target_3 = DecimalParameter(0.02, 0.059, default=0.02, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
p_target_4 = DecimalParameter(0.01, 0.029, default=0.01, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
def informative_pairs(self):
pairs = self.dp.current_whitelist()
informative_pairs = [(pair, '1h') for pair in pairs]
return informative_pairs
def informative_1h_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
assert self.dp, "DataProvider is required for multiple timeframes."
informative_1h = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=self.inf_1h)
informative_1h['ema_50'] = ta.EMA(informative_1h, timeperiod=50)
informative_1h['ema_100'] = ta.EMA(informative_1h, timeperiod=100)
informative_1h['ema_200'] = ta.EMA(informative_1h, timeperiod=200)
informative_1h['cti'] = pta.cti(informative_1h["close"], length=20)
crsi_closechange = informative_1h['close'] / informative_1h['close'].shift(1)
crsi_updown = np.where(crsi_closechange.gt(1), 1.0, np.where(crsi_closechange.lt(1), -1.0, 0.0))
informative_1h['crsi'] = (ta.RSI(informative_1h['close'], timeperiod=3) + ta.RSI(crsi_updown, timeperiod=2) + ta.ROC(informative_1h['close'], 100)) / 3
informative_1h['r_480'] = williams_r(informative_1h, period=480)
bollinger2 = qtpylib.bollinger_bands(qtpylib.typical_price(informative_1h), window=20, stds=2)
informative_1h['bb_lowerband2'] = bollinger2['lower']
informative_1h['bb_middleband2'] = bollinger2['mid']
informative_1h['bb_upperband2'] = bollinger2['upper']
informative_1h['bb_width'] = ((informative_1h['bb_upperband2'] - informative_1h['bb_lowerband2']) / informative_1h['bb_middleband2'])
informative_1h['roc'] = ta.ROC(dataframe, timeperiod=9)
mom = momdiv(informative_1h)
informative_1h['momdiv_buy'] = mom['momdiv_buy']
informative_1h['momdiv_sell'] = mom['momdiv_sell']
informative_1h['momdiv_coh'] = mom['momdiv_coh']
informative_1h['momdiv_col'] = mom['momdiv_col']
informative_1h['rsi'] = ta.RSI(informative_1h, timeperiod=14)
informative_1h['cmf'] = chaikin_money_flow(informative_1h, 20)
return informative_1h
def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
current_rate: float, current_profit: float, **kwargs) -> float:
sl_new = 1
if (current_profit > 0.2):
sl_new = self.p_target_1.value
elif (current_profit > 0.1):
sl_new = self.p_target_2.value
elif (current_profit > 0.06):
sl_new = self.p_target_3.value
elif (current_profit > 0.03):
sl_new = self.p_target_4.value
return sl_new
def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
current_profit: float, **kwargs):
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
last_candle = dataframe.iloc[-1]
max_profit = ((trade.max_rate - trade.open_rate) / trade.open_rate)
max_loss = ((trade.open_rate - trade.min_rate) / trade.min_rate)
if 0.012 > current_profit >= 0.0:
if (max_profit > (current_profit + 0.045)) and (last_candle['rsi'] < 46.0):
return 'sell_profit_t_0_1'
elif (max_profit > (current_profit + 0.025)) and (last_candle['rsi'] < 32.0):
return 'sell_profit_t_0_2'
