ichiV1_hyperopt

# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from pandas import DataFrame
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.strategy import DecimalParameter, IntParameter, CategoricalParameter, BooleanParameter
import pandas as pd  # noqa
pd.options.mode.chained_assignment = None  # default='warn'
import technical.indicators as ftt
from functools import reduce
from datetime import datetime, timedelta
import numpy as np


def SSLChannels(dataframe, length = 7):
    df = dataframe.copy()
    df['ATR'] = ta.ATR(df, timeperiod=14)
    df['smaHigh'] = df['high'].rolling(length).mean() + df['ATR']
    df['smaLow'] = df['low'].rolling(length).mean() - df['ATR']
    df['hlv'] = np.where(df['close'] > df['smaHigh'], 1, np.where(df['close'] < df['smaLow'], -1, np.NAN))
    df['hlv'] = df['hlv'].ffill()
    df['sslDown'] = np.where(df['hlv'] < 0, df['smaHigh'], df['smaLow'])
    df['sslUp'] = np.where(df['hlv'] < 0, df['smaLow'], df['smaHigh'])
    return df['sslDown'], df['sslUp']

class ichiV1_hyperopt(IStrategy):

    # NOTE: settings as of the 25th july 21
    # Buy hyperspace params:

    #"buy_min_fan_magnitude_gain": 1.008 # NOTE: Very save value (Win% ~90%), only the biggest moves 1.008,
    

    # Sell hyperspace params:
    # NOTE: was 15m but kept bailing out in dryrun
        
    # ROI table:
    minimal_roi = {
        "0": 0.059,
        "10": 0.037,
        "41": 0.012,
        "114": 0
    }

    # Stoploss:
    stoploss = -0.275

    # Optimal timeframe for the strategy
    timeframe = '5m'

    startup_candle_count = 96
    process_only_new_candles = False

    trailing_stop = False
    #trailing_stop_positive = 0.002
    #trailing_stop_positive_offset = 0.025
    #trailing_only_offset_is_reached = True

    use_sell_signal = True
    sell_profit_only = False
    ignore_roi_if_buy_signal = False

    buy_trend_above_senkou_level = IntParameter(1, 8, default=1, space="buy")
    buy_trend_bullish_level = IntParameter(1, 8, default=6, space="buy")
    buy_fan_magnitude_shift_value = IntParameter(1, 10, default=3, space="buy")
    buy_min_fan_magnitude_gain = DecimalParameter(1.001, 1.02, default=1.002, space="buy")

    sell_trend_indicator = CategoricalParameter(['trend_close_30m', 'trend_close_1h', 'trend_close_2h', 'trend_close_4h', 'trend_close_6h', 'trend_close_8h'], default='trend_close_2h', space='sell')

    plot_config = {
        'main_plot': {
            # fill area between senkou_a and senkou_b
            'senkou_a': {
                'color': 'green', #optional
                'fill_to': 'senkou_b',
                'fill_label': 'Ichimoku Cloud', #optional
                'fill_color': 'rgba(255,76,46,0.2)', #optional
            },
            # plot senkou_b, too. Not only the area to it.
            'senkou_b': {},
            'trend_close_5m': {'color': '#FF5733'},
            'trend_close_15m': {'color': '#FF8333'},
            'trend_close_30m': {'color': '#FFB533'},
            'trend_close_1h': {'color': '#FFE633'},
            'trend_close_2h': {'color': '#E3FF33'},
            'trend_close_4h': {'color': '#C4FF33'},
            'trend_close_6h': {'color': '#61FF33'},
            'trend_close_8h': {'color': '#33FF7D'}
        },
        'subplots': {
            'fan_magnitude': {
                'fan_magnitude': {}
            },
            'fan_magnitude_gain': {
                'fan_magnitude_gain': {}
            }
        }
    }

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

        heikinashi = qtpylib.heikinashi(dataframe)
        dataframe['open'] = heikinashi['open']
        dataframe['close'] = heikinashi['close']
        dataframe['high'] = heikinashi['high']
        dataframe['low'] = heikinashi['low']

        dataframe['trend_close_5m'] = dataframe['close']
        dataframe['trend_close_15m'] = ta.EMA(dataframe['close'], timeperiod=3)
        dataframe['trend_close_30m'] = ta.EMA(dataframe['close'], timeperiod=6)
        dataframe['trend_close_1h'] = ta.EMA(dataframe['close'], timeperiod=12)
        dataframe['trend_close_2h'] = ta.EMA(dataframe['close'], timeperiod=24)
        dataframe['trend_close_4h'] = ta.EMA(dataframe['close'], timeperiod=48)
        dataframe['trend_close_6h'] = ta.EMA(dataframe['close'], timeperiod=72)
        dataframe['trend_close_8h'] = ta.EMA(dataframe['close'], timeperiod=96)

        dataframe['trend_open_5m'] = dataframe['open']
        dataframe['trend_open_15m'] = ta.EMA(dataframe['open'], timeperiod=3)
        dataframe['trend_open_30m'] = ta.EMA(dataframe['open'], timeperiod=6)
        dataframe['trend_open_1h'] = ta.EMA(dataframe['open'], timeperiod=12)
        dataframe['trend_open_2h'] = ta.EMA(dataframe['open'], timeperiod=24)
        dataframe['trend_open_4h'] = ta.EMA(dataframe['open'], timeperiod=48)
        dataframe['trend_open_6h'] = ta.EMA(dataframe['open'], timeperiod=72)
        dataframe['trend_open_8h'] = ta.EMA(dataframe['open'], timeperiod=96)

