BBRSITV

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