Update

stash86 · stash86 · commit 49797f7eba8c · 2021-08-27T06:10:05.000+09:00
diff --git a/user_data/config-backtest-busd.json b/user_data/config-backtest-busd.json
@@ -0,0 +1,212 @@
+{
+    "max_open_trades": 4,
+    "stake_currency": "BUSD",
+    "stake_amount" : "unlimited",
+    "amend_last_stake_amount ": true,
+    "tradable_balance_ratio": 0.99,
+    "fiat_display_currency": "USD",
+    "dry_run": true,
+    "dry_run_wallet": 65,
+    "cancel_open_orders_on_exit": false,
+    "unfilledtimeout": {
+        "buy": 10,
+        "sell": 30
+    },
+    "order_types": {
+        "buy": "market",
+        "sell": "market",
+        "emergencysell": "market",
+        "trailing_stop_loss": "market",
+        "stoploss": "market",
+        "stoploss_on_exchange": false,
+        "stoploss_on_exchange_interval": 60
+    },
+    "bid_strategy": {
+        "price_side": "ask",
+        "ask_last_balance": 0.0,
+        "use_order_book": false,
+        "order_book_top": 1,
+        "check_depth_of_market": {
+            "enabled": false,
+            "bids_to_ask_delta": 1
+        }
+    },
+    "ask_strategy": {
+        "price_side": "bid",
+        "use_order_book": false,
+        "order_book_min": 1,
+        "order_book_max": 1
+    },
+    "pairlists": [
+        {"method": "StaticPairList"},
+    ],
+    "exchange": {
+        "name": "binance",
+        "key": "1",
+        "secret": "2",
+        "ccxt_config": {"enableRateLimit": true},
+        "ccxt_async_config": {
+            "enableRateLimit": true,
+            "rateLimit": 200
+        },
+        "pair_whitelist": [
+            "ETH/BUSD",
+            "BTCST/BUSD",
+            "AXS/BUSD",
+            "TLM/BUSD",
+            "TVK/BUSD",
+            "DOGE/BUSD",
+            "SHIB/BUSD",
+            "XRP/BUSD",
+            "EOS/BUSD",
+            "MATIC/BUSD",
+            "SOL/BUSD",
+            "BAKE/BUSD",
+            "AUCTION/BUSD",
+            "DOT/BUSD",
+            "CAKE/BUSD",
+            "DEXE/BUSD",
+            "FRONT/BUSD",
+            "LUNA/BUSD",
+            "AUDIO/BUSD",
+            "ALICE/BUSD",
+            "DODO/BUSD",
+            "SNX/BUSD",
+            "VET/BUSD",
+            "ENJ/BUSD",
+            "SLP/BUSD",
+            "ICP/BUSD",
+            "MDX/BUSD",
+            "AAVE/BUSD",
+            "SAND/BUSD",
+            "ETC/BUSD",
+            "LINA/BUSD",
+            "DEGO/BUSD",
+            "LINK/BUSD",
+            "COMP/BUSD",
+            "UNI/BUSD",
+            "WING/BUSD",
+            "CVP/BUSD",
+            "NANO/BUSD",
+            "SXP/BUSD",
+            "FOR/BUSD",
+            "ATOM/BUSD",
+            "MANA/BUSD",
+            "RUNE/BUSD",
+            "EPS/BUSD",
+            "SUPER/BUSD",
+            "UNFI/BUSD",
+            "ONE/BUSD",
+            "ALPHA/BUSD",
+            "GHST/BUSD",
+            "EGLD/BUSD",
+            "SYS/BUSD",
+            "BCH/BUSD",
+            "PROM/BUSD",
+            "SUSHI/BUSD",
+            "XLM/BUSD",
+            "IQ/BUSD",
+            "LIT/BUSD",
+            "KSM/BUSD",
+            "GRT/BUSD",
+            "XTZ/BUSD",
+            "BAND/BUSD",