        dataframe['fan_magnitude'] = (dataframe['trend_close_1h'] / dataframe['trend_close_8h'])
        dataframe['fan_magnitude_gain'] = dataframe['fan_magnitude'] / dataframe['fan_magnitude'].shift(1)

        ichimoku = ftt.ichimoku(dataframe, conversion_line_period=20, base_line_periods=60, laggin_span=120, displacement=30)
        dataframe['chikou_span'] = ichimoku['chikou_span']
        dataframe['tenkan_sen'] = ichimoku['tenkan_sen']
        dataframe['kijun_sen'] = ichimoku['kijun_sen']
        dataframe['senkou_a'] = ichimoku['senkou_span_a']
        dataframe['senkou_b'] = ichimoku['senkou_span_b']
        dataframe['leading_senkou_span_a'] = ichimoku['leading_senkou_span_a']
        dataframe['leading_senkou_span_b'] = ichimoku['leading_senkou_span_b']
        dataframe['cloud_green'] = ichimoku['cloud_green']
        dataframe['cloud_red'] = ichimoku['cloud_red']

        dataframe['atr'] = ta.ATR(dataframe)

        return dataframe


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

        conditions = []

        # Trending market
        if self.buy_trend_above_senkou_level.value >= 1:
            conditions.append(dataframe['trend_close_5m'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_5m'] > dataframe['senkou_b'])

        if self.buy_trend_above_senkou_level.value >= 2:
            conditions.append(dataframe['trend_close_15m'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_15m'] > dataframe['senkou_b'])

        if self.buy_trend_above_senkou_level.value >= 3:
            conditions.append(dataframe['trend_close_30m'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_30m'] > dataframe['senkou_b'])

        if self.buy_trend_above_senkou_level.value >= 4:
            conditions.append(dataframe['trend_close_1h'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_1h'] > dataframe['senkou_b'])

        if self.buy_trend_above_senkou_level.value >= 5:
            conditions.append(dataframe['trend_close_2h'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_2h'] > dataframe['senkou_b'])

        if self.buy_trend_above_senkou_level.value >= 6:
            conditions.append(dataframe['trend_close_4h'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_4h'] > dataframe['senkou_b'])

        if self.buy_trend_above_senkou_level.value >= 7:
            conditions.append(dataframe['trend_close_6h'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_6h'] > dataframe['senkou_b'])

        if self.buy_trend_above_senkou_level.value >= 8:
            conditions.append(dataframe['trend_close_8h'] > dataframe['senkou_a'])
            conditions.append(dataframe['trend_close_8h'] > dataframe['senkou_b'])

        # Trends bullish
        if self.buy_trend_bullish_level.value >= 1:
            conditions.append(dataframe['trend_close_5m'] > dataframe['trend_open_5m'])

        if self.buy_trend_bullish_level.value >= 2:
            conditions.append(dataframe['trend_close_15m'] > dataframe['trend_open_15m'])

        if self.buy_trend_bullish_level.value >= 3:
            conditions.append(dataframe['trend_close_30m'] > dataframe['trend_open_30m'])

        if self.buy_trend_bullish_level.value >= 4:
            conditions.append(dataframe['trend_close_1h'] > dataframe['trend_open_1h'])

        if self.buy_trend_bullish_level.value >= 5:
            conditions.append(dataframe['trend_close_2h'] > dataframe['trend_open_2h'])

        if self.buy_trend_bullish_level.value >= 6:
            conditions.append(dataframe['trend_close_4h'] > dataframe['trend_open_4h'])

        if self.buy_trend_bullish_level.value >= 7:
            conditions.append(dataframe['trend_close_6h'] > dataframe['trend_open_6h'])

        if self.buy_trend_bullish_level.value >= 8:
            conditions.append(dataframe['trend_close_8h'] > dataframe['trend_open_8h'])

        # Trends magnitude
        conditions.append(dataframe['fan_magnitude_gain'] >= self.buy_min_fan_magnitude_gain.value)
        conditions.append(dataframe['fan_magnitude'] > 1)

        for x in range(self.buy_fan_magnitude_shift_value.value):
            conditions.append(dataframe['fan_magnitude'].shift(x+1) < dataframe['fan_magnitude'])

        ssl_down, ssl_up = SSLChannels(dataframe, 10)
        dataframe['ssl_down'] = ssl_down
        dataframe['ssl_up'] = ssl_up
        dataframe['ssl_high'] = (ssl_up > ssl_down).astype('int') * 3
        conditions.append(dataframe['ssl_high'] > 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(qtpylib.crossed_below(dataframe['trend_close_5m'], dataframe[self.sell_trend_indicator.value]))
        conditions.append(dataframe['ssl_high'] == 0)
        conditions.append( (dataframe['tenkan_sen'] < dataframe['kijun_sen']) | (dataframe['close'] < dataframe['kijun_sen']))

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

        return dataframe