SimpleMomentumStrategy

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

class SimpleMomentumStrategy(IStrategy):
    INTERFACE_VERSION = 3
    timeframe = "5m"
    can_short = True

    # ROI: 盈利0.5%就出
    minimal_roi = {"0": 0.005, "30": 0.003, "60": 0}
    stoploss = -0.015
    trailing_stop = True
    trailing_stop_positive = 0.004
    trailing_stop_positive_offset = 0.008
    trailing_only_offset_is_reached = True

    startup_candle_count = 12
    max_open_trades = 1

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        # 均线
        dataframe["ema9"] = ta.EMA(dataframe, timeperiod=9)
        dataframe["ema21"] = ta.EMA(dataframe, timeperiod=21)
        dataframe["sma50"] = ta.SMA(dataframe, timeperiod=21)

        # 动量
        dataframe["rsi"] = ta.RSI(dataframe, timeperiod=7)
        dataframe["macd"], dataframe["macd_signal"], _ = ta.MACD(dataframe,
            fastperiod=12, slowperiod=26, signalperiod=9)

        # 成交量确认
        dataframe["volume_sma"] = ta.SMA(dataframe["volume"], timeperiod=10)

        return dataframe

    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        # 做多: EMA9 > EMA21 + RSI > 50 + MACD金叉 + 放量
        dataframe.loc[
            (
                (dataframe["ema9"] > dataframe["ema21"]) &
                (dataframe["rsi"] > 50) &
                (dataframe["macd"] > dataframe["macd_signal"]) &
                (dataframe["volume"] > dataframe["volume_sma"]) &
                (dataframe["close"] > dataframe["sma50"])
            ),
            ["enter_long", "enter_tag"]
        ] = (1, "ema_momentum_long")

        # 做空: EMA9 < EMA21 + RSI < 50 + MACD死叉 + 放量
        dataframe.loc[
            (
                (dataframe["ema9"] < dataframe["ema21"]) &
                (dataframe["rsi"] < 50) &
                (dataframe["macd"] < dataframe["macd_signal"]) &
                (dataframe["volume"] > dataframe["volume_sma"]) &
                (dataframe["close"] < dataframe["sma50"])
            ),
            ["enter_short", "enter_tag"]
        ] = (1, "ema_momentum_short")

        return dataframe

    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        # 平多: 趋势反转
        dataframe.loc[
            ((dataframe["ema9"] < dataframe["ema21"]) | (dataframe["rsi"] < 40)),
            "exit_long"
        ] = 1

        # 平空: 趋势反转
        dataframe.loc[
            ((dataframe["ema9"] > dataframe["ema21"]) | (dataframe["rsi"] > 60)),
            "exit_short"
        ] = 1

        return dataframe