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BBRSITV.py
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BBRSITV.py
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# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from pandas import DataFrame
import talib.abstract as ta
import freqtrade.vendor.qtpylib.indicators as qtpylib
import numpy as np
from freqtrade.strategy import DecimalParameter, IntParameter
# --------------------------------
def EWO(dataframe, ema_length=5, ema2_length=35):
df = dataframe.copy()
ema1 = ta.EMA(df, timeperiod=ema_length)
ema2 = ta.EMA(df, timeperiod=ema2_length)
emadif = (ema1 - ema2) / df['close'] * 100
return emadif
class BBRSITV(IStrategy):
INTERFACE_VERSION = 2
# Buy hyperspace params:
buy_params = {
"ewo_high": 4.86,
"for_ma_length": 22,
"for_sigma": 1.74,
}
# Sell hyperspace params:
sell_params = {
"for_ma_length_sell": 65,
"for_sigma_sell": 1.895,
"rsi_high": 72,
}
# ROI table: # value loaded from strategy
minimal_roi = {
"0": 0.1
}
# Stoploss:
stoploss = -0.25 # value loaded from strategy
# Trailing stop:
trailing_stop = False # value loaded from strategy
trailing_stop_positive = 0.005 # value loaded from strategy
trailing_stop_positive_offset = 0.025 # value loaded from strategy
trailing_only_offset_is_reached = True # value loaded from strategy
# Sell signal
use_sell_signal = True
sell_profit_only = False
sell_profit_offset = 0.01
ignore_roi_if_buy_signal = False
process_only_new_candles = True
startup_candle_count = 30
protections = [
# {
# "method": "StoplossGuard",
# "lookback_period_candles": 12,
# "trade_limit": 1,
# "stop_duration_candles": 6,
# "only_per_pair": True
# },
# {
# "method": "StoplossGuard",
# "lookback_period_candles": 12,
# "trade_limit": 2,
# "stop_duration_candles": 6,
# "only_per_pair": False
# },
{
"method": "LowProfitPairs",
"lookback_period_candles": 60,
"trade_limit": 1,
"stop_duration": 60,
"required_profit": -0.05
},
{
"method": "MaxDrawdown",
"lookback_period_candles": 24,
"trade_limit": 1,
"stop_duration_candles": 12,
"max_allowed_drawdown": 0.14
},
]
ewo_high = DecimalParameter(0, 7.0, default=buy_params['ewo_high'], space='buy', optimize=True)
for_sigma = DecimalParameter(0, 10.0, default=buy_params['for_sigma'], space='buy', optimize=True)
for_sigma_sell = DecimalParameter(0, 10.0, default=sell_params['for_sigma_sell'], space='sell', optimize=True)
rsi_high = IntParameter(60, 100, default=sell_params['rsi_high'], space='sell', optimize=True)
for_ma_length = IntParameter(5, 80, default=buy_params['for_ma_length'], space='buy', optimize=True)
for_ma_length_sell = IntParameter(5, 80, default=sell_params['for_ma_length_sell'], space='sell', optimize=True)
# Optimal timeframe for the strategy
timeframe = '5m'
# Protection
fast_ewo = 50
slow_ewo = 200
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# //@version=3
# study(" RSI + BB (EMA) + Dispersion (2.0)", overlay=false)
#
# // Инициализация параметров
# src = input(title="Source", type=source, defval=close) // Устанавливаем тип цены для расчетов
src = 'close'
# for_rsi = input(title="RSI_period", type=integer, defval=14) // Период для RSI
for_rsi = 14
# for_ma = input(title="Basis_BB", type=integer, defval=20) // Период для MA внутри BB
# for_ma = 20
# for_mult = input(title="Stdev", type=integer, defval=2, minval=1, maxval=5) // Число стандартных отклонений для BB
for_mult = 2
# for_sigma = input(title="Dispersion", type=float, defval=0.1, minval=0.01, maxval=1) // Дисперсия вокруг MA
for_sigma = 0.1
#
# // Условия работы скрипта
# current_rsi = rsi(src, for_rsi) // Текущее положение индикатора RSI
dataframe['rsi'] = ta.RSI(dataframe[src], for_rsi)
if self.config['runmode'].value == 'hyperopt':
for for_ma in range(5, 81):
# basis = ema(current_rsi, for_ma)
dataframe[f'basis_{for_ma}'] = ta.EMA(dataframe['rsi'], for_ma)
# dev = for_mult * stdev(current_rsi, for_ma)
dataframe[f'dev_{for_ma}'] = ta.STDDEV(dataframe['rsi'], for_ma)
# upper = basis + dev
#dataframe[f'upper_{for_ma}'] = (dataframe[f'basis_{for_ma}'] + (dataframe[f'dev_{for_ma}'] * for_mult))
# lower = basis - dev
#dataframe[f'lower_{for_ma}'] = dataframe[f'basis_{for_ma}'] - (dataframe[f'dev_{for_ma}'] * for_mult)
# disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
# dataframe[f'disp_up_{for_ma}'] = dataframe[f'basis_{for_ma}'] + ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma)
# disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу)
# dataframe[f'disp_down_{for_ma}'] = dataframe[f'basis_{for_ma}'] - ((dataframe[f'upper_{for_ma}'] - dataframe[f'lower_{for_ma}']) * for_sigma)
# color_rsi = current_rsi >= disp_up ? lime : current_rsi <= disp_down ? red : #ffea00 // Текущий цвет RSI, в зависимости от его местоположения внутри BB
else:
dataframe[f'basis_{self.for_ma_length.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length.value)
dataframe[f'basis_{self.for_ma_length_sell.value}'] = ta.EMA(dataframe['rsi'], self.for_ma_length_sell.value)
# dev = for_mult * stdev(current_rsi, for_ma)
dataframe[f'dev_{self.for_ma_length.value}'] = ta.STDDEV(dataframe['rsi'], self.for_ma_length.value)
dataframe[f'dev_{self.for_ma_length_sell.value}'] = ta.STDDEV(dataframe['rsi'], self.for_ma_length_sell.value)