elif (max_profit > (current_profit + 0.05)) and (last_candle['rsi'] < 48.0):
return 'sell_profit_t_0_3'
elif 0.02 > current_profit >= 0.012:
if (max_profit > (current_profit + 0.01)) and (last_candle['rsi'] < 39.0):
return 'sell_profit_t_1_1'
elif (max_profit > (current_profit + 0.035)) and (last_candle['rsi'] < 45.0) and (last_candle['cmf'] < -0.0) and (last_candle['cmf_1h'] < -0.0):
return 'sell_profit_t_1_2'
elif (max_profit > (current_profit + 0.02)) and (last_candle['rsi'] < 40.0) and (last_candle['cmf'] < -0.0) and (last_candle['cti_1h'] > 0.8):
return 'sell_profit_t_1_4'
elif (max_profit > (current_profit + 0.04)) and (last_candle['rsi'] < 49.0) and (last_candle['cmf_1h'] < -0.0):
return 'sell_profit_t_1_5'
elif (max_profit > (current_profit + 0.06)) and (last_candle['rsi'] < 43.0) and (last_candle['cmf'] < -0.0):
return 'sell_profit_t_1_7'
elif (max_profit > (current_profit + 0.025)) and (last_candle['rsi'] < 40.0) and (last_candle['cmf'] < -0.1) and (last_candle['rsi_1h'] < 50.0):
return 'sell_profit_t_1_9'
elif (max_profit > (current_profit + 0.025)) and (last_candle['rsi'] < 46.0) and (last_candle['cmf'] < -0.0) and (last_candle['r_480_1h'] > -20.0):
return 'sell_profit_t_1_10'
elif (max_profit > (current_profit + 0.025)) and (last_candle['rsi'] < 42.0):
return 'sell_profit_t_1_11'
elif (max_profit > (current_profit + 0.01)) and (last_candle['rsi'] < 44.0) and (last_candle['cmf'] < -0.25):
return 'sell_profit_t_1_12'
if last_candle['close'] < last_candle['ema_200']:
if 0.02 > current_profit >= 0.01:
if (last_candle['rsi'] < 34.0) and (last_candle['cmf'] < 0.0):
return 'sell_profit_u_bear_1_1'
elif (last_candle['rsi'] < 44.0) and (last_candle['cmf'] < -0.4):
return 'sell_profit_u_bear_1_2'
if (0.06 > current_profit > 0.02) and (last_candle['rsi'] > 80.0):
return 'signal_profit_q_1'
if (0.06 > current_profit > 0.02) and (last_candle['cti'] > 0.95):
return 'signal_profit_q_2'
if ( (current_profit < self.sell_deadfish_profit.value)
and (last_candle['close'] < last_candle['ema_200'])
and (last_candle['bb_width'] < self.sell_deadfish_bb_width.value)
and (last_candle['close'] > last_candle['bb_middleband2'] * self.sell_deadfish_bb_factor.value)
and (last_candle['volume_mean_12'] < last_candle['volume_mean_24'] * self.sell_deadfish_volume_factor.value)
):
return 'sell_stoploss_deadfish'
return None
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str, **kwargs) -> bool:
dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
max_slip = self.max_slip.value
if(len(dataframe) < 1):
return False
dataframe = dataframe.iloc[-1].squeeze()
if ((rate > dataframe['close'])) :
slippage = ( (rate / dataframe['close']) - 1 ) * 100
if slippage < max_slip:
return True
else:
return False
return True
def normal_tf_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
bollinger2 = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband2'] = bollinger2['lower']
dataframe['bb_middleband2'] = bollinger2['mid']
dataframe['bb_upperband2'] = bollinger2['upper']
