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Merge pull request #104 from gcarq/sell_signal

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Add sell_signal support
This commit is contained in:
Michael Egger 2017-11-16 17:02:24 +01:00 committed by GitHub
commit 1ccb266032
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6 changed files with 69 additions and 38 deletions
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33
freqtrade/analyze.py
View File

@ -1,3 +1,4 @@
from enum import Enum
import logging
from datetime import timedelta
@ -6,10 +7,14 @@ import talib.abstract as ta
from pandas import DataFrame, to_datetime
from freqtrade.exchange import get_ticker_history
from freqtrade.vendor.qtpylib.indicators import awesome_oscillator
from freqtrade.vendor.qtpylib.indicators import awesome_oscillator, crossed_above, crossed_below
logger = logging.getLogger(__name__)
class SignalType(Enum):
BUY = "buy"
SELL = "sell"
def parse_ticker_dataframe(ticker: list) -> DataFrame:
"""
@ -57,7 +62,7 @@ def populate_indicators(dataframe: DataFrame) -> DataFrame:
def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
"""
Based on TA indicators, populates the buy trend for the given dataframe
Based on TA indicators, populates the buy signal for the given dataframe
:param dataframe: DataFrame
:return: DataFrame with buy column
"""
@ -72,6 +77,19 @@ def populate_buy_trend(dataframe: DataFrame) -> DataFrame:
return dataframe
def populate_sell_trend(dataframe: DataFrame) -> DataFrame:
"""
Based on TA indicators, populates the sell signal for the given dataframe
:param dataframe: DataFrame
:return: DataFrame with buy column
"""
dataframe.ix[
(crossed_above(dataframe['rsi'], 70)),
'sell'] = 1
dataframe.ix[dataframe['sell'] == 1, 'sell_price'] = dataframe['close']
return dataframe
def analyze_ticker(pair: str) -> DataFrame:
"""
@ -87,12 +105,13 @@ def analyze_ticker(pair: str) -> DataFrame:
dataframe = parse_ticker_dataframe(ticker_hist)
dataframe = populate_indicators(dataframe)
dataframe = populate_buy_trend(dataframe)
dataframe = populate_sell_trend(dataframe)
return dataframe
def get_buy_signal(pair: str) -> bool:
def get_signal(pair: str, signal: SignalType) -> bool:
"""
Calculates a buy signal based several technical analysis indicators
Calculates current signal based several technical analysis indicators
:param pair: pair in format BTC_ANT or BTC-ANT
:return: True if pair is good for buying, False otherwise
"""
@ -107,6 +126,6 @@ def get_buy_signal(pair: str) -> bool:
if signal_date < arrow.now() - timedelta(minutes=10):
return False
signal = latest['buy'] == 1
logger.debug('buy_trigger: %s (pair=%s, signal=%s)', latest['date'], pair, signal)
return signal
result = latest[signal.value] == 1
logger.debug('%s_trigger: %s (pair=%s, signal=%s)', signal.value, latest['date'], pair, result)
return result

15
freqtrade/main.py
View File

@ -13,9 +13,10 @@ from cachetools import cached, TTLCache
from jsonschema import validate
from freqtrade import __version__, exchange, persistence
from freqtrade.analyze import get_buy_signal
from freqtrade.misc import CONF_SCHEMA, State, get_state, update_state, build_arg_parser, throttle, \
FreqtradeException
from freqtrade.analyze import get_signal, SignalType
from freqtrade.misc import (
CONF_SCHEMA, State, get_state, update_state, build_arg_parser, throttle, FreqtradeException
)
from freqtrade.persistence import Trade
from freqtrade.rpc import telegram
@ -152,9 +153,9 @@ def execute_sell(trade: Trade, limit: float) -> None:
telegram.send_msg(message)
def should_sell(trade: Trade, current_rate: float, current_time: datetime) -> bool:
def min_roi_reached(trade: Trade, current_rate: float, current_time: datetime) -> bool:
"""
Based an earlier trade and current price and configuration, decides whether bot should sell
Based an earlier trade and current price and ROI configuration, decides whether bot should sell
:return True if bot should sell at current rate
"""
current_profit = trade.calc_profit(current_rate)
@ -182,7 +183,7 @@ def handle_trade(trade: Trade) -> bool:
logger.debug('Handling %s ...', trade)
current_rate = exchange.get_ticker(trade.pair)['bid']
if should_sell(trade, current_rate, datetime.utcnow()):
if min_roi_reached(trade, current_rate, datetime.utcnow()) or get_signal(trade.pair, SignalType.SELL):
execute_sell(trade, current_rate)
return True
return False
@ -223,7 +224,7 @@ def create_trade(stake_amount: float) -> Optional[Trade]:
# Pick pair based on StochRSI buy signals
for _pair in whitelist:
if get_buy_signal(_pair):
if get_signal(_pair, SignalType.BUY):
pair = _pair
break
else:

16
freqtrade/tests/test_analyze.py
View File

@ -5,7 +5,7 @@ import pytest
from pandas import DataFrame
from freqtrade.analyze import parse_ticker_dataframe, populate_buy_trend, populate_indicators, \
get_buy_signal
get_signal, SignalType
@pytest.fixture
@ -32,8 +32,18 @@ def test_populates_buy_trend(result):
def test_returns_latest_buy_signal(mocker):
buydf = DataFrame([{'buy': 1, 'date': datetime.today()}])
mocker.patch('freqtrade.analyze.analyze_ticker', return_value=buydf)
assert get_buy_signal('BTC-ETH')
assert get_signal('BTC-ETH', SignalType.BUY)
buydf = DataFrame([{'buy': 0, 'date': datetime.today()}])
mocker.patch('freqtrade.analyze.analyze_ticker', return_value=buydf)
assert not get_buy_signal('BTC-ETH')
assert not get_signal('BTC-ETH', SignalType.BUY)
def test_returns_latest_sell_signal(mocker):
selldf = DataFrame([{'sell': 1, 'date': datetime.today()}])
mocker.patch('freqtrade.analyze.analyze_ticker', return_value=selldf)
assert get_signal('BTC-ETH', SignalType.SELL)
selldf = DataFrame([{'sell': 0, 'date': datetime.today()}])
mocker.patch('freqtrade.analyze.analyze_ticker', return_value=selldf)
assert not get_signal('BTC-ETH', SignalType.SELL)

6
freqtrade/tests/test_backtesting.py
View File

@ -9,7 +9,7 @@ from pandas import DataFrame
from freqtrade import exchange
from freqtrade.analyze import analyze_ticker
from freqtrade.exchange import Bittrex
from freqtrade.main import should_sell
from freqtrade.main import min_roi_reached
from freqtrade.persistence import Trade
logging.disable(logging.DEBUG) # disable debug logs that slow backtesting a lot
@ -33,7 +33,7 @@ def backtest(backtest_conf, backdata, mocker):
mocker.patch('arrow.utcnow', return_value=arrow.get('2017-08-20T14:50:00'))
for pair, pair_data in backdata.items():
mocked_history.return_value = pair_data
ticker = analyze_ticker(pair)[['close', 'date', 'buy']].copy()
ticker = analyze_ticker(pair)[['close', 'date', 'buy', 'sell']].copy()
# for each buy point
for row in ticker[ticker.buy == 1].itertuples(index=True):
trade = Trade(
@ -44,7 +44,7 @@ def backtest(backtest_conf, backdata, mocker):
)
# calculate win/lose forwards from buy point
for row2 in ticker[row.Index:].itertuples(index=True):
if should_sell(trade, row2.close, row2.date):
if min_roi_reached(trade, row2.close, row2.date) or row2.sell == 1:
current_profit = trade.calc_profit(row2.close)
trades.append((pair, current_profit, row2.Index - row.Index))

