Timeframe
5m
Direction
Long Only
Stoploss
-10.0%
Trailing Stop
No
ROI
0m: 10.0%
Interface Version
N/A
Startup Candles
N/A
Indicators
2
freqtrade/freqtrade-strategies
author@: lenik
import custom_indicators as cta
import warnings
import logging
from pathlib import Path
import sys
import numpy as np
import scipy.fft
from scipy.fft import rfft, irfft
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
import arrow
from freqtrade.strategy import (IStrategy, merge_informative_pair, stoploss_from_open,
IntParameter, DecimalParameter, CategoricalParameter)
from typing import Dict, List, Optional, Tuple, Union
from pandas import DataFrame, Series
from functools import reduce
from datetime import datetime, timedelta
from freqtrade.persistence import Trade
# Get rid of pandas warnings during backtesting
import pandas as pd
pd.options.mode.chained_assignment = None # default='warn'
# Strategy specific imports, files must reside in same folder as strategy
sys.path.append(str(Path(__file__).parent))
log = logging.getLogger(__name__)
# log.setLevel(logging.DEBUG)
warnings.simplefilter(action='ignore', category=pd.errors.PerformanceWarning)
"""
####################################################################################
FFT - use a Fast Fourier Transform to estimate future price movements,
####################################################################################
"""
class FFT(IStrategy):
# Do *not* hyperopt for the roi and stoploss spaces
# ROI table:
minimal_roi = {
"0": 0.1
}
# Stoploss:
stoploss = -0.10
# Trailing stop:
trailing_stop = False
trailing_stop_positive = None
trailing_stop_positive_offset = 0.0
trailing_only_offset_is_reached = False
timeframe = '5m'
inf_timeframe = '15m'
use_custom_stoploss = True
# Recommended
use_exit_signal = True
exit_profit_only = False
ignore_roi_if_entry_signal = True
# Required
startup_candle_count: int = 128
process_only_new_candles = True
custom_trade_info = {}
###################################
# Strategy Specific Variable Storage
fft_window = startup_candle_count
fft_lookahead = 0
# Hyperopt Variables
# FFT hyperparams
entry_fft_dev = -1.5
entry_fft_diff = 4.6
cexit_endtrend_respect_roi = True
cexit_pullback = False
cexit_pullback_amount = 0.028
cexit_pullback_respect_roi = False
cexit_roi_end = 0.005
cexit_roi_start = 0.043
cexit_roi_time = 1007
cexit_roi_type = "decay"
cexit_trend_type = "any"
cstop_bail_how = "time"
cstop_bail_roc = -1.518
cstop_bail_time = 1280
cstop_bail_time_trend = True
cstop_loss_threshold = -0.015
cstop_max_stoploss = -0.141
exit_fft_dev = 1.1
exit_fft_diff = -4.4
###################################
"""
Informative Pair Definitions
"""
def informative_pairs(self):
pairs = self.dp.current_whitelist()
informative_pairs = [(pair, self.inf_timeframe) for pair in pairs]
return informative_pairs
###################################
"""
Indicator Definitions
"""
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# Base pair informative timeframe indicators
curr_pair = metadata['pair']
informative = self.dp.get_pair_dataframe(pair=curr_pair, timeframe=self.inf_timeframe)
# FFT
informative['fft_predict'] = informative['close'].rolling(
window=self.fft_window).apply(self.model)
# merge into normal timeframe
dataframe = merge_informative_pair(
dataframe, informative, self.timeframe, self.inf_timeframe, ffill=True)
# calculate predictive indicators in shorter timeframe (not informative)
dataframe['fft_predict'] = dataframe[f"fft_predict_{self.inf_timeframe}"]
dataframe['fft_predict_diff'] = 100.0 * \
(dataframe['fft_predict'] - dataframe['close']) / dataframe['close']
# Custom Stoploss
if not metadata['pair'] in self.custom_trade_info:
self.custom_trade_info[metadata['pair']] = {}
if not 'had-trend' in self.custom_trade_info[metadata["pair"]]:
