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@@ -1663,25 +1663,25 @@ class.</p>
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<p>To use a custom loss function class, make sure that the function <code>hyperopt_loss_function</code> is defined in your custom hyperopt loss class.
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For the sample below, you then need to add the command line parameter <code>--hyperopt-loss SuperDuperHyperOptLoss</code> to your hyperopt call so this function is being used.</p>
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<p>A sample of this can be found below, which is identical to the Default Hyperopt loss implementation. A full sample can be found in <a href="https://github.com/freqtrade/freqtrade/blob/develop/freqtrade/templates/sample_hyperopt_loss.py">userdata/hyperopts</a>.</p>
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<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
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<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">Any</span><span class="p">,</span> <span class="n">Dict</span>
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<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">datetime</span>
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<span class="kn">from</span><span class="w"> </span><span class="nn">typing</span><span class="w"> </span><span class="kn">import</span> <span class="n">Any</span><span class="p">,</span> <span class="n">Dict</span>
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<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
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<span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
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<span class="kn">from</span> <span class="nn">freqtrade.constants</span> <span class="kn">import</span> <span class="n">Config</span>
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<span class="kn">from</span> <span class="nn">freqtrade.optimize.hyperopt</span> <span class="kn">import</span> <span class="n">IHyperOptLoss</span>
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<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.constants</span><span class="w"> </span><span class="kn">import</span> <span class="n">Config</span>
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<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.optimize.hyperopt</span><span class="w"> </span><span class="kn">import</span> <span class="n">IHyperOptLoss</span>
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<span class="n">TARGET_TRADES</span> <span class="o">=</span> <span class="mi">600</span>
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<span class="n">EXPECTED_MAX_PROFIT</span> <span class="o">=</span> <span class="mf">3.0</span>
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<span class="n">MAX_ACCEPTED_TRADE_DURATION</span> <span class="o">=</span> <span class="mi">300</span>
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<span class="k">class</span> <span class="nc">SuperDuperHyperOptLoss</span><span class="p">(</span><span class="n">IHyperOptLoss</span><span class="p">):</span>
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<span class="k">class</span><span class="w"> </span><span class="nc">SuperDuperHyperOptLoss</span><span class="p">(</span><span class="n">IHyperOptLoss</span><span class="p">):</span>
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<span class="w"> </span><span class="sd">"""</span>
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<span class="sd"> Defines the default loss function for hyperopt</span>
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<span class="sd"> """</span>
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<span class="nd">@staticmethod</span>
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<span class="k">def</span> <span class="nf">hyperopt_loss_function</span><span class="p">(</span>
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<span class="k">def</span><span class="w"> </span><span class="nf">hyperopt_loss_function</span><span class="p">(</span>
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<span class="o">*</span><span class="p">,</span>
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<span class="n">results</span><span class="p">:</span> <span class="n">DataFrame</span><span class="p">,</span>
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<span class="n">trade_count</span><span class="p">:</span> <span class="nb">int</span><span class="p">,</span>
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@@ -1734,16 +1734,16 @@ For the sample below, you then need to add the command line parameter <code>--hy
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</div>
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<h2 id="overriding-pre-defined-spaces">Overriding pre-defined spaces<a class="headerlink" href="#overriding-pre-defined-spaces" title="Permanent link">¶</a></h2>
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<p>To override a pre-defined space (<code>roi_space</code>, <code>generate_roi_table</code>, <code>stoploss_space</code>, <code>trailing_space</code>, <code>max_open_trades_space</code>), define a nested class called Hyperopt and define the required spaces as follows:</p>
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<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.optimize.space</span> <span class="kn">import</span> <span class="n">Categorical</span><span class="p">,</span> <span class="n">Dimension</span><span class="p">,</span> <span class="n">Integer</span><span class="p">,</span> <span class="n">SKDecimal</span>
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<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.optimize.space</span><span class="w"> </span><span class="kn">import</span> <span class="n">Categorical</span><span class="p">,</span> <span class="n">Dimension</span><span class="p">,</span> <span class="n">Integer</span><span class="p">,</span> <span class="n">SKDecimal</span>
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||||
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<span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
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<span class="k">class</span> <span class="nc">HyperOpt</span><span class="p">:</span>
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||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
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<span class="k">class</span><span class="w"> </span><span class="nc">HyperOpt</span><span class="p">:</span>
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<span class="c1"># Define a custom stoploss space.</span>
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<span class="k">def</span> <span class="nf">stoploss_space</span><span class="p">():</span>
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<span class="k">def</span><span class="w"> </span><span class="nf">stoploss_space</span><span class="p">():</span>
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<span class="k">return</span> <span class="p">[</span><span class="n">SKDecimal</span><span class="p">(</span><span class="o">-</span><span class="mf">0.05</span><span class="p">,</span> <span class="o">-</span><span class="mf">0.01</span><span class="p">,</span> <span class="n">decimals</span><span class="o">=</span><span class="mi">3</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s1">'stoploss'</span><span class="p">)]</span>
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<span class="c1"># Define custom ROI space</span>
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<span class="k">def</span> <span class="nf">roi_space</span><span class="p">()</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
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<span class="k">def</span><span class="w"> </span><span class="nf">roi_space</span><span class="p">()</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
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||||
<span class="k">return</span> <span class="p">[</span>
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||||
<span class="n">Integer</span><span class="p">(</span><span class="mi">10</span><span class="p">,</span> <span class="mi">120</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s1">'roi_t1'</span><span class="p">),</span>
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||||
<span class="n">Integer</span><span class="p">(</span><span class="mi">10</span><span class="p">,</span> <span class="mi">60</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s1">'roi_t2'</span><span class="p">),</span>
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@@ -1753,7 +1753,7 @@ For the sample below, you then need to add the command line parameter <code>--hy
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<span class="n">SKDecimal</span><span class="p">(</span><span class="mf">0.01</span><span class="p">,</span> <span class="mf">0.20</span><span class="p">,</span> <span class="n">decimals</span><span class="o">=</span><span class="mi">3</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s1">'roi_p3'</span><span class="p">),</span>
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<span class="p">]</span>
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||||
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||||
<span class="k">def</span> <span class="nf">generate_roi_table</span><span class="p">(</span><span class="n">params</span><span class="p">:</span> <span class="n">Dict</span><span class="p">)</span> <span class="o">-></span> <span class="nb">dict</span><span class="p">[</span><span class="nb">int</span><span class="p">,</span> <span class="nb">float</span><span class="p">]:</span>
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||||
<span class="k">def</span><span class="w"> </span><span class="nf">generate_roi_table</span><span class="p">(</span><span class="n">params</span><span class="p">:</span> <span class="n">Dict</span><span class="p">)</span> <span class="o">-></span> <span class="nb">dict</span><span class="p">[</span><span class="nb">int</span><span class="p">,</span> <span class="nb">float</span><span class="p">]:</span>
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||||
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||||
<span class="n">roi_table</span> <span class="o">=</span> <span class="p">{}</span>
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||||
<span class="n">roi_table</span><span class="p">[</span><span class="mi">0</span><span class="p">]</span> <span class="o">=</span> <span class="n">params</span><span class="p">[</span><span class="s1">'roi_p1'</span><span class="p">]</span> <span class="o">+</span> <span class="n">params</span><span class="p">[</span><span class="s1">'roi_p2'</span><span class="p">]</span> <span class="o">+</span> <span class="n">params</span><span class="p">[</span><span class="s1">'roi_p3'</span><span class="p">]</span>
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@@ -1763,7 +1763,7 @@ For the sample below, you then need to add the command line parameter <code>--hy
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||||
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<span class="k">return</span> <span class="n">roi_table</span>
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||||
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<span class="k">def</span> <span class="nf">trailing_space</span><span class="p">()</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
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<span class="k">def</span><span class="w"> </span><span class="nf">trailing_space</span><span class="p">()</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
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<span class="c1"># All parameters here are mandatory, you can only modify their type or the range.</span>
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||||
<span class="k">return</span> <span class="p">[</span>
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<span class="c1"># Fixed to true, if optimizing trailing_stop we assume to use trailing stop at all times.</span>
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@@ -1781,7 +1781,7 @@ For the sample below, you then need to add the command line parameter <code>--hy
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<span class="p">]</span>
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<span class="c1"># Define a custom max_open_trades space</span>
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<span class="k">def</span> <span class="nf">max_open_trades_space</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
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||||
<span class="k">def</span><span class="w"> </span><span class="nf">max_open_trades_space</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="n">Dimension</span><span class="p">]:</span>
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||||
<span class="k">return</span> <span class="p">[</span>
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||||
<span class="n">Integer</span><span class="p">(</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">10</span><span class="p">,</span> <span class="n">name</span><span class="o">=</span><span class="s1">'max_open_trades'</span><span class="p">),</span>
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<span class="p">]</span>
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||||
@@ -1792,9 +1792,9 @@ For the sample below, you then need to add the command line parameter <code>--hy
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</div>
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<h3 id="dynamic-parameters">Dynamic parameters<a class="headerlink" href="#dynamic-parameters" title="Permanent link">¶</a></h3>
|
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<p>Parameters can also be defined dynamically, but must be available to the instance once the <a href="../strategy-callbacks/#bot-start"><code>bot_start()</code> callback</a> has been called.</p>
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<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
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||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
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<span class="k">def</span> <span class="nf">bot_start</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
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<span class="k">def</span><span class="w"> </span><span class="nf">bot_start</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
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<span class="bp">self</span><span class="o">.</span><span class="n">buy_adx</span> <span class="o">=</span> <span class="n">IntParameter</span><span class="p">(</span><span class="mi">20</span><span class="p">,</span> <span class="mi">30</span><span class="p">,</span> <span class="n">default</span><span class="o">=</span><span class="mi">30</span><span class="p">,</span> <span class="n">optimize</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
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<span class="c1"># ...</span>
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@@ -1805,27 +1805,27 @@ For the sample below, you then need to add the command line parameter <code>--hy
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</div>
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<h3 id="overriding-base-estimator">Overriding Base estimator<a class="headerlink" href="#overriding-base-estimator" title="Permanent link">¶</a></h3>
|
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<p>You can define your own estimator for Hyperopt by implementing <code>generate_estimator()</code> in the Hyperopt subclass.</p>
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<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
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<span class="k">class</span> <span class="nc">HyperOpt</span><span class="p">:</span>
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<span class="k">def</span> <span class="nf">generate_estimator</span><span class="p">(</span><span class="n">dimensions</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="s1">'Dimension'</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
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<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
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<span class="k">class</span><span class="w"> </span><span class="nc">HyperOpt</span><span class="p">:</span>
|
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<span class="k">def</span><span class="w"> </span><span class="nf">generate_estimator</span><span class="p">(</span><span class="n">dimensions</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="s1">'Dimension'</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
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<span class="k">return</span> <span class="s2">"RF"</span>
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</code></pre></div>
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<p>Possible values are either one of "GP", "RF", "ET", "GBRT" (Details can be found in the <a href="https://scikit-optimize.github.io/">scikit-optimize documentation</a>), or "an instance of a class that inherits from <code>RegressorMixin</code> (from sklearn) and where the <code>predict</code> method has an optional <code>return_std</code> argument, which returns <code>std(Y | x)</code> along with <code>E[Y | x]</code>".</p>
|
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<p>Some research will be necessary to find additional Regressors.</p>
|
||||
<p>Example for <code>ExtraTreesRegressor</code> ("ET") with additional parameters:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span> <span class="nc">HyperOpt</span><span class="p">:</span>
|
||||
<span class="k">def</span> <span class="nf">generate_estimator</span><span class="p">(</span><span class="n">dimensions</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="s1">'Dimension'</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="kn">from</span> <span class="nn">skopt.learning</span> <span class="kn">import</span> <span class="n">ExtraTreesRegressor</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">HyperOpt</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">generate_estimator</span><span class="p">(</span><span class="n">dimensions</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="s1">'Dimension'</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">skopt.learning</span><span class="w"> </span><span class="kn">import</span> <span class="n">ExtraTreesRegressor</span>
|
||||
<span class="c1"># Corresponds to "ET" - but allows additional parameters.</span>
|
||||
<span class="k">return</span> <span class="n">ExtraTreesRegressor</span><span class="p">(</span><span class="n">n_estimators</span><span class="o">=</span><span class="mi">100</span><span class="p">)</span>
|
||||
</code></pre></div>
|
||||
<p>The <code>dimensions</code> parameter is the list of <code>skopt.space.Dimension</code> objects corresponding to the parameters to be optimized. It can be used to create isotropic kernels for the <code>skopt.learning.GaussianProcessRegressor</code> estimator. Here's an example:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span> <span class="nc">HyperOpt</span><span class="p">:</span>
|
||||
<span class="k">def</span> <span class="nf">generate_estimator</span><span class="p">(</span><span class="n">dimensions</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="s1">'Dimension'</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="kn">from</span> <span class="nn">skopt.utils</span> <span class="kn">import</span> <span class="n">cook_estimator</span>
|
||||
<span class="kn">from</span> <span class="nn">skopt.learning.gaussian_process.kernels</span> <span class="kn">import</span> <span class="p">(</span><span class="n">Matern</span><span class="p">,</span> <span class="n">ConstantKernel</span><span class="p">)</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">HyperOpt</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">generate_estimator</span><span class="p">(</span><span class="n">dimensions</span><span class="p">:</span> <span class="n">List</span><span class="p">[</span><span class="s1">'Dimension'</span><span class="p">],</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">skopt.utils</span><span class="w"> </span><span class="kn">import</span> <span class="n">cook_estimator</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">skopt.learning.gaussian_process.kernels</span><span class="w"> </span><span class="kn">import</span> <span class="p">(</span><span class="n">Matern</span><span class="p">,</span> <span class="n">ConstantKernel</span><span class="p">)</span>
|
||||
<span class="n">kernel_bounds</span> <span class="o">=</span> <span class="p">(</span><span class="mf">0.0001</span><span class="p">,</span> <span class="mi">10000</span><span class="p">)</span>
|
||||
<span class="n">kernel</span> <span class="o">=</span> <span class="p">(</span>
|
||||
<span class="n">ConstantKernel</span><span class="p">(</span><span class="mf">1.0</span><span class="p">,</span> <span class="n">kernel_bounds</span><span class="p">)</span> <span class="o">*</span>
|
||||
@@ -1852,7 +1852,7 @@ If you're unsure about this, best use one of the Defaults (<code>"ET"</code> has
|
||||
<li><code>Real</code> - Pick from a range of decimal numbers with full precision (e.g. <code>Real(0.1, 0.5, name='adx')</code></li>
|
||||
</ul>
|
||||
<p>You can import all of these from <code>freqtrade.optimize.space</code>, although <code>Categorical</code>, <code>Integer</code> and <code>Real</code> are only aliases for their corresponding scikit-optimize Spaces. <code>SKDecimal</code> is provided by freqtrade for faster optimizations.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.optimize.space</span> <span class="kn">import</span> <span class="n">Categorical</span><span class="p">,</span> <span class="n">Dimension</span><span class="p">,</span> <span class="n">Integer</span><span class="p">,</span> <span class="n">SKDecimal</span><span class="p">,</span> <span class="n">Real</span> <span class="c1"># noqa</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.optimize.space</span><span class="w"> </span><span class="kn">import</span> <span class="n">Categorical</span><span class="p">,</span> <span class="n">Dimension</span><span class="p">,</span> <span class="n">Integer</span><span class="p">,</span> <span class="n">SKDecimal</span><span class="p">,</span> <span class="n">Real</span> <span class="c1"># noqa</span>
|
||||
</code></pre></div>
|
||||
<div class="admonition hint">
|
||||
<p class="admonition-title">SKDecimal vs. Real</p>
|
||||
|
||||
@@ -1812,14 +1812,14 @@ It's also currently not been tested with freqAI - and combining these two featur
|
||||
<span class="n">dataframe</span><span class="p">[</span><span class="s2">"stacked_imbalances_ask"</span><span class="p">]</span> <span class="c1"># Price level of stacked ask imbalance </span>
|
||||
</code></pre></div>
|
||||
<p>You can access these columns in your strategy code for further analysis. Here's an example:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span> <span class="nf">populate_indicators</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># Calculating cumulative delta</span>
|
||||
<span class="n">dataframe</span><span class="p">[</span><span class="s2">"cum_delta"</span><span class="p">]</span> <span class="o">=</span> <span class="n">cumulative_delta</span><span class="p">(</span><span class="n">dataframe</span><span class="p">[</span><span class="s2">"delta"</span><span class="p">])</span>
|
||||
<span class="c1"># Accessing total trades</span>
|
||||
<span class="n">total_trades</span> <span class="o">=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"total_trades"</span><span class="p">]</span>
|
||||
<span class="o">...</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">cumulative_delta</span><span class="p">(</span><span class="n">delta</span><span class="p">:</span> <span class="n">Series</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">cumulative_delta</span><span class="p">(</span><span class="n">delta</span><span class="p">:</span> <span class="n">Series</span><span class="p">):</span>
|
||||
<span class="n">cumdelta</span> <span class="o">=</span> <span class="n">delta</span><span class="o">.</span><span class="n">cumsum</span><span class="p">()</span>
|
||||
<span class="k">return</span> <span class="n">cumdelta</span>
|
||||
</code></pre></div>
|
||||
|
||||
@@ -1801,8 +1801,8 @@ ipython<span class="w"> </span>kernel<span class="w"> </span>install<span class=
|
||||
<h2 id="example-utility-snippets">Example utility snippets<a class="headerlink" href="#example-utility-snippets" title="Permanent link">¶</a></h2>
|
||||
<h3 id="change-directory-to-root">Change directory to root<a class="headerlink" href="#change-directory-to-root" title="Permanent link">¶</a></h3>
|
||||
<p>Jupyter notebooks execute from the notebook directory. The following snippet searches for the project root, so relative paths remain consistent.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">os</span>
|
||||
<span class="kn">from</span> <span class="nn">pathlib</span> <span class="kn">import</span> <span class="n">Path</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">os</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pathlib</span><span class="w"> </span><span class="kn">import</span> <span class="n">Path</span>
|
||||
|
||||
<span class="c1"># Change directory</span>
|
||||
<span class="c1"># Modify this cell to insure that the output shows the correct path.</span>
|
||||
@@ -1822,8 +1822,8 @@ ipython<span class="w"> </span>kernel<span class="w"> </span>install<span class=
|
||||
<h3 id="load-multiple-configuration-files">Load multiple configuration files<a class="headerlink" href="#load-multiple-configuration-files" title="Permanent link">¶</a></h3>
|
||||
<p>This option can be useful to inspect the results of passing in multiple configs.
|
||||
This will also run through the whole Configuration initialization, so the configuration is completely initialized to be passed to other methods.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">json</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.configuration</span> <span class="kn">import</span> <span class="n">Configuration</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">json</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.configuration</span><span class="w"> </span><span class="kn">import</span> <span class="n">Configuration</span>
|
||||
|
||||
<span class="c1"># Load config from multiple files</span>
|
||||
<span class="n">config</span> <span class="o">=</span> <span class="n">Configuration</span><span class="o">.</span><span class="n">from_files</span><span class="p">([</span><span class="s2">"config1.json"</span><span class="p">,</span> <span class="s2">"config2.json"</span><span class="p">])</span>
|
||||
|
||||
@@ -2400,9 +2400,9 @@ If necessary, the Freqtrade team can assist and give guidance with writing good
|
||||
<p>Freqtrade uses 2 main methods to check log content in tests, <code>log_has()</code> and <code>log_has_re()</code> (to check using regex, in case of dynamic log-messages).
