MacdMomentumStrategy

"""Momentum breakout: MACD histogram + volume surge + Donchian breakout."""

from freqtrade.strategy import IStrategy
from pandas import DataFrame
import talib.abstract as ta


class MacdMomentumStrategy(IStrategy):

    INTERFACE_VERSION = 3

    minimal_roi = {
        "0": 0.06,
        "60": 0.04,
        "180": 0.02,
        "360": 0.01,
    }

    stoploss = -0.05
    trailing_stop = True
    trailing_stop_positive = 0.012
    trailing_stop_positive_offset = 0.022
    trailing_only_offset_is_reached = True

    timeframe = "30m"
    process_only_new_candles = True
    startup_candle_count: int = 200

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        macd = ta.MACD(dataframe, fastperiod=12, slowperiod=26, signalperiod=9)
        dataframe["macd"] = macd["macd"]
        dataframe["macd_signal"] = macd["macdsignal"]
        dataframe["macd_hist"] = macd["macdhist"]
        dataframe["macd_hist_prev"] = dataframe["macd_hist"].shift(1)

        dataframe["donch_high_20"] = dataframe["high"].rolling(20).max()
        dataframe["donch_low_20"] = dataframe["low"].rolling(20).min()

        dataframe["ema_100"] = ta.EMA(dataframe, timeperiod=100)
        dataframe["volume_sma"] = ta.SMA(dataframe["volume"], timeperiod=20)
        dataframe["rsi"] = ta.RSI(dataframe, timeperiod=14)
        return dataframe

    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe.loc[
            (
                (dataframe["macd_hist"] > 0) &
                (dataframe["macd_hist"] > dataframe["macd_hist_prev"]) &
                (dataframe["macd"] > dataframe["macd_signal"]) &
                (dataframe["close"] > dataframe["donch_high_20"].shift(1)) &
                (dataframe["close"] > dataframe["ema_100"]) &
                (dataframe["rsi"] < 75) &
                (dataframe["volume"] > dataframe["volume_sma"] * 1.3) &
                (dataframe["volume"] > 0)
            ),
            "enter_long"] = 1
        return dataframe

    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe.loc[
            (
                (
                    (dataframe["macd_hist"] < 0) |
                    (dataframe["close"] < dataframe["donch_low_20"].shift(1)) |
                    (dataframe["rsi"] > 82)
                ) &
                (dataframe["volume"] > 0)
            ),
            "exit_long"] = 1
        return dataframe