bestV2

# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from typing import Dict, List
from functools import reduce
from pandas import DataFrame
# --------------------------------

import talib.abstract as ta
import numpy as np
import freqtrade.vendor.qtpylib.indicators as qtpylib
import datetime
from technical.util import resample_to_interval, resampled_merge
from datetime import datetime, timedelta
from freqtrade.persistence import Trade
from freqtrade.strategy import stoploss_from_open, merge_informative_pair, DecimalParameter, IntParameter, CategoricalParameter
import technical.indicators as ftt

# Buy hyperspace params:
buy_params = {
    "base_nb_candles_buy": 31,
    "ewo_high": 4.638,
    "ewo_low": -16.993,
    "low_offset": 0.978,
    "rsi_buy": 55
}

# Sell hyperspace params:
sell_params = {
    "base_nb_candles_sell": 19,
    "high_offset": 1.008
}

def Kalman(dataframe: DataFrame):
    """
    One-dimensional steady-state Kalman filter. It is obtained from the
    alpha filter.
    """
    df = dataframe.copy()
    src = dataframe['close']
    tr = ta.TRANGE(dataframe)
    df['value1'] = 0.2 * (src - src.shift(1, fill_value=0)) 
    df['value1'] = df['value1'].rolling(2, min_periods=1).apply(lambda x: x.iloc[0] + 0.8 * x.iloc[-1])
    df['value2'] = 0.1 * (tr)
    df['value2'] = df['value2'].rolling(2, min_periods=1).apply(lambda x: x.iloc[0] + 0.8 * x.iloc[-1])

    L = abs(df['value1'] / df['value2'])
    # Alpha filter
    alpha = (-L ** 2.0 + np.sqrt(L ** 4.0 + 16.0 * L ** 2.0)) / 8.0

    df['value3'] =  alpha * src
    df['value3'] = (1 - alpha) * df['value3'].shift(1, fill_value=0)
    
    return df['value3'].fillna(0)

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

class bestV2(IStrategy):
    INTERFACE_VERSION = 2

    # ROI table:
    minimal_roi = {
        "0": 0.12,
        "10": 0.079,
        "39": 0.05,
        "157": 0.02
    }

    # Stoploss:
    stoploss = -0.19

    # SMAOffset
    base_nb_candles_buy = IntParameter(
        5, 80, default=buy_params['base_nb_candles_buy'], space='buy', optimize=True)
    base_nb_candles_sell = IntParameter(
        5, 80, default=sell_params['base_nb_candles_sell'], space='sell', optimize=True)
    low_offset = DecimalParameter(
        0.9, 0.99, default=buy_params['low_offset'], space='buy', optimize=True)
    high_offset = DecimalParameter(
        0.99, 1.1, default=sell_params['high_offset'], space='sell', optimize=True)

    # Protection
    fast_ewo = 50
    slow_ewo = 200
    ewo_low = DecimalParameter(-20.0, -8.0,
                               default=buy_params['ewo_low'], space='buy', optimize=True)
    ewo_high = DecimalParameter(
        2.0, 12.0, default=buy_params['ewo_high'], space='buy', optimize=True)
    rsi_buy = IntParameter(30, 70, default=buy_params['rsi_buy'], space='buy', optimize=True)

    # Trailing stop:
    trailing_stop = True
    trailing_stop_positive = 0.01
    trailing_stop_positive_offset = 0.049
    trailing_only_offset_is_reached = True

    # Sell signal
    use_sell_signal = True
    sell_profit_only = False
    sell_profit_offset = 0.01
    ignore_roi_if_buy_signal = True

    ## Optional order time in force.
    order_time_in_force = {
        'buy': 'gtc',
        'sell': 'ioc'
    }

    # Optimal timeframe for the strategy
    timeframe = '5m'
    informative_timeframe = '1h'

    process_only_new_candles = True
    startup_candle_count = 120

    plot_config = {
        'main_plot': {
            'ma_buy': {'color': 'orange'},
            'ma_sell': {'color': 'orange'},
        },
    }

    use_custom_stoploss = False

    def informative_pairs(self):

        pairs = self.dp.current_whitelist()
        informative_pairs = [(pair, self.informative_timeframe) for pair in pairs]

        return informative_pairs

    def get_informative_indicators(self, metadata: dict):

        dataframe = self.dp.get_pair_dataframe(
            pair=metadata['pair'], timeframe=self.informative_timeframe)

        return dataframe

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

        # Calculate all ma_buy values
        for val in self.base_nb_candles_buy.range:
            dataframe[f'ma_buy_{val}'] = ta.EMA(dataframe, timeperiod=val)

        # Calculate all ma_sell values
        for val in self.base_nb_candles_sell.range:
            dataframe[f'ma_sell_{val}'] = ta.EMA(dataframe, timeperiod=val)

        # Elliot
        dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo)
        
        # RSI
        dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)

        return dataframe

    def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        conditions = []

        conditions.append(
            (
                (dataframe['close'] < (dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value)) &
                (dataframe['EWO'] > self.ewo_high.value) &
                (dataframe['rsi'] < self.rsi_buy.value) &
                (dataframe['volume'] > 0)
            )
        )

        conditions.append(
            (
                (dataframe['close'] < (dataframe[f'ma_buy_{self.base_nb_candles_buy.value}'] * self.low_offset.value)) &
                (dataframe['EWO'] < self.ewo_low.value) &
                (dataframe['volume'] > 0)
            )
        )

        if conditions:
            dataframe.loc[
                reduce(lambda x, y: x | y, conditions),
                'buy'
            ]=1

        return dataframe

    def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        conditions = []

        conditions.append(
            (
                (dataframe['close'] > (dataframe[f'ma_sell_{self.base_nb_candles_sell.value}'] * self.high_offset.value)) &
                (dataframe['volume'] > 0)
            )
        )

        if conditions:
            dataframe.loc[
                reduce(lambda x, y: x | y, conditions),
                'sell'
            ]=1

        return dataframe