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3087 lines
162 KiB
HTML
3087 lines
162 KiB
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<meta name="description" content="Freqtrade is a free and open source crypto trading bot written in Python, designed to support all major exchanges and be controlled via Telegram or builtin Web UI">
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<link rel="canonical" href="https://www.freqtrade.io/en/2024.7/strategy_migration/">
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Freqtrade
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Strategy migration
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<a href="https://github.com/freqtrade/freqtrade" title="Go to repository" class="md-source" data-md-component="source">
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<div class="md-source__repository">
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GitHub
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GitHub
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<a href=".." class="md-nav__link">
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Home
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</a>
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Quickstart with Docker
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</a>
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<span class="md-ellipsis">
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Installation
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<span class="md-nav__icon md-icon"></span>
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Installation
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<a href="../installation/" class="md-nav__link">
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<span class="md-ellipsis">
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Linux/MacOS/Raspberry
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</span>
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</a>
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<span class="md-ellipsis">
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Windows
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</span>
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</a>
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</nav>
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<li class="md-nav__item">
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<a href="../bot-basics/" class="md-nav__link">
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<span class="md-ellipsis">
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Freqtrade Basics
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</span>
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</a>
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</li>
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<li class="md-nav__item">
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<a href="../configuration/" class="md-nav__link">
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<span class="md-ellipsis">
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Configuration
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</a>
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<li class="md-nav__item">
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<a href="../strategy-customization/" class="md-nav__link">
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<span class="md-ellipsis">
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Strategy Customization
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</span>
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</a>
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|
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<li class="md-nav__item">
|
|
<a href="../strategy-callbacks/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Strategy Callbacks
|
|
</span>
|
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|
|
|
|
</a>
|
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</li>
|
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|
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<li class="md-nav__item">
|
|
<a href="../stoploss/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Stoploss
|
|
</span>
|
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|
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|
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</a>
|
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</li>
|
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<li class="md-nav__item">
|
|
<a href="../plugins/" class="md-nav__link">
|
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|
|
|
|
<span class="md-ellipsis">
|
|
Plugins
|
|
</span>
|
|
|
|
|
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</a>
|
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</li>
|
|
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|
|
|
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|
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<li class="md-nav__item">
|
|
<a href="../bot-usage/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Start the bot
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
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<li class="md-nav__item md-nav__item--nested">
|
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|
|
|
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|
|
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_11" >
|
|
|
|
|
|
<label class="md-nav__link" for="__nav_11" id="__nav_11_label" tabindex="0">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Control the bot
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_11_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_11">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
Control the bot
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
|
|
|
|
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|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../telegram-usage/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Telegram
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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|
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|
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|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../freq-ui/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
freqUI
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../rest-api/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
REST API
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
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|
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|
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|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../webhook-config/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Web Hook
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
</ul>
|
|
</nav>
|
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</li>
|
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|
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<li class="md-nav__item">
|
|
<a href="../data-download/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Data Downloading
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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|
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|
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<li class="md-nav__item">
|
|
<a href="../backtesting/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Backtesting
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../hyperopt/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Hyperopt
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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|
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<li class="md-nav__item md-nav__item--nested">
|
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|
|
|
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|
|
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_15" >
|
|
|
|
|
|
<label class="md-nav__link" for="__nav_15" id="__nav_15_label" tabindex="0">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
FreqAI
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_15_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_15">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
FreqAI
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<li class="md-nav__item">
|
|
<a href="../freqai/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Introduction
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
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|
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|
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|
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<li class="md-nav__item">
|
|
<a href="../freqai-configuration/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Configuration
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../freqai-parameter-table/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Parameter table
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
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<li class="md-nav__item">
|
|
<a href="../freqai-feature-engineering/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Feature engineering
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
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|
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|
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|
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<li class="md-nav__item">
|
|
<a href="../freqai-running/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Running FreqAI
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../freqai-reinforcement-learning/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Reinforcement Learning
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
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|
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<li class="md-nav__item">
|
|
<a href="../freqai-developers/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Developer guide
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
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|
|
</ul>
|
|
</nav>
|
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|
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</li>
|
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|
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<li class="md-nav__item">
|
|
<a href="../leverage/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Short / Leverage
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../utils/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Utility Sub-commands
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
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|
|
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|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../plotting/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Plotting
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
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|
|
|
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|
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|
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|
|
<li class="md-nav__item">
|
|
<a href="../exchanges/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Exchange-specific Notes
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
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<li class="md-nav__item md-nav__item--nested">
|
|
|
|
|
|
|
|
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_20" >
|
|
|
|
|
|
<label class="md-nav__link" for="__nav_20" id="__nav_20_label" tabindex="0">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Data Analysis
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_20_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_20">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
Data Analysis
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<li class="md-nav__item">
|
|
<a href="../data-analysis/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Jupyter Notebooks
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../strategy_analysis_example/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Strategy analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
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|
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|
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|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../advanced-backtesting/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Backtest analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
</ul>
|
|
</nav>
|
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|
|
</li>
|
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|
|
<li class="md-nav__item md-nav__item--nested">
|
|
|
|
|
|
|
|
<input class="md-nav__toggle md-toggle " type="checkbox" id="__nav_21" >
|
|
|
|
|
|
<label class="md-nav__link" for="__nav_21" id="__nav_21_label" tabindex="0">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Topics
|
|
</span>
|
|
|
|
|
|
<span class="md-nav__icon md-icon"></span>
|
|
</label>
|
|
|
|
<nav class="md-nav" data-md-level="1" aria-labelledby="__nav_21_label" aria-expanded="false">
|
|
<label class="md-nav__title" for="__nav_21">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
Advanced Topics
|
|
</label>
|
|
<ul class="md-nav__list" data-md-scrollfix>
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<li class="md-nav__item">
|
|
<a href="../advanced-setup/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Post-installation Tasks
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
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|
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|
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|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../trade-object/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Trade Object
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
|
|
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|
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|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../lookahead-analysis/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Lookahead analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../recursive-analysis/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Recursive analysis
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../strategy-advanced/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Strategy
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
|
|
|
|
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|
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|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../advanced-hyperopt/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Advanced Hyperopt
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
|
|
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|
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|
|
|
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../advanced-orderflow/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Orderflow
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../producer-consumer/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Producer/Consumer mode
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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|
|
<li class="md-nav__item">
|
|
<a href="../sql_cheatsheet/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
SQL Cheat-sheet
|
|
</span>
|
|
|
|
|
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</a>
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</li>
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<li class="md-nav__item">
|
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<a href="../edge/" class="md-nav__link">
|
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<span class="md-ellipsis">
|
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Edge Positioning
|
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</span>
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</a>
|
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</li>
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</ul>
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</nav>
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</li>
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<li class="md-nav__item">
|
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<a href="../faq/" class="md-nav__link">
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<span class="md-ellipsis">
|
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FAQ
|
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</span>
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</a>
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</li>
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<li class="md-nav__item md-nav__item--active">
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<input class="md-nav__toggle md-toggle" type="checkbox" id="__toc">
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<label class="md-nav__link md-nav__link--active" for="__toc">
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<span class="md-ellipsis">
|
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Strategy migration
|
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</span>
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<span class="md-nav__icon md-icon"></span>
|
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</label>
|
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<a href="./" class="md-nav__link md-nav__link--active">
|
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|
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<span class="md-ellipsis">
|
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Strategy migration
|
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</span>
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</a>
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<nav class="md-nav md-nav--secondary" aria-label="Table of contents">
|
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<label class="md-nav__title" for="__toc">
|
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<span class="md-nav__icon md-icon"></span>
|
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Table of contents
|
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</label>
|
|
<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
|
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|
|
<li class="md-nav__item">
|
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<a href="#quick-summary-migration-checklist" class="md-nav__link">
|
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<span class="md-ellipsis">
|
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Quick summary / migration checklist
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</span>
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</a>
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</li>
|
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|
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<li class="md-nav__item">
|
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<a href="#extensive-explanation" class="md-nav__link">
|
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<span class="md-ellipsis">
|
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Extensive explanation
|
|
</span>
|
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</a>
|
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|
|
<nav class="md-nav" aria-label="Extensive explanation">
|
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<ul class="md-nav__list">
|
