BBRSITV

# --- Do not remove these libs ---
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

# Volume Weighted Moving Average
def vwma(dataframe: DataFrame, length: int = 10):
    """Indicator: Volume Weighted Moving Average (VWMA)"""
    # Calculate Result
    pv = dataframe['close'] * dataframe['volume']
    vwma = Series(ta.SMA(pv, timeperiod=length) / ta.SMA(dataframe['volume'], timeperiod=length))
    return vwma

# Modified Elder Ray Index
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 hyperspace params:
    buy_params = {
        "ewo_high": 4.86,
        "for_ma_length": 22,
        "for_sigma": 1.74,
    }

    # Sell hyperspace params:
    sell_params = {
        "for_ma_length_sell": 65,
        "for_sigma_sell": 1.895,
        "rsi_high": 72,
    }

    # ROI table:  # value loaded from strategy
    minimal_roi = {
        "0": 0.1
    }

    # Stoploss:
    stoploss = -0.25  # value loaded from strategy

    # Trailing stop:
    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

    # Sell signal
    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": "StoplossGuard",
        #       "lookback_period_candles": 12,
        #       "trade_limit": 1,
        #       "stop_duration_candles": 6,
        #       "only_per_pair": True
        #   },
        #   {
        #       "method": "StoplossGuard",
        #       "lookback_period_candles": 12,
        #       "trade_limit": 2,
        #       "stop_duration_candles": 6,
        #       "only_per_pair": False
        #   },
        {
            "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)

    # Optimal timeframe for the strategy
    timeframe = '5m'

    # Protection
    fast_ewo = 50
    slow_ewo = 200

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        # //@version=3
        # study(" RSI + BB (EMA) + Dispersion (2.0)", overlay=false)
        #
        # // Инициализация параметров
        # src = input(title="Source", type=source, defval=close) // Устанавливаем тип цены для расчетов
        src = 'close'
        # for_rsi = input(title="RSI_period", type=integer, defval=14) // Период для RSI
        for_rsi = 14
        # for_ma = input(title="Basis_BB", type=integer, defval=20) // Период для MA внутри BB
        # for_ma = 20
        # for_mult = input(title="Stdev", type=integer, defval=2, minval=1, maxval=5) // Число стандартных отклонений для BB
        for_mult = 2
        # for_sigma = input(title="Dispersion", type=float, defval=0.1, minval=0.01, maxval=1) // Дисперсия вокруг MA
        for_sigma = 0.1
        #
        # // Условия работы скрипта
        # current_rsi = rsi(src, for_rsi) // Текущее положение индикатора RSI
        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):
                # basis = ema(current_rsi, for_ma)
                dataframe[f'basis_{for_ma}'] = ta.EMA(dataframe['rsi'], for_ma)
                # dev = for_mult * stdev(current_rsi, for_ma)
                dataframe[f'dev_{for_ma}'] = ta.STDDEV(dataframe['rsi'], for_ma)
                # upper = basis + dev
                #dataframe[f'upper_{for_ma}'] = (dataframe[f'basis_{for_ma}'] + (dataframe[f'dev_{for_ma}'] * for_mult))
                # lower = basis - dev
                #dataframe[f'lower_{for_ma}'] = dataframe[f'basis_{for_ma}'] - (dataframe[f'dev_{for_ma}'] * for_mult)
                # disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
                # dataframe[f'disp_up_{for_ma}'] = dataframe[f'basis_{for_ma}'] + ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma)
                # disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу)
                # dataframe[f'disp_down_{for_ma}'] = dataframe[f'basis_{for_ma}'] - ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma)
                # color_rsi = current_rsi >= disp_up ? lime : current_rsi <= disp_down ? red : #ffea00 // Текущий цвет RSI, в зависимости от его местоположения внутри BB
        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)
            # dev = for_mult * stdev(current_rsi, for_ma)
            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)

        #
        # // Дополнительные линии и заливка для областей для RSI
        # h1 = hline(70, color=#d4d4d4, linestyle=dotted, linewidth=1)
        h1 = 70
        # h2 = hline(30, color=#d4d4d4, linestyle=dotted, linewidth=1)
        h2 = 30
        # fill (h1, h2, transp=95)
        #
        # // Алерты и условия срабатывания
        # rsi_Green = crossover(current_rsi, disp_up)
        # rsi_Red = crossunder(current_rsi, disp_down)

        # alertcondition(condition=rsi_Green,
        #      title="RSI cross Above Dispersion Area",
        #      message="The RSI line closing crossed above the Dispersion area.")
        #
        # alertcondition(condition=rsi_Red,
        #      title="RSI cross Under Dispersion Area",
        #      message="The RSI line closing crossed below the Dispersion area")
        #
        # // Результаты и покраска
        # plot(basis, color=black)
        # plot(upper, color=#00fff0, linewidth=2)
        # plot(lower, color=#00fff0, linewidth=2)
        # s1 = plot(disp_up, color=white)
        # s2 = plot(disp_down, color=white)
        # fill(s1, s2, color=white, transp=80)
        # plot(current_rsi, color=color_rsi, linewidth=2)

        dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo)
        return dataframe

    def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe.loc[
            (
                # upper = basis + dev
                # lower = basis - dev
                # disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
                # disp_up = basis + ((basis + dev * for_mult) - (basis - dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
                # disp_up = basis + (basis + dev * for_mult - basis + dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
                # disp_up = basis + (2 * dev * for_sigma * for_mult) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
                (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) |
                    # upper = basis + dev
                    # lower = basis - dev
                    # disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу)
                    # disp_down = basis - ((2* dev * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу)
                    (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)
                # &
                # (dataframe["roc_bbwidth_max"] < 70)
            ),
            '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 hyperspace params:
    buy_params = {
        "ewo_high": 4.964,
        "for_ma_length": 12,
        "for_sigma": 2.313,
    }

    # Sell hyperspace params:
    sell_params = {
        "for_ma_length_sell": 78,
        "for_sigma_sell": 1.67,
        "rsi_high": 60,
    }

    # ROI table:  # value loaded from strategy
    minimal_roi = {
        "0": 0.1
    }

    # Stoploss:
    stoploss = -0.25  # value loaded from strategy

    # Trailing stop:
    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 hyperspace params:
    buy_params = {
        "ewo_high": 4.85,
        "for_ma_length": 11,
        "for_sigma": 2.066,
    }

    # Sell hyperspace params:
    sell_params = {
        "for_ma_length_sell": 61,
        "for_sigma_sell": 1.612,
        "rsi_high": 87,
    }

    # ROI table:  # value loaded from strategy
    minimal_roi = {
        "0": 0.1
    }

    # Stoploss:
    stoploss = -0.25  # value loaded from strategy

    # Trailing stop:
    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 hyperspace params:
    buy_params = {
        "ewo_high": 4.86,
        "for_ma_length": 22,
        "for_sigma": 1.74,
    }

    # Sell hyperspace params:
    sell_params = {
        "for_ma_length_sell": 65,
        "for_sigma_sell": 1.895,
        "rsi_high": 72,
    }

    # ROI table:  # value loaded from strategy
    minimal_roi = {
        "0": 0.1
    }

    # Stoploss:
    stoploss = -0.25  # value loaded from strategy

    # Trailing stop:
    trailing_stop = True
    trailing_stop_positive = 0.078
    trailing_stop_positive_offset = 0.095
    trailing_only_offset_is_reached = False