|
||||
These are available from <code>conftest.py</code> and can be imported in any test module.</p>
|
||||
<p>A sample check looks as follows:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">tests.conftest</span> <span class="kn">import</span> <span class="n">log_has</span><span class="p">,</span> <span class="n">log_has_re</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">tests.conftest</span><span class="w"> </span><span class="kn">import</span> <span class="n">log_has</span><span class="p">,</span> <span class="n">log_has_re</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">test_method_to_test</span><span class="p">(</span><span class="n">caplog</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">test_method_to_test</span><span class="p">(</span><span class="n">caplog</span><span class="p">):</span>
|
||||
<span class="n">method_to_test</span><span class="p">()</span>
|
||||
|
||||
<span class="k">assert</span> <span class="n">log_has</span><span class="p">(</span><span class="s2">"This event happened"</span><span class="p">,</span> <span class="n">caplog</span><span class="p">)</span>
|
||||
@@ -2514,7 +2514,7 @@ Hopefully you also want to contribute this back upstream.</p>
|
||||
<p>Validations are optional, the parent class exposes a <code>verify_blacklist(pairlist)</code> and <code>_whitelist_for_active_markets(pairlist)</code> to do default filters. Use this if you limit your result to a certain number of pairs - so the end result is not shorter than expected.</p>
|
||||
<p>In <code>VolumePairList</code>, this implements different methods of sorting, does early validation so only the expected number of pairs is returned.</p>
|
||||
<h5 id="sample">sample<a class="headerlink" href="#sample" title="Permanent link">¶</a></h5>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span> <span class="nf">filter_pairlist</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pairlist</span><span class="p">:</span> <span class="nb">list</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span> <span class="n">tickers</span><span class="p">:</span> <span class="nb">dict</span><span class="p">)</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="nb">str</span><span class="p">]:</span>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </span><span class="nf">filter_pairlist</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">pairlist</span><span class="p">:</span> <span class="nb">list</span><span class="p">[</span><span class="nb">str</span><span class="p">],</span> <span class="n">tickers</span><span class="p">:</span> <span class="nb">dict</span><span class="p">)</span> <span class="o">-></span> <span class="n">List</span><span class="p">[</span><span class="nb">str</span><span class="p">]:</span>
|
||||
<span class="c1"># Generate dynamic whitelist</span>
|
||||
<span class="n">pairs</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">_calculate_pairlist</span><span class="p">(</span><span class="n">pairlist</span><span class="p">,</span> <span class="n">tickers</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">pairs</span>
|
||||
@@ -2604,9 +2604,9 @@ The below are "extras", which will make an exchange better (feature-complete) -
|
||||
To demonstrate this, we'll use daily candles (<code>"1d"</code>) to keep things simple.
|
||||
We query the api (<code>ct.fetch_ohlcv()</code>) for the timeframe and look at the date of the last entry. If this entry changes or shows the date of a "incomplete" candle, then we should drop this since having incomplete candles is problematic because indicators assume that only complete candles are passed to them, and will generate a lot of false buy signals. By default, we're therefore removing the last candle assuming it's incomplete.</p>
|
||||
<p>To check how the new exchange behaves, you can use the following snippet:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">ccxt</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.data.converter</span> <span class="kn">import</span> <span class="n">ohlcv_to_dataframe</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">ccxt</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.data.converter</span><span class="w"> </span><span class="kn">import</span> <span class="n">ohlcv_to_dataframe</span>
|
||||
<span class="n">ct</span> <span class="o">=</span> <span class="n">ccxt</span><span class="o">.</span><span class="n">binance</span><span class="p">()</span> <span class="c1"># Use the exchange you're testing</span>
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s2">"1d"</span>
|
||||
<span class="n">pair</span> <span class="o">=</span> <span class="s2">"BTC/USDT"</span> <span class="c1"># Make sure to use a pair that exists on that exchange!</span>
|
||||
@@ -2627,9 +2627,9 @@ If the day shows the same day, then the last candle can be assumed as incomplete
|
||||
Another way is to run this command multiple times in a row and observe if the volume is changing (while the date remains the same).</p>
|
||||
<h3 id="update-binance-cached-leverage-tiers">Update binance cached leverage tiers<a class="headerlink" href="#update-binance-cached-leverage-tiers" title="Permanent link">¶</a></h3>
|
||||
<p>Updating leveraged tiers should be done regularly - and requires an authenticated account with futures enabled.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">ccxt</span>
|
||||
<span class="kn">import</span> <span class="nn">json</span>
|
||||
<span class="kn">from</span> <span class="nn">pathlib</span> <span class="kn">import</span> <span class="n">Path</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">ccxt</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">json</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pathlib</span><span class="w"> </span><span class="kn">import</span> <span class="n">Path</span>
|
||||
|
||||
<span class="n">exchange</span> <span class="o">=</span> <span class="n">ccxt</span><span class="o">.</span><span class="n">binance</span><span class="p">({</span>
|
||||
<span class="s1">'apiKey'</span><span class="p">:</span> <span class="s1">'<apikey>'</span><span class="p">,</span>
|
||||
|
||||
@@ -2231,7 +2231,7 @@ It will also take a long time, as freqtrade will need to download every single t
|
||||
</div>
|
||||
<div class="admonition warning">
|
||||
<p class="admonition-title">rateLimit tuning</p>
|
||||
<p>Please pay attention that rateLimit configuration entry holds delay in milliseconds between requests, NOT requests\sec rate.
|
||||
<p>Please pay attention that rateLimit configuration entry holds delay in milliseconds between requests, NOT requests/sec rate.
|
||||
So, in order to mitigate Kraken API "Rate limit exceeded" exception, this configuration should be increased, NOT decreased.</p>
|
||||
</div>
|
||||
<h2 id="kucoin">Kucoin<a class="headerlink" href="#kucoin" title="Permanent link">¶</a></h2>
|
||||
|
||||
@@ -1944,7 +1944,7 @@
|
||||
<span class="c1"># passed to any single indicator)</span>
|
||||
<span class="n">startup_candle_count</span><span class="p">:</span> <span class="nb">int</span> <span class="o">=</span> <span class="mi">20</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># the model will return all labels created by user in `set_freqai_targets()`</span>
|
||||
<span class="c1"># (& appended targets), an indication of whether or not the prediction should be accepted,</span>
|
||||
@@ -1955,7 +1955,7 @@
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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">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>
|
||||
<span class="k">def</span><span class="w"> </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">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>
|
||||
<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>
|
||||
@@ -1980,7 +1980,7 @@
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="k">def</span><span class="w"> </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>
|
||||
@@ -2004,7 +2004,7 @@
|
||||
<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>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="k">def</span><span class="w"> </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>
|
||||
@@ -2025,7 +2025,7 @@
|
||||
<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="p">(</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> <span class="o">+</span> <span class="mi">1</span><span class="p">)</span> <span class="o">/</span> <span class="mi">25</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="k">def</span><span class="w"> </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>
|
||||
@@ -2151,37 +2151,37 @@ This docker-compose file also contains a (disabled) section to enable GPU resour
|
||||
<h3 id="structure">Structure<a class="headerlink" href="#structure" title="Permanent link">¶</a></h3>
|
||||
<h4 id="model">Model<a class="headerlink" href="#model" title="Permanent link">¶</a></h4>
|
||||
<p>You can construct your own Neural Network architecture in PyTorch by simply defining your <code>nn.Module</code> class inside your custom <a href="#using-different-prediction-models"><code>IFreqaiModel</code> file</a> and then using that class in your <code>def train()</code> function. Here is an example of logistic regression model implementation using PyTorch (should be used with nn.BCELoss criterion) for classification tasks.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">LogisticRegression</span><span class="p">(</span><span class="n">nn</span><span class="o">.</span><span class="n">Module</span><span class="p">):</span>
|
||||
<span class="k">def</span> <span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">input_size</span><span class="p">:</span> <span class="nb">int</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">LogisticRegression</span><span class="p">(</span><span class="n">nn</span><span class="o">.</span><span class="n">Module</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">input_size</span><span class="p">:</span> <span class="nb">int</span><span class="p">):</span>
|
||||
<span class="nb">super</span><span class="p">()</span><span class="o">.</span><span class="fm">__init__</span><span class="p">()</span>
|
||||
<span class="c1"># Define your layers</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">linear</span> <span class="o">=</span> <span class="n">nn</span><span class="o">.</span><span class="n">Linear</span><span class="p">(</span><span class="n">input_size</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">activation</span> <span class="o">=</span> <span class="n">nn</span><span class="o">.</span><span class="n">Sigmoid</span><span class="p">()</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">forward</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">x</span><span class="p">:</span> <span class="n">torch</span><span class="o">.</span><span class="n">Tensor</span><span class="p">)</span> <span class="o">-></span> <span class="n">torch</span><span class="o">.</span><span class="n">Tensor</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">forward</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">x</span><span class="p">:</span> <span class="n">torch</span><span class="o">.</span><span class="n">Tensor</span><span class="p">)</span> <span class="o">-></span> <span class="n">torch</span><span class="o">.</span><span class="n">Tensor</span><span class="p">:</span>
|
||||
<span class="c1"># Define the forward pass</span>
|
||||
<span class="n">out</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">linear</span><span class="p">(</span><span class="n">x</span><span class="p">)</span>
|
||||
<span class="n">out</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">activation</span><span class="p">(</span><span class="n">out</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">out</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyCoolPyTorchClassifier</span><span class="p">(</span><span class="n">BasePyTorchClassifier</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyCoolPyTorchClassifier</span><span class="p">(</span><span class="n">BasePyTorchClassifier</span><span class="p">):</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> This is a custom IFreqaiModel showing how a user might setup their own </span>
|
||||
<span class="sd"> custom Neural Network architecture for their training.</span>
|
||||
<span class="sd"> """</span>
|
||||
|
||||
<span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">data_convertor</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">PyTorchDataConvertor</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">data_convertor</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">PyTorchDataConvertor</span><span class="p">:</span>
|
||||
<span class="k">return</span> <span class="n">DefaultPyTorchDataConvertor</span><span class="p">(</span><span class="n">target_tensor_type</span><span class="o">=</span><span class="n">torch</span><span class="o">.</span><span class="n">float</span><span class="p">)</span>
|
||||
|
||||
<span class="k">def</span> <span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="nb">super</span><span class="p">()</span><span class="o">.</span><span class="fm">__init__</span><span class="p">(</span><span class="o">**</span><span class="n">kwargs</span><span class="p">)</span>
|
||||
<span class="n">config</span> <span class="o">=</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">"model_training_parameters"</span><span class="p">,</span> <span class="p">{})</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">learning_rate</span><span class="p">:</span> <span class="nb">float</span> <span class="o">=</span> <span class="n">config</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"learning_rate"</span><span class="p">,</span> <span class="mf">3e-4</span><span class="p">)</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">model_kwargs</span><span class="p">:</span> <span class="nb">dict</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">Any</span><span class="p">]</span> <span class="o">=</span> <span class="n">config</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"model_kwargs"</span><span class="p">,</span> <span class="p">{})</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">trainer_kwargs</span><span class="p">:</span> <span class="nb">dict</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">Any</span><span class="p">]</span> <span class="o">=</span> <span class="n">config</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"trainer_kwargs"</span><span class="p">,</span> <span class="p">{})</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data_dictionary</span><span class="p">:</span> <span class="nb">dict</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="k">def</span><span class="w"> </span><span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data_dictionary</span><span class="p">:</span> <span class="nb">dict</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="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> User sets up the training and test data to fit their desired model here</span>
|
||||
<span class="sd"> :param data_dictionary: the dictionary holding all data for train, test,</span>
|
||||
@@ -2229,15 +2229,15 @@ From top to bottom:</p>
|
||||
<p><img alt="image" src="../assets/freqai_pytorch-diagram.png" /></p>
|
||||
<h4 id="full-example">Full example<a class="headerlink" href="#full-example" title="Permanent link">¶</a></h4>
|
||||
<p>Building a PyTorch regressor using MLP (multilayer perceptron) model, MSELoss criterion, and AdamW optimizer.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">PyTorchMLPRegressor</span><span class="p">(</span><span class="n">BasePyTorchRegressor</span><span class="p">):</span>
|
||||
<span class="k">def</span> <span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">PyTorchMLPRegressor</span><span class="p">(</span><span class="n">BasePyTorchRegressor</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="nb">super</span><span class="p">()</span><span class="o">.</span><span class="fm">__init__</span><span class="p">(</span><span class="o">**</span><span class="n">kwargs</span><span class="p">)</span>
|
||||
<span class="n">config</span> <span class="o">=</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">"model_training_parameters"</span><span class="p">,</span> <span class="p">{})</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">learning_rate</span><span class="p">:</span> <span class="nb">float</span> <span class="o">=</span> <span class="n">config</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"learning_rate"</span><span class="p">,</span> <span class="mf">3e-4</span><span class="p">)</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">model_kwargs</span><span class="p">:</span> <span class="nb">dict</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">Any</span><span class="p">]</span> <span class="o">=</span> <span class="n">config</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"model_kwargs"</span><span class="p">,</span> <span class="p">{})</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">trainer_kwargs</span><span class="p">:</span> <span class="nb">dict</span><span class="p">[</span><span class="nb">str</span><span class="p">,</span> <span class="n">Any</span><span class="p">]</span> <span class="o">=</span> <span class="n">config</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s2">"trainer_kwargs"</span><span class="p">,</span> <span class="p">{})</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data_dictionary</span><span class="p">:</span> <span class="nb">dict</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="k">def</span><span class="w"> </span><span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data_dictionary</span><span class="p">:</span> <span class="nb">dict</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="n">n_features</span> <span class="o">=</span> <span class="n">data_dictionary</span><span class="p">[</span><span class="s2">"train_features"</span><span class="p">]</span><span class="o">.</span><span class="n">shape</span><span class="p">[</span><span class="o">-</span><span class="mi">1</span><span class="p">]</span>
|
||||
<span class="n">model</span> <span class="o">=</span> <span class="n">PyTorchMLPModel</span><span class="p">(</span>
|
||||
<span class="n">input_dim</span><span class="o">=</span><span class="n">n_features</span><span class="p">,</span>
|
||||
@@ -2265,7 +2265,7 @@ From top to bottom:</p>
|
||||
<summary>Setting Class Names for Classifiers</summary>
|
||||
<p>When using classifiers, the user must declare the class names (or targets) by overriding the <code>IFreqaiModel.class_names</code> attribute. This is achieved by setting <code>self.freqai.class_names</code> in the FreqAI strategy inside the <code>set_freqai_targets</code> method.</p>
|
||||
<p>For example, if you are using a binary classifier to predict price movements as up or down, you can set the class names as follows:
|
||||
<div class="highlight"><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="n">metadata</span><span class="p">:</span> <span class="nb">dict</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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="n">metadata</span><span class="p">:</span> <span class="nb">dict</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="bp">self</span><span class="o">.</span><span class="n">freqai</span><span class="o">.</span><span class="n">class_names</span> <span class="o">=</span> <span class="p">[</span><span class="s2">"down"</span><span class="p">,</span> <span class="s2">"up"</span><span class="p">]</span>
|
||||
<span class="n">dataframe</span><span class="p">[</span><span class="s1">'&s-up_or_down'</span><span class="p">]</span> <span class="o">=</span> <span class="n">np</span><span class="o">.</span><span class="n">where</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="mi">100</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="s1">'up'</span><span class="p">,</span> <span class="s1">'down'</span><span class="p">)</span>
|
||||
|
||||
@@ -1836,7 +1836,7 @@
|
||||
</table>
|
||||
<p>Meanwhile, high level feature engineering is handled within <code>"feature_parameters":{}</code> in the FreqAI config. Within this file, it is possible to decide large scale feature expansions on top of the <code>base_features</code> such as "including correlated pairs" or "including informative timeframes" or even "including recent candles."</p>
|
||||
<p>It is advisable to start from the template <code>feature_engineering_*</code> functions in the source provided example strategy (found in <code>templates/FreqaiExampleStrategy.py</code>) to ensure that the feature definitions are following the correct conventions. Here is an example of how to set the indicators and labels in the strategy:</p>
|
||||
<div class="highlight"><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">DataFrame</span><span class="p">,</span> <span class="n">period</span><span class="p">,</span> <span class="n">metadata</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>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </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">DataFrame</span><span class="p">,</span> <span class="n">period</span><span class="p">,</span> <span class="n">metadata</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>
|
||||
@@ -1887,7 +1887,7 @@
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="n">metadata</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="k">def</span><span class="w"> </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="n">metadata</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>
|
||||
@@ -1916,7 +1916,7 @@
|
||||
<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>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="n">metadata</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="k">def</span><span class="w"> </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="n">metadata</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>
|
||||
@@ -1942,7 +1942,7 @@
|
||||
<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="p">(</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> <span class="o">+</span> <span class="mi">1</span><span class="p">)</span> <span class="o">/</span> <span class="mi">25</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="n">metadata</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="k">def</span><span class="w"> </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="n">metadata</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>
|
||||
@@ -1996,7 +1996,7 @@ model for training/prediction and has therefore prepended it with <code>%</code>
|
||||
Check out our <a href="https://emergentmethods.medium.com/freqai-from-price-to-prediction-6fadac18b665">medium article</a> geared toward helping users learn how to creatively engineer features.</p>
|
||||
<h3 id="gain-finer-control-over-feature_engineering_-functions-with-metadata">Gain finer control over <code>feature_engineering_*</code> functions with <code>metadata</code><a class="headerlink" href="#gain-finer-control-over-feature_engineering_-functions-with-metadata" title="Permanent link">¶</a></h3>
|
||||
<p>All <code>feature_engineering_*</code> and <code>set_freqai_targets()</code> functions are passed a <code>metadata</code> dictionary which contains information about the <code>pair</code>, <code>tf</code> (timeframe), and <code>period</code> that FreqAI is automating for feature building. As such, a user can use <code>metadata</code> inside <code>feature_engineering_*</code> functions as criteria for blocking/reserving features for certain timeframes, periods, pairs etc.</p>
|
||||
<div class="highlight"><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">DataFrame</span><span class="p">,</span> <span class="n">period</span><span class="p">,</span> <span class="n">metadata</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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">DataFrame</span><span class="p">,</span> <span class="n">period</span><span class="p">,</span> <span class="n">metadata</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="k">if</span> <span class="n">metadata</span><span class="p">[</span><span class="s2">"tf"</span><span class="p">]</span> <span class="o">==</span> <span class="s2">"1h"</span><span class="p">:</span>
|
||||
<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>
|
||||
</code></pre></div>
|
||||
@@ -2027,24 +2027,24 @@ model for training/prediction and has therefore prepended it with <code>%</code>
|
||||
<p class="admonition-title">More information available</p>
|
||||
<p>FreqAI uses the <a href="https://github.com/emergentmethods/datasieve"><code>DataSieve</code></a> pipeline, which follows the SKlearn pipeline API, but adds, among other features, coherence between the X, y, and sample_weight vector point removals, feature removal, feature name following. </p>
|
||||
</div>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">datasieve.transforms</span> <span class="kn">import</span> <span class="n">SKLearnWrapper</span><span class="p">,</span> <span class="n">DissimilarityIndex</span>
|
||||
<span class="kn">from</span> <span class="nn">datasieve.pipeline</span> <span class="kn">import</span> <span class="n">Pipeline</span>
|
||||
<span class="kn">from</span> <span class="nn">sklearn.preprocessing</span> <span class="kn">import</span> <span class="n">QuantileTransformer</span><span class="p">,</span> <span class="n">StandardScaler</span>
|
||||
<span class="kn">from</span> <span class="nn">freqai.base_models</span> <span class="kn">import</span> <span class="n">BaseRegressionModel</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">datasieve.transforms</span><span class="w"> </span><span class="kn">import</span> <span class="n">SKLearnWrapper</span><span class="p">,</span> <span class="n">DissimilarityIndex</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datasieve.pipeline</span><span class="w"> </span><span class="kn">import</span> <span class="n">Pipeline</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">sklearn.preprocessing</span><span class="w"> </span><span class="kn">import</span> <span class="n">QuantileTransformer</span><span class="p">,</span> <span class="n">StandardScaler</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqai.base_models</span><span class="w"> </span><span class="kn">import</span> <span class="n">BaseRegressionModel</span>
|
||||
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyFreqaiModel</span><span class="p">(</span><span class="n">BaseRegressionModel</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyFreqaiModel</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 model</span>
|
||||
<span class="sd"> """</span>
|
||||
<span class="k">def</span> <span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data_dictionary</span><span class="p">:</span> <span class="n">Dict</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="k">def</span><span class="w"> </span><span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">data_dictionary</span><span class="p">:</span> <span class="n">Dict</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="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> My custom fit function</span>