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<li class="md-nav__item">
|
|
<a href="#populate_buy_trend" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
populate_buy_trend
|
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</span>
|
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</a>
|
|
|
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</li>
|
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|
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<li class="md-nav__item">
|
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<a href="#populate_sell_trend" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
populate_sell_trend
|
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</span>
|
|
</a>
|
|
|
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</li>
|
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|
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<li class="md-nav__item">
|
|
<a href="#custom_sell" class="md-nav__link">
|
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<span class="md-ellipsis">
|
|
custom_sell
|
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</span>
|
|
</a>
|
|
|
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</li>
|
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|
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<li class="md-nav__item">
|
|
<a href="#custom_entry_timeout" class="md-nav__link">
|
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<span class="md-ellipsis">
|
|
custom_entry_timeout
|
|
</span>
|
|
</a>
|
|
|
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</li>
|
|
|
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<li class="md-nav__item">
|
|
<a href="#custom_stake_amount" class="md-nav__link">
|
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<span class="md-ellipsis">
|
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custom_stake_amount
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#confirm_trade_entry" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
confirm_trade_entry
|
|
</span>
|
|
</a>
|
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|
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</li>
|
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|
|
<li class="md-nav__item">
|
|
<a href="#confirm_trade_exit" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
confirm_trade_exit
|
|
</span>
|
|
</a>
|
|
|
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</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#custom_entry_price" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
custom_entry_price
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#adjust-trade-position-changes" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Adjust trade position changes
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#helper-methods" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Helper methods
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#strategyconfiguration-settings" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Strategy/Configuration settings
|
|
</span>
|
|
</a>
|
|
|
|
<nav class="md-nav" aria-label="Strategy/Configuration settings">
|
|
<ul class="md-nav__list">
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#order_time_in_force" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
order_time_in_force
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#order_types" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
order_types
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#strategy-level-settings" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Strategy level settings
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#unfilledtimeout" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
unfilledtimeout
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#order-pricing" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
order pricing
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
</ul>
|
|
</nav>
|
|
|
|
</li>
|
|
|
|
</ul>
|
|
</nav>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-strategy" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI strategy
|
|
</span>
|
|
</a>
|
|
|
|
<nav class="md-nav" aria-label="FreqAI strategy">
|
|
<ul class="md-nav__list">
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-feature-engineering-expand-all" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
freqai - feature engineering expand all
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-feature-engineering-basic" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Freqai - feature engineering basic
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-feature-engineering-standard" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI - feature engineering standard
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-set-targets" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI - set Targets
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-new-data-pipeline" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI - New data Pipeline
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
</ul>
|
|
</nav>
|
|
|
|
</li>
|
|
|
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</ul>
|
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|
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</nav>
|
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</li>
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<li class="md-nav__item">
|
|
<a href="../updating/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Updating Freqtrade
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
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|
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<li class="md-nav__item">
|
|
<a href="../deprecated/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Deprecated Features
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
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<li class="md-nav__item">
|
|
<a href="../developer/" class="md-nav__link">
|
|
|
|
|
|
<span class="md-ellipsis">
|
|
Contributors Guide
|
|
</span>
|
|
|
|
|
|
</a>
|
|
</li>
|
|
|
|
|
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|
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</ul>
|
|
</nav>
|
|
</div>
|
|
</div>
|
|
</div>
|
|
|
|
|
|
<!-- Table of contents -->
|
|
|
|
|
|
<div class="md-sidebar md-sidebar--secondary" data-md-component="sidebar" data-md-type="toc" >
|
|
<div class="md-sidebar__scrollwrap">
|
|
<div class="md-sidebar__inner">
|
|
|
|
|
|
<nav class="md-nav md-nav--secondary" aria-label="Table of contents">
|
|
|
|
|
|
|
|
|
|
|
|
|
|
<label class="md-nav__title" for="__toc">
|
|
<span class="md-nav__icon md-icon"></span>
|
|
Table of contents
|
|
</label>
|
|
<ul class="md-nav__list" data-md-component="toc" data-md-scrollfix>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#quick-summary-migration-checklist" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Quick summary / migration checklist
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#extensive-explanation" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Extensive explanation
|
|
</span>
|
|
</a>
|
|
|
|
<nav class="md-nav" aria-label="Extensive explanation">
|
|
<ul class="md-nav__list">
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#populate_buy_trend" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
populate_buy_trend
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#populate_sell_trend" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
populate_sell_trend
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#custom_sell" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
custom_sell
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#custom_entry_timeout" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
custom_entry_timeout
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#custom_stake_amount" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
custom_stake_amount
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#confirm_trade_entry" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
confirm_trade_entry
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#confirm_trade_exit" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
confirm_trade_exit
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#custom_entry_price" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
custom_entry_price
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#adjust-trade-position-changes" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Adjust trade position changes
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#helper-methods" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Helper methods
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#strategyconfiguration-settings" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Strategy/Configuration settings
|
|
</span>
|
|
</a>
|
|
|
|
<nav class="md-nav" aria-label="Strategy/Configuration settings">
|
|
<ul class="md-nav__list">
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#order_time_in_force" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
order_time_in_force
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#order_types" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
order_types
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#strategy-level-settings" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Strategy level settings
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#unfilledtimeout" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
unfilledtimeout
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#order-pricing" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
order pricing
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
</ul>
|
|
</nav>
|
|
|
|
</li>
|
|
|
|
</ul>
|
|
</nav>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-strategy" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI strategy
|
|
</span>
|
|
</a>
|
|
|
|
<nav class="md-nav" aria-label="FreqAI strategy">
|
|
<ul class="md-nav__list">
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-feature-engineering-expand-all" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
freqai - feature engineering expand all
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-feature-engineering-basic" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
Freqai - feature engineering basic
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-feature-engineering-standard" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI - feature engineering standard
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-set-targets" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI - set Targets
|
|
</span>
|
|
</a>
|
|
|
|
</li>
|
|
|
|
<li class="md-nav__item">
|
|
<a href="#freqai-new-data-pipeline" class="md-nav__link">
|
|
<span class="md-ellipsis">
|
|
FreqAI - New data Pipeline
|
|
</span>
|
|
</a>
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<h1 id="strategy-migration-between-v2-and-v3">Strategy Migration between V2 and V3<a class="headerlink" href="#strategy-migration-between-v2-and-v3" title="Permanent link">¶</a></h1>
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<p>To support new markets and trade-types (namely short trades / trades with leverage), some things had to change in the interface.
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If you intend on using markets other than spot markets, please migrate your strategy to the new format.</p>
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<p>We have put a great effort into keeping compatibility with existing strategies, so if you just want to continue using freqtrade in <strong>spot markets</strong>, there should be no changes necessary for now.</p>
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<p>You can use the quick summary as checklist. Please refer to the detailed sections below for full migration details.</p>
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<h2 id="quick-summary-migration-checklist">Quick summary / migration checklist<a class="headerlink" href="#quick-summary-migration-checklist" title="Permanent link">¶</a></h2>
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<p>Note : <code>forcesell</code>, <code>forcebuy</code>, <code>emergencysell</code> are changed to <code>force_exit</code>, <code>force_enter</code>, <code>emergency_exit</code> respectively.</p>
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<ul>
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<li>Strategy methods:<ul>
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<li><a href="#populate_buy_trend"><code>populate_buy_trend()</code> -> <code>populate_entry_trend()</code></a></li>
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<li><a href="#populate_sell_trend"><code>populate_sell_trend()</code> -> <code>populate_exit_trend()</code></a></li>
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<li><a href="#custom_sell"><code>custom_sell()</code> -> <code>custom_exit()</code></a></li>
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<li><a href="#custom_entry_timeout"><code>check_buy_timeout()</code> -> <code>check_entry_timeout()</code></a></li>
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<li><a href="#custom_entry_timeout"><code>check_sell_timeout()</code> -> <code>check_exit_timeout()</code></a></li>
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<li>New <code>side</code> argument to callbacks without trade object<ul>
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<li><a href="#custom_stake_amount"><code>custom_stake_amount</code></a></li>
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<li><a href="#confirm_trade_entry"><code>confirm_trade_entry</code></a></li>
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<li><a href="#custom_entry_price"><code>custom_entry_price</code></a></li>
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</ul>
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</li>
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<li><a href="#confirm_trade_exit">Changed argument name in <code>confirm_trade_exit</code></a></li>
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</ul>
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</li>
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<li>Dataframe columns:<ul>
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<li><a href="#populate_buy_trend"><code>buy</code> -> <code>enter_long</code></a></li>
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<li><a href="#populate_sell_trend"><code>sell</code> -> <code>exit_long</code></a></li>
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<li><a href="#populate_buy_trend"><code>buy_tag</code> -> <code>enter_tag</code> (used for both long and short trades)</a></li>
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<li><a href="#populate_sell_trend">New column <code>enter_short</code> and corresponding new column <code>exit_short</code></a></li>
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</ul>
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</li>
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<li>trade-object now has the following new properties:<ul>
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<li><code>is_short</code></li>
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<li><code>entry_side</code></li>
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<li><code>exit_side</code></li>
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<li><code>trade_direction</code></li>
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<li>renamed: <code>sell_reason</code> -> <code>exit_reason</code></li>
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</ul>
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</li>
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<li><a href="#adjust-trade-position-changes">Renamed <code>trade.nr_of_successful_buys</code> to <code>trade.nr_of_successful_entries</code> (mostly relevant for <code>adjust_trade_position()</code>)</a></li>
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<li>Introduced new <a href="../strategy-callbacks/#leverage-callback"><code>leverage</code> callback</a>.</li>
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<li>Informative pairs can now pass a 3<sup>rd</sup> element in the Tuple, defining the candle type.</li>
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<li><code>@informative</code> decorator now takes an optional <code>candle_type</code> argument.</li>
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<li><a href="#helper-methods">helper methods</a> <code>stoploss_from_open</code> and <code>stoploss_from_absolute</code> now take <code>is_short</code> as additional argument.</li>
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<li><code>INTERFACE_VERSION</code> should be set to 3.</li>
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<li><a href="#strategyconfiguration-settings">Strategy/Configuration settings</a>.<ul>
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<li><code>order_time_in_force</code> buy -> entry, sell -> exit.</li>
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<li><code>order_types</code> buy -> entry, sell -> exit.</li>
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<li><code>unfilledtimeout</code> buy -> entry, sell -> exit.</li>
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<li><code>ignore_buying_expired_candle_after</code> -> moved to root level instead of "ask_strategy/exit_pricing"</li>
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</ul>
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</li>
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<li>Terminology changes<ul>
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<li>Sell reasons changed to reflect the new naming of "exit" instead of sells. Be careful in your strategy if you're using <code>exit_reason</code> checks and eventually update your strategy.<ul>
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<li><code>sell_signal</code> -> <code>exit_signal</code></li>
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<li><code>custom_sell</code> -> <code>custom_exit</code></li>
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<li><code>force_sell</code> -> <code>force_exit</code></li>
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<li><code>emergency_sell</code> -> <code>emergency_exit</code></li>
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</ul>
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</li>
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<li>Order pricing<ul>
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<li><code>bid_strategy</code> -> <code>entry_pricing</code></li>
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<li><code>ask_strategy</code> -> <code>exit_pricing</code></li>
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<li><code>ask_last_balance</code> -> <code>price_last_balance</code></li>
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<li><code>bid_last_balance</code> -> <code>price_last_balance</code></li>
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</ul>
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</li>
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<li>Webhook terminology changed from "sell" to "exit", and from "buy" to entry<ul>
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<li><code>webhookbuy</code> -> <code>entry</code></li>
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<li><code>webhookbuyfill</code> -> <code>entry_fill</code></li>
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<li><code>webhookbuycancel</code> -> <code>entry_cancel</code></li>
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<li><code>webhooksell</code> -> <code>exit</code></li>
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<li><code>webhooksellfill</code> -> <code>exit_fill</code></li>
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<li><code>webhooksellcancel</code> -> <code>exit_cancel</code></li>
