freqtrade_origin/tests/strategy/strats/strategy_test_v2.py

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# pragma pylint: disable=missing-docstring, invalid-name, pointless-string-statement
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from datetime import datetime
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import talib.abstract as ta
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from pandas import DataFrame
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import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.persistence import Trade
from freqtrade.strategy import IStrategy
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class StrategyTestV2(IStrategy):
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"""
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Strategy used by tests freqtrade bot.
Please do not modify this strategy, it's intended for internal use only.
Please look at the SampleStrategy in the user_data/strategy directory
or strategy repository https://github.com/freqtrade/freqtrade-strategies
for samples and inspiration.
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"""
INTERFACE_VERSION = 2
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# Minimal ROI designed for the strategy
minimal_roi = {
"40": 0.0,
"30": 0.01,
"20": 0.02,
"0": 0.04
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}
# Optimal stoploss designed for the strategy
stoploss = -0.10
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# Optimal timeframe for the strategy
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timeframe = '5m'
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# Optional order type mapping
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order_types = {
'buy': 'limit',
'sell': 'limit',
'stoploss': 'limit',
'stoploss_on_exchange': False
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}
# Number of candles the strategy requires before producing valid signals
startup_candle_count: int = 20
# Optional time in force for orders
order_time_in_force = {
'buy': 'gtc',
'sell': 'gtc',
}
# By default this strategy does not use Position Adjustments
position_adjustment_enable = False
def informative_pairs(self):
"""
Define additional, informative pair/interval combinations to be cached from the exchange.
These pair/interval combinations are non-tradeable, unless they are part
of the whitelist as well.
For more information, please consult the documentation
:return: List of tuples in the format (pair, interval)
Sample: return [("ETH/USDT", "5m"),
("BTC/USDT", "15m"),
]
"""
return []
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
Adds several different TA indicators to the given DataFrame
Performance Note: For the best performance be frugal on the number of indicators
you are using. Let uncomment only the indicator you are using in your strategies
or your hyperopt configuration, otherwise you will waste your memory and CPU usage.
:param dataframe: Dataframe with data from the exchange
:param metadata: Additional information, like the currently traded pair
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:return: a Dataframe with all mandatory indicators for the strategies
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"""
# Momentum Indicator
# ------------------------------------
# ADX
dataframe['adx'] = ta.ADX(dataframe)
# MACD
macd = ta.MACD(dataframe)
dataframe['macd'] = macd['macd']
dataframe['macdsignal'] = macd['macdsignal']
dataframe['macdhist'] = macd['macdhist']
# Minus Directional Indicator / Movement
dataframe['minus_di'] = ta.MINUS_DI(dataframe)
# Plus Directional Indicator / Movement
dataframe['plus_di'] = ta.PLUS_DI(dataframe)
# RSI
dataframe['rsi'] = ta.RSI(dataframe)
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# Stoch fast
stoch_fast = ta.STOCHF(dataframe)
dataframe['fastd'] = stoch_fast['fastd']
dataframe['fastk'] = stoch_fast['fastk']
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# 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']
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# EMA - Exponential Moving Average
dataframe['ema10'] = ta.EMA(dataframe, timeperiod=10)
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return dataframe
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
Based on TA indicators, populates the buy signal for the given dataframe
:param dataframe: DataFrame
:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
"""
dataframe.loc[
(
(dataframe['rsi'] < 35) &
(dataframe['fastd'] < 35) &
(dataframe['adx'] > 30) &
(dataframe['plus_di'] > 0.5)
) |
(
(dataframe['adx'] > 65) &
(dataframe['plus_di'] > 0.5)
),
'buy'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
Based on TA indicators, populates the sell signal for the given dataframe
:param dataframe: DataFrame
:param metadata: Additional information, like the currently traded pair
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:return: DataFrame with buy column
"""
dataframe.loc[
(
(
(qtpylib.crossed_above(dataframe['rsi'], 70)) |
(qtpylib.crossed_above(dataframe['fastd'], 70))
) &
(dataframe['adx'] > 10) &
(dataframe['minus_di'] > 0)
) |
(
(dataframe['adx'] > 70) &
(dataframe['minus_di'] > 0.5)
),
'sell'] = 1
return dataframe
def adjust_trade_position(self, trade: Trade, current_time: datetime, current_rate: float,
current_profit: float, min_stake: float, max_stake: float, **kwargs):
if current_profit < -0.0075:
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orders = trade.select_filled_orders('buy')
return round(orders[0].cost, 0)
return None