+            "CTSI/BUSD",
+            "POND/BUSD",
+            "VIDT/BUSD",
+            "IDEX/BUSD",
+            "HEGIC/BUSD",
+            "UFT/BUSD",
+            "COVER/BUSD",
+            "LPT/BUSD",
+            "XVS/BUSD",
+            "BCHA/BUSD",
+            "SC/BUSD",
+            "MASK/BUSD",
+            "KEEP/BUSD",
+            "AERGO/BUSD",
+            "FIS/BUSD",
+            "ADA/BUSD",
+            "DATA/BUSD",
+            "PERP/BUSD",
+            "SKL/BUSD",
+            "XVG/BUSD",
+            "THETA/BUSD",
+            "BZRX/BUSD",
+            "DASH/BUSD",
+            "CHZ/BUSD",
+            "SRM/BUSD",
+            "NEO/BUSD",
+            "TRX/BUSD",
+            "REEF/BUSD",
+            "ZIL/BUSD",
+            "FTM/BUSD",
+            "IOST/BUSD",
+            "JUV/BUSD",
+            "SFP/BUSD",
+            "HARD/BUSD",
+            "BTT/BUSD",
+            "ICX/BUSD",
+            "IOTA/BUSD",
+            "POLS/BUSD",
+            "BEL/BUSD",
+            "RSR/BUSD",
+            "CRV/BUSD",
+            "HBAR/BUSD",
+            "ATA/BUSD",
+            "WRX/BUSD",
+            "AVAX/BUSD",
+            "RAMP/BUSD",
+            "1INCH/BUSD",
+            "YFI/BUSD",
+            "KAVA/BUSD",
+            "ACM/BUSD",
+            "TKO/BUSD",
+            "COTI/BUSD",
+            "ALGO/BUSD",
+            "KNC/BUSD",
+            "OCEAN/BUSD",
+            "FIO/BUSD",
+            "HOT/BUSD",
+            "PHA/BUSD",
+            "WAVES/BUSD",
+            "IOTX/BUSD",
+            "AR/BUSD",
+            "HNT/BUSD",
+            "MIR/BUSD",
+            "TWT/BUSD",
+            "CTK/BUSD"
+        ],
+        "pair_blacklist": []
+    },
+    "edge": {
+        "enabled": false,
+        "process_throttle_secs": 3600,
+        "calculate_since_number_of_days": 7,
+        "allowed_risk": 0.01,
+        "stoploss_range_min": -0.01,
+        "stoploss_range_max": -0.1,
+        "stoploss_range_step": -0.01,
+        "minimum_winrate": 0.60,
+        "minimum_expectancy": 0.10,
+        "min_trade_number": 10,
+        "max_trade_duration_minute": 1440,
+        "remove_pumps": false
+    },
+    "api_server": {
+        "enabled": false,
+        "listen_ip_address": "0.0.0.0",
+        "listen_port": 8080,
+        "verbosity": "error",
+        "jwt_secret_key": "00",
+        "CORS_origins": [],
+        "username": "11",
+        "password": "22"
+    },
+    "bot_name": "freqtrade_bot",
+    "initial_state": "running",
+    "forcebuy_enable": false,
+    "internals": {
+        "process_throttle_secs": 5
+    }
+}
diff --git a/user_data/config.json b/user_data/config.json
@@ -96,6 +96,6 @@
     },
     "db_url": "sqlite:////freqtrade/user_data/tradesv3.sqlite",
     "user_data_dir" : "user_data",
-    "strategy": "SampleStrategy",
+    "strategy": "MultiMA_TSL",
     "strategy_path": "user_data/strategies"
 }
diff --git a/user_data/strategies/MultiMA_TSL.py b/user_data/strategies/MultiMA_TSL.py
@@ -8,7 +8,6 @@
 from functools import reduce
 from freqtrade.persistence import Trade
 from datetime import datetime, timedelta
-from freqtrade.exchange import timeframe_to_prev_date
 
