freqtrade_origin/tests/strategy/strats/freqai_test_strat.py
2022-07-20 14:39:28 +02:00

203 lines
8.7 KiB
Python

import logging
from functools import reduce
import pandas as pd
import talib.abstract as ta
from pandas import DataFrame
from freqtrade.freqai.strategy_bridge import CustomModel
from freqtrade.strategy import DecimalParameter, IntParameter, merge_informative_pair
from freqtrade.strategy.interface import IStrategy
logger = logging.getLogger(__name__)
class freqai_test_strat(IStrategy):
"""
Example strategy showing how the user connects their own
IFreqaiModel to the strategy. Namely, the user uses:
self.model = CustomModel(self.config)
self.model.bridge.start(dataframe, metadata)
to make predictions on their data. populate_any_indicators() automatically
generates the variety of features indicated by the user in the
canonical freqtrade configuration file under config['freqai'].
"""
minimal_roi = {"0": 0.1, "240": -1}
plot_config = {
"main_plot": {},
"subplots": {
"prediction": {"prediction": {"color": "blue"}},
"target_roi": {
"target_roi": {"color": "brown"},
},
"do_predict": {
"do_predict": {"color": "brown"},
},
},
}
process_only_new_candles = True
stoploss = -0.05
use_exit_signal = True
startup_candle_count: int = 300
can_short = False
linear_roi_offset = DecimalParameter(
0.00, 0.02, default=0.005, space="sell", optimize=False, load=True
)
max_roi_time_long = IntParameter(0, 800, default=400, space="sell", optimize=False, load=True)
def informative_pairs(self):
whitelist_pairs = self.dp.current_whitelist()
corr_pairs = self.config["freqai"]["feature_parameters"]["include_corr_pairlist"]
informative_pairs = []
for tf in self.config["freqai"]["feature_parameters"]["include_timeframes"]:
for pair in whitelist_pairs:
informative_pairs.append((pair, tf))
for pair in corr_pairs:
if pair in whitelist_pairs:
continue # avoid duplication
informative_pairs.append((pair, tf))
return informative_pairs
def bot_start(self):
self.model = CustomModel(self.config)
def populate_any_indicators(
self, metadata, pair, df, tf, informative=None, coin="", set_generalized_indicators=False
):
"""
Function designed to automatically generate, name and merge features
from user indicated timeframes in the configuration file. User controls the indicators
passed to the training/prediction by prepending indicators with `'%-' + coin `
(see convention below). I.e. user should not prepend any supporting metrics
(e.g. bb_lowerband below) with % unless they explicitly want to pass that metric to the
model.
:params:
:pair: pair to be used as informative
:df: strategy dataframe which will receive merges from informatives
:tf: timeframe of the dataframe which will modify the feature names
:informative: the dataframe associated with the informative pair
:coin: the name of the coin which will modify the feature names.
"""
with self.model.bridge.lock:
if informative is None:
informative = self.dp.get_pair_dataframe(pair, tf)
# first loop is automatically duplicating indicators for time periods
for t in self.freqai_info["feature_parameters"]["indicator_periods_candles"]:
t = int(t)
informative[f"%-{coin}rsi-period_{t}"] = ta.RSI(informative, timeperiod=t)
informative[f"%-{coin}mfi-period_{t}"] = ta.MFI(informative, timeperiod=t)
informative[f"%-{coin}adx-period_{t}"] = ta.ADX(informative, window=t)
informative[f"%-{coin}pct-change"] = informative["close"].pct_change()
informative[f"%-{coin}raw_volume"] = informative["volume"]
informative[f"%-{coin}raw_price"] = informative["close"]
indicators = [col for col in informative if col.startswith("%")]
# This loop duplicates and shifts all indicators to add a sense of recency to data
for n in range(self.freqai_info["feature_parameters"]["include_shifted_candles"] + 1):
if n == 0:
continue
informative_shift = informative[indicators].shift(n)
informative_shift = informative_shift.add_suffix("_shift-" + str(n))
informative = pd.concat((informative, informative_shift), axis=1)
df = merge_informative_pair(df, informative, self.config["timeframe"], tf, ffill=True)
skip_columns = [
(s + "_" + tf) for s in ["date", "open", "high", "low", "close", "volume"]
]
df = df.drop(columns=skip_columns)
# Add generalized indicators here (because in live, it will call this
# function to populate indicators during training). Notice how we ensure not to
# add them multiple times
if set_generalized_indicators:
df["%-day_of_week"] = (df["date"].dt.dayofweek + 1) / 7
df["%-hour_of_day"] = (df["date"].dt.hour + 1) / 25
# user adds targets here by prepending them with &- (see convention below)
# If user wishes to use multiple targets, a multioutput prediction model
# needs to be used such as templates/CatboostPredictionMultiModel.py
df["&-s_close"] = (
df["close"]
.shift(-self.freqai_info["feature_parameters"]["label_period_candles"])
.rolling(self.freqai_info["feature_parameters"]["label_period_candles"])
.mean()
/ df["close"]
- 1
)
return df
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
self.freqai_info = self.config["freqai"]
self.pair = metadata["pair"]
sgi = True
# the following loops are necessary for building the features
# indicated by the user in the configuration file.
# All indicators must be populated by populate_any_indicators() for live functionality
# to work correctly.
for tf in self.freqai_info["feature_parameters"]["include_timeframes"]:
dataframe = self.populate_any_indicators(
metadata,
self.pair,
dataframe.copy(),
tf,
coin=self.pair.split("/")[0] + "-",
set_generalized_indicators=sgi,
)
sgi = False
for pair in self.freqai_info["feature_parameters"]["include_corr_pairlist"]:
if metadata["pair"] in pair:
continue # do not include whitelisted pair twice if it is in corr_pairlist
dataframe = self.populate_any_indicators(
metadata, pair, dataframe.copy(), tf, coin=pair.split("/")[0] + "-"
)
# the model will return 4 values, its prediction, an indication of whether or not the
# prediction should be accepted, the target mean/std values from the labels used during
# each training period.
dataframe = self.model.bridge.start(dataframe, metadata, self)
dataframe["target_roi"] = dataframe["&-s_close_mean"] + dataframe["&-s_close_std"] * 1.25
dataframe["sell_roi"] = dataframe["&-s_close_mean"] - dataframe["&-s_close_std"] * 1.25
return dataframe
def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
enter_long_conditions = [df["do_predict"] == 1, df["&-s_close"] > df["target_roi"]]
if enter_long_conditions:
df.loc[
reduce(lambda x, y: x & y, enter_long_conditions), ["enter_long", "enter_tag"]
] = (1, "long")
enter_short_conditions = [df["do_predict"] == 1, df["&-s_close"] < df["sell_roi"]]
if enter_short_conditions:
df.loc[
reduce(lambda x, y: x & y, enter_short_conditions), ["enter_short", "enter_tag"]
] = (1, "short")
return df
def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
exit_long_conditions = [df["do_predict"] == 1, df["&-s_close"] < df["sell_roi"] * 0.25]
if exit_long_conditions:
df.loc[reduce(lambda x, y: x & y, exit_long_conditions), "exit_long"] = 1
exit_short_conditions = [df["do_predict"] == 1, df["&-s_close"] > df["target_roi"] * 0.25]
if exit_short_conditions:
df.loc[reduce(lambda x, y: x & y, exit_short_conditions), "exit_short"] = 1
return df