|
||||
<span class="sd"> """</span>
|
||||
<span class="n">model</span> <span class="o">=</span> <span class="n">cool_model</span><span class="o">.</span><span class="n">fit</span><span class="p">()</span>
|
||||
<span class="k">return</span> <span class="n">model</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">define_data_pipeline</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">Pipeline</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">define_data_pipeline</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">Pipeline</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> User defines their custom feature pipeline here (if they wish)</span>
|
||||
<span class="sd"> """</span>
|
||||
@@ -2055,7 +2055,7 @@ model for training/prediction and has therefore prepended it with <code>%</code>
|
||||
|
||||
<span class="k">return</span> <span class="n">feature_pipeline</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">define_label_pipeline</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">Pipeline</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">define_label_pipeline</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="n">Pipeline</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> User defines their custom label pipeline here (if they wish)</span>
|
||||
<span class="sd"> """</span>
|
||||
@@ -2067,23 +2067,23 @@ model for training/prediction and has therefore prepended it with <code>%</code>
|
||||
</code></pre></div>
|
||||
<p>Here, you are defining the exact pipeline that will be used for your feature set during training and prediction. You can use <em>most</em> SKLearn transformation steps by wrapping them in the <code>SKLearnWrapper</code> class as shown above. In addition, you can use any of the transformations available in the <a href="https://github.com/emergentmethods/datasieve"><code>DataSieve</code> library</a>. </p>
|
||||
<p>You can easily add your own transformation by creating a class that inherits from the datasieve <code>BaseTransform</code> and implementing your <code>fit()</code>, <code>transform()</code> and <code>inverse_transform()</code> methods:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">datasieve.transforms.base_transform</span> <span class="kn">import</span> <span class="n">BaseTransform</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">datasieve.transforms.base_transform</span><span class="w"> </span><span class="kn">import</span> <span class="n">BaseTransform</span>
|
||||
<span class="c1"># import whatever else you need</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyCoolTransform</span><span class="p">(</span><span class="n">BaseTransform</span><span class="p">):</span>
|
||||
<span class="k">def</span> <span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyCoolTransform</span><span class="p">(</span><span class="n">BaseTransform</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="fm">__init__</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">param1</span> <span class="o">=</span> <span class="n">kwargs</span><span class="o">.</span><span class="n">get</span><span class="p">(</span><span class="s1">'param1'</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">sample_weight</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">feature_list</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">fit</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">sample_weight</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">feature_list</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="c1"># do something with X, y, sample_weight, or/and feature_list</span>
|
||||
<span class="k">return</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">sample_weight</span><span class="p">,</span> <span class="n">feature_list</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">transform</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">sample_weight</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">transform</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">sample_weight</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span>
|
||||
<span class="n">feature_list</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">outlier_check</span><span class="o">=</span><span class="kc">False</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="c1"># do something with X, y, sample_weight, or/and feature_list</span>
|
||||
<span class="k">return</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">sample_weight</span><span class="p">,</span> <span class="n">feature_list</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">inverse_transform</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">sample_weight</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">feature_list</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">inverse_transform</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">sample_weight</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="n">feature_list</span><span class="o">=</span><span class="kc">None</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">):</span>
|
||||
<span class="c1"># do/dont do something with X, y, sample_weight, or/and feature_list</span>
|
||||
<span class="k">return</span> <span class="n">X</span><span class="p">,</span> <span class="n">y</span><span class="p">,</span> <span class="n">sample_weight</span><span class="p">,</span> <span class="n">feature_list</span>
|
||||
</code></pre></div>
|
||||
|
||||
@@ -1767,7 +1767,7 @@ Users who prefer docker should ensure they use the docker image appended with <c
|
||||
<div class="highlight"><pre><span></span><code>freqtrade<span class="w"> </span>trade<span class="w"> </span>--freqaimodel<span class="w"> </span>ReinforcementLearner<span class="w"> </span>--strategy<span class="w"> </span>MyRLStrategy<span class="w"> </span>--config<span class="w"> </span>config.json
|
||||
</code></pre></div>
|
||||
<p>where <code>ReinforcementLearner</code> will use the templated <code>ReinforcementLearner</code> from <code>freqai/prediction_models/ReinforcementLearner</code> (or a custom user defined one located in <code>user_data/freqaimodels</code>). The strategy, on the other hand, follows the same base <a href="../freqai-feature-engineering/">feature engineering</a> with <code>feature_engineering_*</code> as a typical Regressor. The difference lies in the creation of the targets, Reinforcement Learning doesn't require them. However, FreqAI requires a default (neutral) value to be set in the action column:</p>
|
||||
<div class="highlight"><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="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="n">DataFrame</span><span class="p">:</span>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </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="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>
|
||||
@@ -1786,7 +1786,7 @@ Users who prefer docker should ensure they use the docker image appended with <c
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
</code></pre></div>
|
||||
<p>Most of the function remains the same as for typical Regressors, however, the function below shows how the strategy must pass the raw price data to the agent so that it has access to raw OHLCV in the training environment:</p>
|
||||
<div class="highlight"><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>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </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="c1"># The following features are necessary for RL models</span>
|
||||
<span class="n">dataframe</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-raw_close"</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="n">dataframe</span><span class="p">[</span><span class="sa">f</span><span class="s2">"%-raw_open"</span><span class="p">]</span> <span class="o">=</span> <span class="n">dataframe</span><span class="p">[</span><span class="s2">"open"</span><span class="p">]</span>
|
||||
@@ -1796,7 +1796,7 @@ Users who prefer docker should ensure they use the docker image appended with <c
|
||||
</code></pre></div>
|
||||
<p>Finally, there is no explicit "label" to make - instead it is necessary to assign the <code>&-action</code> column which will contain the agent's actions when accessed in <code>populate_entry/exit_trends()</code>. In the present example, the neutral action to 0. This value should align with the environment used. FreqAI provides two environments, both use 0 as the neutral action.</p>
|
||||
<p>After users realize there are no labels to set, they will soon understand that the agent is making its "own" entry and exit decisions. This makes strategy construction rather simple. The entry and exit signals come from the agent in the form of an integer - which are used directly to decide entries and exits in the strategy:</p>
|
||||
<div class="highlight"><pre><span></span><code> <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">df</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>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </span><span class="nf">populate_entry_trend</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">df</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 class="n">enter_long_conditions</span> <span class="o">=</span> <span class="p">[</span><span class="n">df</span><span class="p">[</span><span class="s2">"do_predict"</span><span class="p">]</span> <span class="o">==</span> <span class="mi">1</span><span class="p">,</span> <span class="n">df</span><span class="p">[</span><span class="s2">"&-action"</span><span class="p">]</span> <span class="o">==</span> <span class="mi">1</span><span class="p">]</span>
|
||||
|
||||
@@ -1814,7 +1814,7 @@ Users who prefer docker should ensure they use the docker image appended with <c
|
||||
|
||||
<span class="k">return</span> <span class="n">df</span>
|
||||
|
||||
<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">df</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 class="k">def</span><span class="w"> </span><span class="nf">populate_exit_trend</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">df</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 class="n">exit_long_conditions</span> <span class="o">=</span> <span class="p">[</span><span class="n">df</span><span class="p">[</span><span class="s2">"do_predict"</span><span class="p">]</span> <span class="o">==</span> <span class="mi">1</span><span class="p">,</span> <span class="n">df</span><span class="p">[</span><span class="s2">"&-action"</span><span class="p">]</span> <span class="o">==</span> <span class="mi">2</span><span class="p">]</span>
|
||||
<span class="k">if</span> <span class="n">exit_long_conditions</span><span class="p">:</span>
|
||||
<span class="n">df</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span><span class="n">reduce</span><span class="p">(</span><span class="k">lambda</span> <span class="n">x</span><span class="p">,</span> <span class="n">y</span><span class="p">:</span> <span class="n">x</span> <span class="o">&</span> <span class="n">y</span><span class="p">,</span> <span class="n">exit_long_conditions</span><span class="p">),</span> <span class="s2">"exit_long"</span><span class="p">]</span> <span class="o">=</span> <span class="mi">1</span>
|
||||
@@ -1862,11 +1862,11 @@ The reward function provided with the Freqtrade source code is a showcase of fun
|
||||
<p class="admonition-title">Hint</p>
|
||||
<p>The best reward functions are ones that are continuously differentiable, and well scaled. In other words, adding a single large negative penalty to a rare event is not a good idea, and the neural net will not be able to learn that function. Instead, it is better to add a small negative penalty to a common event. This will help the agent learn faster. Not only this, but you can help improve the continuity of your rewards/penalties by having them scale with severity according to some linear/exponential functions. In other words, you'd slowly scale the penalty as the duration of the trade increases. This is better than a single large penalty occurring at a single point in time.</p>
|
||||
</div>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.freqai.prediction_models.ReinforcementLearner</span> <span class="kn">import</span> <span class="n">ReinforcementLearner</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.freqai.RL.Base5ActionRLEnv</span> <span class="kn">import</span> <span class="n">Actions</span><span class="p">,</span> <span class="n">Base5ActionRLEnv</span><span class="p">,</span> <span class="n">Positions</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.freqai.prediction_models.ReinforcementLearner</span><span class="w"> </span><span class="kn">import</span> <span class="n">ReinforcementLearner</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.freqai.RL.Base5ActionRLEnv</span><span class="w"> </span><span class="kn">import</span> <span class="n">Actions</span><span class="p">,</span> <span class="n">Base5ActionRLEnv</span><span class="p">,</span> <span class="n">Positions</span>
|
||||
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyCoolRLModel</span><span class="p">(</span><span class="n">ReinforcementLearner</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyCoolRLModel</span><span class="p">(</span><span class="n">ReinforcementLearner</span><span class="p">):</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> User created RL prediction model.</span>
|
||||
|
||||
@@ -1888,7 +1888,7 @@ The reward function provided with the Freqtrade source code is a showcase of fun
|
||||
<span class="sd"> Another common override may be `def data_cleaning_predict()` where the user can</span>
|
||||
<span class="sd"> take fine-tuned control over the data handling pipeline.</span>
|
||||
<span class="sd"> """</span>
|
||||
<span class="k">class</span> <span class="nc">MyRLEnv</span><span class="p">(</span><span class="n">Base5ActionRLEnv</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyRLEnv</span><span class="p">(</span><span class="n">Base5ActionRLEnv</span><span class="p">):</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> User made custom environment. This class inherits from BaseEnvironment and gym.Env.</span>
|
||||
<span class="sd"> Users can override any functions from those parent classes. Here is an example</span>
|
||||
@@ -1899,7 +1899,7 @@ The reward function provided with the Freqtrade source code is a showcase of fun
|
||||
<span class="sd"> environment control features as possible. It is also designed to run quickly</span>
|
||||
<span class="sd"> on small computers. This is a benchmark, it is *not* for live production.</span>
|
||||
<span class="sd"> """</span>
|
||||
<span class="k">def</span> <span class="nf">calculate_reward</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">action</span><span class="p">:</span> <span class="nb">int</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">calculate_reward</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">action</span><span class="p">:</span> <span class="nb">int</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
||||
<span class="c1"># first, penalize if the action is not valid</span>
|
||||
<span class="k">if</span> <span class="ow">not</span> <span class="bp">self</span><span class="o">.</span><span class="n">_is_valid</span><span class="p">(</span><span class="n">action</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="o">-</span><span class="mi">2</span>
|
||||
@@ -1957,13 +1957,13 @@ The reward function provided with the Freqtrade source code is a showcase of fun
|
||||
<h2 id="custom-logging">Custom logging<a class="headerlink" href="#custom-logging" title="Permanent link">¶</a></h2>
|
||||
<p>FreqAI also provides a built in episodic summary logger called <code>self.tensorboard_log</code> for adding custom information to the Tensorboard log. By default, this function is already called once per step inside the environment to record the agent actions. All values accumulated for all steps in a single episode are reported at the conclusion of each episode, followed by a full reset of all metrics to 0 in preparation for the subsequent episode.</p>
|
||||
<p><code>self.tensorboard_log</code> can also be used anywhere inside the environment, for example, it can be added to the <code>calculate_reward</code> function to collect more detailed information about how often various parts of the reward were called:</p>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">class</span> <span class="nc">MyRLEnv</span><span class="p">(</span><span class="n">Base5ActionRLEnv</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">class</span><span class="w"> </span><span class="nc">MyRLEnv</span><span class="p">(</span><span class="n">Base5ActionRLEnv</span><span class="p">):</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> User made custom environment. This class inherits from BaseEnvironment and gym.Env.</span>
|
||||
<span class="sd"> Users can override any functions from those parent classes. Here is an example</span>
|
||||
<span class="sd"> of a user customized `calculate_reward()` function.</span>
|
||||
<span class="sd"> """</span>
|
||||
<span class="k">def</span> <span class="nf">calculate_reward</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">action</span><span class="p">:</span> <span class="nb">int</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">calculate_reward</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="n">action</span><span class="p">:</span> <span class="nb">int</span><span class="p">)</span> <span class="o">-></span> <span class="nb">float</span><span class="p">:</span>
|
||||
<span class="k">if</span> <span class="ow">not</span> <span class="bp">self</span><span class="o">.</span><span class="n">_is_valid</span><span class="p">(</span><span class="n">action</span><span class="p">):</span>
|
||||
<span class="bp">self</span><span class="o">.</span><span class="n">tensorboard_log</span><span class="p">(</span><span class="s2">"invalid"</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="o">-</span><span class="mi">2</span>
|
||||
|
||||
@@ -1848,13 +1848,13 @@
|
||||
<p>Catboost will not be installed on low-powered arm devices (raspberry), since it does not provide wheels for this platform.</p>
|
||||
</div>
|
||||
<h3 id="usage-with-docker">Usage with docker<a class="headerlink" href="#usage-with-docker" title="Permanent link">¶</a></h3>
|
||||
<p>If you are using docker, a dedicated tag with FreqAI dependencies is available as <code>:freqai</code>. As such - you can replace the image line in your docker compose file with <code>image: freqtradeorg/freqtrade:develop_freqai</code>. This image contains the regular FreqAI dependencies. Similar to native installs, Catboost will not be available on ARM based devices. If you would like to use PyTorch or Reinforcement learning, you should use the torch or RL tags, <code>image: freqtradeorg/freqtrade:develop_freqaitorch</code>, <code>image: freqtradeorg/freqtrade:develop_freqairl</code>.</p>
|
||||
<p>If you are using docker, a dedicated tag with FreqAI dependencies is available as <code>:freqai</code>. As such - you can replace the image line in your docker compose file with <code>image: freqtradeorg/freqtrade:stable_freqai</code>. This image contains the regular FreqAI dependencies. Similar to native installs, Catboost will not be available on ARM based devices. If you would like to use PyTorch or Reinforcement learning, you should use the torch or RL tags, <code>image: freqtradeorg/freqtrade:stable_freqaitorch</code>, <code>image: freqtradeorg/freqtrade:stable_freqairl</code>.</p>
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">docker-compose-freqai.yml</p>
|
||||
</div>
|
||||
<p>We do provide an explicit docker-compose file for this in <code>docker/docker-compose-freqai.yml</code> - which can be used via <code>docker compose -f docker/docker-compose-freqai.yml run ...</code> - or can be copied to replace the original docker file. This docker-compose file also contains a (disabled) section to enable GPU resources within docker containers. This obviously assumes the system has GPU resources available.</p>
|
||||
<h3 id="freqai-position-in-open-source-machine-learning-landscape">FreqAI position in open-source machine learning landscape<a class="headerlink" href="#freqai-position-in-open-source-machine-learning-landscape" title="Permanent link">¶</a></h3>
|
||||
<p>Forecasting chaotic time-series based systems, such as equity/cryptocurrency markets, requires a broad set of tools geared toward testing a wide range of hypotheses. Fortunately, a recent maturation of robust machine learning libraries (e.g. <code>scikit-learn</code>) has opened up a wide range of research possibilities. Scientists from a diverse range of fields can now easily prototype their studies on an abundance of established machine learning algorithms. Similarly, these user-friendly libraries enable "citzen scientists" to use their basic Python skills for data exploration. However, leveraging these machine learning libraries on historical and live chaotic data sources can be logistically difficult and expensive. Additionally, robust data collection, storage, and handling presents a disparate challenge. <a href="#freqai"><code>FreqAI</code></a> aims to provide a generalized and extensible open-sourced framework geared toward live deployments of adaptive modeling for market forecasting. The <code>FreqAI</code> framework is effectively a sandbox for the rich world of open-source machine learning libraries. Inside the <code>FreqAI</code> sandbox, users find they can combine a wide variety of third-party libraries to test creative hypotheses on a free live 24/7 chaotic data source - cryptocurrency exchange data. </p>
|
||||
<p>Forecasting chaotic time-series based systems, such as equity/cryptocurrency markets, requires a broad set of tools geared toward testing a wide range of hypotheses. Fortunately, a recent maturation of robust machine learning libraries (e.g. <code>scikit-learn</code>) has opened up a wide range of research possibilities. Scientists from a diverse range of fields can now easily prototype their studies on an abundance of established machine learning algorithms. Similarly, these user-friendly libraries enable "citizen scientists" to use their basic Python skills for data exploration. However, leveraging these machine learning libraries on historical and live chaotic data sources can be logistically difficult and expensive. Additionally, robust data collection, storage, and handling presents a disparate challenge. <a href="#freqai"><code>FreqAI</code></a> aims to provide a generalized and extensible open-sourced framework geared toward live deployments of adaptive modeling for market forecasting. The <code>FreqAI</code> framework is effectively a sandbox for the rich world of open-source machine learning libraries. Inside the <code>FreqAI</code> sandbox, users find they can combine a wide variety of third-party libraries to test creative hypotheses on a free live 24/7 chaotic data source - cryptocurrency exchange data. </p>
|
||||
<h3 id="citing-freqai">Citing FreqAI<a class="headerlink" href="#citing-freqai" title="Permanent link">¶</a></h3>
|
||||
<p>FreqAI is <a href="https://joss.theoj.org/papers/10.21105/joss.04864">published in the Journal of Open Source Software</a>. If you find FreqAI useful in your research, please use the following citation:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nc">@article</span><span class="p">{</span><span class="nl">Caulk2022</span><span class="p">,</span><span class="w"> </span>
|
||||
|
||||
@@ -2610,9 +2610,9 @@ If you decide to use RSI or ADX, which values should I use for them?</p>
|
||||
<p>So let's use hyperparameter optimization to solve this mystery.</p>
|
||||
<h3 id="defining-indicators-to-be-used">Defining indicators to be used<a class="headerlink" href="#defining-indicators-to-be-used" title="Permanent link">¶</a></h3>
|
||||
<p>We start by calculating the indicators our strategy is going to use.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Generate all indicators used by the strategy</span>
|
||||
<span class="sd"> """</span>
|
||||
@@ -2631,7 +2631,7 @@ If you decide to use RSI or ADX, which values should I use for them?</p>
|
||||
</code></pre></div>
|
||||
<h3 id="hyperoptable-parameters">Hyperoptable parameters<a class="headerlink" href="#hyperoptable-parameters" title="Permanent link">¶</a></h3>
|
||||
<p>We continue to define hyperoptable parameters:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="n">buy_adx</span> <span class="o">=</span> <span class="n">DecimalParameter</span><span class="p">(</span><span class="mi">20</span><span class="p">,</span> <span class="mi">40</span><span class="p">,</span> <span class="n">decimals</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">default</span><span class="o">=</span><span class="mf">30.1</span><span class="p">,</span> <span class="n">space</span><span class="o">=</span><span class="s2">"buy"</span><span class="p">)</span>
|
||||
<span class="n">buy_rsi</span> <span class="o">=</span> <span class="n">IntParameter</span><span class="p">(</span><span class="mi">20</span><span class="p">,</span> <span class="mi">40</span><span class="p">,</span> <span class="n">default</span><span class="o">=</span><span class="mi">30</span><span class="p">,</span> <span class="n">space</span><span class="o">=</span><span class="s2">"buy"</span><span class="p">)</span>
|
||||
<span class="n">buy_adx_enabled</span> <span class="o">=</span> <span class="n">BooleanParameter</span><span class="p">(</span><span class="n">default</span><span class="o">=</span><span class="kc">True</span><span class="p">,</span> <span class="n">space</span><span class="o">=</span><span class="s2">"buy"</span><span class="p">)</span>
|
||||
@@ -2651,7 +2651,7 @@ If no parameter is available for a space, you'll receive the error that no space
|
||||
Parameters with unclear space (e.g. <code>adx_period = IntParameter(4, 24, default=14)</code> - no explicit nor implicit space) will not be detected and will therefore be ignored.</p>
|
||||
</div>
|
||||
<p>So let's write the buy strategy using these values:</p>
|
||||
<div class="highlight"><pre><span></span><code> <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>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </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>
|
||||
<span class="n">conditions</span> <span class="o">=</span> <span class="p">[]</span>
|
||||
<span class="c1"># GUARDS AND TRENDS</span>
|
||||
<span class="k">if</span> <span class="bp">self</span><span class="o">.</span><span class="n">buy_adx_enabled</span><span class="o">.</span><span class="n">value</span><span class="p">:</span>
|
||||
@@ -2712,16 +2712,16 @@ add it to the <code>populate_indicators()</code> method in your strategy or hype
|
||||
<h2 id="optimizing-an-indicator-parameter">Optimizing an indicator parameter<a class="headerlink" href="#optimizing-an-indicator-parameter" title="Permanent link">¶</a></h2>
|
||||
<p>Assuming you have a simple strategy in mind - a EMA cross strategy (2 Moving averages crossing) - and you'd like to find the ideal parameters for this strategy.