19
freqtrade/tests/test_main.py
View File

@ -7,6 +7,7 @@ import requests
from sqlalchemy import create_engine
from freqtrade.exchange import Exchanges
from freqtrade.analyze import SignalType
from freqtrade.main import create_trade, handle_trade, close_trade_if_fulfilled, init, \
get_target_bid, _process
from freqtrade.misc import get_state, State, FreqtradeException
@ -16,7 +17,7 @@ from freqtrade.persistence import Trade
def test_process_trade_creation(default_conf, ticker, health, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
@ -45,7 +46,7 @@ def test_process_trade_creation(default_conf, ticker, health, mocker):
def test_process_exchange_failures(default_conf, ticker, health, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
sleep_mock = mocker.patch('time.sleep', side_effect=lambda _: None)
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
@ -62,7 +63,7 @@ def test_process_runtime_error(default_conf, ticker, health, mocker):
msg_mock = MagicMock()
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=msg_mock)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
@ -80,7 +81,7 @@ def test_process_runtime_error(default_conf, ticker, health, mocker):
def test_process_trade_handling(default_conf, ticker, limit_buy_order, health, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
signal = mocker.patch('freqtrade.main.get_signal', side_effect=lambda *args: False if args[1] == SignalType.SELL else True)
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
get_ticker=ticker,
@ -102,7 +103,7 @@ def test_process_trade_handling(default_conf, ticker, limit_buy_order, health, m
def test_create_trade(default_conf, ticker, limit_buy_order, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
@ -132,7 +133,7 @@ def test_create_trade(default_conf, ticker, limit_buy_order, mocker):
def test_create_trade_no_stake_amount(default_conf, ticker, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
@ -145,7 +146,7 @@ def test_create_trade_no_stake_amount(default_conf, ticker, mocker):
def test_create_trade_no_pairs(default_conf, ticker, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
@ -161,7 +162,7 @@ def test_create_trade_no_pairs(default_conf, ticker, mocker):
def test_handle_trade(default_conf, limit_buy_order, limit_sell_order, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),
@ -194,7 +195,7 @@ def test_handle_trade(default_conf, limit_buy_order, limit_sell_order, mocker):
def test_close_trade(default_conf, ticker, limit_buy_order, limit_sell_order, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
mocker.patch.multiple('freqtrade.main.telegram', init=MagicMock(), send_msg=MagicMock())
mocker.patch.multiple('freqtrade.main.exchange',
validate_pairs=MagicMock(),

18
freqtrade/tests/test_telegram.py
View File

@ -79,7 +79,7 @@ def test_authorized_only_exception(default_conf, mocker):
def test_status_handle(default_conf, update, ticker, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.main.telegram',
_CONF=default_conf,
@ -117,7 +117,7 @@ def test_status_handle(default_conf, update, ticker, mocker):
def test_status_table_handle(default_conf, update, ticker, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.main.telegram',
@ -160,7 +160,7 @@ def test_status_table_handle(default_conf, update, ticker, mocker):
def test_profit_handle(default_conf, update, ticker, limit_buy_order, limit_sell_order, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.main.telegram',
_CONF=default_conf,
@ -204,7 +204,7 @@ def test_profit_handle(default_conf, update, ticker, limit_buy_order, limit_sell
def test_forcesell_handle(default_conf, update, ticker, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.main.telegram',
_CONF=default_conf,
@ -232,7 +232,7 @@ def test_forcesell_handle(default_conf, update, ticker, mocker):
def test_forcesell_all_handle(default_conf, update, ticker, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.main.telegram',
_CONF=default_conf,
@ -260,7 +260,7 @@ def test_forcesell_all_handle(default_conf, update, ticker, mocker):
def test_forcesell_handle_invalid(default_conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.main.telegram',
_CONF=default_conf,
@ -297,7 +297,7 @@ def test_forcesell_handle_invalid(default_conf, update, mocker):
def test_performance_handle(
default_conf, update, ticker, limit_buy_order, limit_sell_order, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.main.telegram',
_CONF=default_conf,
@ -331,7 +331,7 @@ def test_performance_handle(
def test_count_handle(default_conf, update, ticker, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple(
'freqtrade.main.telegram',
@ -365,7 +365,7 @@ def test_count_handle(default_conf, update, ticker, mocker):
def test_performance_handle_invalid(default_conf, update, mocker):
mocker.patch.dict('freqtrade.main._CONF', default_conf)
mocker.patch('freqtrade.main.get_buy_signal', side_effect=lambda _: True)
mocker.patch('freqtrade.main.get_signal', side_effect=lambda s, t: True)
msg_mock = MagicMock()
mocker.patch.multiple('freqtrade.main.telegram',
_CONF=default_conf,