import logging from functools import reduce import pandas as pd import talib.abstract as ta from pandas import DataFrame from freqtrade.strategy import IStrategy, merge_informative_pair logger = logging.getLogger(__name__) class freqai_rl_test_strat(IStrategy): """ Test strategy - used for testing freqAI functionalities. DO not use in production. """ minimal_roi = {"0": 0.1, "240": -1} plot_config = { "main_plot": {}, "subplots": { "prediction": {"prediction": {"color": "blue"}}, "target_roi": { "target_roi": {"color": "brown"}, }, "do_predict": { "do_predict": {"color": "brown"}, }, }, } process_only_new_candles = True stoploss = -0.05 use_exit_signal = True startup_candle_count: int = 30 can_short = False def populate_any_indicators( self, pair, df, tf, informative=None, set_generalized_indicators=False ): if informative is None: informative = self.dp.get_pair_dataframe(pair, tf) # first loop is automatically duplicating indicators for time periods for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]: t = int(t) informative[f"%-{pair}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t) informative[f"%-{pair}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t) informative[f"%-{pair}adx-period_{t}"] = ta.ADX(informative, window=t) # FIXME: add these outside the user strategy? # The following columns are necessary for RL models. informative[f"%-{pair}raw_close"] = informative["close"] informative[f"%-{pair}raw_open"] = informative["open"] informative[f"%-{pair}raw_high"] = informative["high"] informative[f"%-{pair}raw_low"] = informative["low"] indicators = [col for col in informative if col.startswith("%")] # This loop duplicates and shifts all indicators to add a sense of recency to data for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1): if n == 0: continue informative_shift = informative[indicators].shift(n) informative_shift = informative_shift.add_suffix("_shift-" + str(n)) informative = pd.concat((informative, informative_shift), axis=1) df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True) skip_columns = [ (s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"] ] df = df.drop(columns=skip_columns) # Add generalized indicators here (because in live, it will call this # function to populate indicators during training). Notice how we ensure not to # add them multiple times if set_generalized_indicators: df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7 df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25 # For RL, there are no direct targets to set. This is filler (neutral) # until the agent sends an action. df["&-action"] = 0 return df def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: dataframe = self.freqai.start(dataframe, metadata, self) return dataframe def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame: enter_long_conditions = [df["do_predict"] == 1, df["&-action"] == 1] if enter_long_conditions: df.loc[ reduce(lambda x, y: x & y, enter_long_conditions), ["enter_long", "enter_tag"] ] = (1, "long") enter_short_conditions = [df["do_predict"] == 1, df["&-action"] == 3] if enter_short_conditions: df.loc[ reduce(lambda x, y: x & y, enter_short_conditions), ["enter_short", "enter_tag"] ] = (1, "short") return df def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame: exit_long_conditions = [df["do_predict"] == 1, df["&-action"] == 2] if exit_long_conditions: df.loc[reduce(lambda x, y: x & y, exit_long_conditions), "exit_long"] = 1 exit_short_conditions = [df["do_predict"] == 1, df["&-action"] == 4] if exit_short_conditions: df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1 return df