|
||||
By default, we assume a stoploss of 5% - and a take-profit (<code>minimal_roi</code>) of 10% - which means freqtrade will sell the trade once 10% profit has been reached.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span> <span class="nn">functools</span> <span class="kn">import</span> <span class="n">reduce</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">functools</span><span class="w"> </span><span class="kn">import</span> <span class="n">reduce</span>
|
||||
|
||||
<span class="kn">import</span> <span class="nn">talib.abstract</span> <span class="k">as</span> <span class="nn">ta</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">talib.abstract</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ta</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="p">(</span><span class="n">BooleanParameter</span><span class="p">,</span> <span class="n">CategoricalParameter</span><span class="p">,</span> <span class="n">DecimalParameter</span><span class="p">,</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="p">(</span><span class="n">BooleanParameter</span><span class="p">,</span> <span class="n">CategoricalParameter</span><span class="p">,</span> <span class="n">DecimalParameter</span><span class="p">,</span>
|
||||
<span class="n">IStrategy</span><span class="p">,</span> <span class="n">IntParameter</span><span class="p">)</span>
|
||||
<span class="kn">import</span> <span class="nn">freqtrade.vendor.qtpylib.indicators</span> <span class="k">as</span> <span class="nn">qtpylib</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">freqtrade.vendor.qtpylib.indicators</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">qtpylib</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="n">stoploss</span> <span class="o">=</span> <span class="o">-</span><span class="mf">0.05</span>
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s1">'15m'</span>
|
||||
<span class="n">minimal_roi</span> <span class="o">=</span> <span class="p">{</span>
|
||||
@@ -2732,7 +2732,7 @@ By default, we assume a stoploss of 5% - and a take-profit (<code>minimal_roi</c
|
||||
<span class="n">buy_ema_long</span> <span class="o">=</span> <span class="n">IntParameter</span><span class="p">(</span><span class="mi">15</span><span class="p">,</span> <span class="mi">200</span><span class="p">,</span> <span class="n">default</span><span class="o">=</span><span class="mi">50</span><span class="p">)</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="w"> </span><span class="sd">"""Generate all indicators used by the strategy"""</span>
|
||||
|
||||
<span class="c1"># Calculate all ema_short values</span>
|
||||
@@ -2745,7 +2745,7 @@ By default, we assume a stoploss of 5% - and a take-profit (<code>minimal_roi</c
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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>
|
||||
<span class="k">def</span><span class="w"> </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>
|
||||
<span class="n">conditions</span> <span class="o">=</span> <span class="p">[]</span>
|
||||
<span class="n">conditions</span><span class="o">.</span><span class="n">append</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="sa">f</span><span class="s1">'ema_short_</span><span class="si">{</span><span class="bp">self</span><span class="o">.</span><span class="n">buy_ema_short</span><span class="o">.</span><span class="n">value</span><span class="si">}</span><span class="s1">'</span><span class="p">],</span> <span class="n">dataframe</span><span class="p">[</span><span class="sa">f</span><span class="s1">'ema_long_</span><span class="si">{</span><span class="bp">self</span><span class="o">.</span><span class="n">buy_ema_long</span><span class="o">.</span><span class="n">value</span><span class="si">}</span><span class="s1">'</span><span class="p">]</span>
|
||||
@@ -2760,7 +2760,7 @@ By default, we assume a stoploss of 5% - and a take-profit (<code>minimal_roi</c
|
||||
<span class="s1">'enter_long'</span><span class="p">]</span> <span class="o">=</span> <span class="mi">1</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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 class="k">def</span><span class="w"> </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 class="n">conditions</span> <span class="o">=</span> <span class="p">[]</span>
|
||||
<span class="n">conditions</span><span class="o">.</span><span class="n">append</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="sa">f</span><span class="s1">'ema_long_</span><span class="si">{</span><span class="bp">self</span><span class="o">.</span><span class="n">buy_ema_long</span><span class="o">.</span><span class="n">value</span><span class="si">}</span><span class="s1">'</span><span class="p">],</span> <span class="n">dataframe</span><span class="p">[</span><span class="sa">f</span><span class="s1">'ema_short_</span><span class="si">{</span><span class="bp">self</span><span class="o">.</span><span class="n">buy_ema_short</span><span class="o">.</span><span class="n">value</span><span class="si">}</span><span class="s1">'</span><span class="p">]</span>
|
||||
@@ -2802,16 +2802,16 @@ By using this in a loop, hyperopt will generate 48 new columns (<code>['buy_ema_
|
||||
<h2 id="optimizing-protections">Optimizing protections<a class="headerlink" href="#optimizing-protections" title="Permanent link">¶</a></h2>
|
||||
<p>Freqtrade can also optimize protections. How you optimize protections is up to you, and the following should be considered as example only.</p>
|
||||
<p>The strategy will simply need to define the "protections" entry as property returning a list of protection configurations.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span> <span class="nn">functools</span> <span class="kn">import</span> <span class="n">reduce</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">functools</span><span class="w"> </span><span class="kn">import</span> <span class="n">reduce</span>
|
||||
|
||||
<span class="kn">import</span> <span class="nn">talib.abstract</span> <span class="k">as</span> <span class="nn">ta</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">talib.abstract</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ta</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="p">(</span><span class="n">BooleanParameter</span><span class="p">,</span> <span class="n">CategoricalParameter</span><span class="p">,</span> <span class="n">DecimalParameter</span><span class="p">,</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="p">(</span><span class="n">BooleanParameter</span><span class="p">,</span> <span class="n">CategoricalParameter</span><span class="p">,</span> <span class="n">DecimalParameter</span><span class="p">,</span>
|
||||
<span class="n">IStrategy</span><span class="p">,</span> <span class="n">IntParameter</span><span class="p">)</span>
|
||||
<span class="kn">import</span> <span class="nn">freqtrade.vendor.qtpylib.indicators</span> <span class="k">as</span> <span class="nn">qtpylib</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">freqtrade.vendor.qtpylib.indicators</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">qtpylib</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="n">stoploss</span> <span class="o">=</span> <span class="o">-</span><span class="mf">0.05</span>
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s1">'15m'</span>
|
||||
<span class="c1"># Define the parameter spaces</span>
|
||||
@@ -2821,7 +2821,7 @@ By using this in a loop, hyperopt will generate 48 new columns (<code>['buy_ema_
|
||||
|
||||
|
||||
<span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="n">prot</span> <span class="o">=</span> <span class="p">[]</span>
|
||||
|
||||
<span class="n">prot</span><span class="o">.</span><span class="n">append</span><span class="p">({</span>
|
||||
@@ -2839,7 +2839,7 @@ By using this in a loop, hyperopt will generate 48 new columns (<code>['buy_ema_
|
||||
|
||||
<span class="k">return</span> <span class="n">prot</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># ...</span>
|
||||
</code></pre></div>
|
||||
<p>You can then run hyperopt as follows:
|
||||
@@ -2857,7 +2857,7 @@ It is therefore recommended to not define protections in the configuration.</p>
|
||||
<h3 id="migrating-from-previous-property-setups">Migrating from previous property setups<a class="headerlink" href="#migrating-from-previous-property-setups" title="Permanent link">¶</a></h3>
|
||||
<p>A migration from a previous setup is pretty simple, and can be accomplished by converting the protections entry to a property.
|
||||
In simple terms, the following configuration will be converted to the below.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="n">protections</span> <span class="o">=</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"CooldownPeriod"</span><span class="p">,</span>
|
||||
@@ -2866,10 +2866,10 @@ In simple terms, the following configuration will be converted to the below.</p>
|
||||
<span class="p">]</span>
|
||||
</code></pre></div>
|
||||
<p>Result</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"CooldownPeriod"</span><span class="p">,</span>
|
||||
@@ -2880,16 +2880,16 @@ In simple terms, the following configuration will be converted to the below.</p>
|
||||
<p>You will then obviously also change potential interesting entries to parameters to allow hyper-optimization.</p>
|
||||
<h3 id="optimizing-max_entry_position_adjustment">Optimizing <code>max_entry_position_adjustment</code><a class="headerlink" href="#optimizing-max_entry_position_adjustment" title="Permanent link">¶</a></h3>
|
||||
<p>While <code>max_entry_position_adjustment</code> is not a separate space, it can still be used in hyperopt by using the property approach shown above.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span> <span class="nn">functools</span> <span class="kn">import</span> <span class="n">reduce</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">functools</span><span class="w"> </span><span class="kn">import</span> <span class="n">reduce</span>
|
||||
|
||||
<span class="kn">import</span> <span class="nn">talib.abstract</span> <span class="k">as</span> <span class="nn">ta</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">talib.abstract</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ta</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="p">(</span><span class="n">BooleanParameter</span><span class="p">,</span> <span class="n">CategoricalParameter</span><span class="p">,</span> <span class="n">DecimalParameter</span><span class="p">,</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="p">(</span><span class="n">BooleanParameter</span><span class="p">,</span> <span class="n">CategoricalParameter</span><span class="p">,</span> <span class="n">DecimalParameter</span><span class="p">,</span>
|
||||
<span class="n">IStrategy</span><span class="p">,</span> <span class="n">IntParameter</span><span class="p">)</span>
|
||||
<span class="kn">import</span> <span class="nn">freqtrade.vendor.qtpylib.indicators</span> <span class="k">as</span> <span class="nn">qtpylib</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">freqtrade.vendor.qtpylib.indicators</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">qtpylib</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="n">stoploss</span> <span class="o">=</span> <span class="o">-</span><span class="mf">0.05</span>
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s1">'15m'</span>
|
||||
|
||||
@@ -2897,11 +2897,11 @@ In simple terms, the following configuration will be converted to the below.</p>
|
||||
<span class="n">max_epa</span> <span class="o">=</span> <span class="n">CategoricalParameter</span><span class="p">([</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">0</span><span class="p">,</span> <span class="mi">1</span><span class="p">,</span> <span class="mi">3</span><span class="p">,</span> <span class="mi">5</span><span class="p">,</span> <span class="mi">10</span><span class="p">],</span> <span class="n">default</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">space</span><span class="o">=</span><span class="s2">"buy"</span><span class="p">,</span> <span class="n">optimize</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
|
||||
|
||||
<span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">max_entry_position_adjustment</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">max_entry_position_adjustment</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="bp">self</span><span class="o">.</span><span class="n">max_epa</span><span class="o">.</span><span class="n">value</span>
|
||||
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># ...</span>
|
||||
</code></pre></div>
|
||||
<details class="tip">
|
||||
@@ -2910,7 +2910,7 @@ In simple terms, the following configuration will be converted to the below.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="n">max_epa</span> <span class="o">=</span> <span class="n">IntParameter</span><span class="p">(</span><span class="o">-</span><span class="mi">1</span><span class="p">,</span> <span class="mi">10</span><span class="p">,</span> <span class="n">default</span><span class="o">=</span><span class="mi">1</span><span class="p">,</span> <span class="n">space</span><span class="o">=</span><span class="s2">"buy"</span><span class="p">,</span> <span class="n">optimize</span><span class="o">=</span><span class="kc">True</span><span class="p">)</span>
|
||||
|
||||
<span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">max_entry_position_adjustment</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">max_entry_position_adjustment</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="nb">int</span><span class="p">(</span><span class="bp">self</span><span class="o">.</span><span class="n">max_epa</span><span class="o">.</span><span class="n">value</span><span class="p">)</span>
|
||||
</code></pre></div></p>
|
||||
</details>
|
||||
@@ -3003,7 +3003,7 @@ Given the following result from hyperopt:</p>
|
||||
This file is also updated when using the <code>hyperopt-show</code> sub-command, unless <code>--disable-param-export</code> is provided to either of the 2 commands.</p>
|
||||
<p>Your strategy class can also contain these results explicitly. Simply copy hyperopt results block and paste them at class level, replacing old parameters (if any). New parameters will automatically be loaded next time strategy is executed.</p>
|
||||
<p>Transferring your whole hyperopt result to your strategy would then look like:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="c1"># Buy hyperspace params:</span>
|
||||
<span class="n">buy_params</span> <span class="o">=</span> <span class="p">{</span>
|
||||
<span class="s1">'buy_adx'</span><span class="p">:</span> <span class="mi">44</span><span class="p">,</span>
|
||||
@@ -3224,16 +3224,16 @@ Your epochs should therefore be aligned to the possible values - or you should b
|
||||
<p>After you run Hyperopt for the desired amount of epochs, you can later list all results for analysis, select only best or profitable once, and show the details for any of the epochs previously evaluated. This can be done with the <code>hyperopt-list</code> and <code>hyperopt-show</code> sub-commands. The usage of these sub-commands is described in the <a href="../utils/#list-hyperopt-results">Utils</a> chapter.</p>
|
||||
<h2 id="output-debug-messages-from-your-strategy">Output debug messages from your strategy<a class="headerlink" href="#output-debug-messages-from-your-strategy" title="Permanent link">¶</a></h2>
|
||||
<p>If you want to output debug messages from your strategy, you can use the <code>logging</code> module. By default, Freqtrade will output all messages with a level of <code>INFO</code> or higher. </p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">logging</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">logging</span>
|
||||
|
||||
|
||||
<span class="n">logger</span> <span class="o">=</span> <span class="n">logging</span><span class="o">.</span><span class="n">getLogger</span><span class="p">(</span><span class="vm">__name__</span><span class="p">)</span>
|
||||
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="o">...</span>
|
||||
|
||||
<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>
|
||||
<span class="k">def</span><span class="w"> </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>
|
||||
<span class="n">logger</span><span class="o">.</span><span class="n">info</span><span class="p">(</span><span class="s2">"This is a debug message"</span><span class="p">)</span>
|
||||
<span class="o">...</span>
|
||||
</code></pre></div>
|
||||
|
||||
@@ -1662,7 +1662,7 @@ If <code>trade_limit</code> or more trades resulted in stoploss, trading will st
|
||||
<p><code>required_profit</code> will determine the required relative profit (or loss) for stoplosses to consider. This should normally not be set and defaults to 0.0 - which means all losing stoplosses will be triggering a block.</p>
|
||||
<p>The below example stops trading for all pairs for 4 candles after the last trade if the bot hit stoploss 4 times within the last 24 candles.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"StoplossGuard"</span><span class="p">,</span>
|
||||
@@ -1684,7 +1684,7 @@ If <code>trade_limit</code> or more trades resulted in stoploss, trading will st
|
||||
<p><code>MaxDrawdown</code> uses all trades within <code>lookback_period</code> in minutes (or in candles when using <code>lookback_period_candles</code>) to determine the maximum drawdown. If the drawdown is below <code>max_allowed_drawdown</code>, trading will stop for <code>stop_duration</code> in minutes (or in candles when using <code>stop_duration_candles</code>) after the last trade - assuming that the bot needs some time to let markets recover.</p>
|
||||
<p>The below sample stops trading for 12 candles if max-drawdown is > 20% considering all pairs - with a minimum of <code>trade_limit</code> trades - within the last 48 candles. If desired, <code>lookback_period</code> and/or <code>stop_duration</code> can be used.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"MaxDrawdown"</span><span class="p">,</span>
|
||||
@@ -1701,7 +1701,7 @@ If that ratio is below <code>required_profit</code>, that pair will be locked fo
|
||||
<p>For futures bots, setting <code>only_per_side</code> will make the bot only consider one side, and will then only lock this one side, allowing for example shorts to continue after a series of long losses.</p>
|
||||
<p>The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 candles.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"LowProfitPairs"</span><span class="p">,</span>
|
||||
@@ -1717,7 +1717,7 @@ If that ratio is below <code>required_profit</code>, that pair will be locked fo
|
||||
<p><code>CooldownPeriod</code> locks a pair for <code>stop_duration</code> in minutes (or in candles when using <code>stop_duration_candles</code>, or until the set time when using <code>unlock_at</code>) after exiting, avoiding a re-entry for this pair for <code>stop_duration</code> minutes.</p>
|
||||
<p>The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down".</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"CooldownPeriod"</span><span class="p">,</span>
|
||||
@@ -1741,13 +1741,13 @@ All protections are evaluated in the sequence they are defined.</p>
|
||||
<li>Locks all pairs that had 2 Trades within the last 6 hours (<code>6 * 1h candles</code>) with a combined profit ratio of below 0.02 (<2%) (<code>LowProfitPairs</code>).</li>
|
||||
<li>Locks all pairs for 2 candles that had a profit of below 0.01 (<1%) within the last 24h (<code>24 * 1h candles</code>), a minimum of 4 trades.</li>
|
||||
</ul>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="n">IStrategy</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="n">IStrategy</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">)</span>
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s1">'1h'</span>
|
||||
|
||||
<span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"CooldownPeriod"</span><span class="p">,</span>
|
||||
|
||||
@@ -1524,13 +1524,13 @@ Obviously you can add more imports as needed for your strategy.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># flake8: noqa: F401</span>
|
||||
<span class="c1"># isort: skip_file</span>
|
||||
<span class="c1"># --- Do not remove these imports ---</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">Dict</span><span class="p">,</span> <span class="n">Optional</span><span class="p">,</span> <span class="n">Union</span><span class="p">,</span> <span class="n">Tuple</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">numpy</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">np</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">pd</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">typing</span><span class="w"> </span><span class="kn">import</span> <span class="n">Dict</span><span class="p">,</span> <span class="n">Optional</span><span class="p">,</span> <span class="n">Union</span><span class="p">,</span> <span class="n">Tuple</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="n">IStrategy</span><span class="p">,</span>
|
||||
<span class="n">Trade</span><span class="p">,</span>
|
||||