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</ul>
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</li>
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<li>Telegram notification settings<ul>
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<li><code>buy</code> -> <code>entry</code></li>
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<li><code>buy_fill</code> -> <code>entry_fill</code></li>
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<li><code>buy_cancel</code> -> <code>entry_cancel</code></li>
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<li><code>sell</code> -> <code>exit</code></li>
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<li><code>sell_fill</code> -> <code>exit_fill</code></li>
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<li><code>sell_cancel</code> -> <code>exit_cancel</code></li>
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</ul>
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</li>
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<li>Strategy/config settings:<ul>
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<li><code>use_sell_signal</code> -> <code>use_exit_signal</code></li>
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<li><code>sell_profit_only</code> -> <code>exit_profit_only</code></li>
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<li><code>sell_profit_offset</code> -> <code>exit_profit_offset</code></li>
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<li><code>ignore_roi_if_buy_signal</code> -> <code>ignore_roi_if_entry_signal</code></li>
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<li><code>forcebuy_enable</code> -> <code>force_entry_enable</code></li>
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</ul>
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</li>
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</ul>
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</li>
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</ul>
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<h2 id="extensive-explanation">Extensive explanation<a class="headerlink" href="#extensive-explanation" title="Permanent link">¶</a></h2>
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<h3 id="populate_buy_trend"><code>populate_buy_trend</code><a class="headerlink" href="#populate_buy_trend" title="Permanent link">¶</a></h3>
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<p>In <code>populate_buy_trend()</code> - you will want to change the columns you assign from <code>'buy</code>' to <code>'enter_long'</code>, as well as the method name from <code>populate_buy_trend</code> to <code>populate_entry_trend</code>.</p>
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<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span> <span class="nf">populate_buy_trend</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="n">metadata</span><span class="p">:</span> <span class="nb">dict</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">:</span>
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</span> <span class="n">dataframe</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span>
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<span class="p">(</span>
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<span class="p">(</span><span class="n">qtpylib</span><span class="o">.</span><span class="n">crossed_above</span><span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">],</span> <span class="mi">30</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Signal: RSI crosses above 30</span>
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o"><=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'bb_middleband'</span><span class="p">])</span> <span class="o">&</span> <span class="c1"># Guard</span>
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o">></span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span><span class="o">.</span><span class="n">shift</span><span class="p">(</span><span class="mi">1</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Guard</span>
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'volume'</span><span class="p">]</span> <span class="o">></span> <span class="mi">0</span><span class="p">)</span> <span class="c1"># Make sure Volume is not 0</span>
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<span class="p">),</span>
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<span class="hll"> <span class="p">[</span><span class="s1">'buy'</span><span class="p">,</span> <span class="s1">'buy_tag'</span><span class="p">]]</span> <span class="o">=</span> <span class="p">(</span><span class="mi">1</span><span class="p">,</span> <span class="s1">'rsi_cross'</span><span class="p">)</span>
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</span>
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<span class="k">return</span> <span class="n">dataframe</span>
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</code></pre></div>
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<p>After:</p>
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<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span> <span class="nf">populate_entry_trend</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="n">metadata</span><span class="p">:</span> <span class="nb">dict</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">:</span>
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</span> <span class="n">dataframe</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span>
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<span class="p">(</span>
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<span class="p">(</span><span class="n">qtpylib</span><span class="o">.</span><span class="n">crossed_above</span><span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">],</span> <span class="mi">30</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Signal: RSI crosses above 30</span>
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o"><=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'bb_middleband'</span><span class="p">])</span> <span class="o">&</span> <span class="c1"># Guard</span>
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o">></span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span><span class="o">.</span><span class="n">shift</span><span class="p">(</span><span class="mi">1</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Guard</span>
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'volume'</span><span class="p">]</span> <span class="o">></span> <span class="mi">0</span><span class="p">)</span> <span class="c1"># Make sure Volume is not 0</span>
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<span class="p">),</span>
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<span class="hll"> <span class="p">[</span><span class="s1">'enter_long'</span><span class="p">,</span> <span class="s1">'enter_tag'</span><span class="p">]]</span> <span class="o">=</span> <span class="p">(</span><span class="mi">1</span><span class="p">,</span> <span class="s1">'rsi_cross'</span><span class="p">)</span>
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</span>
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<span class="k">return</span> <span class="n">dataframe</span>
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</code></pre></div>
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<p>Please refer to the <a href="../strategy-customization/#entry-signal-rules">Strategy documentation</a> on how to enter and exit short trades.</p>
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<h3 id="populate_sell_trend"><code>populate_sell_trend</code><a class="headerlink" href="#populate_sell_trend" title="Permanent link">¶</a></h3>
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<p>Similar to <code>populate_buy_trend</code>, <code>populate_sell_trend()</code> will be renamed to <code>populate_exit_trend()</code>.
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We'll also change the column from <code>'sell'</code> to <code>'exit_long'</code>.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span> <span class="nf">populate_sell_trend</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="n">metadata</span><span class="p">:</span> <span class="nb">dict</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">:</span>
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</span> <span class="n">dataframe</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span>
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<span class="p">(</span>
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|
<span class="p">(</span><span class="n">qtpylib</span><span class="o">.</span><span class="n">crossed_above</span><span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">],</span> <span class="mi">70</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Signal: RSI crosses above 70</span>
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|
<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o">></span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'bb_middleband'</span><span class="p">])</span> <span class="o">&</span> <span class="c1"># Guard</span>
|
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o"><</span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span><span class="o">.</span><span class="n">shift</span><span class="p">(</span><span class="mi">1</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Guard</span>
|
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<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'volume'</span><span class="p">]</span> <span class="o">></span> <span class="mi">0</span><span class="p">)</span> <span class="c1"># Make sure Volume is not 0</span>
|
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<span class="p">),</span>
|
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<span class="hll"> <span class="p">[</span><span class="s1">'sell'</span><span class="p">,</span> <span class="s1">'exit_tag'</span><span class="p">]]</span> <span class="o">=</span> <span class="p">(</span><span class="mi">1</span><span class="p">,</span> <span class="s1">'some_exit_tag'</span><span class="p">)</span>
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</span> <span class="k">return</span> <span class="n">dataframe</span>
|
|
</code></pre></div>
|
|
<p>After</p>
|
|
<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span> <span class="nf">populate_exit_trend</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="n">metadata</span><span class="p">:</span> <span class="nb">dict</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">:</span>
|
|
</span> <span class="n">dataframe</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span>
|
|
<span class="p">(</span>
|
|
<span class="p">(</span><span class="n">qtpylib</span><span class="o">.</span><span class="n">crossed_above</span><span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">],</span> <span class="mi">70</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Signal: RSI crosses above 70</span>
|
|
<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o">></span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'bb_middleband'</span><span class="p">])</span> <span class="o">&</span> <span class="c1"># Guard</span>
|
|
<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span> <span class="o"><</span> <span class="n">dataframe</span><span class="p">[</span><span class="s1">'tema'</span><span class="p">]</span><span class="o">.</span><span class="n">shift</span><span class="p">(</span><span class="mi">1</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Guard</span>
|
|
<span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s1">'volume'</span><span class="p">]</span> <span class="o">></span> <span class="mi">0</span><span class="p">)</span> <span class="c1"># Make sure Volume is not 0</span>
|
|
<span class="p">),</span>
|
|
<span class="hll"> <span class="p">[</span><span class="s1">'exit_long'</span><span class="p">,</span> <span class="s1">'exit_tag'</span><span class="p">]]</span> <span class="o">=</span> <span class="p">(</span><span class="mi">1</span><span class="p">,</span> <span class="s1">'some_exit_tag'</span><span class="p">)</span>
|
|
</span> <span class="k">return</span> <span class="n">dataframe</span>
|
|
</code></pre></div>
|
|
<p>Please refer to the <a href="../strategy-customization/#exit-signal-rules">Strategy documentation</a> on how to enter and exit short trades.</p>
|
|
<h3 id="custom_sell"><code>custom_sell</code><a class="headerlink" href="#custom_sell" title="Permanent link">¶</a></h3>
|
|
<p><code>custom_sell</code> has been renamed to <code>custom_exit</code>.
|
|
It's now also being called for every iteration, independent of current profit and <code>exit_profit_only</code> settings.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="hll"> <span class="k">def</span> <span class="nf">custom_sell</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="s1">'datetime'</span><span class="p">,</span> <span class="n">current_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
</span> <span class="n">current_profit</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
|
<span class="n">dataframe</span><span class="p">,</span> <span class="n">_</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">dp</span><span class="o">.</span><span class="n">get_analyzed_dataframe</span><span class="p">(</span><span class="n">pair</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">timeframe</span><span class="p">)</span>
|
|
<span class="n">last_candle</span> <span class="o">=</span> <span class="n">dataframe</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span><span class="o">.</span><span class="n">squeeze</span><span class="p">()</span>
|
|
<span class="c1"># ...</span>
|
|
</code></pre></div>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="hll"> <span class="k">def</span> <span class="nf">custom_exit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="s1">'datetime'</span><span class="p">,</span> <span class="n">current_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
</span> <span class="n">current_profit</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
|
<span class="n">dataframe</span><span class="p">,</span> <span class="n">_</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">dp</span><span class="o">.</span><span class="n">get_analyzed_dataframe</span><span class="p">(</span><span class="n">pair</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">timeframe</span><span class="p">)</span>
|
|
<span class="n">last_candle</span> <span class="o">=</span> <span class="n">dataframe</span><span class="o">.</span><span class="n">iloc</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span><span class="o">.</span><span class="n">squeeze</span><span class="p">()</span>
|
|
<span class="c1"># ...</span>
|
|
</code></pre></div>
|
|
<h3 id="custom_entry_timeout"><code>custom_entry_timeout</code><a class="headerlink" href="#custom_entry_timeout" title="Permanent link">¶</a></h3>
|
|
<p><code>check_buy_timeout()</code> has been renamed to <code>check_entry_timeout()</code>, and <code>check_sell_timeout()</code> has been renamed to <code>check_exit_timeout()</code>.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="hll"> <span class="k">def</span> <span class="nf">check_buy_timeout</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="nb">dict</span><span class="p">,</span>
|
|
</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
<span class="k">return</span> <span class="kc">False</span>
|
|
|
|
<span class="hll"> <span class="k">def</span> <span class="nf">check_sell_timeout</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="nb">dict</span><span class="p">,</span>
|
|
</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
<span class="k">return</span> <span class="kc">False</span>
|
|
</code></pre></div>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="hll"> <span class="k">def</span> <span class="nf">check_entry_timeout</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="s1">'Order'</span><span class="p">,</span>
|
|
</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
<span class="k">return</span> <span class="kc">False</span>
|
|
|
|
<span class="hll"> <span class="k">def</span> <span class="nf">check_exit_timeout</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="s1">'Order'</span><span class="p">,</span>
|
|
</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
<span class="k">return</span> <span class="kc">False</span>
|
|
</code></pre></div>
|
|
<h3 id="custom_stake_amount"><code>custom_stake_amount</code><a class="headerlink" href="#custom_stake_amount" title="Permanent link">¶</a></h3>
|
|
<p>New string argument <code>side</code> - which can be either <code>"long"</code> or <code>"short"</code>.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">custom_stake_amount</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">current_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="n">proposed_stake</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">min_stake</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">float</span><span class="p">],</span> <span class="n">max_stake</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="hll"> <span class="n">entry_tag</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
|
</span> <span class="c1"># ... </span>
|
|
<span class="k">return</span> <span class="n">proposed_stake</span>
|
|
</code></pre></div>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">custom_stake_amount</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">current_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="n">proposed_stake</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">min_stake</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">float</span><span class="p">],</span> <span class="n">max_stake</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="hll"> <span class="n">entry_tag</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span> <span class="n">side</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
|
</span> <span class="c1"># ... </span>
|
|
<span class="k">return</span> <span class="n">proposed_stake</span>
|
|
</code></pre></div>
|
|
<h3 id="confirm_trade_entry"><code>confirm_trade_entry</code><a class="headerlink" href="#confirm_trade_entry" title="Permanent link">¶</a></h3>
|
|
<p>New string argument <code>side</code> - which can be either <code>"long"</code> or <code>"short"</code>.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">confirm_trade_entry</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">order_type</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">amount</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="n">time_in_force</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">entry_tag</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span>
|
|
<span class="hll"> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
</span> <span class="k">return</span> <span class="kc">True</span>
|
|
</code></pre></div>
|
|
<p>After: </p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">confirm_trade_entry</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">order_type</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">amount</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="n">time_in_force</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">entry_tag</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span>
|
|
<span class="hll"> <span class="n">side</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
</span> <span class="k">return</span> <span class="kc">True</span>
|
|
</code></pre></div>
|
|
<h3 id="confirm_trade_exit"><code>confirm_trade_exit</code><a class="headerlink" href="#confirm_trade_exit" title="Permanent link">¶</a></h3>
|
|
<p>Changed argument <code>sell_reason</code> to <code>exit_reason</code>.