bollinger3 = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=3)
dataframe['bb_lowerband3'] = bollinger3['lower']
dataframe['bb_middleband3'] = bollinger3['mid']
dataframe['bb_upperband3'] = bollinger3['upper']
dataframe['bb_width'] = ((dataframe['bb_upperband2'] - dataframe['bb_lowerband2']) / dataframe['bb_middleband2'])
dataframe['bb_delta'] = ((dataframe['bb_lowerband2'] - dataframe['bb_lowerband3']) / dataframe['bb_lowerband2'])
for val in self.buy_cci_length.range:
dataframe[f'cci_length_{val}'] = ta.CCI(dataframe, val)
dataframe['cci'] = ta.CCI(dataframe, 26)
dataframe['cci_long'] = ta.CCI(dataframe, 170)
for val in self.buy_rmi_length.range:
dataframe[f'rmi_length_{val}'] = RMI(dataframe, length=val, mom=4)
stoch = ta.STOCHRSI(dataframe, 15, 20, 2, 2)
dataframe['srsi_fk'] = stoch['fastk']
dataframe['srsi_fd'] = stoch['fastd']
dataframe['closedelta'] = (dataframe['close'] - dataframe['close'].shift()).abs()
dataframe['sma_9'] = ta.SMA(dataframe, timeperiod=9)
dataframe['sma_15'] = ta.SMA(dataframe, timeperiod=15)
dataframe['sma_21'] = ta.SMA(dataframe, timeperiod=21)
dataframe['sma_30'] = ta.SMA(dataframe, timeperiod=30)
dataframe['sma_75'] = ta.SMA(dataframe, timeperiod=75)
dataframe['cti'] = pta.cti(dataframe["close"], length=20)
dataframe['cmf'] = chaikin_money_flow(dataframe, 20)
crsi_closechange = dataframe['close'] / dataframe['close'].shift(1)
crsi_updown = np.where(crsi_closechange.gt(1), 1.0, np.where(crsi_closechange.lt(1), -1.0, 0.0))
dataframe['crsi'] = (ta.RSI(dataframe['close'], timeperiod=3) + ta.RSI(crsi_updown, timeperiod=2) + ta.ROC(dataframe['close'], 100)) / 3
dataframe['ema_8'] = ta.EMA(dataframe, timeperiod=8)
dataframe['ema_12'] = ta.EMA(dataframe, timeperiod=12)
dataframe['ema_13'] = ta.EMA(dataframe, timeperiod=13)
dataframe['ema_16'] = ta.EMA(dataframe, timeperiod=16)
dataframe['ema_20'] = ta.EMA(dataframe, timeperiod=16)
dataframe['ema_26'] = ta.EMA(dataframe, timeperiod=26)
dataframe['ema_50'] = ta.EMA(dataframe, timeperiod=50)
dataframe['ema_200'] = ta.EMA(dataframe, timeperiod=200)
dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
dataframe['rsi_fast'] = ta.RSI(dataframe, timeperiod=4)
dataframe['rsi_slow'] = ta.RSI(dataframe, timeperiod=20)
dataframe['EWO'] = EWO(dataframe, 50, 200)
stoch_fast = ta.STOCHF(dataframe, 5, 3, 0, 3, 0)
dataframe['fastd'] = stoch_fast['fastd']
dataframe['fastk'] = stoch_fast['fastk']
dataframe['adx'] = ta.ADX(dataframe)
dataframe['r_14'] = williams_r(dataframe, period=14)
dataframe['r_32'] = williams_r(dataframe, period=32)
dataframe['r_96'] = williams_r(dataframe, period=96)
dataframe['r_480'] = williams_r(dataframe, period=480)
dataframe['volume_mean_4'] = dataframe['volume'].rolling(4).mean().shift(1)
dataframe['volume_mean_12'] = dataframe['volume'].rolling(12).mean().shift(1)
dataframe['volume_mean_24'] = dataframe['volume'].rolling(24).mean().shift(1)
dataframe['mfi'] = ta.MFI(dataframe)
heikinashi = qtpylib.heikinashi(dataframe)
dataframe['pm'], dataframe['pmx'] = pmax(heikinashi, MAtype=1, length=9, multiplier=27, period=10, src=3)