<span class="n">Order</span><span class="p">,</span>
|
||||
@@ -1554,8 +1554,8 @@ Obviously you can add more imports as needed for your strategy.</p>
|
||||
|
||||
<span class="c1"># --------------------------------</span>
|
||||
<span class="c1"># Add your lib to import here</span>
|
||||
<span class="kn">import</span> <span class="nn">talib.abstract</span> <span class="k">as</span> <span class="nn">ta</span>
|
||||
<span class="kn">from</span> <span class="nn">technical</span> <span class="kn">import</span> <span class="n">qtpylib</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">talib.abstract</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ta</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">technical</span><span class="w"> </span><span class="kn">import</span> <span class="n">qtpylib</span>
|
||||
</code></pre></div>
|
||||
|
||||
|
||||
|
||||
@@ -1834,7 +1834,7 @@ It also allows multiple subplots to display both MACD and RSI at the same time.<
|
||||
<p>Extra parameters to <code>plotly.graph_objects.*</code> constructor can be specified in <code>plotly</code> dict.</p>
|
||||
<p>Sample configuration with inline comments explaining the process:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">plot_config</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">plot_config</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> There are a lot of solutions how to build the return dictionary.</span>
|
||||
<span class="sd"> The only important point is the return value.</span>
|
||||
|
||||
@@ -2697,7 +2697,7 @@ If <code>trade_limit</code> or more trades resulted in stoploss, trading will st
|
||||
<p><code>required_profit</code> will determine the required relative profit (or loss) for stoplosses to consider. This should normally not be set and defaults to 0.0 - which means all losing stoplosses will be triggering a block.</p>
|
||||
<p>The below example stops trading for all pairs for 4 candles after the last trade if the bot hit stoploss 4 times within the last 24 candles.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"StoplossGuard"</span><span class="p">,</span>
|
||||
@@ -2719,7 +2719,7 @@ If <code>trade_limit</code> or more trades resulted in stoploss, trading will st
|
||||
<p><code>MaxDrawdown</code> uses all trades within <code>lookback_period</code> in minutes (or in candles when using <code>lookback_period_candles</code>) to determine the maximum drawdown. If the drawdown is below <code>max_allowed_drawdown</code>, trading will stop for <code>stop_duration</code> in minutes (or in candles when using <code>stop_duration_candles</code>) after the last trade - assuming that the bot needs some time to let markets recover.</p>
|
||||
<p>The below sample stops trading for 12 candles if max-drawdown is > 20% considering all pairs - with a minimum of <code>trade_limit</code> trades - within the last 48 candles. If desired, <code>lookback_period</code> and/or <code>stop_duration</code> can be used.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"MaxDrawdown"</span><span class="p">,</span>
|
||||
@@ -2736,7 +2736,7 @@ If that ratio is below <code>required_profit</code>, that pair will be locked fo
|
||||
<p>For futures bots, setting <code>only_per_side</code> will make the bot only consider one side, and will then only lock this one side, allowing for example shorts to continue after a series of long losses.</p>
|
||||
<p>The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 candles.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"LowProfitPairs"</span><span class="p">,</span>
|
||||
@@ -2752,7 +2752,7 @@ If that ratio is below <code>required_profit</code>, that pair will be locked fo
|
||||
<p><code>CooldownPeriod</code> locks a pair for <code>stop_duration</code> in minutes (or in candles when using <code>stop_duration_candles</code>, or until the set time when using <code>unlock_at</code>) after exiting, avoiding a re-entry for this pair for <code>stop_duration</code> minutes.</p>
|
||||
<p>The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down".</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"CooldownPeriod"</span><span class="p">,</span>
|
||||
@@ -2776,13 +2776,13 @@ All protections are evaluated in the sequence they are defined.</p>
|
||||
<li>Locks all pairs that had 2 Trades within the last 6 hours (<code>6 * 1h candles</code>) with a combined profit ratio of below 0.02 (<2%) (<code>LowProfitPairs</code>).</li>
|
||||
<li>Locks all pairs for 2 candles that had a profit of below 0.01 (<1%) within the last 24h (<code>24 * 1h candles</code>), a minimum of 4 trades.</li>
|
||||
</ul>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="n">IStrategy</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="n">IStrategy</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">)</span>
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s1">'1h'</span>
|
||||
|
||||
<span class="nd">@property</span>
|
||||
<span class="k">def</span> <span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">protections</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">{</span>
|
||||
<span class="s2">"method"</span><span class="p">:</span> <span class="s2">"CooldownPeriod"</span><span class="p">,</span>
|
||||
|
||||
@@ -1736,9 +1736,9 @@
|
||||
<h2 id="examples">Examples<a class="headerlink" href="#examples" title="Permanent link">¶</a></h2>
|
||||
<h3 id="example-producer-strategy">Example - Producer Strategy<a class="headerlink" href="#example-producer-strategy" title="Permanent link">¶</a></h3>
|
||||
<p>A simple strategy with multiple indicators. No special considerations are required in the strategy itself.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">ProducerStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">ProducerStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="c1">#...</span>
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Calculate indicators in the standard freqtrade way which can then be broadcast to other instances</span>
|
||||
<span class="sd"> """</span>
|
||||
@@ -1751,7 +1751,7 @@
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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>
|
||||
<span class="k">def</span><span class="w"> </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>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Populates the entry signal for the given dataframe</span>
|
||||
<span class="sd"> """</span>
|
||||
@@ -1772,13 +1772,13 @@
|
||||
</div>
|
||||
<h3 id="example-consumer-strategy">Example - Consumer Strategy<a class="headerlink" href="#example-consumer-strategy" title="Permanent link">¶</a></h3>
|
||||
<p>A logically equivalent strategy which calculates no indicators itself, but will have the same analyzed dataframes available to make trading decisions based on the indicators calculated in the producer. In this example the consumer has the same entry criteria, however this is not necessary. The consumer may use different logic to enter/exit trades, and only use the indicators as specified.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span> <span class="nc">ConsumerStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">ConsumerStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="c1">#...</span>
|
||||
<span class="n">process_only_new_candles</span> <span class="o">=</span> <span class="kc">False</span> <span class="c1"># required for consumers</span>
|
||||
|
||||
<span class="n">_columns_to_expect</span> <span class="o">=</span> <span class="p">[</span><span class="s1">'rsi_default'</span><span class="p">,</span> <span class="s1">'tema_default'</span><span class="p">,</span> <span class="s1">'bb_middleband_default'</span><span class="p">]</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Use the websocket api to get pre-populated indicators from another freqtrade instance.</span>
|
||||
<span class="sd"> Use `self.dp.get_producer_df(pair)` to get the dataframe</span>
|
||||
@@ -1813,7 +1813,7 @@
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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>
|
||||
<span class="k">def</span><span class="w"> </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>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Populates the entry signal for the given dataframe</span>
|
||||
<span class="sd"> """</span>
|
||||
|
||||
@@ -1889,7 +1889,7 @@ This should return the response:</p>
|
||||
<p>All other endpoints return sensitive info and require authentication and are therefore not available through a web browser.</p>
|
||||
<h3 id="security">Security<a class="headerlink" href="#security" title="Permanent link">¶</a></h3>
|
||||
<p>To generate a secure password, best use a password manager, or use the below code.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">secrets</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">secrets</span>
|
||||
<span class="n">secrets</span><span class="o">.</span><span class="n">token_hex</span><span class="p">()</span>
|
||||
</code></pre></div>
|
||||
<div class="admonition hint">
|
||||
@@ -1951,7 +1951,7 @@ This <strong>may</strong> be safe if you're running the bot in a secure environm
|
||||
<summary>Programmatic use</summary>
|
||||
<p>The <code>freqtrade-client</code> package (installable independent of freqtrade) can be used in your own scripts to interact with the freqtrade API.
|
||||
to do so, please use the following:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade_client</span> <span class="kn">import</span> <span class="n">FtRestClient</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade_client</span><span class="w"> </span><span class="kn">import</span> <span class="n">FtRestClient</span>
|
||||
|
||||
|
||||
<span class="n">client</span> <span class="o">=</span> <span class="n">FtRestClient</span><span class="p">(</span><span class="n">server_url</span><span class="p">,</span> <span class="n">username</span><span class="p">,</span> <span class="n">password</span><span class="p">)</span>
|
||||
@@ -2372,7 +2372,7 @@ This can be used to consume real-time data from your bot, such as entry/exit fil
|
||||
<p>Assuming your rest API is set to <code>127.0.0.1</code> on port <code>8080</code>, the endpoint is available at <code>http://localhost:8080/api/v1/message/ws</code>.</p>
|
||||
<p>To access the websocket endpoint, the <code>ws_token</code> is required as a query parameter in the endpoint URL.</p>
|
||||
<p>To generate a safe <code>ws_token</code> you can run the following code:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="o">>>></span> <span class="kn">import</span> <span class="nn">secrets</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="o">>>></span> <span class="kn">import</span><span class="w"> </span><span class="nn">secrets</span>
|
||||
<span class="o">>>></span> <span class="n">secrets</span><span class="o">.</span><span class="n">token_urlsafe</span><span class="p">(</span><span class="mi">25</span><span class="p">)</span>
|
||||
<span class="s1">'hZ-y58LXyX_HZ8O1cJzVyN6ePWrLpNQv4Q'</span>
|
||||
</code></pre></div>
|
||||
|
||||
File diff suppressed because one or more lines are too long
@@ -1887,11 +1887,11 @@ how to integrate it into your strategy. You can also check the <a href="https://
|
||||
</details>
|
||||
<h2 id="a-simple-strategy">A simple strategy<a class="headerlink" href="#a-simple-strategy" title="Permanent link">¶</a></h2>
|
||||
<p>Here is a minimal example of a Freqtrade strategy:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="n">IStrategy</span>
|
||||
<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">import</span> <span class="nn">talib.abstract</span> <span class="k">as</span> <span class="nn">ta</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="n">IStrategy</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">talib.abstract</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ta</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">MyStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># set the initial stoploss to -10%</span>
|
||||
<span class="n">stoploss</span> <span class="o">=</span> <span class="o">-</span><span class="mf">0.10</span>
|
||||
@@ -1899,13 +1899,13 @@ how to integrate it into your strategy. You can also check the <a href="https://
|
||||
<span class="c1"># exit profitable positions at any time when the profit is greater than 1%</span>
|
||||
<span class="n">minimal_roi</span> <span class="o">=</span> <span class="p">{</span><span class="s2">"0"</span><span class="p">:</span> <span class="mf">0.01</span><span class="p">}</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># generate values for technical analysis indicators</span>
|
||||
<span class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</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="mi">14</span><span class="p">)</span>
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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>
|
||||
<span class="k">def</span><span class="w"> </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>
|
||||
<span class="c1"># generate entry signals based on indicator values</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="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">]</span> <span class="o"><</span> <span class="mi">30</span><span class="p">),</span>
|
||||
@@ -1913,7 +1913,7 @@ how to integrate it into your strategy. You can also check the <a href="https://
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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 class="k">def</span><span class="w"> </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 class="c1"># generate exit signals based on indicator values</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="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">]</span> <span class="o">></span> <span class="mi">70</span><span class="p">),</span>
|
||||
|
||||
@@ -1762,12 +1762,12 @@ If you're just getting started, please familiarize yourself with the <a href="..
|
||||
<p>Using a trade object, information can be stored using <code>trade.set_custom_data(key='my_key', value=my_value)</code> and retrieved using <code>trade.get_custom_data(key='my_key')</code>. Each data entry is associated with a trade and a user supplied key (of type <code>string</code>). This means that this can only be used in callbacks that also provide a trade object.</p>
|
||||
<p>For the data to be able to be stored within the database, freqtrade must serialized the data. This is done by converting the data to a JSON formatted string.
|
||||
Freqtrade will attempt to reverse this action on retrieval, so from a strategy perspective, this should not be relevant.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">timedelta</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">timedelta</span>
|
||||
|
||||
<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">class</span><span class="w"> </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">bot_loop_start</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">bot_loop_start</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="k">for</span> <span class="n">trade</span> <span class="ow">in</span> <span class="n">Trade</span><span class="o">.</span><span class="n">get_open_order_trades</span><span class="p">():</span>
|
||||
<span class="n">fills</span> <span class="o">=</span> <span class="n">trade</span><span class="o">.</span><span class="n">select_filled_orders</span><span class="p">(</span><span class="n">trade</span><span class="o">.</span><span class="n">entry_side</span><span class="p">)</span>
|
||||
<span class="k">if</span> <span class="n">trade</span><span class="o">.</span><span class="n">pair</span> <span class="o">==</span> <span class="s1">'ETH/USDT'</span><span class="p">:</span>
|
||||
@@ -1779,7 +1779,7 @@ Freqtrade will attempt to reverse this action on retrieval, so from a strategy p
|
||||
<span class="n">trade</span><span class="o">.</span><span class="n">set_custom_data</span><span class="p">(</span><span class="n">key</span><span class="o">=</span><span class="s1">'entry_type'</span><span class="p">,</span> <span class="n">value</span><span class="o">=</span><span class="n">trade_entry_type</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="nb">super</span><span class="p">()</span><span class="o">.</span><span class="n">bot_loop_start</span><span class="p">(</span><span class="o">**</span><span class="n">kwargs</span><span class="p">)</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">adjust_entry_price</span><span class="p">(</span><span class="bp">self</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</span><span class="p">:</span> <span class="n">Order</span> <span class="o">|</span> <span class="kc">None</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="k">def</span><span class="w"> </span><span class="nf">adjust_entry_price</span><span class="p">(</span><span class="bp">self</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</span><span class="p">:</span> <span class="n">Order</span> <span class="o">|</span> <span class="kc">None</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="n">current_order_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
||||
<span class="n">entry_tag</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="kc">None</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 class="c1"># Limit orders to use and follow SMA200 as price target for the first 10 minutes since entry trigger for BTC/USDT pair.</span>
|
||||
@@ -1806,7 +1806,7 @@ Freqtrade will attempt to reverse this action on retrieval, so from a strategy p
|
||||
<span class="c1"># default: maintain existing order</span>
|
||||
<span class="k">return</span> <span class="n">current_order_rate</span>
|
||||
|
||||
<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="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">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="k">def</span><span class="w"> </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="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">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="n">entry_adjustment_count</span> <span class="o">=</span> <span class="n">trade</span><span class="o">.</span><span class="n">get_custom_data</span><span class="p">(</span><span class="n">key</span><span class="o">=</span><span class="s1">'num_entry_adjustments'</span><span class="p">)</span>
|
||||
<span class="n">trade_entry_type</span> <span class="o">=</span> <span class="n">trade</span><span class="o">.</span><span class="n">get_custom_data</span><span class="p">(</span><span class="n">key</span><span class="o">=</span><span class="s1">'entry_type'</span><span class="p">)</span>
|
||||
@@ -1852,11 +1852,11 @@ Please use <a href="#storing-information-persistent">Persistent Storage</a> inst
|
||||
<summary>Storing information</summary>
|
||||
<p>Storing information can be accomplished by creating a new dictionary within the strategy class.</p>
|
||||
<p>The name of the variable can be chosen at will, but should be prefixed with <code>custom_</code> to avoid naming collisions with predefined strategy variables.</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="c1"># Create custom dictionary</span>
|
||||
<span class="n">custom_info</span> <span class="o">=</span> <span class="p">{}</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># Check if the entry already exists</span>
|
||||
<span class="k">if</span> <span class="ow">not</span> <span class="n">metadata</span><span class="p">[</span><span class="s2">"pair"</span><span class="p">]</span> <span class="ow">in</span> <span class="bp">self</span><span class="o">.</span><span class="n">custom_info</span><span class="p">:</span>
|
||||
<span class="c1"># Create empty entry for this pair</span>
|
||||
@@ -1878,10 +1878,10 @@ Please use <a href="#storing-information-persistent">Persistent Storage</a> inst
|
||||
</details>
|
||||
<h2 id="dataframe-access">Dataframe access<a class="headerlink" href="#dataframe-access" title="Permanent link">¶</a></h2>
|
||||
<p>You may access dataframe in various strategy functions by querying it from dataprovider.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.exchange</span> <span class="kn">import</span> <span class="n">timeframe_to_prev_date</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.exchange</span><span class="w"> </span><span class="kn">import</span> <span class="n">timeframe_to_prev_date</span>
|
||||
|
||||
<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="s1">'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="k">class</span><span class="w"> </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="w"> </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="s1">'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="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 class="n">current_time</span><span class="p">:</span> <span class="s1">'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="c1"># Obtain pair dataframe.</span>
|
||||
@@ -1912,7 +1912,7 @@ Also, this will only work starting with version 2021.5.</p>
|
||||
<h2 id="enter-tag">Enter Tag<a class="headerlink" href="#enter-tag" title="Permanent link">¶</a></h2>
|
||||
<p>When your strategy has multiple buy signals, you can name the signal that triggered.