|
|
For compatibility, <code>sell_reason</code> will still be provided for a limited time.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">confirm_trade_exit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="n">Trade</span><span class="p">,</span> <span class="n">order_type</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">amount</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="hll"> <span class="n">rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">time_in_force</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">sell_reason</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span>
|
|
</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
<span class="k">return</span> <span class="kc">True</span>
|
|
</code></pre></div>
|
|
<p>After:</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">confirm_trade_exit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="n">Trade</span><span class="p">,</span> <span class="n">order_type</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">amount</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="hll"> <span class="n">rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">time_in_force</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">exit_reason</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span>
|
|
</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">bool</span><span class="p">:</span>
|
|
<span class="k">return</span> <span class="kc">True</span>
|
|
</code></pre></div>
|
|
<h3 id="custom_entry_price"><code>custom_entry_price</code><a class="headerlink" href="#custom_entry_price" title="Permanent link">¶</a></h3>
|
|
<p>New string argument <code>side</code> - which can be either <code>"long"</code> or <code>"short"</code>.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">custom_entry_price</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">proposed_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="hll"> <span class="n">entry_tag</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
|
</span> <span class="k">return</span> <span class="n">proposed_rate</span>
|
|
</code></pre></div>
|
|
<p>After:</p>
|
|
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
|
<span class="k">def</span> <span class="nf">custom_entry_price</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="n">Trade</span><span class="p">],</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">proposed_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
|
<span class="hll"> <span class="n">entry_tag</span><span class="p">:</span> <span class="n">Optional</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span> <span class="n">side</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
|
</span> <span class="k">return</span> <span class="n">proposed_rate</span>
|
|
</code></pre></div>
|
|
<h3 id="adjust-trade-position-changes">Adjust trade position changes<a class="headerlink" href="#adjust-trade-position-changes" title="Permanent link">¶</a></h3>
|
|
<p>While adjust-trade-position itself did not change, you should no longer use <code>trade.nr_of_successful_buys</code> - and instead use <code>trade.nr_of_successful_entries</code>, which will also include short entries.</p>
|
|
<h3 id="helper-methods">Helper methods<a class="headerlink" href="#helper-methods" title="Permanent link">¶</a></h3>
|
|
<p>Added argument "is_short" to <code>stoploss_from_open</code> and <code>stoploss_from_absolute</code>.
|
|
This should be given the value of <code>trade.is_short</code>.</p>
|
|
<div class="highlight"><pre><span></span><code> <span class="k">def</span> <span class="nf">custom_stoploss</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span>
|
|
<span class="n">current_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">current_profit</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
|
<span class="c1"># once the profit has risen above 10%, keep the stoploss at 7% above the open price</span>
|
|
<span class="k">if</span> <span class="n">current_profit</span> <span class="o">></span> <span class="mf">0.10</span><span class="p">:</span>
|
|
<span class="hll"> <span class="k">return</span> <span class="n">stoploss_from_open</span><span class="p">(</span><span class="mf">0.07</span><span class="p">,</span> <span class="n">current_profit</span><span class="p">)</span>
|
|
</span>
|
|
<span class="hll"> <span class="k">return</span> <span class="n">stoploss_from_absolute</span><span class="p">(</span><span class="n">current_rate</span> <span class="o">-</span> <span class="p">(</span><span class="n">candle</span><span class="p">[</span><span class="s1">'atr'</span><span class="p">]</span> <span class="o">*</span> <span class="mi">2</span><span class="p">),</span> <span class="n">current_rate</span><span class="p">)</span>
|
|
</span>
|
|
<span class="k">return</span> <span class="mi">1</span>
|
|
</code></pre></div>
|
|
<p>After:</p>
|
|
<div class="highlight"><pre><span></span><code> <span class="k">def</span> <span class="nf">custom_stoploss</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">trade</span><span class="p">:</span> <span class="s1">'Trade'</span><span class="p">,</span> <span class="n">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span>
|
|
<span class="n">current_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">current_profit</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">after_fill</span><span class="p">:</span> <span class="nb">bool</span><span class="p">,</span>
|
|
<span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="n">Optional</span><span class="p">[</span><span class="nb">float</span><span class="p">]:</span>
|
|
<span class="c1"># once the profit has risen above 10%, keep the stoploss at 7% above the open price</span>
|
|
<span class="hll"> <span class="k">if</span> <span class="n">current_profit</span> <span class="o">></span> <span class="mf">0.10</span><span class="p">:</span>
|
|
</span> <span class="k">return</span> <span class="n">stoploss_from_open</span><span class="p">(</span><span class="mf">0.07</span><span class="p">,</span> <span class="n">current_profit</span><span class="p">,</span> <span class="n">is_short</span><span class="o">=</span><span class="n">trade</span><span class="o">.</span><span class="n">is_short</span><span class="p">)</span>
|
|
<span class="hll">
|
|
</span> <span class="k">return</span> <span class="n">stoploss_from_absolute</span><span class="p">(</span><span class="n">current_rate</span> <span class="o">-</span> <span class="p">(</span><span class="n">candle</span><span class="p">[</span><span class="s1">'atr'</span><span class="p">]</span> <span class="o">*</span> <span class="mi">2</span><span class="p">),</span> <span class="n">current_rate</span><span class="p">,</span> <span class="n">is_short</span><span class="o">=</span><span class="n">trade</span><span class="o">.</span><span class="n">is_short</span><span class="p">,</span> <span class="n">leverage</span><span class="o">=</span><span class="n">trade</span><span class="o">.</span><span class="n">leverage</span><span class="p">)</span>
|
|
</code></pre></div>
|
|
<h3 id="strategyconfiguration-settings">Strategy/Configuration settings<a class="headerlink" href="#strategyconfiguration-settings" title="Permanent link">¶</a></h3>
|
|
<h4 id="order_time_in_force"><code>order_time_in_force</code><a class="headerlink" href="#order_time_in_force" title="Permanent link">¶</a></h4>
|
|
<p><code>order_time_in_force</code> attributes changed from <code>"buy"</code> to <code>"entry"</code> and <code>"sell"</code> to <code>"exit"</code>.</p>
|
|
<div class="highlight"><pre><span></span><code> <span class="n">order_time_in_force</span><span class="p">:</span> <span class="n">Dict</span> <span class="o">=</span> <span class="p">{</span>
|
|
<span class="s2">"buy"</span><span class="p">:</span> <span class="s2">"gtc"</span><span class="p">,</span>
|
|
<span class="s2">"sell"</span><span class="p">:</span> <span class="s2">"gtc"</span><span class="p">,</span>
|
|
<span class="p">}</span>
|
|
</code></pre></div>
|
|
<p>After:</p>
|
|
<div class="highlight"><pre><span></span><code> <span class="n">order_time_in_force</span><span class="p">:</span> <span class="n">Dict</span> <span class="o">=</span> <span class="p">{</span>
|
|
<span class="hll"> <span class="s2">"entry"</span><span class="p">:</span> <span class="s2">"GTC"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"exit"</span><span class="p">:</span> <span class="s2">"GTC"</span><span class="p">,</span>
|
|
</span> <span class="p">}</span>
|
|
</code></pre></div>
|
|
<h4 id="order_types"><code>order_types</code><a class="headerlink" href="#order_types" title="Permanent link">¶</a></h4>
|
|
<p><code>order_types</code> have changed all wordings from <code>buy</code> to <code>entry</code> - and <code>sell</code> to <code>exit</code>.