 
 ###########################################################################################################
@@ -55,9 +54,9 @@ class MultiMA_TSL(IStrategy):
     high_offset_ema = DecimalParameter(0.99, 1.1, default=1.012, load=True, space='sell', optimize=False)
     rsi_buy_ema = IntParameter(30, 70, default=61, space='buy', optimize=False)
 
-    base_nb_candles_buy_trima = IntParameter(5, 80, default=20, load=True, space='buy', optimize=True)
-    low_offset_trima = DecimalParameter(0.9, 0.99, default=0.958, load=True, space='buy', optimize=True)
-    rsi_buy_trima = IntParameter(30, 70, default=61, space='buy', optimize=True)
+    base_nb_candles_buy_trima = IntParameter(5, 80, default=20, load=True, space='buy', optimize=False)
+    low_offset_trima = DecimalParameter(0.9, 0.99, default=0.958, load=True, space='buy', optimize=False)
+    rsi_buy_trima = IntParameter(30, 70, default=61, space='buy', optimize=False)
 
     # Protection
     ewo_low = DecimalParameter(
@@ -72,7 +71,7 @@ class MultiMA_TSL(IStrategy):
     # Trailing stoploss (not used)
     trailing_stop = False
     trailing_only_offset_is_reached = True
-    trailing_stop_positive = 0.001
+    trailing_stop_positive = 0.01
     trailing_stop_positive_offset = 0.018
 
     use_custom_stoploss = True
@@ -93,6 +92,7 @@ class MultiMA_TSL(IStrategy):
 
     # Optimal timeframe for the strategy.
     timeframe = '5m'
+    informative_timeframe = '1h'
 
     # Run "populate_indicators()" only for new candle.
     process_only_new_candles = True
@@ -118,40 +118,19 @@ def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
             return 0.02
         elif (current_profit > 0.03):
             return 0.01
-        elif (current_profit > 0.018):
+        elif (current_profit > 0.016):
             return 0.005
 
         return 0.99
 
     def get_ticker_indicator(self):
         return int(self.timeframe[:-1])
 
-    def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
-                    current_profit: float, **kwargs):
-        dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
-        buy_tag = 'empty'
-        if hasattr(trade, 'buy_tag') and trade.buy_tag is not None:
-            buy_tag = trade.buy_tag
-        else:
-            trade_open_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc)
-            buy_signal = dataframe.loc[dataframe['date'] < trade_open_date]
-            if not buy_signal.empty:
-                buy_signal_candle = buy_signal.iloc[-1]
-                buy_tag = buy_signal_candle['buy_tag'] if buy_signal_candle['buy_tag'] != '' else 'empty'
-        buy_tags = buy_tag.split()
-
-        last_candle = dataframe.iloc[-1].squeeze()
-
-        if (last_candle['close'] > (last_candle['ema_offset_sell'])) :
-            return 'sell signal (' + buy_tag +')'
-
-        return None
-
     def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str, **kwargs) -> bool:
         dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
         last_candle = dataframe.iloc[-1].squeeze()
 
-        if ((rate > last_candle['close'])) : return False
+        if (rate > (last_candle['close'] * 1)) : return False
 
         return True
 
@@ -160,7 +139,7 @@ def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: f
                            current_time: datetime, **kwargs) -> bool:
 
         current_profit = trade.calc_profit_ratio(rate)
-        if (sell_reason.startswith('sell signal (') and (current_profit > 0.018)):
+        if ((sell_reason == 'sell_signal') and (current_profit > 0.016)):
             # Reject sell signal when trailing stoplosses
             return False
         return True
@@ -172,20 +151,40 @@ def informative_pairs(self):
         informative_pairs = [(pair, '1h') for pair in pairs]
         return informative_pairs
 