dataframe['source'] = (dataframe['high'] + dataframe['low'] + dataframe['open'] + dataframe['close'])/4
dataframe['pmax_thresh'] = ta.EMA(dataframe['source'], timeperiod=9)
dataframe["sroc"] = SROC(dataframe)
mom = momdiv(dataframe)
dataframe['momdiv_buy'] = mom['momdiv_buy']
dataframe['momdiv_sell'] = mom['momdiv_sell']
dataframe['momdiv_coh'] = mom['momdiv_coh']
dataframe['momdiv_col'] = mom['momdiv_col']
return dataframe
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
informative_1h = self.informative_1h_indicators(dataframe, metadata)
dataframe = merge_informative_pair(dataframe, informative_1h, self.timeframe, self.inf_1h, ffill=True)
dataframe = self.normal_tf_indicators(dataframe, metadata)
return dataframe
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
conditions = []
dataframe.loc[:, 'buy_tag'] = ''
is_dip = (
(dataframe[f'rmi_length_{self.buy_rmi_length.value}'] < self.buy_rmi.value) &
(dataframe[f'cci_length_{self.buy_cci_length.value}'] <= self.buy_cci.value) &
(dataframe['srsi_fk'] < self.buy_srsi_fk.value)
)
is_break = (
(dataframe['bb_delta'] > self.buy_bb_delta.value) &
(dataframe['bb_width'] > self.buy_bb_width.value) &
(dataframe['closedelta'] > dataframe['close'] * self.buy_closedelta.value / 1000 ) & # from BinH
(dataframe['close'] < dataframe['bb_lowerband3'] * self.buy_bb_factor.value)
)
is_local_uptrend = ( # from NFI next gen
(dataframe['ema_26'] > dataframe['ema_12']) &
(dataframe['ema_26'] - dataframe['ema_12'] > dataframe['open'] * self.buy_ema_diff.value) &
(dataframe['ema_26'].shift() - dataframe['ema_12'].shift() > dataframe['open'] / 100) &
(dataframe['close'] < dataframe['bb_lowerband2'] * self.buy_bb_factor.value) &
(dataframe['closedelta'] > dataframe['close'] * self.buy_closedelta.value / 1000 )
)
is_local_dip = (
(dataframe['ema_26'] > dataframe['ema_12']) &
(dataframe['ema_26'] - dataframe['ema_12'] > dataframe['open'] * self.buy_ema_diff_local_dip.value) &
(dataframe['ema_26'].shift() - dataframe['ema_12'].shift() > dataframe['open'] / 100) &
(dataframe['close'] < dataframe['ema_20'] * self.buy_ema_high_local_dip.value) &
(dataframe['rsi'] < self.buy_rsi_local_dip.value) &
(dataframe['crsi'] > self.buy_crsi_local_dip.value) &
(dataframe['closedelta'] > dataframe['close'] * self.buy_closedelta_local_dip.value / 1000 )
)
is_ewo = ( # from SMA offset
(dataframe['rsi_fast'] < self.buy_rsi_fast.value) &
(dataframe['close'] < dataframe['ema_8'] * self.buy_ema_low.value) &
(dataframe['EWO'] > self.buy_ewo.value) &
(dataframe['close'] < dataframe['ema_16'] * self.buy_ema_high.value) &
(dataframe['rsi'] < self.buy_rsi.value)
)
is_ewo_2 = (
(dataframe['ema_200_1h'] > dataframe['ema_200_1h'].shift(12)) &
(dataframe['ema_200_1h'].shift(12) > dataframe['ema_200_1h'].shift(24)) &
(dataframe['rsi_fast'] < self.buy_rsi_fast_ewo_2.value) &
(dataframe['close'] < dataframe['ema_8'] * self.buy_ema_low_2.value) &
(dataframe['EWO'] > self.buy_ewo_high_2.value) &