|
|
And two words are joined with <code>_</code>. </p>
|
|
<div class="highlight"><pre><span></span><code> <span class="n">order_types</span> <span class="o">=</span> <span class="p">{</span>
|
|
<span class="hll"> <span class="s2">"buy"</span><span class="p">:</span> <span class="s2">"limit"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"sell"</span><span class="p">:</span> <span class="s2">"limit"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"emergencysell"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"forcesell"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"forcebuy"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
</span> <span class="s2">"stoploss"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
<span class="s2">"stoploss_on_exchange"</span><span class="p">:</span> <span class="n">false</span><span class="p">,</span>
|
|
<span class="s2">"stoploss_on_exchange_interval"</span><span class="p">:</span> <span class="mi">60</span>
|
|
<span class="p">}</span>
|
|
</code></pre></div>
|
|
<p>After:</p>
|
|
<div class="highlight"><pre><span></span><code> <span class="n">order_types</span> <span class="o">=</span> <span class="p">{</span>
|
|
<span class="hll"> <span class="s2">"entry"</span><span class="p">:</span> <span class="s2">"limit"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"exit"</span><span class="p">:</span> <span class="s2">"limit"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"emergency_exit"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"force_exit"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"force_entry"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
</span> <span class="s2">"stoploss"</span><span class="p">:</span> <span class="s2">"market"</span><span class="p">,</span>
|
|
<span class="s2">"stoploss_on_exchange"</span><span class="p">:</span> <span class="n">false</span><span class="p">,</span>
|
|
<span class="s2">"stoploss_on_exchange_interval"</span><span class="p">:</span> <span class="mi">60</span>
|
|
<span class="p">}</span>
|
|
</code></pre></div>
|
|
<h4 id="strategy-level-settings">Strategy level settings<a class="headerlink" href="#strategy-level-settings" title="Permanent link">¶</a></h4>
|
|
<ul>
|
|
<li><code>use_sell_signal</code> -> <code>use_exit_signal</code></li>
|
|
<li><code>sell_profit_only</code> -> <code>exit_profit_only</code></li>
|
|
<li><code>sell_profit_offset</code> -> <code>exit_profit_offset</code></li>
|
|
<li><code>ignore_roi_if_buy_signal</code> -> <code>ignore_roi_if_entry_signal</code></li>
|
|
</ul>
|
|
<div class="highlight"><pre><span></span><code> <span class="c1"># These values can be overridden in the config.</span>
|
|
<span class="hll"> <span class="n">use_sell_signal</span> <span class="o">=</span> <span class="kc">True</span>
|
|
</span><span class="hll"> <span class="n">sell_profit_only</span> <span class="o">=</span> <span class="kc">True</span>
|
|
</span><span class="hll"> <span class="n">sell_profit_offset</span><span class="p">:</span> <span class="mf">0.01</span>
|
|
</span><span class="hll"> <span class="n">ignore_roi_if_buy_signal</span> <span class="o">=</span> <span class="kc">False</span>
|
|
</span></code></pre></div>
|
|
<p>After:</p>
|
|
<div class="highlight"><pre><span></span><code> <span class="c1"># These values can be overridden in the config.</span>
|
|
<span class="hll"> <span class="n">use_exit_signal</span> <span class="o">=</span> <span class="kc">True</span>
|
|
</span><span class="hll"> <span class="n">exit_profit_only</span> <span class="o">=</span> <span class="kc">True</span>
|
|
</span><span class="hll"> <span class="n">exit_profit_offset</span><span class="p">:</span> <span class="mf">0.01</span>
|
|
</span><span class="hll"> <span class="n">ignore_roi_if_entry_signal</span> <span class="o">=</span> <span class="kc">False</span>
|
|
</span></code></pre></div>
|
|
<h4 id="unfilledtimeout"><code>unfilledtimeout</code><a class="headerlink" href="#unfilledtimeout" title="Permanent link">¶</a></h4>
|
|
<p><code>unfilledtimeout</code> have changed all wordings from <code>buy</code> to <code>entry</code> - and <code>sell</code> to <code>exit</code>.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="n">unfilledtimeout</span> <span class="o">=</span> <span class="p">{</span>
|
|
<span class="hll"> <span class="s2">"buy"</span><span class="p">:</span> <span class="mi">10</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"sell"</span><span class="p">:</span> <span class="mi">10</span><span class="p">,</span>
|
|
</span> <span class="s2">"exit_timeout_count"</span><span class="p">:</span> <span class="mi">0</span><span class="p">,</span>
|
|
<span class="s2">"unit"</span><span class="p">:</span> <span class="s2">"minutes"</span>
|
|
<span class="p">}</span>
|
|
</code></pre></div>
|
|
<p>After:</p>
|
|
<div class="highlight"><pre><span></span><code><span class="n">unfilledtimeout</span> <span class="o">=</span> <span class="p">{</span>
|
|
<span class="hll"> <span class="s2">"entry"</span><span class="p">:</span> <span class="mi">10</span><span class="p">,</span>
|
|
</span><span class="hll"> <span class="s2">"exit"</span><span class="p">:</span> <span class="mi">10</span><span class="p">,</span>
|
|
</span> <span class="s2">"exit_timeout_count"</span><span class="p">:</span> <span class="mi">0</span><span class="p">,</span>
|
|
<span class="s2">"unit"</span><span class="p">:</span> <span class="s2">"minutes"</span>
|
|
<span class="p">}</span>
|
|
</code></pre></div>
|
|
<h4 id="order-pricing"><code>order pricing</code><a class="headerlink" href="#order-pricing" title="Permanent link">¶</a></h4>
|
|
<p>Order pricing changed in 2 ways. <code>bid_strategy</code> was renamed to <code>entry_pricing</code> and <code>ask_strategy</code> was renamed to <code>exit_pricing</code>.
|
|
The attributes <code>ask_last_balance</code> -> <code>price_last_balance</code> and <code>bid_last_balance</code> -> <code>price_last_balance</code> were renamed as well.
|
|
Also, price-side can now be defined as <code>ask</code>, <code>bid</code>, <code>same</code> or <code>other</code>.
|
|
Please refer to the <a href="../configuration/#prices-used-for-orders">pricing documentation</a> for more information.</p>
|
|
<div class="highlight"><pre><span></span><code><span class="p">{</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"bid_strategy"</span><span class="p">:</span><span class="w"> </span><span class="p">{</span>
|
|
</span><span class="hll"><span class="w"> </span><span class="nt">"price_side"</span><span class="p">:</span><span class="w"> </span><span class="s2">"bid"</span><span class="p">,</span>
|
|
</span><span class="w"> </span><span class="nt">"use_order_book"</span><span class="p">:</span><span class="w"> </span><span class="kc">true</span><span class="p">,</span>
|
|
<span class="w"> </span><span class="nt">"order_book_top"</span><span class="p">:</span><span class="w"> </span><span class="mi">1</span><span class="p">,</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"ask_last_balance"</span><span class="p">:</span><span class="w"> </span><span class="mf">0.0</span><span class="p">,</span>
|
|
</span><span class="w"> </span><span class="nt">"check_depth_of_market"</span><span class="p">:</span><span class="w"> </span><span class="p">{</span>
|
|
<span class="w"> </span><span class="nt">"enabled"</span><span class="p">:</span><span class="w"> </span><span class="kc">false</span><span class="p">,</span>
|
|
<span class="w"> </span><span class="nt">"bids_to_ask_delta"</span><span class="p">:</span><span class="w"> </span><span class="mi">1</span>
|
|
<span class="w"> </span><span class="p">}</span>
|
|
<span class="w"> </span><span class="p">},</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"ask_strategy"</span><span class="p">:{</span>
|
|
</span><span class="hll"><span class="w"> </span><span class="nt">"price_side"</span><span class="p">:</span><span class="w"> </span><span class="s2">"ask"</span><span class="p">,</span>
|
|
</span><span class="w"> </span><span class="nt">"use_order_book"</span><span class="p">:</span><span class="w"> </span><span class="kc">true</span><span class="p">,</span>
|
|
<span class="w"> </span><span class="nt">"order_book_top"</span><span class="p">:</span><span class="w"> </span><span class="mi">1</span><span class="p">,</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"bid_last_balance"</span><span class="p">:</span><span class="w"> </span><span class="mf">0.0</span>
|
|
</span><span class="w"> </span><span class="nt">"ignore_buying_expired_candle_after"</span><span class="p">:</span><span class="w"> </span><span class="mi">120</span>
|
|
<span class="w"> </span><span class="p">}</span>
|
|
<span class="p">}</span>
|
|
</code></pre></div>
|
|
<p>after:</p>
|
|
<div class="highlight"><pre><span></span><code><span class="p">{</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"entry_pricing"</span><span class="p">:</span><span class="w"> </span><span class="p">{</span>
|
|
</span><span class="hll"><span class="w"> </span><span class="nt">"price_side"</span><span class="p">:</span><span class="w"> </span><span class="s2">"same"</span><span class="p">,</span>
|
|
</span><span class="w"> </span><span class="nt">"use_order_book"</span><span class="p">:</span><span class="w"> </span><span class="kc">true</span><span class="p">,</span>
|
|
<span class="w"> </span><span class="nt">"order_book_top"</span><span class="p">:</span><span class="w"> </span><span class="mi">1</span><span class="p">,</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"price_last_balance"</span><span class="p">:</span><span class="w"> </span><span class="mf">0.0</span><span class="p">,</span>
|
|
</span><span class="w"> </span><span class="nt">"check_depth_of_market"</span><span class="p">:</span><span class="w"> </span><span class="p">{</span>
|
|
<span class="w"> </span><span class="nt">"enabled"</span><span class="p">:</span><span class="w"> </span><span class="kc">false</span><span class="p">,</span>
|
|
<span class="w"> </span><span class="nt">"bids_to_ask_delta"</span><span class="p">:</span><span class="w"> </span><span class="mi">1</span>
|
|
<span class="w"> </span><span class="p">}</span>
|
|
<span class="w"> </span><span class="p">},</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"exit_pricing"</span><span class="p">:{</span>
|
|
</span><span class="hll"><span class="w"> </span><span class="nt">"price_side"</span><span class="p">:</span><span class="w"> </span><span class="s2">"same"</span><span class="p">,</span>
|
|
</span><span class="w"> </span><span class="nt">"use_order_book"</span><span class="p">:</span><span class="w"> </span><span class="kc">true</span><span class="p">,</span>
|
|
<span class="w"> </span><span class="nt">"order_book_top"</span><span class="p">:</span><span class="w"> </span><span class="mi">1</span><span class="p">,</span>
|
|
<span class="hll"><span class="w"> </span><span class="nt">"price_last_balance"</span><span class="p">:</span><span class="w"> </span><span class="mf">0.0</span>
|
|
</span><span class="w"> </span><span class="p">},</span>
|
|
<span class="w"> </span><span class="nt">"ignore_buying_expired_candle_after"</span><span class="p">:</span><span class="w"> </span><span class="mi">120</span>
|
|
<span class="p">}</span>
|
|
</code></pre></div>
|
|
<h2 id="freqai-strategy">FreqAI strategy<a class="headerlink" href="#freqai-strategy" title="Permanent link">¶</a></h2>
|
|
<p>The <code>populate_any_indicators()</code> method has been split into <code>feature_engineering_expand_all()</code>, <code>feature_engineering_expand_basic()</code>, <code>feature_engineering_standard()</code> and<code>set_freqai_targets()</code>.</p>
|
|
<p>For each new function, the pair (and timeframe where necessary) will be automatically added to the column.
