ElliotV5_SMA_AI

# --- 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": 17,
      "ewo_high": 3.34,
      "ewo_low": -17.457,
      "low_offset": 0.978,
      "rsi_buy": 65
    }

# Sell hyperspace params:
sell_params = {
      "base_nb_candles_sell": 49,
      "high_offset": 1.019
    }

def EWO(dataframe, ema_length=5, ema2_length=35):
    df = dataframe.copy()
    ema1 = ta.SMA(df, timeperiod=ema_length)
    ema2 = ta.SMA(df, timeperiod=ema2_length)
    emadif = (ema1 - ema2) / df['close'] * 100
    return emadif

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

        # Momentum Indicators
        # ------------------------------------

        # ADX
        dataframe['adx'] = ta.ADX(dataframe)

        # Plus Directional Indicator / Movement
        dataframe['plus_dm'] = ta.PLUS_DM(dataframe)
        dataframe['plus_di'] = ta.PLUS_DI(dataframe)

        # Minus Directional Indicator / Movement
        dataframe['minus_dm'] = ta.MINUS_DM(dataframe)
        dataframe['minus_di'] = ta.MINUS_DI(dataframe)

        # Aroon, Aroon Oscillator
        aroon = ta.AROON(dataframe)
        dataframe['aroonup'] = aroon['aroonup']
        dataframe['aroondown'] = aroon['aroondown']
        dataframe['aroonosc'] = ta.AROONOSC(dataframe)

        # Awesome Oscillator
        dataframe['ao'] = qtpylib.awesome_oscillator(dataframe)

        # Keltner Channel
        keltner = qtpylib.keltner_channel(dataframe)
        dataframe["kc_upperband"] = keltner["upper"]
        dataframe["kc_lowerband"] = keltner["lower"]
        dataframe["kc_middleband"] = keltner["mid"]
        dataframe["kc_percent"] = (
            (dataframe["close"] - dataframe["kc_lowerband"]) /
            (dataframe["kc_upperband"] - dataframe["kc_lowerband"])
        )
        dataframe["kc_width"] = (
            (dataframe["kc_upperband"] - dataframe["kc_lowerband"]) / dataframe["kc_middleband"]
        )

        # Ultimate Oscillator
        dataframe['uo'] = ta.ULTOSC(dataframe)

        # Commodity Channel Index: values [Oversold:-100, Overbought:100]
        dataframe['cci'] = ta.CCI(dataframe)

        # RSI
        dataframe['rsi'] = ta.RSI(dataframe)

        # # Inverse Fisher transform on RSI: values [-1.0, 1.0] (https://goo.gl/2JGGoy)
        rsi = 0.1 * (dataframe['rsi'] - 50)
        dataframe['fisher_rsi'] = (np.exp(2 * rsi) - 1) / (np.exp(2 * rsi) + 1)

        # # Inverse Fisher transform on RSI normalized: values [0.0, 100.0] (https://goo.gl/2JGGoy)
        dataframe['fisher_rsi_norma'] = 50 * (dataframe['fisher_rsi'] + 1)

        # # Stochastic Slow
        stoch = ta.STOCH(dataframe)
        dataframe['slowd'] = stoch['slowd']
        dataframe['slowk'] = stoch['slowk']

        # Stochastic Fast
        stoch_fast = ta.STOCHF(dataframe)
        dataframe['fastd'] = stoch_fast['fastd']
        dataframe['fastk'] = stoch_fast['fastk']

        # # Stochastic RSI
        # Please read https://github.com/freqtrade/freqtrade/issues/2961 before using this.
        # STOCHRSI is NOT aligned with tradingview, which may result in non-expected results.
        stoch_rsi = ta.STOCHRSI(dataframe)
        dataframe['fastd_rsi'] = stoch_rsi['fastd']
        dataframe['fastk_rsi'] = stoch_rsi['fastk']

        # MACD
        macd = ta.MACD(dataframe)
        dataframe['macd'] = macd['macd']
        dataframe['macdsignal'] = macd['macdsignal']
        dataframe['macdhist'] = macd['macdhist']

        # MFI
        dataframe['mfi'] = ta.MFI(dataframe)

        # # ROC
        dataframe['roc'] = ta.ROC(dataframe)

        # Overlap Studies
        # ------------------------------------

        # Bollinger Bands
        bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
        dataframe['bb_lowerband'] = bollinger['lower']
        dataframe['bb_middleband'] = bollinger['mid']
        dataframe['bb_upperband'] = bollinger['upper']
        dataframe["bb_percent"] = (
            (dataframe["close"] - dataframe["bb_lowerband"]) /
            (dataframe["bb_upperband"] - dataframe["bb_lowerband"])
        )
        dataframe["bb_width"] = (
            (dataframe["bb_upperband"] - dataframe["bb_lowerband"]) / dataframe["bb_middleband"]
        )

