Timeframe
5m
Direction
Long Only
Stoploss
-25.0%
Trailing Stop
No
ROI
0m: 10.0%
Interface Version
2
Startup Candles
30
Indicators
4
freqtrade/freqtrade-strategies
Strategy 003 author@: Gerald Lonlas github@: https://github.com/freqtrade/freqtrade-strategies
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, stoploss_from_open
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_542(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_542):
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_542):
"""
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_542):
"""
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_542):
"""
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
class BBRSITV5(BBRSITV_542):
minimal_roi = {
"0": 0.04
}
ignore_roi_if_buy_signal = True
startup_candle_count = 400
use_custom_stoploss = True
stoploss = -0.3 # value loaded from strategy
sell_params = {
"pHSL": -0.178,
"pPF_1": 0.01,
"pPF_2": 0.048,
"pSL_1": 0.009,
"pSL_2": 0.043,
}
is_optimize_trailing = True
pHSL = DecimalParameter(-0.200, -0.040, default=-0.08, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
pPF_1 = DecimalParameter(0.008, 0.020, default=0.016, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
pSL_1 = DecimalParameter(0.008, 0.020, default=0.011, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
pPF_2 = DecimalParameter(0.040, 0.100, default=0.080, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
pSL_2 = DecimalParameter(0.020, 0.070, default=0.040, decimals=3, space='sell', optimize=is_optimize_trailing , load=True)
def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
current_rate: float, current_profit: float, **kwargs) -> float:
HSL = self.pHSL.value
PF_1 = self.pPF_1.value
SL_1 = self.pSL_1.value
PF_2 = self.pPF_2.value
SL_2 = self.pSL_2.value
if (current_profit > PF_2):
sl_profit = SL_2 + (current_profit - PF_2)
elif (current_profit > PF_1):
sl_profit = SL_1 + ((current_profit - PF_1) * (SL_2 - SL_1) / (PF_2 - PF_1))
else:
sl_profit = HSL
if (sl_profit >= current_profit):
return -0.99
return stoploss_from_open(sl_profit, current_profit)
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