RsiBbStrategy

"""Mean-reversion strategy: RSI oversold bounces at lower Bollinger Band."""

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


class RsiBbStrategy(IStrategy):

    INTERFACE_VERSION = 3

    minimal_roi = {
        "0": 0.04,
        "60": 0.02,
        "180": 0.01,
        "360": 0.005,
    }

    stoploss = -0.06
    trailing_stop = True
    trailing_stop_positive = 0.015
    trailing_stop_positive_offset = 0.025
    trailing_only_offset_is_reached = True

    timeframe = "15m"
    process_only_new_candles = True
    startup_candle_count: int = 100

    buy_rsi = IntParameter(15, 35, default=25, space="buy")
    sell_rsi = IntParameter(65, 85, default=75, space="sell")

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe["rsi"] = ta.RSI(dataframe, timeperiod=14)
        bb = ta.BBANDS(dataframe, timeperiod=20, nbdevup=2.0, nbdevdn=2.0)
        dataframe["bb_upper"] = bb["upperband"]
        dataframe["bb_middle"] = bb["middleband"]
        dataframe["bb_lower"] = bb["lowerband"]
        dataframe["bb_width"] = (dataframe["bb_upper"] - dataframe["bb_lower"]) / dataframe["bb_middle"]
        dataframe["volume_sma"] = ta.SMA(dataframe["volume"], timeperiod=20)
        return dataframe

    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe.loc[
            (
                (dataframe["rsi"] < self.buy_rsi.value) &
                (dataframe["close"] < dataframe["bb_lower"]) &
                (dataframe["bb_width"] > 0.02) &
                (dataframe["volume"] > dataframe["volume_sma"] * 0.8) &
                (dataframe["volume"] > 0)
            ),
            "enter_long"] = 1
        return dataframe

    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe.loc[
            (
                (dataframe["rsi"] > self.sell_rsi.value) &
                (dataframe["close"] > dataframe["bb_upper"]) &
                (dataframe["volume"] > 0)
            ),
            "exit_long"] = 1
        return dataframe