        # Parabolic SAR
        dataframe['sar'] = ta.SAR(dataframe)

        # TEMA - Triple Exponential Moving Average
        dataframe['tema'] = ta.TEMA(dataframe, timeperiod=9)

        # Cycle Indicator
        # ------------------------------------
        # Hilbert Transform Indicator - SineWave
        hilbert = ta.HT_SINE(dataframe)
        dataframe['htsine'] = hilbert['sine']
        dataframe['htleadsine'] = hilbert['leadsine']

        # Pattern Recognition - Bullish candlestick patterns
        # ------------------------------------
        # Hammer: values [0, 100]
        dataframe['CDLHAMMER'] = ta.CDLHAMMER(dataframe)
        # Inverted Hammer: values [0, 100]
        dataframe['CDLINVERTEDHAMMER'] = ta.CDLINVERTEDHAMMER(dataframe)
        # Dragonfly Doji: values [0, 100]
        dataframe['CDLDRAGONFLYDOJI'] = ta.CDLDRAGONFLYDOJI(dataframe)
        # Piercing Line: values [0, 100]
        dataframe['CDLPIERCING'] = ta.CDLPIERCING(dataframe) # values [0, 100]
        # Morningstar: values [0, 100]
        dataframe['CDLMORNINGSTAR'] = ta.CDLMORNINGSTAR(dataframe) # values [0, 100]
        # Three White Soldiers: values [0, 100]
        dataframe['CDL3WHITESOLDIERS'] = ta.CDL3WHITESOLDIERS(dataframe) # values [0, 100]

        # Pattern Recognition - Bearish candlestick patterns
        # ------------------------------------
        # Hanging Man: values [0, 100]
        dataframe['CDLHANGINGMAN'] = ta.CDLHANGINGMAN(dataframe)
        # Shooting Star: values [0, 100]
        dataframe['CDLSHOOTINGSTAR'] = ta.CDLSHOOTINGSTAR(dataframe)
        # Gravestone Doji: values [0, 100]
        dataframe['CDLGRAVESTONEDOJI'] = ta.CDLGRAVESTONEDOJI(dataframe)
        # Dark Cloud Cover: values [0, 100]
        dataframe['CDLDARKCLOUDCOVER'] = ta.CDLDARKCLOUDCOVER(dataframe)
        # Evening Doji Star: values [0, 100]
        dataframe['CDLEVENINGDOJISTAR'] = ta.CDLEVENINGDOJISTAR(dataframe)
        # Evening Star: values [0, 100]
        dataframe['CDLEVENINGSTAR'] = ta.CDLEVENINGSTAR(dataframe)

        # Pattern Recognition - Bullish/Bearish candlestick patterns
        # ------------------------------------
        # Three Line Strike: values [0, -100, 100]
        dataframe['CDL3LINESTRIKE'] = ta.CDL3LINESTRIKE(dataframe)
        # Spinning Top: values [0, -100, 100]
        dataframe['CDLSPINNINGTOP'] = ta.CDLSPINNINGTOP(dataframe) # values [0, -100, 100]
        # Engulfing: values [0, -100, 100]
        dataframe['CDLENGULFING'] = ta.CDLENGULFING(dataframe) # values [0, -100, 100]
        # Harami: values [0, -100, 100]
        dataframe['CDLHARAMI'] = ta.CDLHARAMI(dataframe) # values [0, -100, 100]
        # Three Outside Up/Down: values [0, -100, 100]
        dataframe['CDL3OUTSIDE'] = ta.CDL3OUTSIDE(dataframe) # values [0, -100, 100]
        # Three Inside Up/Down: values [0, -100, 100]
        dataframe['CDL3INSIDE'] = ta.CDL3INSIDE(dataframe) # values [0, -100, 100]

        # # Chart type
        # # ------------------------------------
        # # Heikin Ashi Strategy
        heikinashi = qtpylib.heikinashi(dataframe)
        dataframe['ha_open'] = heikinashi['open']
        dataframe['ha_close'] = heikinashi['close']
        dataframe['ha_high'] = heikinashi['high']
        dataframe['ha_low'] = heikinashi['low']

        return dataframe

class ElliotV5_SMA_AI(IStrategy):
    INTERFACE_VERSION = 2

    # ROI table:
    minimal_roi = {
        "0": 0.215,
        "40": 0.132,
        "87": 0.086,
        "201": 0.03
    }

    # Stoploss:
    stoploss = -0.189

    # 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 = 0.005
    trailing_stop_positive_offset = 0.03
    trailing_only_offset_is_reached = True