|
||||
Then you can access your buy signal on <code>custom_exit</code></p>
|
||||
<div class="highlight"><pre><span></span><code><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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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>
|
||||
<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">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">]</span> <span class="o"><</span> <span class="mi">35</span><span class="p">)</span> <span class="o">&</span>
|
||||
@@ -1922,7 +1922,7 @@ Then you can access your buy signal on <code>custom_exit</code></p>
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="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">current_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </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="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">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="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>
|
||||
@@ -1943,7 +1943,7 @@ These results are a consequence of the strategy overwriting prior tags - where t
|
||||
</div>
|
||||
<h2 id="exit-tag">Exit tag<a class="headerlink" href="#exit-tag" title="Permanent link">¶</a></h2>
|
||||
<p>Similar to <a href="#enter-tag">Entry Tagging</a>, you can also specify an exit tag.</p>
|
||||
<div class="highlight"><pre><span></span><code><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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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 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">dataframe</span><span class="p">[</span><span class="s1">'rsi'</span><span class="p">]</span> <span class="o">></span> <span class="mi">70</span><span class="p">)</span> <span class="o">&</span>
|
||||
@@ -1960,7 +1960,7 @@ These results are a consequence of the strategy overwriting prior tags - where t
|
||||
</div>
|
||||
<h2 id="strategy-version">Strategy version<a class="headerlink" href="#strategy-version" title="Permanent link">¶</a></h2>
|
||||
<p>You can implement custom strategy versioning by using the "version" method, and returning the version you would like this strategy to have.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span> <span class="nf">version</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="nb">str</span><span class="p">:</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </span><span class="nf">version</span><span class="p">(</span><span class="bp">self</span><span class="p">)</span> <span class="o">-></span> <span class="nb">str</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Returns version of the strategy.</span>
|
||||
<span class="sd"> """</span>
|
||||
@@ -1972,7 +1972,7 @@ These results are a consequence of the strategy overwriting prior tags - where t
|
||||
</div>
|
||||
<h2 id="derived-strategies">Derived strategies<a class="headerlink" href="#derived-strategies" title="Permanent link">¶</a></h2>
|
||||
<p>The strategies can be derived from other strategies. This avoids duplication of your custom strategy code. You can use this technique to override small parts of your main strategy, leaving the rest untouched:</p>
|
||||
<div class="highlight"><span class="filename">user_data/strategies/myawesomestrategy.py</span><pre><span></span><code><span class="k">class</span> <span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><span class="filename">user_data/strategies/myawesomestrategy.py</span><pre><span></span><code><span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="o">...</span>
|
||||
<span class="n">stoploss</span> <span class="o">=</span> <span class="mf">0.13</span>
|
||||
<span class="n">trailing_stop</span> <span class="o">=</span> <span class="kc">False</span>
|
||||
@@ -1980,8 +1980,8 @@ These results are a consequence of the strategy overwriting prior tags - where t
|
||||
<span class="c1"># should be in any custom strategy...</span>
|
||||
<span class="o">...</span>
|
||||
</code></pre></div>
|
||||
<div class="highlight"><span class="filename">user_data/strategies/MyAwesomeStrategy2.py</span><pre><span></span><code><span class="kn">from</span> <span class="nn">myawesomestrategy</span> <span class="kn">import</span> <span class="n">MyAwesomeStrategy</span>
|
||||
<span class="k">class</span> <span class="nc">MyAwesomeStrategy2</span><span class="p">(</span><span class="n">MyAwesomeStrategy</span><span class="p">):</span>
|
||||
<div class="highlight"><span class="filename">user_data/strategies/MyAwesomeStrategy2.py</span><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">myawesomestrategy</span><span class="w"> </span><span class="kn">import</span> <span class="n">MyAwesomeStrategy</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">MyAwesomeStrategy2</span><span class="p">(</span><span class="n">MyAwesomeStrategy</span><span class="p">):</span>
|
||||
<span class="c1"># Override something</span>
|
||||
<span class="n">stoploss</span> <span class="o">=</span> <span class="mf">0.08</span>
|
||||
<span class="n">trailing_stop</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
@@ -1994,7 +1994,7 @@ This is done by utilizing BASE64 encoding and providing this string at the strat
|
||||
in your chosen config file.</p>
|
||||
<h3 id="encoding-a-string-as-base64">Encoding a string as BASE64<a class="headerlink" href="#encoding-a-string-as-base64" title="Permanent link">¶</a></h3>
|
||||
<p>This is a quick example, how to generate the BASE64 string in python</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">base64</span> <span class="kn">import</span> <span class="n">urlsafe_b64encode</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">base64</span><span class="w"> </span><span class="kn">import</span> <span class="n">urlsafe_b64encode</span>
|
||||
|
||||
<span class="k">with</span> <span class="nb">open</span><span class="p">(</span><span class="n">file</span><span class="p">,</span> <span class="s1">'r'</span><span class="p">)</span> <span class="k">as</span> <span class="n">f</span><span class="p">:</span>
|
||||
<span class="n">content</span> <span class="o">=</span> <span class="n">f</span><span class="o">.</span><span class="n">read</span><span class="p">()</span>
|
||||
|
||||
@@ -2261,13 +2261,13 @@ Obviously you can add more imports as needed for your strategy.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># flake8: noqa: F401</span>
|
||||
<span class="c1"># isort: skip_file</span>
|
||||
<span class="c1"># --- Do not remove these imports ---</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">Dict</span><span class="p">,</span> <span class="n">Optional</span><span class="p">,</span> <span class="n">Union</span><span class="p">,</span> <span class="n">Tuple</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">numpy</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">np</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">pd</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">typing</span><span class="w"> </span><span class="kn">import</span> <span class="n">Dict</span><span class="p">,</span> <span class="n">Optional</span><span class="p">,</span> <span class="n">Union</span><span class="p">,</span> <span class="n">Tuple</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="n">IStrategy</span><span class="p">,</span>
|
||||
<span class="n">Trade</span><span class="p">,</span>
|
||||
<span class="n">Order</span><span class="p">,</span>
|
||||
@@ -2291,19 +2291,19 @@ Obviously you can add more imports as needed for your strategy.</p>
|
||||
|
||||
<span class="c1"># --------------------------------</span>
|
||||
<span class="c1"># Add your lib to import here</span>
|
||||
<span class="kn">import</span> <span class="nn">talib.abstract</span> <span class="k">as</span> <span class="nn">ta</span>
|
||||
<span class="kn">from</span> <span class="nn">technical</span> <span class="kn">import</span> <span class="n">qtpylib</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">talib.abstract</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ta</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">technical</span><span class="w"> </span><span class="kn">import</span> <span class="n">qtpylib</span>
|
||||
</code></pre></div>
|
||||
<h2 id="bot-start">Bot start<a class="headerlink" href="#bot-start" title="Permanent link">¶</a></h2>
|
||||
<p>A simple callback which is called once when the strategy is loaded.
|
||||
This can be used to perform actions that must only be performed once and runs after dataprovider and wallet are set</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">requests</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">requests</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">bot_start</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">bot_start</span><span class="p">(</span><span class="bp">self</span><span class="p">,</span> <span class="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Called only once after bot instantiation.</span>
|
||||
<span class="sd"> :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.</span>
|
||||
@@ -2319,13 +2319,13 @@ This can be used to perform actions that must only be performed once and runs af
|
||||
seconds, unless configured differently) or once per candle in backtest/hyperopt mode.
|
||||
This can be used to perform calculations which are pair independent (apply to all pairs), loading of external data, etc.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
<span class="kn">import</span> <span class="nn">requests</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">requests</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">bot_loop_start</span><span class="p">(</span><span class="bp">self</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="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">bot_loop_start</span><span class="p">(</span><span class="bp">self</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="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Called at the start of the bot iteration (one loop).</span>
|
||||
<span class="sd"> Might be used to perform pair-independent tasks</span>
|
||||
@@ -2342,8 +2342,8 @@ This can be used to perform calculations which are pair independent (apply to al
|
||||
<p>Called before entering a trade, makes it possible to manage your position size when placing a new trade.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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="k">class</span><span class="w"> </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="w"> </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="nb">float</span> <span class="o">|</span> <span class="kc">None</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="n">leverage</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">entry_tag</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
@@ -2384,8 +2384,8 @@ This can be used to perform calculations which are pair independent (apply to al
|
||||
<p>An example of how we can use different indicators depending on the current profit and also exit trades that were open longer than one day:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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_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">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="k">class</span><span class="w"> </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="w"> </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="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">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="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>
|
||||
@@ -2440,13 +2440,13 @@ Of course, many more things are possible, and all examples can be combined at wi
|
||||
<p>To simulate a regular trailing stoploss of 4% (trailing 4% behind the maximum reached price) you would use the following very simple method:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
@@ -2474,13 +2474,13 @@ Of course, many more things are possible, and all examples can be combined at wi
|
||||
<p>Use the initial stoploss for the first 60 minutes, after this change to 10% trailing stoploss, and after 2 hours (120 minutes) we use a 5% trailing stoploss.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
|
||||
@@ -2496,13 +2496,13 @@ Of course, many more things are possible, and all examples can be combined at wi
|
||||
If an additional order fills, set stoploss to -10% below the new <code>open_rate</code> (<a href="#position-adjust-calculations">Averaged across all entries</a>).</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
|
||||
@@ -2521,13 +2521,13 @@ If an additional order fills, set stoploss to -10% below the new <code>open_rate
|
||||
In this example, we'll trail the highest price with 10% trailing stoploss for <code>ETH/BTC</code> and <code>XRP/BTC</code>, with 5% trailing stoploss for <code>LTC/BTC</code> and with 15% for all other pairs.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
|
||||
@@ -2542,13 +2542,13 @@ In this example, we'll trail the highest price with 10% trailing stoploss for <c
|
||||
<p>Please note that the stoploss can only increase, values lower than the current stoploss are ignored.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
|
||||
@@ -2571,13 +2571,13 @@ In this example, we'll trail the highest price with 10% trailing stoploss for <c
|
||||
</ul>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
|
||||
@@ -2596,15 +2596,15 @@ In this example, we'll trail the highest price with 10% trailing stoploss for <c
|
||||
<p>Absolute stoploss value may be derived from indicators stored in dataframe. Example uses parabolic SAR below the price as stoploss.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </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">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># <...></span>
|
||||
<span class="n">dataframe</span><span class="p">[</span><span class="s2">"sar"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">SAR</span><span class="p">(</span><span class="n">dataframe</span><span class="p">)</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
|
||||
@@ -2633,13 +2633,13 @@ In this example, we'll trail the highest price with 10% trailing stoploss for <c
|
||||
<p>This function will consider leverage - so at 10x leverage, the actual stoploss would be 0.7% above $100 (0.7% * 10x = 7%).</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</span><span class="p">:</span>
|
||||
|
||||
@@ -2668,15 +2668,15 @@ is blocked by <code>confirm_trade_exit()</code> method. Warnings can be solved b
|
||||
For futures, we need to adjust the direction (up or down), as well as adjust for leverage, since the <a href="./#custom-stoploss"><code>custom_stoploss</code></a> callback returns the <a href="../stoploss/#stoploss-and-leverage">"risk for this trade"</a> - not the relative price movement.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="n">use_custom_stoploss</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="n">dataframe</span><span class="p">[</span><span class="s2">"atr"</span><span class="p">]</span> <span class="o">=</span> <span class="n">ta</span><span class="o">.</span><span class="n">ATR</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="mi">14</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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="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="k">def</span><span class="w"> </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="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">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="nb">float</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
@@ -2705,11 +2705,11 @@ For futures, we need to adjust the direction (up or down), as well as adjust for
|
||||
<h3 id="custom-order-entry-and-exit-price-example">Custom order entry and exit price example<a class="headerlink" href="#custom-order-entry-and-exit-price-example" title="Permanent link">¶</a></h3>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</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">Trade</span> <span class="o">|</span> <span class="kc">None</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="k">def</span><span class="w"> </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">Trade</span> <span class="o">|</span> <span class="kc">None</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="n">entry_tag</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="kc">None</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 class="n">dataframe</span><span class="p">,</span> <span class="n">last_updated</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="o">=</span><span class="n">pair</span><span class="p">,</span>
|
||||
@@ -2718,7 +2718,7 @@ For futures, we need to adjust the direction (up or down), as well as adjust for
|
||||
|
||||
<span class="k">return</span> <span class="n">new_entryprice</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">custom_exit_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">Trade</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">custom_exit_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">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="n">current_profit</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">exit_tag</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
|
||||
@@ -2756,7 +2756,7 @@ It applies a tight timeout for higher priced assets, while allowing more time to
|
||||
<p>The function must return either <code>True</code> (cancel order) or <code>False</code> (keep order alive).</p>
|
||||
<div class="highlight"><pre><span></span><code> <span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
@@ -2766,7 +2766,7 @@ It applies a tight timeout for higher priced assets, while allowing more time to
|
||||
<span class="s2">"exit"</span><span class="p">:</span> <span class="mi">60</span> <span class="o">*</span> <span class="mi">25</span>
|
||||
<span class="p">}</span>
|
||||
|
||||
<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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</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="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">if</span> <span class="n">trade</span><span class="o">.</span><span class="n">open_rate</span> <span class="o">></span> <span class="mi">100</span> <span class="ow">and</span> <span class="n">trade</span><span class="o">.</span><span class="n">open_date_utc</span> <span class="o"><</span> <span class="n">current_time</span> <span class="o">-</span> <span class="n">timedelta</span><span class="p">(</span><span class="n">minutes</span><span class="o">=</span><span class="mi">5</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="kc">True</span>
|
||||
@@ -2777,7 +2777,7 @@ It applies a tight timeout for higher priced assets, while allowing more time to
|
||||
<span class="k">return</span> <span class="kc">False</span>
|
||||
|
||||
|
||||
<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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</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="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">if</span> <span class="n">trade</span><span class="o">.</span><span class="n">open_rate</span> <span class="o">></span> <span class="mi">100</span> <span class="ow">and</span> <span class="n">trade</span><span class="o">.</span><span class="n">open_date_utc</span> <span class="o"><</span> <span class="n">current_time</span> <span class="o">-</span> <span class="n">timedelta</span><span class="p">(</span><span class="n">minutes</span><span class="o">=</span><span class="mi">5</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="kc">True</span>
|
||||
@@ -2794,7 +2794,7 @@ It applies a tight timeout for higher priced assets, while allowing more time to
|
||||
<h3 id="custom-order-timeout-example-using-additional-data">Custom order timeout example (using additional data)<a class="headerlink" href="#custom-order-timeout-example-using-additional-data" title="Permanent link">¶</a></h3>
|
||||
<div class="highlight"><pre><span></span><code> <span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
@@ -2804,7 +2804,7 @@ It applies a tight timeout for higher priced assets, while allowing more time to
|
||||
<span class="s2">"exit"</span><span class="p">:</span> <span class="mi">60</span> <span class="o">*</span> <span class="mi">25</span>
|
||||
<span class="p">}</span>
|
||||
|
||||
<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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</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="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="n">ob</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">orderbook</span><span class="p">(</span><span class="n">pair</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
|
||||
<span class="n">current_price</span> <span class="o">=</span> <span class="n">ob</span><span class="p">[</span><span class="s2">"bids"</span><span class="p">][</span><span class="mi">0</span><span class="p">][</span><span class="mi">0</span><span class="p">]</span>
|
||||
@@ -2814,7 +2814,7 @@ It applies a tight timeout for higher priced assets, while allowing more time to
|
||||
<span class="k">return</span> <span class="kc">False</span>
|
||||
|
||||
|
||||
<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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </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="n">Trade</span><span class="p">,</span> <span class="n">order</span><span class="p">:</span> <span class="n">Order</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="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="n">ob</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">orderbook</span><span class="p">(</span><span class="n">pair</span><span class="p">,</span> <span class="mi">1</span><span class="p">)</span>
|
||||
<span class="n">current_price</span> <span class="o">=</span> <span class="n">ob</span><span class="p">[</span><span class="s2">"asks"</span><span class="p">][</span><span class="mi">0</span><span class="p">][</span><span class="mi">0</span><span class="p">]</span>
|
||||
@@ -2831,11 +2831,11 @@ This are the last methods that will be called before an order is placed.</p>
|
||||
<p><code>confirm_trade_entry()</code> can be used to abort a trade entry at the latest second (maybe because the price is not what we expect).</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</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="k">def</span><span class="w"> </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="nb">str</span> <span class="o">|</span> <span class="kc">None</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">bool</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
@@ -2874,11 +2874,11 @@ The exit-reasons (if applicable) will be in the following sequence:</p>
|
||||
</ul>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</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="k">def</span><span class="w"> </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="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 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="w"> </span><span class="sd">"""</span>
|
||||
@@ -2970,7 +2970,7 @@ Trades with long duration and 10s or even 100ds of position adjustments are ther
|
||||
</div>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">DigDeeperStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">DigDeeperStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="n">position_adjustment_enable</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
@@ -2985,7 +2985,7 @@ Trades with long duration and 10s or even 100ds of position adjustments are ther
|
||||
<span class="n">max_dca_multiplier</span> <span class="o">=</span> <span class="mf">5.5</span>
|
||||
|
||||
<span class="c1"># This is called when placing the initial order (opening trade)</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="k">def</span><span class="w"> </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="nb">float</span> <span class="o">|</span> <span class="kc">None</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="n">leverage</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">entry_tag</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
@@ -2994,7 +2994,7 @@ Trades with long duration and 10s or even 100ds of position adjustments are ther
|
||||
<span class="c1"># This also applies to fixed stakes</span>
|
||||
<span class="k">return</span> <span class="n">proposed_stake</span> <span class="o">/</span> <span class="bp">self</span><span class="o">.</span><span class="n">max_dca_multiplier</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">adjust_trade_position</span><span class="p">(</span><span class="bp">self</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">current_time</span><span class="p">:</span> <span class="n">datetime</span><span class="p">,</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">adjust_trade_position</span><span class="p">(</span><span class="bp">self</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">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">min_stake</span><span class="p">:</span> <span class="nb">float</span> <span class="o">|</span> <span class="kc">None</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="n">current_entry_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">current_exit_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
||||
@@ -3103,11 +3103,11 @@ Entry Orders that are cancelled via the above methods will not have this callbac
|
||||
</div>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># ... populate_* methods</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">adjust_entry_price</span><span class="p">(</span><span class="bp">self</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</span><span class="p">:</span> <span class="n">Order</span> <span class="o">|</span> <span class="kc">None</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="k">def</span><span class="w"> </span><span class="nf">adjust_entry_price</span><span class="p">(</span><span class="bp">self</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</span><span class="p">:</span> <span class="n">Order</span> <span class="o">|</span> <span class="kc">None</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="n">current_order_rate</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span>
