GymStrategy

import numpy as np
from pandas import DataFrame
from freqtrade.strategy.interface import IStrategy
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
from stable_baselines3 import PPO

class GymStrategy(IStrategy):
    INTERFACE_VERSION = 3
    stoploss = -0.2
    trailing_stop = False
    timeframe = '5m'
    process_only_new_candles = False
    startup_candle_count: int = 20
    model = None

    def __init__(self, config: dict) -> None:
        super().__init__(config)
        self._load_model()

    def _load_model(self):
        try:
            self.model = PPO.load('/freqtrade/user_data/model.gym')
        except FileNotFoundError:
            # model does not exist yet, generate one using freqgym.py
            pass

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

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        # 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
        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']
        # # Bollinger Bands - Weighted (EMA based instead of SMA)
        # weighted_bollinger = qtpylib.weighted_bollinger_bands(
        #     qtpylib.typical_price(dataframe), window=20, stds=2
        # )
        # dataframe["wbb_upperband"] = weighted_bollinger["upper"]
        # dataframe["wbb_lowerband"] = weighted_bollinger["lower"]
        # dataframe["wbb_middleband"] = weighted_bollinger["mid"]
        # dataframe["wbb_percent"] = (
        #     (dataframe["close"] - dataframe["wbb_lowerband"]) /
        #     (dataframe["wbb_upperband"] - dataframe["wbb_lowerband"])
        # )
        # dataframe["wbb_width"] = (
        #     (dataframe["wbb_upperband"] - dataframe["wbb_lowerband"]) /
        #     dataframe["wbb_middleband"]
        # )
        # # EMA - Exponential Moving Average
        # dataframe['ema3'] = ta.EMA(dataframe, timeperiod=3)
        # dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
        # dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
        # dataframe['ema21'] = ta.EMA(dataframe, timeperiod=21)
        # dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
        # dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100)
        # # SMA - Simple Moving Average
        # dataframe['sma3'] = ta.SMA(dataframe, timeperiod=3)
        # dataframe['sma5'] = ta.SMA(dataframe, timeperiod=5)
        # dataframe['sma10'] = ta.SMA(dataframe, timeperiod=10)
        # dataframe['sma21'] = ta.SMA(dataframe, timeperiod=21)
        # dataframe['sma50'] = ta.SMA(dataframe, timeperiod=50)
        # dataframe['sma100'] = ta.SMA(dataframe, timeperiod=100)
        # 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']
        # Retrieve best bid and best ask from the orderbook
        # ------------------------------------
        "\n        # first check if dataprovider is available\n        if self.dp:\n            if self.dp.runmode in ('live', 'dry_run'):\n                ob = self.dp.orderbook(metadata['pair'], 1)\n                dataframe['best_bid'] = ob['bids'][0][0]\n                dataframe['best_ask'] = ob['asks'][0][0]\n        "
        return dataframe

    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        action, nan_list = self.rl_model_redict(dataframe)
        dataframe.loc[action == 1, 'enter_long'] = 1
        dataframe.loc[nan_list == True, 'enter_long'] = 0
        return dataframe

    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        action, nan_list = self.rl_model_redict(dataframe)
        dataframe.loc[action == 2, 'exit_long'] = 1
        dataframe.loc[nan_list == True, 'exit_long'] = 0
        return dataframe

    def rl_model_redict(self, dataframe):
        # dataframe['kc_percent'],
        # dataframe['kc_width'],
        # row['bb_percent'],
        # row['bb_width'],
        # row['wbb_percent'],
        # row['wbb_width'],
        # dataframe['htsine'],
        # dataframe['htleadsine'],
        # row['CDLHAMMER'],
        # row['CDLINVERTEDHAMMER'],
        # row['CDLDRAGONFLYDOJI'],
        # row['CDLPIERCING'],
        # row['CDLMORNINGSTAR'],
        # row['CDL3WHITESOLDIERS'],
        # row['CDLHANGINGMAN'],
        # row['CDLSHOOTINGSTAR'],
        # row['CDLGRAVESTONEDOJI'],
        # row['CDLDARKCLOUDCOVER'],
        # row['CDLEVENINGDOJISTAR'],
        # row['CDLEVENINGSTAR'],
        # row['CDL3LINESTRIKE'],
        # row['CDLSPINNINGTOP'],
        # row['CDLENGULFING'],
        # row['CDLHARAMI'],
        # row['CDL3OUTSIDE'],
        # row['CDL3INSIDE'],
        # trad_status,
        # (self.trade != None)
        data = np.array([dataframe['adx'], dataframe['plus_dm'], dataframe['plus_di'], dataframe['minus_dm'], dataframe['minus_di'], dataframe['aroonup'], dataframe['aroondown'], dataframe['aroonosc'], dataframe['ao'], dataframe['uo'], dataframe['cci'], dataframe['rsi'], dataframe['fisher_rsi'], dataframe['slowd'], dataframe['slowk'], dataframe['fastd'], dataframe['fastk'], dataframe['fastd_rsi'], dataframe['fastk_rsi'], dataframe['macd'], dataframe['macdsignal'], dataframe['macdhist'], dataframe['mfi'], dataframe['roc']], dtype=np.float)
        data = data.reshape(-1, 24)
        nan_list = np.isnan(data).any(axis=1)
        data = np.nan_to_num(data)
        action, _ = self.model.predict(data, deterministic=True)
        return (action, nan_list)