self.custom_trade_info[metadata['pair']]['had-trend'] = False
# RMI: https://www.tradingview.com/script/kwIt9OgQ-Relative-Momentum-Index/
dataframe['rmi'] = cta.RMI(dataframe, length=24, mom=5)
# MA Streak: https://www.tradingview.com/script/Yq1z7cIv-MA-Streak-Can-Show-When-a-Run-Is-Getting-Long-in-the-Tooth/
dataframe['mastreak'] = cta.mastreak(dataframe, period=4)
# Trends, Peaks and Crosses
dataframe['candle-up'] = np.where(dataframe['close'] >= dataframe['open'], 1, 0)
dataframe['candle-up-trend'] = np.where(dataframe['candle-up'].rolling(5).sum() >= 3, 1, 0)
dataframe['rmi-up'] = np.where(dataframe['rmi'] >= dataframe['rmi'].shift(), 1, 0)
dataframe['rmi-up-trend'] = np.where(dataframe['rmi-up'].rolling(5).sum() >= 3, 1, 0)
dataframe['rmi-dn'] = np.where(dataframe['rmi'] <= dataframe['rmi'].shift(), 1, 0)
dataframe['rmi-dn-count'] = dataframe['rmi-dn'].rolling(8).sum()
# Indicators used only for ROI and Custom Stoploss
ssldown, sslup = cta.SSLChannels_ATR(dataframe, length=21)
dataframe['sroc'] = cta.SROC(dataframe, roclen=21, emalen=13, smooth=21)
dataframe['ssl-dir'] = np.where(sslup > ssldown, 'up', 'down')
return dataframe
###################################
def model(self, a: np.ndarray) -> np.float:
# must return scalar, so just calculate prediction and take last value
# scale the data
standardized = a.copy()
w_mean = np.mean(standardized)
w_std = np.std(standardized)
scaled = (standardized - w_mean) / w_std
ys = self.fourierModel(scaled)
# restore the data
model = (ys * w_std) + w_mean
length = len(model)
return model[length - 1]
def fourierModel(self, x):
n = len(x)
xa = np.array(x)
# compute the fft
fft = scipy.fft.fft(xa, n)
# compute power spectrum density
# squared magnitude of each fft coefficient
psd = fft * np.conj(fft) / n
threshold = 20
fft = np.where(psd < threshold, 0, fft)
# inverse fourier transform
ifft = scipy.fft.ifft(fft)
ifft = ifft.real
ldiff = len(ifft) - len(xa)
model = ifft[ldiff:]
return model
def scaledModel(self, a: np.ndarray) -> np.float:
# scale the data
standardized = a.copy()
w_mean = np.mean(standardized)
w_std = np.std(standardized)
scaled = (standardized - w_mean) / w_std
scaled.fillna(0, inplace=True)
# get the Fourier model
model = self.fourierModel(scaled)
length = len(model)
return model[length - 1]
def scaledData(self, a: np.ndarray) -> np.float:
# scale the data
standardized = a.copy()
w_mean = np.mean(standardized)
w_std = np.std(standardized)
scaled = (standardized - w_mean) / w_std
scaled.fillna(0, inplace=True)
length = len(scaled)
return scaled.ravel()[length - 1]
def predict(self, a: np.ndarray) -> np.float:
# must return scalar, so just calculate prediction and take last value
npredict = self.fft_lookahead
# y = self.fourierExtrapolation(np.array(a), 0)
# scale the data
standardized = a.copy()
w_mean = np.mean(standardized)
w_std = np.std(standardized)
scaled = (standardized - w_mean) / w_std
scaled.fillna(0, inplace=True)
# get the Fourier model
ys = self.fourierModel(scaled)
# restore the data
y = (ys * w_std) + w_mean
length = len(y)
if npredict == 0:
predict = y[length - 1]
else:
# Note: extrapolation is notoriously fickle. Be careful
x = np.arange(length)
f = scipy.interpolate.UnivariateSpline(x, y, k=3)
predict = f(length - 1 + npredict)
return predict
# # Williams %R
# def williams_r(self, dataframe: DataFrame, period: int = 14) -> Series:
# """Williams %R, or just %R, is a technical analysis oscillator showing the current closing price in relation to the high and low
# of the past N days (for a given N). It was developed by a publisher and promoter of trading materials, Larry Williams.
# Its purpose is to tell whether a stock or commodity market is trading near the high or the low, or somewhere in between,