|
||||
<span class="n">entry_tag</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="kc">None</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 class="w"> </span><span class="sd">"""</span>
|
||||
@@ -3156,8 +3156,8 @@ Entry Orders that are cancelled via the above methods will not have this callbac
|
||||
For markets / exchanges that don't support leverage, this method is ignored.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">leverage</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="k">class</span><span class="w"> </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="w"> </span><span class="nf">leverage</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_leverage</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">max_leverage</span><span class="p">:</span> <span class="nb">float</span><span class="p">,</span> <span class="n">entry_tag</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="kc">None</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 class="w"> </span><span class="sd">"""</span>
|
||||
@@ -3182,8 +3182,8 @@ It will be called independent of the order type (entry, exit, stoploss or positi
|
||||
<p>Assuming that your strategy needs to store the high value of the candle at trade entry, this is possible with this callback as the following example show.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Default imports</span>
|
||||
|
||||
<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">order_filled</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</span><span class="p">:</span> <span class="n">Order</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="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="k">class</span><span class="w"> </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="w"> </span><span class="nf">order_filled</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</span><span class="p">:</span> <span class="n">Order</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="o">**</span><span class="n">kwargs</span><span class="p">)</span> <span class="o">-></span> <span class="kc">None</span><span class="p">:</span>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Called right after an order fills. </span>
|
||||
<span class="sd"> Will be called for all order types (entry, exit, stoploss, position adjustment).</span>
|
||||
|
||||
@@ -2722,7 +2722,7 @@ delay as possible, usually by running a low number of pairs and having a CPU wit
|
||||
<p>You should only add the indicators used in either <code>populate_entry_trend()</code>, <code>populate_exit_trend()</code>, or to populate another indicator, otherwise performance may suffer.</p>
|
||||
<p>It's important to always return the dataframe from these three functions without removing/modifying the columns <code>"open", "high", "low", "close", "volume"</code>, otherwise these fields would contain something unexpected.</p>
|
||||
<p>Sample:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span> <span class="nf">populate_indicators</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Adds several different TA indicators to the given DataFrame</span>
|
||||
|
||||
@@ -2812,7 +2812,7 @@ This is capped to 5 total calls to avoid overloading the exchange, or make freqt
|
||||
<p>This method will also define a new column, <code>"enter_long"</code> (<code>"enter_short"</code> for shorts), which needs to contain <code>1</code> for entries, and <code>0</code> for "no action". <code>enter_long</code> is a mandatory column that must be set even if the strategy is shorting only.</p>
|
||||
<p>You can name your entry signals by using the <code>"enter_tag"</code> column, which can help debug and assess your strategy later. </p>
|
||||
<p>Sample from <code>user_data/strategies/sample_strategy.py</code>:</p>
|
||||
<div class="highlight"><pre><span></span><code><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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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>
|
||||
<span class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Based on TA indicators, populates the buy signal for the given dataframe</span>
|
||||
<span class="sd"> :param dataframe: DataFrame populated with indicators</span>
|
||||
@@ -2839,7 +2839,7 @@ Also, make sure you set <a href="#can-short"><code>can_short</code></a> appropri
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># allow both long and short trades</span>
|
||||
<span class="n">can_short</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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>
|
||||
<span class="k">def</span><span class="w"> </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>
|
||||
<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">30</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Signal: RSI crosses above 30</span>
|
||||
@@ -2873,7 +2873,7 @@ Also, make sure you set <a href="#can-short"><code>can_short</code></a> appropri
|
||||
<p>This method will also define a new column, <code>"exit_long"</code> (<code>"exit_short"</code> for shorts), which needs to contain <code>1</code> for exits, and <code>0</code> for "no action".</p>
|
||||
<p>You can name your exit signals by using the <code>"exit_tag"</code> column, which can help debug and assess your strategy later.</p>
|
||||
<p>Sample from <code>user_data/strategies/sample_strategy.py</code>:</p>
|
||||
<div class="highlight"><pre><span></span><code><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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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 class="w"> </span><span class="sd">"""</span>
|
||||
<span class="sd"> Based on TA indicators, populates the exit signal for the given dataframe</span>
|
||||
<span class="sd"> :param dataframe: DataFrame populated with indicators</span>
|
||||
@@ -2899,7 +2899,7 @@ Also, make sure you set <a href="#can-short"><code>can_short</code></a> appropri
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># allow both long and short trades</span>
|
||||
<span class="n">can_short</span> <span class="o">=</span> <span class="kc">True</span>
|
||||
|
||||
<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 class="k">def</span><span class="w"> </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 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>
|
||||
@@ -2944,9 +2944,9 @@ Also, make sure you set <a href="#can-short"><code>can_short</code></a> appropri
|
||||
<h4 id="using-calculations-in-minimal-roi">Using calculations in minimal ROI<a class="headerlink" href="#using-calculations-in-minimal-roi" title="Permanent link">¶</a></h4>
|
||||
<p>To use times based on candle duration (timeframe), the following snippet can be handy.</p>
|
||||
<p>This will allow you to change the timeframe for the strategy, but the minimal ROI times will still be set as candles, e.g. after 3 candles.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.exchange</span> <span class="kn">import</span> <span class="n">timeframe_to_minutes</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.exchange</span><span class="w"> </span><span class="kn">import</span> <span class="n">timeframe_to_minutes</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s2">"1d"</span>
|
||||
<span class="n">timeframe_mins</span> <span class="o">=</span> <span class="n">timeframe_to_minutes</span><span class="p">(</span><span class="n">timeframe</span><span class="p">)</span>
|
||||
@@ -2990,13 +2990,13 @@ Obviously you can add more imports as needed for your strategy.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># flake8: noqa: F401</span>
|
||||
<span class="c1"># isort: skip_file</span>
|
||||
<span class="c1"># --- Do not remove these imports ---</span>
|
||||
<span class="kn">import</span> <span class="nn">numpy</span> <span class="k">as</span> <span class="nn">np</span>
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span> <span class="nn">typing</span> <span class="kn">import</span> <span class="n">Dict</span><span class="p">,</span> <span class="n">Optional</span><span class="p">,</span> <span class="n">Union</span><span class="p">,</span> <span class="n">Tuple</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">numpy</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">np</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">pd</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">typing</span><span class="w"> </span><span class="kn">import</span> <span class="n">Dict</span><span class="p">,</span> <span class="n">Optional</span><span class="p">,</span> <span class="n">Union</span><span class="p">,</span> <span class="n">Tuple</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="p">(</span>
|
||||
<span class="n">IStrategy</span><span class="p">,</span>
|
||||
<span class="n">Trade</span><span class="p">,</span>
|
||||
<span class="n">Order</span><span class="p">,</span>
|
||||
@@ -3020,8 +3020,8 @@ Obviously you can add more imports as needed for your strategy.</p>
|
||||
|
||||
<span class="c1"># --------------------------------</span>
|
||||
<span class="c1"># Add your lib to import here</span>
|
||||
<span class="kn">import</span> <span class="nn">talib.abstract</span> <span class="k">as</span> <span class="nn">ta</span>
|
||||
<span class="kn">from</span> <span class="nn">technical</span> <span class="kn">import</span> <span class="n">qtpylib</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">talib.abstract</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ta</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">technical</span><span class="w"> </span><span class="kn">import</span> <span class="n">qtpylib</span>
|
||||
</code></pre></div>
|
||||
<h2 id="strategy-file-loading">Strategy file loading<a class="headerlink" href="#strategy-file-loading" title="Permanent link">¶</a></h2>
|
||||
<p>By default, freqtrade will attempt to load strategies from all <code>.py</code> files within the <code>userdir</code> (default <code>user_data/strategies</code>).</p>
|
||||
@@ -3042,7 +3042,7 @@ It will also include a "status" field, highlighting potential problems.</p>
|
||||
<p>These pairs will <strong>not</strong> be traded unless they are also specified in the pair whitelist, or have been selected by Dynamic Whitelisting, e.g. <code>VolumePairlist</code>.</p>
|
||||
<p>The pairs need to be specified as tuples in the format <code>("pair", "timeframe")</code>, with pair as the first and timeframe as the second argument.</p>
|
||||
<p>Sample:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span> <span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </span><span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[(</span><span class="s2">"ETH/USDT"</span><span class="p">,</span> <span class="s2">"5m"</span><span class="p">),</span>
|
||||
<span class="p">(</span><span class="s2">"BTC/TUSD"</span><span class="p">,</span> <span class="s2">"15m"</span><span class="p">),</span>
|
||||
<span class="p">]</span>
|
||||
@@ -3061,7 +3061,7 @@ to avoid hammering the exchange with too many requests and risk being blocked.</
|
||||
Availability of alternative candle-types will depend on the trading-mode and the exchange.
|
||||
In general, spot pairs cannot be used in futures markets, and futures candles can't be used as informative pairs for spot bots.
|
||||
Details about this may vary, if they do, this can be found in the exchange documentation.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span> <span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </span><span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">return</span> <span class="p">[</span>
|
||||
<span class="p">(</span><span class="s2">"ETH/USDT"</span><span class="p">,</span> <span class="s2">"5m"</span><span class="p">,</span> <span class="s2">""</span><span class="p">),</span> <span class="c1"># Uses default candletype, depends on trading_mode (recommended)</span>
|
||||
<span class="p">(</span><span class="s2">"ETH/USDT"</span><span class="p">,</span> <span class="s2">"5m"</span><span class="p">,</span> <span class="s2">"spot"</span><span class="p">),</span> <span class="c1"># Forces usage of spot candles (only valid for bots running on spot markets).</span>
|
||||
@@ -3081,7 +3081,7 @@ and do not have access to data from other informative pairs. However, all inform
|
||||
<p>When hyperopting, use of the hyperoptable parameter <code>.value</code> attribute is not supported. Please use the <code>.range</code> attribute. See <a href="../hyperopt/#optimizing-an-indicator-parameter">optimizing an indicator parameter</a> for more information.</p>
|
||||
<details class="info">
|
||||
<summary>Full documentation</summary>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span> <span class="nf">informative</span><span class="p">(</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </span><span class="nf">informative</span><span class="p">(</span>
|
||||
<span class="n">timeframe</span><span class="p">:</span> <span class="nb">str</span><span class="p">,</span>
|
||||
<span class="n">asset</span><span class="p">:</span> <span class="nb">str</span> <span class="o">=</span> <span class="s2">""</span><span class="p">,</span>
|
||||
<span class="n">fmt</span><span class="p">:</span> <span class="nb">str</span> <span class="o">|</span> <span class="n">Callable</span><span class="p">[[</span><span class="n">Any</span><span class="p">],</span> <span class="nb">str</span><span class="p">]</span> <span class="o">|</span> <span class="kc">None</span> <span class="o">=</span> <span class="kc">None</span><span class="p">,</span>
|
||||
@@ -3124,11 +3124,11 @@ and do not have access to data from other informative pairs. However, all inform
|
||||
<details class="example">
|
||||
<summary>Fast and easy way to define informative pairs</summary>
|
||||
<p>Most of the time we do not need power and flexibility offered by <code>merge_informative_pair()</code>, therefore we can use a decorator to quickly define informative pairs.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">datetime</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="n">IStrategy</span><span class="p">,</span> <span class="n">informative</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">datetime</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="n">IStrategy</span><span class="p">,</span> <span class="n">informative</span>
|
||||
|
||||
<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">class</span><span class="w"> </span><span class="nc">AwesomeStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># This method is not required. </span>
|
||||
<span class="c1"># def informative_pairs(self): ...</span>
|
||||
@@ -3137,7 +3137,7 @@ and do not have access to data from other informative pairs. However, all inform
|
||||
<span class="c1"># method. Available in populate_indicators as 'rsi_30m' and 'rsi_1h'.</span>
|
||||
<span class="nd">@informative</span><span class="p">(</span><span class="s1">'30m'</span><span class="p">)</span>
|
||||
<span class="nd">@informative</span><span class="p">(</span><span class="s1">'1h'</span><span class="p">)</span>
|
||||
<span class="k">def</span> <span class="nf">populate_indicators_1h</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators_1h</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 class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</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="mi">14</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
@@ -3146,14 +3146,14 @@ and do not have access to data from other informative pairs. However, all inform
|
||||
<span class="c1"># instead of hard-coding actual stake currency. Available in populate_indicators and other </span>
|
||||
<span class="c1"># methods as 'btc_usdt_rsi_1h' (when stake currency is USDT).</span>
|
||||
<span class="nd">@informative</span><span class="p">(</span><span class="s1">'1h'</span><span class="p">,</span> <span class="s1">'BTC/</span><span class="si">{stake}</span><span class="s1">'</span><span class="p">)</span>
|
||||
<span class="k">def</span> <span class="nf">populate_indicators_btc_1h</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators_btc_1h</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 class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</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="mi">14</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<span class="c1"># Define BTC/ETH informative pair. You must specify quote currency if it is different from</span>
|
||||
<span class="c1"># stake currency. Available in populate_indicators and other methods as 'eth_btc_rsi_1h'.</span>
|
||||
<span class="nd">@informative</span><span class="p">(</span><span class="s1">'1h'</span><span class="p">,</span> <span class="s1">'ETH/BTC'</span><span class="p">)</span>
|
||||
<span class="k">def</span> <span class="nf">populate_indicators_eth_btc_1h</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators_eth_btc_1h</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 class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</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="mi">14</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
@@ -3161,11 +3161,11 @@ and do not have access to data from other informative pairs. However, all inform
|
||||
<span class="c1"># column names. A callable `fmt(**kwargs) -> str` may be specified, to implement custom</span>
|
||||
<span class="c1"># formatting. Available in populate_indicators and other methods as 'rsi_upper_1h'.</span>
|
||||
<span class="nd">@informative</span><span class="p">(</span><span class="s1">'1h'</span><span class="p">,</span> <span class="s1">'BTC/</span><span class="si">{stake}</span><span class="s1">'</span><span class="p">,</span> <span class="s1">'</span><span class="si">{column}</span><span class="s1">_</span><span class="si">{timeframe}</span><span class="s1">'</span><span class="p">)</span>
|
||||
<span class="k">def</span> <span class="nf">populate_indicators_btc_1h_2</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators_btc_1h_2</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 class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi_upper'</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="mi">14</span><span class="p">)</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="c1"># Strategy timeframe indicators for current pair.</span>
|
||||
<span class="n">dataframe</span><span class="p">[</span><span class="s1">'rsi'</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="mi">14</span><span class="p">)</span>
|
||||
<span class="c1"># Informative pairs are available in this method.</span>
|
||||
@@ -3176,7 +3176,7 @@ and do not have access to data from other informative pairs. However, all inform
|
||||
<div class="admonition note">
|
||||
<p class="admonition-title">Note</p>
|
||||
<p>Use string formatting when accessing informative dataframes of other pairs. This will allow easily changing stake currency in config without having to adjust strategy code.</p>
|
||||
<div class="highlight"><pre><span></span><code><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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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>
|
||||
<span class="n">stake</span> <span class="o">=</span> <span class="bp">self</span><span class="o">.</span><span class="n">config</span><span class="p">[</span><span class="s1">'stake_currency'</span><span class="p">]</span>
|
||||
<span class="n">dataframe</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span>
|
||||
<span class="p">(</span>
|
||||
@@ -3280,7 +3280,7 @@ It is also not available in <code>populate_entry_trend()</code> and <code>popula
|
||||
<p>Due to the limited available data, it's very difficult to resample <code>5m</code> candles into daily candles for use in a 14 day RSI. Most exchanges limit users to just 500-1000 candles which effectively gives us around 1.74 daily candles. We need 14 days at least!</p>
|
||||
<p>Since we can't resample the data we will have to use an informative pair, and since the whitelist will be dynamic we don't know which pair(s) to use! We have a problem!</p>
|
||||
<p>This is where calling <code>self.dp.current_whitelist()</code> comes in handy to retrieve only those pairs in the whitelist.</p>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span> <span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </span><span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># get access to all pairs available in whitelist.</span>
|
||||
<span class="n">pairs</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">current_whitelist</span><span class="p">()</span>
|
||||
@@ -3376,17 +3376,17 @@ Identical notifications will only be sent once per candle, unless the 2<sup>nd</
|
||||
<p>You can spam yourself pretty good by setting <code>always_send=True</code> in this method. Use this with great care and only in conditions you know will not happen throughout a candle to avoid a message every 5 seconds.</p>
|
||||
</div>
|
||||
<h3 id="complete-dataprovider-sample">Complete DataProvider sample<a class="headerlink" href="#complete-dataprovider-sample" title="Permanent link">¶</a></h3>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.strategy</span> <span class="kn">import</span> <span class="n">IStrategy</span><span class="p">,</span> <span class="n">merge_informative_pair</span>
|
||||
<span class="kn">from</span> <span class="nn">pandas</span> <span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.strategy</span><span class="w"> </span><span class="kn">import</span> <span class="n">IStrategy</span><span class="p">,</span> <span class="n">merge_informative_pair</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataFrame</span>
|
||||
|
||||
<span class="k">class</span> <span class="nc">SampleStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="k">class</span><span class="w"> </span><span class="nc">SampleStrategy</span><span class="p">(</span><span class="n">IStrategy</span><span class="p">):</span>
|
||||
<span class="c1"># strategy init stuff...</span>
|
||||
|
||||
<span class="n">timeframe</span> <span class="o">=</span> <span class="s1">'5m'</span>
|
||||
|
||||
<span class="c1"># more strategy init stuff..</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
<span class="k">def</span><span class="w"> </span><span class="nf">informative_pairs</span><span class="p">(</span><span class="bp">self</span><span class="p">):</span>
|
||||
|
||||
<span class="c1"># get access to all pairs available in whitelist.</span>
|
||||
<span class="n">pairs</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">current_whitelist</span><span class="p">()</span>
|
||||
@@ -3398,7 +3398,7 @@ Identical notifications will only be sent once per candle, unless the 2<sup>nd</
|
||||
<span class="p">]</span>
|
||||
<span class="k">return</span> <span class="n">informative_pairs</span>
|
||||
|
||||
<span class="k">def</span> <span class="nf">populate_indicators</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 class="k">def</span><span class="w"> </span><span class="nf">populate_indicators</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 class="k">if</span> <span class="ow">not</span> <span class="bp">self</span><span class="o">.</span><span class="n">dp</span><span class="p">:</span>
|
||||
<span class="c1"># Don't do anything if DataProvider is not available.</span>
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
@@ -3424,7 +3424,7 @@ Identical notifications will only be sent once per candle, unless the 2<sup>nd</
|
||||
|
||||
<span class="k">return</span> <span class="n">dataframe</span>
|
||||
|
||||
<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>
|
||||
<span class="k">def</span><span class="w"> </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>
|
||||
|
||||
<span class="n">dataframe</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span>
|
||||
<span class="p">(</span>
|
||||
@@ -3459,7 +3459,7 @@ Within <a href="../strategy-callbacks/">callbacks</a>, you'll get the wallet sta
|
||||
<h2 id="additional-data-trades">Additional data (Trades)<a class="headerlink" href="#additional-data-trades" title="Permanent link">¶</a></h2>
|
||||
<p>A history of trades can be retrieved in the strategy by querying the database.</p>
|
||||
<p>At the top of the file, import the required object:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
</code></pre></div>
|
||||
<p>The following example queries trades from today for the current pair (<code>metadata['pair']</code>). Other filters can easily be added.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="n">trades</span> <span class="o">=</span> <span class="n">Trade</span><span class="o">.</span><span class="n">get_trades_proxy</span><span class="p">(</span><span class="n">pair</span><span class="o">=</span><span class="n">metadata</span><span class="p">[</span><span class="s1">'pair'</span><span class="p">],</span>
|
||||
@@ -3494,8 +3494,8 @@ Within <a href="../strategy-callbacks/">callbacks</a>, you'll get the wallet sta
|
||||
<p>Manually locking pairs is not available during backtesting. Only locks via Protections are allowed.</p>
|
||||
</div>
|
||||
<h4 id="pair-locking-example">Pair locking example<a class="headerlink" href="#pair-locking-example" title="Permanent link">¶</a></h4>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">timedelta</span><span class="p">,</span> <span class="n">datetime</span><span class="p">,</span> <span class="n">timezone</span>
|
||||
<span class="c1"># Put the above lines a the top of the strategy file, next to all the other imports</span>
|
||||
<span class="c1"># --------</span>
|
||||
|
||||
@@ -3514,7 +3514,7 @@ Within <a href="../strategy-callbacks/">callbacks</a>, you'll get the wallet sta
|
||||
<h2 id="print-the-main-dataframe">Print the main dataframe<a class="headerlink" href="#print-the-main-dataframe" title="Permanent link">¶</a></h2>
|
||||
<p>To inspect the current main dataframe, you can issue a print-statement in either <code>populate_entry_trend()</code> or <code>populate_exit_trend()</code>.