(dataframe['close'] < dataframe['ema_16'] * self.buy_ema_high_2.value) &
(dataframe['rsi'] < self.buy_rsi_ewo_2.value)
)
is_nfi_13 = (
(dataframe['ema_50_1h'] > dataframe['ema_100_1h']) &
(dataframe['close'] < dataframe['sma_30'] * 0.99) &
(dataframe['cti'] < -0.92) &
(dataframe['EWO'] < -5.585) &
(dataframe['cti_1h'] < -0.88) &
(dataframe['crsi_1h'] > 10.0)
)
is_nfi_32 = ( # NFIX 26
(dataframe['rsi_slow'] < dataframe['rsi_slow'].shift(1)) &
(dataframe['rsi_fast'] < 46) &
(dataframe['rsi'] > 25.0) &
(dataframe['close'] < dataframe['sma_15'] * 0.93) &
(dataframe['cti'] < -0.9)
)
is_nfi_33 = (
(dataframe['close'] < (dataframe['ema_13'] * 0.978)) &
(dataframe['EWO'] > 8) &
(dataframe['cti'] < -0.88) &
(dataframe['rsi'] < 32) &
(dataframe['r_14'] < -98.0) &
(dataframe['volume'] < (dataframe['volume_mean_4'] * 2.5))
)
is_nfi_38 = (
(dataframe['pm'] > dataframe['pmax_thresh']) &
(dataframe['close'] < dataframe['sma_75'] * 0.98) &
(dataframe['EWO'] < -4.4) &
(dataframe['cti'] < -0.95) &
(dataframe['r_14'] < -97) &
(dataframe['crsi_1h'] > 0.5)
)
is_additional_check = (
(dataframe['roc_1h'] < self.buy_roc_1h.value) &
(dataframe['bb_width_1h'] < self.buy_bb_width_1h.value)
)
is_BB_checked = is_dip & is_break
conditions.append(is_BB_checked) # ~2.32 / 91.1% / 46.27% D
dataframe.loc[is_BB_checked, 'buy_tag'] += 'bb '
conditions.append(is_local_uptrend) # ~3.28 / 92.4% / 69.72%
dataframe.loc[is_local_uptrend, 'buy_tag'] += 'local_uptrend '
conditions.append(is_local_dip) # ~0.76 / 91.1% / 15.54%
dataframe.loc[is_local_dip, 'buy_tag'] += 'local_dip '
conditions.append(is_ewo) # ~0.92 / 92.0% / 43.74% D
dataframe.loc[is_ewo, 'buy_tag'] += 'ewo '
conditions.append(is_ewo_2) # ~3.47 / 77.4% / 24.01% D
dataframe.loc[is_ewo_2, 'buy_tag'] += 'ewo2 '
conditions.append(is_nfi_13) # ~0.4 / 100% D
dataframe.loc[is_nfi_13, 'buy_tag'] += 'nfi_13 '
conditions.append(is_nfi_32) # ~0.78 / 92.0 % / 37.41% D
dataframe.loc[is_nfi_32, 'buy_tag'] += 'nfi_32 '
conditions.append(is_nfi_33) # ~0.11 / 100% D
dataframe.loc[is_nfi_33, 'buy_tag'] += 'nfi_33 '
conditions.append(is_nfi_38) # ~1.07 / 83.2% / 70.22% F
dataframe.loc[is_nfi_38, 'buy_tag'] += 'nfi_38 '
if conditions:
dataframe.loc[
is_additional_check
&
reduce(lambda x, y: x | y, conditions)
, 'buy' ] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe.loc[
(
(
(
(dataframe['close'] < dataframe['ema_200'] * self.sell_ema.value) &
(dataframe['cmf'] < self.sell_cmf.value) &
(((dataframe['ema_200'] - dataframe['close']) / dataframe['close']) < self.sell_ema_close_delta.value) &
(dataframe['rsi'] > dataframe['rsi'].shift(1))
)
|
(
(dataframe['pm'] <= dataframe['pmax_thresh']) &
(dataframe['close'] > dataframe['sma_21'] * 1.1) &
(
(dataframe['momdiv_sell_1h'] == True)
|
(dataframe['momdiv_sell'] == True)
|
(dataframe['momdiv_coh'] == True)
)
)
|
(
(dataframe['pm'] > dataframe['pmax_thresh']) &
(dataframe['close'] > dataframe['sma_21'] * 1.016) &
(
(dataframe['momdiv_sell_1h'] == True)
|
(dataframe['momdiv_sell'] == True)
|
(dataframe['momdiv_coh'] == True)