# of its recent trading range.
# The oscillator is on a negative scale, from −100 (lowest) up to 0 (highest).
# """
#
# highest_high = dataframe["high"].rolling(center=False, window=period).max()
# lowest_low = dataframe["low"].rolling(center=False, window=period).min()
#
# WR = Series(
# (highest_high - dataframe["close"]) / (highest_high - lowest_low),
# name=f"{period} Williams %R",
# )
#
# return WR * -100
###################################
"""
Buy Signal
"""
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
conditions = []
dataframe.loc[:, 'enter_tag'] = ''
# conditions.append(dataframe['volume'] > 0)
# DWT triggers
fft_cond = (
qtpylib.crossed_above(dataframe['fft_predict_diff'], self.entry_fft_diff)
)
conditions.append(fft_cond)
# DWTs will spike on big gains, so try to constrain
spike_cond = (
dataframe['fft_predict_diff'] < 2.0 * self.entry_fft_diff
)
conditions.append(spike_cond)
# set buy tags
dataframe.loc[fft_cond, 'enter_tag'] += 'fft_buy '
if conditions:
dataframe.loc[reduce(lambda x, y: x & y, conditions), 'enter_long'] = 1
return dataframe
###################################
"""
Sell Signal
"""
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
conditions = []
dataframe.loc[:, 'exit_tag'] = ''
# FFT triggers
fft_cond = (
qtpylib.crossed_below(dataframe['fft_predict_diff'], self.exit_fft_diff)
)
conditions.append(fft_cond)
# DWTs will spike on big gains, so try to constrain
spike_cond = (
dataframe['fft_predict_diff'] > 2.0 * self.exit_fft_diff
)
conditions.append(spike_cond)
# set sell tags
dataframe.loc[fft_cond, 'exit_tag'] += 'fft_sell '
if conditions:
dataframe.loc[reduce(lambda x, y: x & y, conditions), 'exit_long'] = 1
return dataframe
###################################
"""
Custom Stoploss
"""
def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, current_rate: float,
current_profit: float, **kwargs) -> float:
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
last_candle = dataframe.iloc[-1].squeeze()
trade_dur = int((current_time.timestamp() - trade.open_date_utc.timestamp()) // 60)
in_trend = self.custom_trade_info[trade.pair]['had-trend']
# limit stoploss
if current_profit < self.cstop_max_stoploss:
return 0.01
# Determine how we sell when we are in a loss
if current_profit < self.cstop_loss_threshold:
if self.cstop_bail_how == 'roc' or self.cstop_bail_how == 'any':
# Dynamic bailout based on rate of change
if last_candle['sroc'] <= self.cstop_bail_roc:
return 0.01
if self.cstop_bail_how == 'time' or self.cstop_bail_how == 'any':
# Dynamic bailout based on time, unless time_trend is True and there is a potential reversal
if trade_dur > self.cstop_bail_time:
if self.cstop_bail_time_trend == True and in_trend == True:
return 1
else:
return 0.01
return 1
###################################
"""
Custom Sell
"""
def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
current_profit: float, **kwargs):
dataframe, _ = self.dp.get_analyzed_dataframe(pair=pair, timeframe=self.timeframe)
last_candle = dataframe.iloc[-1].squeeze()
trade_dur = int((current_time.timestamp() - trade.open_date_utc.timestamp()) // 60)
max_profit = max(0, trade.calc_profit_ratio(trade.max_rate))
pullback_value = max(0, (max_profit - self.cexit_pullback_amount))
in_trend = False
# Determine our current ROI point based on the defined type
if self.cexit_roi_type == 'static':
min_roi = self.cexit_roi_start
elif self.cexit_roi_type == 'decay':
min_roi = cta.linear_decay(self.cexit_roi_start, self.cexit_roi_end, 0,
self.cexit_roi_time, trade_dur)
elif self.cexit_roi_type == 'step':
if trade_dur < self.cexit_roi_time:
min_roi = self.cexit_roi_start
else:
min_roi = self.cexit_roi_end
# Determine if there is a trend
if self.cexit_trend_type == 'rmi' or self.cexit_trend_type == 'any':
if last_candle['rmi-up-trend'] == 1:
in_trend = True
if self.cexit_trend_type == 'ssl' or self.cexit_trend_type == 'any':
if last_candle['ssl-dir'] == 'up':
in_trend = True
if self.cexit_trend_type == 'candle' or self.cexit_trend_type == 'any':
if last_candle['candle-up-trend'] == 1:
in_trend = True
# Don't sell if we are in a trend unless the pullback threshold is met
if in_trend == True and current_profit > 0:
# Record that we were in a trend for this trade/pair for a more useful sell message later
self.custom_trade_info[trade.pair]['had-trend'] = True
# If pullback is enabled and profit has pulled back allow a sell, maybe
if self.cexit_pullback == True and (current_profit <= pullback_value):
if self.cexit_pullback_respect_roi == True and current_profit > min_roi:
return 'intrend_pullback_roi'
elif self.cexit_pullback_respect_roi == False:
if current_profit > min_roi:
return 'intrend_pullback_roi'
else:
return 'intrend_pullback_noroi'
# We are in a trend and pullback is disabled or has not happened or various criteria were not met, hold
return None
# If we are not in a trend, just use the roi value
elif in_trend == False:
if self.custom_trade_info[trade.pair]['had-trend']:
if current_profit > min_roi:
self.custom_trade_info[trade.pair]['had-trend'] = False
return 'trend_roi'
elif self.cexit_endtrend_respect_roi == False:
self.custom_trade_info[trade.pair]['had-trend'] = False
return 'trend_noroi'
elif current_profit > min_roi:
return 'notrend_roi'
else:
return None