+    def informative_1h_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        assert self.dp, "DataProvider is required for multiple timeframes."
+        # Get the informative pair
+        informative_1h = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe=self.informative_timeframe)
+
+        return informative_1h
+
     def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # The indicators for the 1h informative timeframe
+        # informative_1h = self.informative_1h_indicators(dataframe, metadata)
+        # dataframe = merge_informative_pair(dataframe, informative_1h, self.timeframe, self.informative_timeframe, ffill=True)
+
+        if not self.config['runmode'].value == 'hyperopt':
+            dataframe['ema_offset_buy'] = ta.EMA(dataframe, int(self.base_nb_candles_buy_ema.value)) *self.low_offset_ema.value
+            dataframe['trima_offset_buy'] = ta.TRIMA(dataframe, int(self.base_nb_candles_buy_trima.value)) *self.low_offset_trima.value
+            dataframe['ema_offset_sell'] = ta.EMA(dataframe, int(self.base_nb_candles_sell.value)) *self.high_offset_ema.value
+
         # EWO
         dataframe['ewo'] = EWO(dataframe, self.fast_ewo.value, self.slow_ewo.value)
 
         # RSI
         dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
+        dataframe['rsi_fast'] = ta.RSI(dataframe, timeperiod=4)
+        # dataframe['rsi_slow'] = ta.RSI(dataframe, timeperiod=20)
 
         return dataframe
 
     def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         conditions = []
 
-        dataframe['ema_offset_buy'] = ta.EMA(dataframe, int(self.base_nb_candles_buy_ema.value)) *self.low_offset_ema.value
-        dataframe['trima_offset_buy'] = ta.TRIMA(dataframe, int(self.base_nb_candles_buy_trima.value)) *self.low_offset_trima.value
+        if self.config['runmode'].value == 'hyperopt':
+            dataframe['ema_offset_buy'] = ta.EMA(dataframe, int(self.base_nb_candles_buy_ema.value)) *self.low_offset_ema.value
+            dataframe['trima_offset_buy'] = ta.TRIMA(dataframe, int(self.base_nb_candles_buy_trima.value)) *self.low_offset_trima.value
+            dataframe['ema_offset_sell'] = ta.EMA(dataframe, int(self.base_nb_candles_sell.value)) *self.high_offset_ema.value
 
         dataframe.loc[:, 'buy_tag'] = ''
 
@@ -220,6 +219,10 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         conditions.append(buy_offset_trima)
 
         add_check = (
+            (dataframe['rsi_fast'] < 30)
+            &
+            (dataframe['close'] < dataframe['ema_offset_sell'])
+            &
             (dataframe['volume'] > 0)
         )
         
@@ -229,10 +232,22 @@ def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
         return dataframe
 
     def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        if self.config['runmode'].value == 'hyperopt':
+            dataframe['ema_offset_sell'] = ta.EMA(dataframe, int(self.base_nb_candles_sell.value)) *self.high_offset_ema.value
+        conditions = []
 
-        dataframe['ema_offset_sell'] = ta.EMA(dataframe, int(self.base_nb_candles_sell.value)) *self.high_offset_ema.value
+        conditions.append(
+            (
+                (dataframe['close'] > dataframe['ema_offset_sell']) &
+                (dataframe['volume'] > 0)
+            )
+        )
 
-        dataframe.loc[:,'sell'] = 0
+        if conditions:
+            dataframe.loc[
+                reduce(lambda x, y: x | y, conditions),
+                'sell'
+            ]=1
 
         return dataframe
 

Original file line number	Diff line number	Diff line change
`@@ -96,6 +96,6 @@`
`96`	`96`	`},`
`97`	`97`	`"db_url": "sqlite:////freqtrade/user_data/tradesv3.sqlite",`
`98`	`98`	`"user_data_dir" : "user_data",`
`99`		`- "strategy": "SampleStrategy",`
	`99`	`+ "strategy": "MultiMA_TSL",`
`100`	`100`	`"strategy_path": "user_data/strategies"`
`101`	`101`	`}`