)
)
)
&
(dataframe['volume'] > 0) # Make sure Volume is not 0
),
'sell'] = 1
return dataframe
def pmax(df, period, multiplier, length, MAtype, src):
period = int(period)
multiplier = int(multiplier)
length = int(length)
MAtype = int(MAtype)
src = int(src)
mavalue = f'MA_{MAtype}_{length}'
atr = f'ATR_{period}'
pm = f'pm_{period}_{multiplier}_{length}_{MAtype}'
pmx = f'pmX_{period}_{multiplier}_{length}_{MAtype}'
if src == 1:
masrc = df["close"]
elif src == 2:
masrc = (df["high"] + df["low"]) / 2
elif src == 3:
masrc = (df["high"] + df["low"] + df["close"] + df["open"]) / 4
if MAtype == 1:
mavalue = ta.EMA(masrc, timeperiod=length)
elif MAtype == 2:
mavalue = ta.DEMA(masrc, timeperiod=length)
elif MAtype == 3:
mavalue = ta.T3(masrc, timeperiod=length)
elif MAtype == 4:
mavalue = ta.SMA(masrc, timeperiod=length)
elif MAtype == 5:
mavalue = VIDYA(df, length=length)
elif MAtype == 6:
mavalue = ta.TEMA(masrc, timeperiod=length)
elif MAtype == 7:
mavalue = ta.WMA(df, timeperiod=length)
elif MAtype == 8:
mavalue = vwma(df, length)
elif MAtype == 9:
mavalue = zema(df, period=length)
df[atr] = ta.ATR(df, timeperiod=period)
df['basic_ub'] = mavalue + ((multiplier/10) * df[atr])
df['basic_lb'] = mavalue - ((multiplier/10) * df[atr])
basic_ub = df['basic_ub'].values
final_ub = np.full(len(df), 0.00)
basic_lb = df['basic_lb'].values
final_lb = np.full(len(df), 0.00)
for i in range(period, len(df)):
final_ub[i] = basic_ub[i] if (
basic_ub[i] < final_ub[i - 1]
or mavalue[i - 1] > final_ub[i - 1]) else final_ub[i - 1]
final_lb[i] = basic_lb[i] if (
basic_lb[i] > final_lb[i - 1]
or mavalue[i - 1] < final_lb[i - 1]) else final_lb[i - 1]
df['final_ub'] = final_ub
df['final_lb'] = final_lb
pm_arr = np.full(len(df), 0.00)
for i in range(period, len(df)):
pm_arr[i] = (
final_ub[i] if (pm_arr[i - 1] == final_ub[i - 1]
and mavalue[i] <= final_ub[i])
else final_lb[i] if (
pm_arr[i - 1] == final_ub[i - 1]
and mavalue[i] > final_ub[i]) else final_lb[i]
if (pm_arr[i - 1] == final_lb[i - 1]
and mavalue[i] >= final_lb[i]) else final_ub[i]
if (pm_arr[i - 1] == final_lb[i - 1]
and mavalue[i] < final_lb[i]) else 0.00)
pm = Series(pm_arr)
pmx = np.where((pm_arr > 0.00), np.where((mavalue < pm_arr), 'down', 'up'), np.NaN)
return pm, pmx
def momdiv(dataframe: DataFrame, mom_length: int = 10, bb_length: int = 20, bb_dev: float = 2.0, lookback: int = 30) -> DataFrame:
mom: Series = ta.MOM(dataframe, timeperiod=mom_length)
upperband, middleband, lowerband = ta.BBANDS(mom, timeperiod=bb_length, nbdevup=bb_dev, nbdevdn=bb_dev, matype=0)
buy = qtpylib.crossed_below(mom, lowerband)
sell = qtpylib.crossed_above(mom, upperband)
hh = dataframe['high'].rolling(lookback).max()
ll = dataframe['low'].rolling(lookback).min()
coh = dataframe['high'] >= hh
col = dataframe['low'] <= ll
df = DataFrame({
"momdiv_mom": mom,
"momdiv_upperb": upperband,
"momdiv_lowerb": lowerband,
"momdiv_buy": buy,
"momdiv_sell": sell,
"momdiv_coh": coh,
"momdiv_col": col,
}, index=dataframe['close'].index)
return df