|
|
As such, the definition of features becomes much simpler with the new logic.</p>
|
|
<p>For a full explanation of each method, please go to the corresponding <a href="../freqai-feature-engineering/#defining-the-features">freqAI documentation page</a></p>
|
|
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<span class="normal">57</span>
|
|
<span class="normal">58</span>
|
|
<span class="normal">59</span>
|
|
<span class="normal">60</span>
|
|
<span class="normal">61</span>
|
|
<span class="normal">62</span>
|
|
<span class="normal">63</span>
|
|
<span class="normal">64</span>
|
|
<span class="normal">65</span>
|
|
<span class="normal">66</span>
|
|
<span class="normal">67</span>
|
|
<span class="normal">68</span>
|
|
<span class="normal">69</span>
|
|
<span class="normal">70</span>
|
|
<span class="normal">71</span>
|
|
<span class="normal">72</span>
|
|
<span class="normal">73</span>
|
|
<span class="normal">74</span>
|
|
<span class="normal">75</span>
|
|
<span class="normal">76</span>
|
|
<span class="normal">77</span></pre></div></td><td class="code"><div><pre><span></span><code><span class="k">def</span> <span class="nf">populate_any_indicators</span><span class="p">(</span>
|
|
<span class="bp">self</span><span class="p">,</span> <span class="n">pair</span><span class="p">,</span> <span class="n">df</span><span class="p">,</span> <span class="n">tf</span><span class="p">,</span> <span class="n">informative</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">set_generalized_indicators</span><span class="o">=</span><span class="kc">False</span>
|
|
<span class="p">):</span>
|
|
|
|
<span class="k">if</span> <span class="n">informative</span> <span class="ow">is</span> <span class="kc">None</span><span class="p">:</span>
|
|
<span class="n">informative</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">dp</span><span class="o">.</span><span class="n">get_pair_dataframe</span><span class="p">(</span><span class="n">pair</span><span class="p">,</span> <span class="n">tf</span><span class="p">)</span>
|
|
|
|
<span class="c1"># first loop is automatically duplicating indicators for time periods</span>
|
|
<span class="k">for</span> <span class="n">t</span> <span class="ow">in</span> <span class="bp">self</span><span class="o">.</span><span class="n">freqai_info</span><span class="p">[</span><span class="s2">"feature_parameters"</span><span class="p">][</span><span class="s2">"indicator_periods_candles"</span><span class="p">]:</span>
|
|
|
|
<span class="n">t</span> <span class="o">=</span> <span class="nb">int</span><span class="p">(</span><span class="n">t</span><span class="p">)</span>
|
|
<span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">rsi-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">RSI</span><span class="p">(</span><span class="n">informative</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">t</span><span class="p">)</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">mfi-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">MFI</span><span class="p">(</span><span class="n">informative</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">t</span><span class="p">)</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">adx-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">ADX</span><span class="p">(</span><span class="n">informative</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">t</span><span class="p">)</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">sma-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">SMA</span><span class="p">(</span><span class="n">informative</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">t</span><span class="p">)</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">ema-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">EMA</span><span class="p">(</span><span class="n">informative</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">t</span><span class="p">)</span>
|
|
</span><span class="hll">
|
|
</span><span class="hll"> <span class="n">bollinger</span> <span class="o">=</span> <span class="n">qtpylib</span><span class="o">.</span><span class="n">bollinger_bands</span><span class="p">(</span>
|
|
</span><span class="hll"> <span class="n">qtpylib</span><span class="o">.</span><span class="n">typical_price</span><span class="p">(</span><span class="n">informative</span><span class="p">),</span> <span class="n">window</span><span class="o">=</span><span class="n">t</span><span class="p">,</span> <span class="n">stds</span><span class="o">=</span><span class="mf">2.2</span>
|
|
</span><span class="hll"> <span class="p">)</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_lowerband-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">bollinger</span><span class="p">[</span><span class="s2">"lower"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_middleband-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">bollinger</span><span class="p">[</span><span class="s2">"mid"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_upperband-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">bollinger</span><span class="p">[</span><span class="s2">"upper"</span><span class="p">]</span>
|
|
</span><span class="hll">
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_width-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_upperband-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="o">-</span> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_lowerband-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="p">)</span> <span class="o">/</span> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_middleband-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">close-bb_lower-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span> <span class="o">/</span> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">bb_lowerband-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="p">)</span>
|
|
</span><span class="hll">
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">roc-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">ROC</span><span class="p">(</span><span class="n">informative</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">t</span><span class="p">)</span>
|
|
</span><span class="hll">
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">relative_volume-period_</span><span class="si">{</span><span class="n">t</span><span class="si">}</span><span class="s2">"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="s2">"volume"</span><span class="p">]</span> <span class="o">/</span> <span class="n">informative</span><span class="p">[</span><span class="s2">"volume"</span><span class="p">]</span><span class="o">.</span><span class="n">rolling</span><span class="p">(</span><span class="n">t</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
|
</span><span class="hll"> <span class="p">)</span> <span class="c1"># (1)</span>
|
|
</span>
|
|
<span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">pct-change"</span><span class="p">]</span> <span class="o">=</span> <span class="n">informative</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span><span class="o">.</span><span class="n">pct_change</span><span class="p">()</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">raw_volume"</span><span class="p">]</span> <span class="o">=</span> <span class="n">informative</span><span class="p">[</span><span class="s2">"volume"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="n">informative</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-</span><span class="si">{</span><span class="n">pair</span><span class="si">}</span><span class="s2">raw_price"</span><span class="p">]</span> <span class="o">=</span> <span class="n">informative</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="c1"># (2)</span>
|
|
</span>
|
|
<span class="n">indicators</span> <span class="o">=</span> <span class="p">[</span><span class="n">col</span> <span class="k">for</span> <span class="n">col</span> <span class="ow">in</span> <span class="n">informative</span> <span class="k">if</span> <span class="n">col</span><span class="o">.</span><span class="n">startswith</span><span class="p">(</span><span class="s2">"%"</span><span class="p">)]</span>
|
|
<span class="c1"># This loop duplicates and shifts all indicators to add a sense of recency to data</span>
|
|
<span class="k">for</span> <span class="n">n</span> <span class="ow">in</span> <span class="nb">range</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">freqai_info</span><span class="p">[</span><span class="s2">"feature_parameters"</span><span class="p">][</span><span class="s2">"include_shifted_candles"</span><span class="p">]</span> <span class="o">+</span> <span class="mi">1</span><span class="p">):</span>
|
|
<span class="k">if</span> <span class="n">n</span> <span class="o">==</span> <span class="mi">0</span><span class="p">:</span>
|
|
<span class="k">continue</span>
|
|
<span class="n">informative_shift</span> <span class="o">=</span> <span class="n">informative</span><span class="p">[</span><span class="n">indicators</span><span class="p">]</span><span class="o">.</span><span class="n">shift</span><span class="p">(</span><span class="n">n</span><span class="p">)</span>
|
|
<span class="n">informative_shift</span> <span class="o">=</span> <span class="n">informative_shift</span><span class="o">.</span><span class="n">add_suffix</span><span class="p">(</span><span class="s2">"_shift-"</span> <span class="o">+</span> <span class="nb">str</span><span class="p">(</span><span class="n">n</span><span class="p">))</span>
|
|
<span class="n">informative</span> <span class="o">=</span> <span class="n">pd</span><span class="o">.</span><span class="n">concat</span><span class="p">((</span><span class="n">informative</span><span class="p">,</span> <span class="n">informative_shift</span><span class="p">),</span> <span class="n">axis</span><span class="o">=</span><span class="mi">1</span><span class="p">)</span>
|
|
|
|
<span class="n">df</span> <span class="o">=</span> <span class="n">merge_informative_pair</span><span class="p">(</span><span class="n">df</span><span class="p">,</span> <span class="n">informative</span><span class="p">,</span> <span class="bp">self</span><span class="o">.</span><span class="n">config</span><span class="p">[</span><span class="s2">"timeframe"</span><span class="p">],</span> <span class="n">tf</span><span class="p">,</span> <span class="n">ffill</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
|
|
<span class="n">skip_columns</span> <span class="o">=</span> <span class="p">[</span>
|
|
<span class="p">(</span><span class="n">s</span> <span class="o">+</span> <span class="s2">"_"</span> <span class="o">+</span> <span class="n">tf</span><span class="p">)</span> <span class="k">for</span> <span class="n">s</span> <span class="ow">in</span> <span class="p">[</span><span class="s2">"date"</span><span class="p">,</span> <span class="s2">"open"</span><span class="p">,</span> <span class="s2">"high"</span><span class="p">,</span> <span class="s2">"low"</span><span class="p">,</span> <span class="s2">"close"</span><span class="p">,</span> <span class="s2">"volume"</span><span class="p">]</span>
|
|
<span class="p">]</span>
|
|
<span class="n">df</span> <span class="o">=</span> <span class="n">df</span><span class="o">.</span><span class="n">drop</span><span class="p">(</span><span class="n">columns</span><span class="o">=</span><span class="n">skip_columns</span><span class="p">)</span>
|
|
|
|
<span class="c1"># Add generalized indicators here (because in live, it will call this</span>
|
|
<span class="c1"># function to populate indicators during training). Notice how we ensure not to</span>
|
|
<span class="c1"># add them multiple times</span>
|
|
<span class="k">if</span> <span class="n">set_generalized_indicators</span><span class="p">:</span>
|
|
<span class="hll"> <span class="n">df</span><span class="p">[</span><span class="s2">"</span><span class="si">%-d</span><span class="s2">ay_of_week"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span><span class="n">df</span><span class="p">[</span><span class="s2">"date"</span><span class="p">]</span><span class="o">.</span><span class="n">dt</span><span class="o">.</span><span class="n">dayofweek</span> <span class="o">+</span> <span class="mi">1</span><span class="p">)</span> <span class="o">/</span> <span class="mi">7</span>
|
|
</span><span class="hll"> <span class="n">df</span><span class="p">[</span><span class="s2">"</span><span class="si">%-ho</span><span class="s2">ur_of_day"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span><span class="n">df</span><span class="p">[</span><span class="s2">"date"</span><span class="p">]</span><span class="o">.</span><span class="n">dt</span><span class="o">.</span><span class="n">hour</span> <span class="o">+</span> <span class="mi">1</span><span class="p">)</span> <span class="o">/</span> <span class="mi">25</span>
|
|
</span><span class="hll"> <span class="c1"># (3)</span>
|
|
</span>
|
|
<span class="hll"> <span class="c1"># user adds targets here by prepending them with &- (see convention below)</span>
|
|
</span><span class="hll"> <span class="n">df</span><span class="p">[</span><span class="s2">"&-s_close"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
|
|
</span><span class="hll"> <span class="n">df</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="o">.</span><span class="n">shift</span><span class="p">(</span><span class="o">-</span><span class="bp">self</span><span class="o">.</span><span class="n">freqai_info</span><span class="p">[</span><span class="s2">"feature_parameters"</span><span class="p">][</span><span class="s2">"label_period_candles"</span><span class="p">])</span>
|
|
</span><span class="hll"> <span class="o">.</span><span class="n">rolling</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">freqai_info</span><span class="p">[</span><span class="s2">"feature_parameters"</span><span class="p">][</span><span class="s2">"label_period_candles"</span><span class="p">])</span>
|
|
</span><span class="hll"> <span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