|
||||
You may also want to print the pair so it's clear what data is currently shown.</p>
|
||||
<div class="highlight"><pre><span></span><code><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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">def</span><span class="w"> </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>
|
||||
<span class="n">dataframe</span><span class="o">.</span><span class="n">loc</span><span class="p">[</span>
|
||||
<span class="p">(</span>
|
||||
<span class="c1">#>> whatever condition<<<</span>
|
||||
|
||||
@@ -1823,8 +1823,8 @@ The following assumes you work with SampleStrategy, data for 5m timeframe from B
|
||||
Please follow the <a href="https://www.freqtrade.io/en/stable/data-download/">documentation</a> for more details.</p>
|
||||
<h2 id="setup">Setup<a class="headerlink" href="#setup" title="Permanent link">¶</a></h2>
|
||||
<h3 id="change-working-directory-to-repository-root">Change Working directory to repository root<a class="headerlink" href="#change-working-directory-to-repository-root" title="Permanent link">¶</a></h3>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">os</span>
|
||||
<span class="kn">from</span> <span class="nn">pathlib</span> <span class="kn">import</span> <span class="n">Path</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">os</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">pathlib</span><span class="w"> </span><span class="kn">import</span> <span class="n">Path</span>
|
||||
|
||||
|
||||
<span class="c1"># Change directory</span>
|
||||
@@ -1845,7 +1845,7 @@ Please follow the <a href="https://www.freqtrade.io/en/stable/data-download/">do
|
||||
<span class="nb">print</span><span class="p">(</span><span class="n">Path</span><span class="o">.</span><span class="n">cwd</span><span class="p">())</span>
|
||||
</code></pre></div>
|
||||
<h3 id="configure-freqtrade-environment">Configure Freqtrade environment<a class="headerlink" href="#configure-freqtrade-environment" title="Permanent link">¶</a></h3>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.configuration</span> <span class="kn">import</span> <span class="n">Configuration</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.configuration</span><span class="w"> </span><span class="kn">import</span> <span class="n">Configuration</span>
|
||||
|
||||
|
||||
<span class="c1"># Customize these according to your needs.</span>
|
||||
@@ -1865,8 +1865,8 @@ Please follow the <a href="https://www.freqtrade.io/en/stable/data-download/">do
|
||||
<span class="n">pair</span> <span class="o">=</span> <span class="s2">"BTC/USDT"</span>
|
||||
</code></pre></div>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Load data using values set above</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.data.history</span> <span class="kn">import</span> <span class="n">load_pair_history</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.enums</span> <span class="kn">import</span> <span class="n">CandleType</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.data.history</span><span class="w"> </span><span class="kn">import</span> <span class="n">load_pair_history</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.enums</span><span class="w"> </span><span class="kn">import</span> <span class="n">CandleType</span>
|
||||
|
||||
|
||||
<span class="n">candles</span> <span class="o">=</span> <span class="n">load_pair_history</span><span class="p">(</span>
|
||||
@@ -1886,8 +1886,8 @@ Please follow the <a href="https://www.freqtrade.io/en/stable/data-download/">do
|
||||
<li>Rerun each time the strategy file is changed</li>
|
||||
</ul>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Load strategy using values set above</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.data.dataprovider</span> <span class="kn">import</span> <span class="n">DataProvider</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.resolvers</span> <span class="kn">import</span> <span class="n">StrategyResolver</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.data.dataprovider</span><span class="w"> </span><span class="kn">import</span> <span class="n">DataProvider</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.resolvers</span><span class="w"> </span><span class="kn">import</span> <span class="n">StrategyResolver</span>
|
||||
|
||||
|
||||
<span class="n">strategy</span> <span class="o">=</span> <span class="n">StrategyResolver</span><span class="o">.</span><span class="n">load_strategy</span><span class="p">(</span><span class="n">config</span><span class="p">)</span>
|
||||
@@ -1918,7 +1918,7 @@ Please follow the <a href="https://www.freqtrade.io/en/stable/data-download/">do
|
||||
They will allow you to drill deeper into your results, and perform analysis which otherwise would make the output very difficult to digest due to information overload.</p>
|
||||
<h3 id="load-backtest-results-to-pandas-dataframe">Load backtest results to pandas dataframe<a class="headerlink" href="#load-backtest-results-to-pandas-dataframe" title="Permanent link">¶</a></h3>
|
||||
<p>Analyze a trades dataframe (also used below for plotting)</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">load_backtest_data</span><span class="p">,</span> <span class="n">load_backtest_stats</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.data.btanalysis</span><span class="w"> </span><span class="kn">import</span> <span class="n">load_backtest_data</span><span class="p">,</span> <span class="n">load_backtest_stats</span>
|
||||
|
||||
|
||||
<span class="c1"># if backtest_dir points to a directory, it'll automatically load the last backtest file.</span>
|
||||
@@ -1960,11 +1960,11 @@ They will allow you to drill deeper into your results, and perform analysis whic
|
||||
<h2 id="plotting-daily-profit-equity-line">Plotting daily profit / equity line<a class="headerlink" href="#plotting-daily-profit-equity-line" title="Permanent link">¶</a></h2>
|
||||
<div class="highlight"><pre><span></span><code><span class="c1"># Plotting equity line (starting with 0 on day 1 and adding daily profit for each backtested day)</span>
|
||||
|
||||
<span class="kn">import</span> <span class="nn">pandas</span> <span class="k">as</span> <span class="nn">pd</span>
|
||||
<span class="kn">import</span> <span class="nn">plotly.express</span> <span class="k">as</span> <span class="nn">px</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">pandas</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">pd</span>
|
||||
<span class="kn">import</span><span class="w"> </span><span class="nn">plotly.express</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">px</span>
|
||||
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.configuration</span> <span class="kn">import</span> <span class="n">Configuration</span>
|
||||
<span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">load_backtest_stats</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.configuration</span><span class="w"> </span><span class="kn">import</span> <span class="n">Configuration</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.data.btanalysis</span><span class="w"> </span><span class="kn">import</span> <span class="n">load_backtest_stats</span>
|
||||
|
||||
|
||||
<span class="c1"># strategy = 'SampleStrategy'</span>
|
||||
@@ -1982,7 +1982,7 @@ They will allow you to drill deeper into your results, and perform analysis whic
|
||||
</code></pre></div>
|
||||
<h3 id="load-live-trading-results-into-a-pandas-dataframe">Load live trading results into a pandas dataframe<a class="headerlink" href="#load-live-trading-results-into-a-pandas-dataframe" title="Permanent link">¶</a></h3>
|
||||
<p>In case you did already some trading and want to analyze your performance</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">load_trades_from_db</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.data.btanalysis</span><span class="w"> </span><span class="kn">import</span> <span class="n">load_trades_from_db</span>
|
||||
|
||||
|
||||
<span class="c1"># Fetch trades from database</span>
|
||||
@@ -1994,7 +1994,7 @@ They will allow you to drill deeper into your results, and perform analysis whic
|
||||
<h2 id="analyze-the-loaded-trades-for-trade-parallelism">Analyze the loaded trades for trade parallelism<a class="headerlink" href="#analyze-the-loaded-trades-for-trade-parallelism" title="Permanent link">¶</a></h2>
|
||||
<p>This can be useful to find the best <code>max_open_trades</code> parameter, when used with backtesting in conjunction with a very high <code>max_open_trades</code> setting.</p>
|
||||
<p><code>analyze_trade_parallelism()</code> returns a timeseries dataframe with an "open_trades" column, specifying the number of open trades for each candle.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.data.btanalysis</span> <span class="kn">import</span> <span class="n">analyze_trade_parallelism</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.data.btanalysis</span><span class="w"> </span><span class="kn">import</span> <span class="n">analyze_trade_parallelism</span>
|
||||
|
||||
|
||||
<span class="c1"># Analyze the above</span>
|
||||
@@ -2004,7 +2004,7 @@ They will allow you to drill deeper into your results, and perform analysis whic
|
||||
</code></pre></div>
|
||||
<h2 id="plot-results">Plot results<a class="headerlink" href="#plot-results" title="Permanent link">¶</a></h2>
|
||||
<p>Freqtrade offers interactive plotting capabilities based on plotly.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.plot.plotting</span> <span class="kn">import</span> <span class="n">generate_candlestick_graph</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.plot.plotting</span><span class="w"> </span><span class="kn">import</span> <span class="n">generate_candlestick_graph</span>
|
||||
|
||||
|
||||
<span class="c1"># Limit graph period to keep plotly quick and reactive</span>
|
||||
@@ -2029,7 +2029,7 @@ They will allow you to drill deeper into your results, and perform analysis whic
|
||||
<span class="n">graph</span><span class="o">.</span><span class="n">show</span><span class="p">(</span><span class="n">renderer</span><span class="o">=</span><span class="s2">"browser"</span><span class="p">)</span>
|
||||
</code></pre></div>
|
||||
<h2 id="plot-average-profit-per-trade-as-distribution-graph">Plot average profit per trade as distribution graph<a class="headerlink" href="#plot-average-profit-per-trade-as-distribution-graph" title="Permanent link">¶</a></h2>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span> <span class="nn">plotly.figure_factory</span> <span class="k">as</span> <span class="nn">ff</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">import</span><span class="w"> </span><span class="nn">plotly.figure_factory</span><span class="w"> </span><span class="k">as</span><span class="w"> </span><span class="nn">ff</span>
|
||||
|
||||
|
||||
<span class="n">hist_data</span> <span class="o">=</span> <span class="p">[</span><span class="n">trades</span><span class="o">.</span><span class="n">profit_ratio</span><span class="p">]</span>
|
||||
|
||||
@@ -2117,7 +2117,7 @@ If you intend on using markets other than spot markets, please migrate your stra
|
||||
<h2 id="extensive-explanation">Extensive explanation<a class="headerlink" href="#extensive-explanation" title="Permanent link">¶</a></h2>
|
||||
<h3 id="populate_buy_trend"><code>populate_buy_trend</code><a class="headerlink" href="#populate_buy_trend" title="Permanent link">¶</a></h3>
|
||||
<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>
|
||||
<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>
|
||||
<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span><span class="w"> </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>
|
||||
</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">30</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Signal: RSI crosses above 30</span>
|
||||
@@ -2130,7 +2130,7 @@ If you intend on using markets other than spot markets, please migrate your stra
|
||||
<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_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>
|
||||
<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span><span class="w"> </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>
|
||||
</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">30</span><span class="p">))</span> <span class="o">&</span> <span class="c1"># Signal: RSI crosses above 30</span>
|
||||
@@ -2146,7 +2146,7 @@ If you intend on using markets other than spot markets, please migrate your stra
|
||||
<h3 id="populate_sell_trend"><code>populate_sell_trend</code><a class="headerlink" href="#populate_sell_trend" title="Permanent link">¶</a></h3>
|
||||
<p>Similar to <code>populate_buy_trend</code>, <code>populate_sell_trend()</code> will be renamed to <code>populate_exit_trend()</code>.
|
||||
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>
|
||||
<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span><span class="w"> </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>
|
||||
</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>
|
||||
@@ -2158,7 +2158,7 @@ We'll also change the column from <code>'sell'</code> to <code>'exit_long'</code
|
||||
</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="hll"><span class="k">def</span><span class="w"> </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>
|
||||
@@ -2173,15 +2173,15 @@ We'll also change the column from <code>'sell'</code> to <code>'exit_long'</code
|
||||
<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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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>
|
||||
@@ -2189,35 +2189,35 @@ It's now also being called for every iteration, independent of current profit an
|
||||
</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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 class="hll"> <span class="k">def</span><span class="w"> </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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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 class="hll"> <span class="k">def</span><span class="w"> </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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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="nb">float</span> <span class="o">|</span> <span class="kc">None</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="nb">str</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
@@ -2225,15 +2225,15 @@ It's now also being called for every iteration, independent of current profit an
|
||||
</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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="nb">str</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
@@ -2241,29 +2241,29 @@ It's now also being called for every iteration, independent of current profit an
|
||||
<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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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">Trade</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
<div class="highlight"><pre><span></span><code><span class="k">class</span><span class="w"> </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="w"> </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">Trade</span> <span class="o">|</span> <span class="kc">None</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="nb">str</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
@@ -2272,7 +2272,7 @@ For compatibility, <code>sell_reason</code> will still be provided for a limited
|
||||
<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>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </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>
|
||||
@@ -2283,7 +2283,7 @@ This should be given the value of <code>trade.is_short</code>.</p>
|
||||
<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>
|
||||
<div class="highlight"><pre><span></span><code> <span class="k">def</span><span class="w"> </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="nb">float</span> <span class="o">|</span> <span class="kc">None</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>
|
||||
@@ -2496,7 +2496,7 @@ As such, the definition of features becomes much simpler with the new logic.</p>
|
||||
<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="normal">77</span></pre></div></td><td class="code"><div><pre><span></span><code><span class="k">def</span><span class="w"> </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>
|
||||
|
||||
@@ -2633,7 +2633,7 @@ As such, the definition of features becomes much simpler with the new logic.</p>
|
||||
<span class="normal">49</span>
|
||||
<span class="normal">50</span>
|
||||
<span class="normal">51</span>
|
||||
<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>
|
||||
<span class="normal">52</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span><span class="w"> </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>
|
||||
<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>
|
||||
@@ -2717,7 +2717,7 @@ As such, the definition of features becomes much simpler with the new logic.</p>
|
||||
<span class="normal">27</span>
|
||||
<span class="normal">28</span>
|
||||
<span class="normal">29</span>
|
||||
<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="normal">30</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span><span class="w"> </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>
|
||||
@@ -2772,7 +2772,7 @@ As such, the definition of features becomes much simpler with the new logic.</p>
|
||||
<span class="normal">21</span>
|
||||
<span class="normal">22</span>
|
||||
<span class="normal">23</span>
|
||||
<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="normal">24</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span><span class="w"> </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>
|
||||
@@ -2821,7 +2821,7 @@ As such, the definition of features becomes much simpler with the new logic.</p>
|
||||
<span class="normal">20</span>
|
||||
<span class="normal">21</span>
|
||||
<span class="normal">22</span>
|
||||
<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="normal">23</span></pre></div></td><td class="code"><div><pre><span></span><code> <span class="k">def</span><span class="w"> </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>
|
||||
@@ -2915,11 +2915,11 @@ As such, the definition of features becomes much simpler with the new logic.</p>
|
||||
<span class="normal">65</span>
|
||||
<span class="normal">66</span>
|
||||
<span class="normal">67</span>
|
||||
<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="normal">68</span></pre></div></td><td class="code"><div><pre><span></span><code><span class="k">class</span><span class="w"> </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="k">def</span><span class="w"> </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>
|
||||
|
||||
@@ -2955,7 +2955,7 @@ As such, the definition of features becomes much simpler with the new logic.</p>
|
||||
|
||||
<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="k">def</span><span class="w"> </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="nb">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>
|
||||
|
||||
|
||||
@@ -1896,8 +1896,8 @@ During backtesting, it's limited to usage in <a href="../strategy-callbacks/">st
|
||||
<h3 id="get_trades_proxy">get_trades_proxy<a class="headerlink" href="#get_trades_proxy" title="Permanent link">¶</a></h3>
|
||||
<p>When your strategy needs some information on existing (open or close) trades - it's best to use <code>Trade.get_trades_proxy()</code>.</p>
|
||||
<p>Usage:</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span> <span class="nn">datetime</span> <span class="kn">import</span> <span class="n">timedelta</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="kn">from</span><span class="w"> </span><span class="nn">datetime</span><span class="w"> </span><span class="kn">import</span> <span class="n">timedelta</span>
|
||||
|
||||
<span class="c1"># ...</span>
|
||||
<span class="n">trade_hist</span> <span class="o">=</span> <span class="n">Trade</span><span class="o">.</span><span class="n">get_trades_proxy</span><span class="p">(</span><span class="n">pair</span><span class="o">=</span><span class="s1">'ETH/USDT'</span><span class="p">,</span> <span class="n">is_open</span><span class="o">=</span><span class="kc">False</span><span class="p">,</span> <span class="n">open_date</span><span class="o">=</span><span class="n">current_date</span> <span class="o">-</span> <span class="n">timedelta</span><span class="p">(</span><span class="n">days</span><span class="o">=</span><span class="mi">2</span><span class="p">))</span>
|
||||
@@ -1911,28 +1911,28 @@ During backtesting, it's limited to usage in <a href="../strategy-callbacks/">st
|
||||
</ul>
|
||||
<h3 id="get_open_trade_count">get_open_trade_count<a class="headerlink" href="#get_open_trade_count" title="Permanent link">¶</a></h3>
|
||||
<p>Get the number of currently open trades</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
<span class="c1"># ...</span>
|
||||
<span class="n">open_trades</span> <span class="o">=</span> <span class="n">Trade</span><span class="o">.</span><span class="n">get_open_trade_count</span><span class="p">()</span>
|
||||
</code></pre></div>
|
||||
<h3 id="get_total_closed_profit">get_total_closed_profit<a class="headerlink" href="#get_total_closed_profit" title="Permanent link">¶</a></h3>
|
||||
<p>Retrieve the total profit the bot has generated so far.
|
||||
Aggregates <code>close_profit_abs</code> for all closed trades.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
|
||||
<span class="c1"># ...</span>
|
||||
<span class="n">profit</span> <span class="o">=</span> <span class="n">Trade</span><span class="o">.</span><span class="n">get_total_closed_profit</span><span class="p">()</span>
|
||||
</code></pre></div>
|
||||
<h3 id="total_open_trades_stakes">total_open_trades_stakes<a class="headerlink" href="#total_open_trades_stakes" title="Permanent link">¶</a></h3>
|
||||
<p>Retrieve the total stake_amount that's currently in trades.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
|
||||
<span class="c1"># ...</span>
|
||||
<span class="n">profit</span> <span class="o">=</span> <span class="n">Trade</span><span class="o">.</span><span class="n">total_open_trades_stakes</span><span class="p">()</span>
|
||||
</code></pre></div>
|
||||
<h3 id="get_overall_performance">get_overall_performance<a class="headerlink" href="#get_overall_performance" title="Permanent link">¶</a></h3>
|
||||
<p>Retrieve the overall performance - similar to the <code>/performance</code> telegram command.</p>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span> <span class="nn">freqtrade.persistence</span> <span class="kn">import</span> <span class="n">Trade</span>
|
||||
<div class="highlight"><pre><span></span><code><span class="kn">from</span><span class="w"> </span><span class="nn">freqtrade.persistence</span><span class="w"> </span><span class="kn">import</span> <span class="n">Trade</span>
|
||||
|
||||
<span class="c1"># ...</span>
|
||||
<span class="k">if</span> <span class="bp">self</span><span class="o">.</span><span class="n">config</span><span class="p">[</span><span class="s1">'runmode'</span><span class="p">]</span><span class="o">.</span><span class="n">value</span> <span class="ow">in</span> <span class="p">(</span><span class="s1">'live'</span><span class="p">,</span> <span class="s1">'dry_run'</span><span class="p">):</span>
|
||||
|
||||
Reference in New Issue
Block a user