FOttStrategy

# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
# flake8: noqa: F401
# isort: skip_file
# --- Do not remove these libs ---
import numpy as np  # noqa
import pandas as pd  # noqa
from pandas import DataFrame

from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter,
                                IStrategy, IntParameter)

# --------------------------------
# Add your lib to import here
import logging
from numpy.lib import math
from freqtrade.strategy import IStrategy
from pandas import DataFrame
import talib.abstract as ta
import numpy as np
import freqtrade.vendor.qtpylib.indicators as qtpylib


# This class is a sample. Feel free to customize it.
class FOttStrategy(IStrategy):
    """
    This is a sample strategy to inspire you.
    More information in https://www.freqtrade.io/en/latest/strategy-customization/

    You can:
        :return: a Dataframe with all mandatory indicators for the strategies
    - Rename the class name (Do not forget to update class_name)
    - Add any methods you want to build your strategy
    - Add any lib you need to build your strategy

    You must keep:
    - the lib in the section "Do not remove these libs"
    - the methods: populate_indicators, populate_entry_trend, populate_exit_trend
    You should keep:
    - timeframe, minimal_roi, stoploss, trailing_*
    """
    # Strategy interface version - allow new iterations of the strategy interface.
    # Check the documentation or the Sample strategy to get the latest version.
    INTERFACE_VERSION: int = 3

    # Can this strategy go short?
    can_short: bool = True

    # Minimal ROI designed for the strategy.
    # This attribute will be overridden if the config file contains "minimal_roi".
    minimal_roi = {
        "0": 0.1,
        "30": 0.75,
        "60": 0.05,
        "120": 0.025
    }

    # Optimal stoploss designed for the strategy.
    # This attribute will be overridden if the config file contains "stoploss".
    stoploss = -0.265

    # Trailing stoploss
    trailing_stop = True
    trailing_stop_positive = 0.05
    trailing_stop_positive_offset = 0.1
    trailing_only_offset_is_reached = False

    # Optimal timeframe for the strategy.
    timeframe = '15m'

    # Run "populate_indicators()" only for new candle.


    # These values can be overridden in the config.


    # Hyperoptable parameters


    # Number of candles the strategy requires before producing valid signals
    startup_candle_count: int = 18

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

        dataframe["ott"] = self.ott(dataframe)["OTT"]
        dataframe["var"] = self.ott(dataframe)["VAR"]
        dataframe["adx"] = ta.ADX(dataframe, timeperiod=14)

        return dataframe

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

        dataframe.loc[
            (qtpylib.crossed_above(dataframe["var"], dataframe["ott"])),
            "enter_long",
        ] = 1

        dataframe.loc[
            (qtpylib.crossed_below(dataframe["var"], dataframe["ott"])),
            "enter_short",
        ] = 1

        return dataframe

    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe.loc[
            (
                dataframe["adx"]>60
            ),
            "exit_long",
        ] = 1

        dataframe.loc[
            (
                dataframe["adx"]>60
            ),
            "exit_short",
        ] = 1

        return dataframe

    """
        Supertrend Indicator; adapted for freqtrade
        from: https://github.com/freqtrade/freqtrade-strategies/issues/30
    """

    def ott(self, dataframe: DataFrame):
        df = dataframe.copy()

        pds = 2
        percent = 1.4
        alpha = 2 / (pds + 1)

        df["ud1"] = np.where(
            df["close"] > df["close"].shift(1), (df["close"] - df["close"].shift()), 0
        )
        df["dd1"] = np.where(
            df["close"] < df["close"].shift(1), (df["close"].shift() - df["close"]), 0
        )
        df["UD"] = df["ud1"].rolling(9).sum()
        df["DD"] = df["dd1"].rolling(9).sum()
        df["CMO"] = ((df["UD"] - df["DD"]) / (df["UD"] + df["DD"])).fillna(0).abs()

        # df['Var'] = talib.EMA(df['close'], timeperiod=5)
        df["Var"] = 0.0
        for i in range(pds, len(df)):
            df["Var"].iat[i] = (alpha * df["CMO"].iat[i] * df["close"].iat[i]) + (
                1 - alpha * df["CMO"].iat[i]
            ) * df["Var"].iat[i - 1]

        df["fark"] = df["Var"] * percent * 0.01
        df["newlongstop"] = df["Var"] - df["fark"]
        df["newshortstop"] = df["Var"] + df["fark"]
        df["longstop"] = 0.0
        df["shortstop"] = 999999999999999999
        # df['dir'] = 1
        for i in df["UD"]:

            def maxlongstop():
                df.loc[(df["newlongstop"] > df["longstop"].shift(1)), "longstop"] = df[
                    "newlongstop"
                ]
                df.loc[(df["longstop"].shift(1) > df["newlongstop"]), "longstop"] = df[
                    "longstop"
                ].shift(1)

                return df["longstop"]

            def minshortstop():
                df.loc[
                    (df["newshortstop"] < df["shortstop"].shift(1)), "shortstop"
                ] = df["newshortstop"]
                df.loc[
                    (df["shortstop"].shift(1) < df["newshortstop"]), "shortstop"
                ] = df["shortstop"].shift(1)

                return df["shortstop"]

            df["longstop"] = np.where(
                ((df["Var"] > df["longstop"].shift(1))),
                maxlongstop(),
                df["newlongstop"],
            )

            df["shortstop"] = np.where(
                ((df["Var"] < df["shortstop"].shift(1))),
                minshortstop(),
                df["newshortstop"],
            )

        # get xover

        df["xlongstop"] = np.where(
            (
                (df["Var"].shift(1) > df["longstop"].shift(1))
                & (df["Var"] < df["longstop"].shift(1))
            ),
            1,
            0,
        )

        df["xshortstop"] = np.where(
            (
                (df["Var"].shift(1) < df["shortstop"].shift(1))
                & (df["Var"] > df["shortstop"].shift(1))
            ),
            1,
            0,
        )

        df["trend"] = 0
        df["dir"] = 0
        for i in df["UD"]:
            df["trend"] = np.where(
                ((df["xshortstop"] == 1)),
                1,
                (np.where((df["xlongstop"] == 1), -1, df["trend"].shift(1))),
            )

            df["dir"] = np.where(
                ((df["xshortstop"] == 1)),
                1,
                (np.where((df["xlongstop"] == 1), -1, df["dir"].shift(1).fillna(1))),
            )

        # get OTT

        df["MT"] = np.where(df["dir"] == 1, df["longstop"], df["shortstop"])
        df["OTT"] = np.where(
            df["Var"] > df["MT"],
            (df["MT"] * (200 + percent) / 200),
            (df["MT"] * (200 - percent) / 200),
        )
        df["OTT"] = df["OTT"].shift(2)

        return DataFrame(index=df.index, data={"OTT": df["OTT"], "VAR": df["Var"]})