import logging from functools import reduce import talib.abstract as ta from pandas import DataFrame from freqtrade.strategy import DecimalParameter, IntParameter, IStrategy logger = logging.getLogger(__name__) class freqai_test_multimodel_strat(IStrategy): """ Test strategy - used for testing freqAI multimodel 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 = 300 can_short = False linear_roi_offset = DecimalParameter( 0.00, 0.02, default=0.005, space="sell", optimize=False, load=True ) max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True) def feature_engineering_expand_all( self, dataframe: DataFrame, period: int, metadata: dict, **kwargs ): dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period) dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period) dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period) return dataframe def feature_engineering_expand_basic(self, dataframe: DataFrame, metadata: dict, **kwargs): dataframe["%-pct-change"] = dataframe["close"].pct_change() dataframe["%-raw_volume"] = dataframe["volume"] dataframe["%-raw_price"] = dataframe["close"] return dataframe def feature_engineering_standard(self, dataframe: DataFrame, metadata: dict, **kwargs): dataframe["%-day_of_week"] = dataframe["date"].dt.dayofweek dataframe["%-hour_of_day"] = dataframe["date"].dt.hour return dataframe def set_freqai_targets(self, dataframe: DataFrame, metadata: dict, **kwargs): dataframe["&-s_close"] = ( dataframe["close"] .shift(-self.freqai_info["feature_parameters"]["label_period_candles"]) .rolling(self.freqai_info["feature_parameters"]["label_period_candles"]) .mean() / dataframe["close"] - 1 ) dataframe["&-s_range"] = ( dataframe["close"] .shift(-self.freqai_info["feature_parameters"]["label_period_candles"]) .rolling(self.freqai_info["feature_parameters"]["label_period_candles"]) .max() - dataframe["close"] .shift(-self.freqai_info["feature_parameters"]["label_period_candles"]) .rolling(self.freqai_info["feature_parameters"]["label_period_candles"]) .min() ) return dataframe def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: self.freqai_info = self.config["freqai"] dataframe = self.freqai.start(dataframe, metadata, self) dataframe["target_roi"] = dataframe["&-s_close_mean"] + dataframe["&-s_close_std"] * 1.25 dataframe["sell_roi"] = dataframe["&-s_close_mean"] - dataframe["&-s_close_std"] * 1.25 return dataframe def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame: enter_long_conditions = [df["do_predict"] == 1, df["&-s_close"] > df["target_roi"]] 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["&-s_close"] < df["sell_roi"]] 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["&-s_close"] < df["sell_roi"] * 0.25] 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["&-s_close"] > df["target_roi"] * 0.25] if exit_short_conditions: df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1 return df