|
</span><span class="hll"> <span class="o">/</span> <span class="n">df</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span>
|
|
</span><span class="hll"> <span class="o">-</span> <span class="mi">1</span>
|
|
</span><span class="hll"> <span class="p">)</span> <span class="c1"># (4)</span>
|
|
</span>
|
|
<span class="k">return</span> <span class="n">df</span>
|
|
</code></pre></div></td></tr></table></div>
|
|
<ol>
|
|
<li>Features - Move to <code>feature_engineering_expand_all</code></li>
|
|
<li>Basic features, not expanded across <code>indicator_periods_candles</code> - move to<code>feature_engineering_expand_basic()</code>.</li>
|
|
<li>Standard features which should not be expanded - move to <code>feature_engineering_standard()</code>.</li>
|
|
<li>Targets - Move this part to <code>set_freqai_targets()</code>.</li>
|
|
</ol>
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<h3 id="freqai-feature-engineering-expand-all">freqai - feature engineering expand all<a class="headerlink" href="#freqai-feature-engineering-expand-all" title="Permanent link">¶</a></h3>
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<p>Features will now expand automatically. As such, the expansion loops, as well as the <code>{pair}</code> / <code>{timeframe}</code> parts will need to be removed.</p>
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<span class="normal">52</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span> <span class="nf">feature_engineering_expand_all</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">,</span> <span class="n">period</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">::</span>
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<span class="w"> </span><span class="sd">"""</span>
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<span class="sd"> *Only functional with FreqAI enabled strategies*</span>
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<span class="sd"> This function will automatically expand the defined features on the config defined</span>
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<span class="sd"> `indicator_periods_candles`, `include_timeframes`, `include_shifted_candles`, and</span>
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<span class="sd"> `include_corr_pairs`. In other words, a single feature defined in this function</span>
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<span class="sd"> will automatically expand to a total of</span>
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<span class="sd"> `indicator_periods_candles` * `include_timeframes` * `include_shifted_candles` *</span>
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<span class="sd"> `include_corr_pairs` numbers of features added to the model.</span>
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<span class="sd"> All features must be prepended with `%` to be recognized by FreqAI internals.</span>
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<span class="sd"> More details on how these config defined parameters accelerate feature engineering</span>
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<span class="sd"> in the documentation at:</span>
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<span class="sd"> https://www.freqtrade.io/en/latest/freqai-parameter-table/#feature-parameters</span>
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<span class="sd"> https://www.freqtrade.io/en/latest/freqai-feature-engineering/#defining-the-features</span>
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<span class="sd"> :param df: strategy dataframe which will receive the features</span>
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<span class="sd"> :param period: period of the indicator - usage example:</span>
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<span class="sd"> dataframe["%-ema-period"] = ta.EMA(dataframe, timeperiod=period)</span>
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<span class="sd"> """</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-r</span><span class="s2">si-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">RSI</span><span class="p">(</span><span class="n">dataframe</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">period</span><span class="p">)</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"%-mfi-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">MFI</span><span class="p">(</span><span class="n">dataframe</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">period</span><span class="p">)</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-a</span><span class="s2">dx-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">ADX</span><span class="p">(</span><span class="n">dataframe</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">period</span><span class="p">)</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-s</span><span class="s2">ma-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">SMA</span><span class="p">(</span><span class="n">dataframe</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">period</span><span class="p">)</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-e</span><span class="s2">ma-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">EMA</span><span class="p">(</span><span class="n">dataframe</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">period</span><span class="p">)</span>
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<span class="n">bollinger</span> <span class="o">=</span> <span class="n">qtpylib</span><span class="o">.</span><span class="n">bollinger_bands</span><span class="p">(</span>
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<span class="n">qtpylib</span><span class="o">.</span><span class="n">typical_price</span><span class="p">(</span><span class="n">dataframe</span><span class="p">),</span> <span class="n">window</span><span class="o">=</span><span class="n">period</span><span class="p">,</span> <span class="n">stds</span><span class="o">=</span><span class="mf">2.2</span>
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<span class="p">)</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"bb_lowerband-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">bollinger</span><span class="p">[</span><span class="s2">"lower"</span><span class="p">]</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"bb_middleband-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">bollinger</span><span class="p">[</span><span class="s2">"mid"</span><span class="p">]</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"bb_upperband-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">bollinger</span><span class="p">[</span><span class="s2">"upper"</span><span class="p">]</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"%-bb_width-period"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"bb_upperband-period"</span><span class="p">]</span>
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<span class="o">-</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"bb_lowerband-period"</span><span class="p">]</span>
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<span class="p">)</span> <span class="o">/</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"bb_middleband-period"</span><span class="p">]</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-c</span><span class="s2">lose-bb_lower-period"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span> <span class="o">/</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"bb_lowerband-period"</span><span class="p">]</span>
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<span class="p">)</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-r</span><span class="s2">oc-period"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">ROC</span><span class="p">(</span><span class="n">dataframe</span><span class="p">,</span> <span class="n">timeperiod</span><span class="o">=</span><span class="n">period</span><span class="p">)</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-r</span><span class="s2">elative_volume-period"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"volume"</span><span class="p">]</span> <span class="o">/</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"volume"</span><span class="p">]</span><span class="o">.</span><span class="n">rolling</span><span class="p">(</span><span class="n">period</span><span class="p">)</span><span class="o">.</span><span class="n">mean</span><span class="p">()</span>
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<span class="p">)</span>
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<span class="k">return</span> <span class="n">dataframe</span>
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</code></pre></div></td></tr></table></div>
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<h3 id="freqai-feature-engineering-basic">Freqai - feature engineering basic<a class="headerlink" href="#freqai-feature-engineering-basic" title="Permanent link">¶</a></h3>
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<p>Basic features. Make sure to remove the <code>{pair}</code> part from your features.</p>
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<span class="normal">30</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span> <span class="nf">feature_engineering_expand_basic</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">::</span>
|
|
<span class="w"> </span><span class="sd">"""</span>
|
|
<span class="sd"> *Only functional with FreqAI enabled strategies*</span>
|
|
<span class="sd"> This function will automatically expand the defined features on the config defined</span>
|
|
<span class="sd"> `include_timeframes`, `include_shifted_candles`, and `include_corr_pairs`.</span>
|
|
<span class="sd"> In other words, a single feature defined in this function</span>
|
|
<span class="sd"> will automatically expand to a total of</span>
|
|
<span class="sd"> `include_timeframes` * `include_shifted_candles` * `include_corr_pairs`</span>
|
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<span class="sd"> numbers of features added to the model.</span>
|
|
|
|
<span class="sd"> Features defined here will *not* be automatically duplicated on user defined</span>
|
|
<span class="sd"> `indicator_periods_candles`</span>
|
|
|
|
<span class="sd"> All features must be prepended with `%` to be recognized by FreqAI internals.</span>
|
|
|
|
<span class="sd"> More details on how these config defined parameters accelerate feature engineering</span>
|
|
<span class="sd"> in the documentation at:</span>
|
|
|
|
<span class="sd"> https://www.freqtrade.io/en/latest/freqai-parameter-table/#feature-parameters</span>
|
|
|
|
<span class="sd"> https://www.freqtrade.io/en/latest/freqai-feature-engineering/#defining-the-features</span>
|
|
|
|
<span class="sd"> :param df: strategy dataframe which will receive the features</span>
|
|
<span class="sd"> dataframe["%-pct-change"] = dataframe["close"].pct_change()</span>
|
|
<span class="sd"> dataframe["%-ema-200"] = ta.EMA(dataframe, timeperiod=200)</span>
|
|
<span class="sd"> """</span>
|
|
<span class="n">dataframe</span><span class="p">[</span><span class="s2">"%-pct-change"</span><span class="p">]</span> <span class="o">=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span><span class="o">.</span><span class="n">pct_change</span><span class="p">()</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-r</span><span class="s2">aw_volume"</span><span class="p">]</span> <span class="o">=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"volume"</span><span class="p">]</span>
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-r</span><span class="s2">aw_price"</span><span class="p">]</span> <span class="o">=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span>
|
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<span class="k">return</span> <span class="n">dataframe</span>
|
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</code></pre></div></td></tr></table></div>
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<h3 id="freqai-feature-engineering-standard">FreqAI - feature engineering standard<a class="headerlink" href="#freqai-feature-engineering-standard" title="Permanent link">¶</a></h3>
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<span class="normal">24</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span> <span class="nf">feature_engineering_standard</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">:</span>
|
|
<span class="w"> </span><span class="sd">"""</span>
|
|
<span class="sd"> *Only functional with FreqAI enabled strategies*</span>
|
|
<span class="sd"> This optional function will be called once with the dataframe of the base timeframe.</span>
|
|
<span class="sd"> This is the final function to be called, which means that the dataframe entering this</span>
|
|
<span class="sd"> function will contain all the features and columns created by all other</span>
|
|
<span class="sd"> freqai_feature_engineering_* functions.</span>
|
|
|
|
<span class="sd"> This function is a good place to do custom exotic feature extractions (e.g. tsfresh).</span>
|
|
<span class="sd"> This function is a good place for any feature that should not be auto-expanded upon</span>
|
|
<span class="sd"> (e.g. day of the week).</span>
|
|
|
|
<span class="sd"> All features must be prepended with `%` to be recognized by FreqAI internals.</span>
|
|
|
|
<span class="sd"> More details about feature engineering available:</span>
|
|
|
|
<span class="sd"> https://www.freqtrade.io/en/latest/freqai-feature-engineering</span>
|
|
|
|
<span class="sd"> :param df: strategy dataframe which will receive the features</span>
|
|
<span class="sd"> usage example: dataframe["%-day_of_week"] = (dataframe["date"].dt.dayofweek + 1) / 7</span>
|
|
<span class="sd"> """</span>
|
|
<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-d</span><span class="s2">ay_of_week"</span><span class="p">]</span> <span class="o">=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"date"</span><span class="p">]</span><span class="o">.</span><span class="n">dt</span><span class="o">.</span><span class="n">dayofweek</span>