    # Sell signal
    use_exit_signal = True
    exit_profit_only = False
    exit_profit_offset = 0.01
    ignore_roi_if_entry_signal = True

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

    process_only_new_candles = True
    startup_candle_count = 2000

    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_entry_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_exit_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
    # user should define the maximum startup candle count (the largest number of candles
    # passed to any single indicator)
    startup_candle_count: int = 20

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

        # the model will return all labels created by user in `set_freqai_targets()`
        # (& appended targets), an indication of whether or not the prediction should be accepted,
        # the target mean/std values for each of the labels created by user in
        # `set_freqai_targets()` for each training period.

        dataframe = self.freqai.start(dataframe, metadata, self)

        return dataframe

    def feature_engineering_expand_all(self, dataframe: DataFrame, period, **kwargs) -> DataFrame:
        """
        *Only functional with FreqAI enabled strategies*
        This function will automatically expand the defined features on the config defined
        `indicator_periods_candles`, `include_timeframes`, `include_shifted_candles`, and
        `include_corr_pairs`. In other words, a single feature defined in this function
        will automatically expand to a total of
        `indicator_periods_candles` * `include_timeframes` * `include_shifted_candles` *
        `include_corr_pairs` numbers of features added to the model.

        All features must be prepended with `%` to be recognized by FreqAI internals.

        :param df: strategy dataframe which will receive the features
        :param period: period of the indicator - usage example:
        dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period)
        """

        dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
        dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period)
        dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period)
        dataframe["%-sma-period"] = ta.SMA(dataframe, timeperiod=period)
        dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period)

        return dataframe

    def feature_engineering_expand_basic(self, dataframe: DataFrame, **kwargs) -> DataFrame:
        """
        *Only functional with FreqAI enabled strategies*
        This function will automatically expand the defined features on the config defined
        `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`.
        In other words, a single feature defined in this function
        will automatically expand to a total of
        `include_timeframes` * `include_shifted_candles` * `include_corr_pairs`
        numbers of features added to the model.

        Features defined here will *not* be automatically duplicated on user defined
        `indicator_periods_candles`

        All features must be prepended with `%` to be recognized by FreqAI internals.

        :param df: strategy dataframe which will receive the features
        dataframe["%-pct-change"] = dataframe["close"].pct_change()
        dataframe["%-ema-200"] = ta.EMA(dataframe, timeperiod=200)
        """
        dataframe["%-pct-change"] = dataframe["close"].pct_change()
        dataframe["%-raw_volume"] = dataframe["volume"]
        dataframe["%-raw_price"] = dataframe["close"]
        return dataframe

    def feature_engineering_standard(self, dataframe: DataFrame, **kwargs) -> DataFrame:
        """
        *Only functional with FreqAI enabled strategies*
        This optional function will be called once with the dataframe of the base timeframe.
        This is the final function to be called, which means that the dataframe entering this
        function will contain all the features and columns created by all other
        freqai_feature_engineering_* functions.

        This function is a good place to do custom exotic feature extractions (e.g. tsfresh).
        This function is a good place for any feature that should not be auto-expanded upon
        (e.g. day of the week).

        All features must be prepended with `%` to be recognized by FreqAI internals.

        :param df: strategy dataframe which will receive the features
        usage example: dataframe["%-day_of_week"] = (dataframe["date"].dt.dayofweek + 1) / 7
        """
        dataframe["%-day_of_week"] = (dataframe["date"].dt.dayofweek + 1) / 7
        dataframe["%-hour_of_day"] = (dataframe["date"].dt.hour + 1) / 25
        return dataframe

    def set_freqai_targets(self, dataframe: DataFrame, **kwargs) -> DataFrame:
        """
        *Only functional with FreqAI enabled strategies*
        Required function to set the targets for the model.
        All targets must be prepended with `&` to be recognized by the FreqAI internals.

        :param df: strategy dataframe which will receive the targets
        usage example: dataframe["&-target"] = dataframe["close"].shift(-1) / dataframe["close"]
        """
        dataframe["&-s_close"] = (
            dataframe["close"]
            .shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
            .rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
            .mean()
            / dataframe["close"]
            - 1
            )
        return dataframe