import logging from functools import reduce from typing import Dict import talib.abstract as ta from pandas import DataFrame from technical import qtpylib from freqtrade.strategy import IStrategy logger = logging.getLogger(__name__) class FreqaiExampleStrategy(IStrategy): """ Example strategy showing how the user connects their own IFreqaiModel to the strategy. Warning! This is a showcase of functionality, which means that it is designed to show various functions of FreqAI and it runs on all computers. We use this showcase to help users understand how to build a strategy, and we use it as a benchmark to help debug possible problems. This means this is *not* meant to be run live in production. """ minimal_roi = {"0": 0.1, "240": -1} plot_config = { "main_plot": {}, "subplots": { "&-s_close": {"&-s_close": {"color": "blue"}}, "do_predict": { "do_predict": {"color": "brown"}, }, }, } process_only_new_candles = True stoploss = -0.05 use_exit_signal = True # this is the maximum period fed to talib (timeframe independent) startup_candle_count: int = 40 can_short = True def feature_engineering_expand_all( self, dataframe: DataFrame, period: int, metadata: Dict, **kwargs ) -> DataFrame: """ *Only functional with FreqAI enabled strategies* This function will automatically expand the defined features on the config defined `indicator_periods_candles`, `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`. In other words, a single feature defined in this function will automatically expand to a total of `indicator_periods_candles` * `include_timeframes` * `include_shifted_candles` * `include_corr_pairs` numbers of features added to the model. All features must be prepended with `%` to be recognized by FreqAI internals. Access metadata such as the current pair/timeframe with: `metadata["pair"]` `metadata["tf"]` More details on how these config defined parameters accelerate feature engineering in the documentation at: https://www.freqtrade.io/en/latest/freqai-parameter-table/#feature-parameters https://www.freqtrade.io/en/latest/freqai-feature-engineering/#defining-the-features :param dataframe: strategy dataframe which will receive the features :param period: period of the indicator - usage example: :param metadata: metadata of current pair dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period) """ dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period) dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period) dataframe["%-adx-period"] = ta.ADX(dataframe, timeperiod=period) dataframe["%-sma-period"] = ta.SMA(dataframe, timeperiod=period) dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period) bollinger = qtpylib.bollinger_bands( qtpylib.typical_price(dataframe), window=period, stds=2.2 ) dataframe["bb_lowerband-period"] = bollinger["lower"] dataframe["bb_middleband-period"] = bollinger["mid"] dataframe["bb_upperband-period"] = bollinger["upper"] dataframe["%-bb_width-period"] = ( dataframe["bb_upperband-period"] - dataframe["bb_lowerband-period"] ) / dataframe["bb_middleband-period"] dataframe["%-close-bb_lower-period"] = dataframe["close"] / dataframe["bb_lowerband-period"] dataframe["%-roc-period"] = ta.ROC(dataframe, timeperiod=period) dataframe["%-relative_volume-period"] = ( dataframe["volume"] / dataframe["volume"].rolling(period).mean() ) return dataframe def feature_engineering_expand_basic( self, dataframe: DataFrame, metadata: Dict, **kwargs ) -> DataFrame: """ *Only functional with FreqAI enabled strategies* This function will automatically expand the defined features on the config defined `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`. In other words, a single feature defined in this function will automatically expand to a total of `include_timeframes` * `include_shifted_candles` * `include_corr_pairs` numbers of features added to the model. Features defined here will *not* be automatically duplicated on user defined `indicator_periods_candles` All features must be prepended with `%` to be recognized by FreqAI internals. Access metadata such as the current pair/timeframe with: `metadata["pair"]` `metadata["tf"]` More details on how these config defined parameters accelerate feature engineering in the documentation at: https://www.freqtrade.io/en/latest/freqai-parameter-table/#feature-parameters https://www.freqtrade.io/en/latest/freqai-feature-engineering/#defining-the-features :param dataframe: strategy dataframe which will receive the features :param metadata: metadata of current pair dataframe["%-pct-change"] = dataframe["close"].pct_change() dataframe["%-ema-200"] = ta.EMA(dataframe, timeperiod=200) """ 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: """ *Only functional with FreqAI enabled strategies* This optional function will be called once with the dataframe of the base timeframe. This is the final function to be called, which means that the dataframe entering this function will contain all the features and columns created by all other freqai_feature_engineering_* functions. This function is a good place to do custom exotic feature extractions (e.g. tsfresh). This function is a good place for any feature that should not be auto-expanded upon (e.g. day of the week). All features must be prepended with `%` to be recognized by FreqAI internals. Access metadata such as the current pair with: `metadata["pair"]` More details about feature engineering available: https://www.freqtrade.io/en/latest/freqai-feature-engineering :param dataframe: strategy dataframe which will receive the features :param metadata: metadata of current pair usage example: dataframe["%-day_of_week"] = (dataframe["date"].dt.dayofweek + 1) / 7 """ 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: """ *Only functional with FreqAI enabled strategies* Required function to set the targets for the model. All targets must be prepended with `&` to be recognized by the FreqAI internals. Access metadata such as the current pair with: `metadata["pair"]` More details about feature engineering available: https://www.freqtrade.io/en/latest/freqai-feature-engineering :param dataframe: strategy dataframe which will receive the targets :param metadata: metadata of current pair usage example: dataframe["&-target"] = dataframe["close"].shift(-1) / dataframe["close"] """ 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 ) # Classifiers are typically set up with strings as targets: # df['&s-up_or_down'] = np.where( df["close"].shift(-100) > # df["close"], 'up', 'down') # If user wishes to use multiple targets, they can add more by # appending more columns with '&'. User should keep in mind that multi targets # requires a multioutput prediction model such as # freqai/prediction_models/CatboostRegressorMultiTarget.py, # freqtrade trade --freqaimodel CatboostRegressorMultiTarget # df["&-s_range"] = ( # df["close"] # .shift(-self.freqai_info["feature_parameters"]["label_period_candles"]) # .rolling(self.freqai_info["feature_parameters"]["label_period_candles"]) # .max() # - # df["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: # All indicators must be populated by feature_engineering_*() functions # the model will return all labels created by user in `set_freqai_targets()` # (& appended targets), an indication of whether or not the prediction should be accepted, # the target mean/std values for each of the labels created by user in # `set_freqai_targets()` for each training period. 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["&-s_close"] > 0.01, ] 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"] < -0.01, ] 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"] < 0] 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"] > 0] if exit_short_conditions: df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1 return df def confirm_trade_entry( self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str, current_time, entry_tag, side: str, **kwargs, ) -> bool: df, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe) last_candle = df.iloc[-1].squeeze() if side == "long": if rate > (last_candle["close"] * (1 + 0.0025)): return False else: if rate < (last_candle["close"] * (1 - 0.0025)): return False return True