|
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<span class="n">dataframe</span><span class="p">[</span><span class="s2">"</span><span class="si">%-ho</span><span class="s2">ur_of_day"</span><span class="p">]</span> <span class="o">=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"date"</span><span class="p">]</span><span class="o">.</span><span class="n">dt</span><span class="o">.</span><span class="n">hour</span>
|
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<span class="k">return</span> <span class="n">dataframe</span>
|
|
</code></pre></div></td></tr></table></div>
|
|
<h3 id="freqai-set-targets">FreqAI - set Targets<a class="headerlink" href="#freqai-set-targets" title="Permanent link">¶</a></h3>
|
|
<p>Targets now get their own, dedicated method.</p>
|
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<span class="normal">23</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span> <span class="nf">set_freqai_targets</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">dataframe</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">:</span>
|
|
<span class="w"> </span><span class="sd">"""</span>
|
|
<span class="sd"> *Only functional with FreqAI enabled strategies*</span>
|
|
<span class="sd"> Required function to set the targets for the model.</span>
|
|
<span class="sd"> All targets must be prepended with `&` to be recognized by the FreqAI internals.</span>
|
|
|
|
<span class="sd"> More details about feature engineering available:</span>
|
|
|
|
<span class="sd"> https://www.freqtrade.io/en/latest/freqai-feature-engineering</span>
|
|
|
|
<span class="sd"> :param df: strategy dataframe which will receive the targets</span>
|
|
<span class="sd"> usage example: dataframe["&-target"] = dataframe["close"].shift(-1) / dataframe["close"]</span>
|
|
<span class="sd"> """</span>
|
|
<span class="n">dataframe</span><span class="p">[</span><span class="s2">"&-s_close"</span><span class="p">]</span> <span class="o">=</span> <span class="p">(</span>
|
|
<span class="n">dataframe</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span>
|
|
<span class="o">.</span><span class="n">shift</span><span class="p">(</span><span class="o">-</span><span class="bp">self</span><span class="o">.</span><span class="n">freqai_info</span><span class="p">[</span><span class="s2">"feature_parameters"</span><span class="p">][</span><span class="s2">"label_period_candles"</span><span class="p">])</span>
|
|
<span class="o">.</span><span class="n">rolling</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">freqai_info</span><span class="p">[</span><span class="s2">"feature_parameters"</span><span class="p">][</span><span class="s2">"label_period_candles"</span><span class="p">])</span>
|
|
<span class="o">.</span><span class="n">mean</span><span class="p">()</span>
|
|
<span class="o">/</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"close"</span><span class="p">]</span>
|
|
<span class="o">-</span> <span class="mi">1</span>
|
|
<span class="p">)</span>
|
|
|
|
<span class="k">return</span> <span class="n">dataframe</span>
|
|
</code></pre></div></td></tr></table></div>
|
|
<h3 id="freqai-new-data-pipeline">FreqAI - New data Pipeline<a class="headerlink" href="#freqai-new-data-pipeline" title="Permanent link">¶</a></h3>
|
|
<p>If you have created your own custom <code>IFreqaiModel</code> with a custom <code>train()</code>/<code>predict()</code> function, <em>and</em> you still rely on <code>data_cleaning_train/predict()</code>, then you will need to migrate to the new pipeline. If your model does <em>not</em> rely on <code>data_cleaning_train/predict()</code>, then you do not need to worry about this migration. That means that this migration guide is relevant for a very small percentage of power-users. If you stumbled upon this guide by mistake, feel free to inquire in depth about your problem in the Freqtrade discord server.</p>
|
|
<p>The conversion involves first removing <code>data_cleaning_train/predict()</code> and replacing them with a <code>define_data_pipeline()</code> and <code>define_label_pipeline()</code> function to your <code>IFreqaiModel</code> class:</p>
|
|
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|
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<span class="normal">68</span></pre></div></td><td class="code"><div><pre><span></span><code><span class="k">class</span> <span class="nc">MyCoolFreqaiModel</span><span class="p">(</span><span class="n">BaseRegressionModel</span><span class="p">):</span>
|
|
<span class="w"> </span><span class="sd">"""</span>
|
|
<span class="sd"> Some cool custom IFreqaiModel you made before Freqtrade version 2023.6</span>
|
|
<span class="sd"> """</span>
|
|
<span class="k">def</span> <span class="nf">train</span><span class="p">(</span>
|
|
<span class="bp">self</span><span class="p">,</span> <span class="n">unfiltered_df</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="n">pair</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span> <span class="n">dk</span><span class="p">:</span> <span class="n">FreqaiDataKitchen</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span>
|
|
<span class="p">)</span> <span class="o">-></span> <span class="n">Any</span><span class="p">:</span>
|
|
|
|
<span class="c1"># ... your custom stuff</span>
|
|
|
|
<span class="hll"> <span class="c1"># Remove these lines</span>
|
|
</span><span class="hll"> <span class="c1"># data_dictionary = dk.make_train_test_datasets(features_filtered, labels_filtered)</span>
|
|
</span><span class="hll"> <span class="c1"># self.data_cleaning_train(dk)</span>
|
|
</span><span class="hll"> <span class="c1"># data_dictionary = dk.normalize_data(data_dictionary)</span>
|
|
</span> <span class="c1"># (1)</span>
|
|
|
|
<span class="c1"># Add these lines. Now we control the pipeline fit/transform ourselves</span>
|
|
<span class="n">dd</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">make_train_test_datasets</span><span class="p">(</span><span class="n">features_filtered</span><span class="p">,</span> <span class="n">labels_filtered</span><span class="p">)</span>
|
|
<span class="n">dk</span><span class="o">.</span><span class="n">feature_pipeline</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">define_data_pipeline</span><span class="p">(</span><span class="n">threads</span><span class="o">=</span><span class="n">dk</span><span class="o">.</span><span class="n">thread_count</span><span class="p">)</span>
|
|
<span class="n">dk</span><span class="o">.</span><span class="n">label_pipeline</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">define_label_pipeline</span><span class="p">(</span><span class="n">threads</span><span class="o">=</span><span class="n">dk</span><span class="o">.</span><span class="n">thread_count</span><span class="p">)</span>
|
|
|
|
<span class="p">(</span><span class="n">dd</span><span class="p">[</span><span class="s2">"train_features"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"train_labels"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"train_weights"</span><span class="p">])</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">feature_pipeline</span><span class="o">.</span><span class="n">fit_transform</span><span class="p">(</span><span class="n">dd</span><span class="p">[</span><span class="s2">"train_features"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"train_labels"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"train_weights"</span><span class="p">])</span>
|
|
|
|
<span class="p">(</span><span class="n">dd</span><span class="p">[</span><span class="s2">"test_features"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"test_labels"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"test_weights"</span><span class="p">])</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">feature_pipeline</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">dd</span><span class="p">[</span><span class="s2">"test_features"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"test_labels"</span><span class="p">],</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"test_weights"</span><span class="p">])</span>
|
|
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"train_labels"</span><span class="p">],</span> <span class="n">_</span><span class="p">,</span> <span class="n">_</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">label_pipeline</span><span class="o">.</span><span class="n">fit_transform</span><span class="p">(</span><span class="n">dd</span><span class="p">[</span><span class="s2">"train_labels"</span><span class="p">])</span>
|
|
<span class="n">dd</span><span class="p">[</span><span class="s2">"test_labels"</span><span class="p">],</span> <span class="n">_</span><span class="p">,</span> <span class="n">_</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">label_pipeline</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span><span class="n">dd</span><span class="p">[</span><span class="s2">"test_labels"</span><span class="p">])</span>
|
|
|
|
<span class="c1"># ... your custom code</span>
|
|
|
|
<span class="k">return</span> <span class="n">model</span>
|
|
|
|
<span class="k">def</span> <span class="nf">predict</span><span class="p">(</span>
|
|
<span class="bp">self</span><span class="p">,</span> <span class="n">unfiltered_df</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span> <span class="n">dk</span><span class="p">:</span> <span class="n">FreqaiDataKitchen</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span>
|
|
<span class="p">)</span> <span class="o">-></span> <span class="n">Tuple</span><span class="p">[</span><span class="n">DataFrame</span><span class="p">,</span> <span class="n">npt</span><span class="o">.</span><span class="n">NDArray</span><span class="p">[</span><span class="n">np</span><span class="o">.</span><span class="n">int_</span><span class="p">]]:</span>
|
|
|
|
<span class="c1"># ... your custom stuff</span>
|
|
|
|
<span class="hll"> <span class="c1"># Remove these lines:</span>
|
|
</span><span class="hll"> <span class="c1"># self.data_cleaning_predict(dk)</span>
|
|
</span><span class="hll"> <span class="c1"># (2)</span>
|
|
</span>
|
|
<span class="c1"># Add these lines:</span>
|
|
<span class="n">dk</span><span class="o">.</span><span class="n">data_dictionary</span><span class="p">[</span><span class="s2">"prediction_features"</span><span class="p">],</span> <span class="n">outliers</span><span class="p">,</span> <span class="n">_</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">feature_pipeline</span><span class="o">.</span><span class="n">transform</span><span class="p">(</span>
|
|
<span class="n">dk</span><span class="o">.</span><span class="n">data_dictionary</span><span class="p">[</span><span class="s2">"prediction_features"</span><span class="p">],</span> <span class="n">outlier_check</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
|
|
|
|
<span class="hll"> <span class="c1"># Remove this line</span>
|
|
</span><span class="hll"> <span class="c1"># pred_df = dk.denormalize_labels_from_metadata(pred_df)</span>
|
|
</span><span class="hll"> <span class="c1"># (3)</span>
|
|
</span>
|
|
<span class="c1"># Replace with these lines</span>
|
|
<span class="n">pred_df</span><span class="p">,</span> <span class="n">_</span><span class="p">,</span> <span class="n">_</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">label_pipeline</span><span class="o">.</span><span class="n">inverse_transform</span><span class="p">(</span><span class="n">pred_df</span><span class="p">)</span>
|
|
<span class="k">if</span> <span class="bp">self</span><span class="o">.</span><span class="n">freqai_info</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"DI_threshold"</span><span class="p">,</span> <span class="mi">0</span><span class="p">)</span> <span class="o">></span> <span class="mi">0</span><span class="p">:</span>
|
|
<span class="n">dk</span><span class="o">.</span><span class="n">DI_values</span> <span class="o">=</span> <span class="n">dk</span><span class="o">.</span><span class="n">feature_pipeline</span><span class="p">[</span><span class="s2">"di"</span><span class="p">]</span><span class="o">.</span><span class="n">di_values</span>
|
|
<span class="k">else</span><span class="p">:</span>
|
|
<span class="n">dk</span><span class="o">.</span><span class="n">DI_values</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">zeros</span><span class="p">(</span><span class="n">outliers</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="mi">0</span><span class="p">])</span>
|
|
<span class="n">dk</span><span class="o">.</span><span class="n">do_predict</span> <span class="o">=</span> <span class="n">outliers</span>
|
|
|
|
<span class="c1"># ... your custom code</span>
|
|
<span class="k">return</span> <span class="p">(</span><span class="n">pred_df</span><span class="p">,</span> <span class="n">dk</span><span class="o">.</span><span class="n">do_predict</span><span class="p">)</span>
|
|
</code></pre></div></td></tr></table></div>
|
|
<ol>
|
|
<li>Data normalization and cleaning is now homogenized with the new pipeline definition. This is created in the new <code>define_data_pipeline()</code> and <code>define_label_pipeline()</code> functions. The <code>data_cleaning_train()</code> and <code>data_cleaning_predict()</code> functions are no longer used. You can override <code>define_data_pipeline()</code> to create your own custom pipeline if you wish.</li>
|
|
<li>Data normalization and cleaning is now homogenized with the new pipeline definition. This is created in the new <code>define_data_pipeline()</code> and <code>define_label_pipeline()</code> functions. The <code>data_cleaning_train()</code> and <code>data_cleaning_predict()</code> functions are no longer used. You can override <code>define_data_pipeline()</code> to create your own custom pipeline if you wish.</li>
|
|
<li>Data denormalization is done with the new pipeline. Replace this with the lines below.</li>
|
|
</ol>
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