#
# // Дополнительные линии и заливка для областей для RSI
# h1 = hline(70, color=#d4d4d4, linestyle=dotted, linewidth=1)
h1 = 70
# h2 = hline(30, color=#d4d4d4, linestyle=dotted, linewidth=1)
h2 = 30
# fill (h1, h2, transp=95)
#
# // Алерты и условия срабатывания
# rsi_Green = crossover(current_rsi, disp_up)
# rsi_Red = crossunder(current_rsi, disp_down)
# alertcondition(condition=rsi_Green,
# title="RSI cross Above Dispersion Area",
# message="The RSI line closing crossed above the Dispersion area.")
#
# alertcondition(condition=rsi_Red,
# title="RSI cross Under Dispersion Area",
# message="The RSI line closing crossed below the Dispersion area")
#
# // Результаты и покраска
# plot(basis, color=black)
# plot(upper, color=#00fff0, linewidth=2)
# plot(lower, color=#00fff0, linewidth=2)
# s1 = plot(disp_up, color=white)
# s2 = plot(disp_down, color=white)
# fill(s1, s2, color=white, transp=80)
# plot(current_rsi, color=color_rsi, linewidth=2)
dataframe['EWO'] = EWO(dataframe, self.fast_ewo, self.slow_ewo)
return dataframe
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe.loc[
(
# upper = basis + dev
# lower = basis - dev
# disp_up = basis + ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
# disp_up = basis + ((basis + dev * for_mult) - (basis - dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
# disp_up = basis + (basis + dev * for_mult - basis + dev * for_mult)) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
# disp_up = basis + (2 * dev * for_sigma * for_mult) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (сверху)
qtpylib.crossed_below(dataframe['rsi'], (dataframe[f'basis_{self.for_ma_length.value}'] - (dataframe[f'dev_{self.for_ma_length.value}'] * self.for_sigma.value))) &
(dataframe['EWO'] > self.ewo_high.value) &
(dataframe['volume'] > 0)
),
'buy'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
dataframe.loc[
(
(
(dataframe['rsi'] > self.rsi_high.value) |
# upper = basis + dev
# lower = basis - dev
# disp_down = basis - ((upper - lower) * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу)
# disp_down = basis - ((2* dev * for_sigma) // Минимально-допустимый порог в области мувинга, который должен преодолеть RSI (снизу)
qtpylib.crossed_above(dataframe['rsi'], dataframe[f'basis_{self.for_ma_length_sell.value}'] + ((dataframe[f'dev_{self.for_ma_length_sell.value}'] * self.for_sigma_sell.value)))
) &
(dataframe['volume'] > 0)
),
'sell'] = 1
return dataframe
class BBRSITV1(BBRSITV):
"""
2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4
============================================================================= STRATEGY SUMMARY =============================================================================
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown |
|-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+-----------------------|
| Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% |
| SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% |
| BBRSITV | 309 | 1.10 | 340.17 | 3869.800 | 128.99 | 2:53:00 | 223 0 86 72.2 | 261.984 USDT 25.84% |
============================================================================================================================================================================
"""
INTERFACE_VERSION = 2
# Buy hyperspace params:
buy_params = {
"ewo_high": 4.964,
"for_ma_length": 12,
"for_sigma": 2.313,
}
# Sell hyperspace params:
sell_params = {
"for_ma_length_sell": 78,
"for_sigma_sell": 1.67,
"rsi_high": 60,
}
# ROI table: # value loaded from strategy
minimal_roi = {
"0": 0.1
}
# Stoploss:
stoploss = -0.25 # value loaded from strategy
# Trailing stop:
trailing_stop = False # value loaded from strategy
trailing_stop_positive = 0.005 # value loaded from strategy
trailing_stop_positive_offset = 0.025 # value loaded from strategy
trailing_only_offset_is_reached = True # value loaded from strategy
class BBRSITV1_SL20(BBRSITV1):
# Stoploss:
stoploss = -0.20 # value loaded from strategy
class BBRSITV1_SL18(BBRSITV1):
# Stoploss:
stoploss = -0.18 # value loaded from strategy
class BBRSITV1_SL15(BBRSITV1):
# Stoploss:
stoploss = -0.15 # value loaded from strategy
class BBRSITV1_SL12(BBRSITV1):
# Stoploss:
stoploss = -0.12 # value loaded from strategy
class BBRSITV1_SL10(BBRSITV1):
# Stoploss:
stoploss = -0.1 # value loaded from strategy
class BBRSITV1_SL08(BBRSITV1):
# Stoploss:
stoploss = -0.08 # value loaded from strategy
class BBRSITV1_SL06(BBRSITV1):
# Stoploss:
stoploss = -0.06 # value loaded from strategy
class BBRSITV2(BBRSITV):
"""
2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4
============================================================================= STRATEGY SUMMARY =============================================================================
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown |
|-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+-----------------------|
| Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% |
| SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% |
| BBRSITV | 486 | 1.11 | 537.58 | 7689.862 | 256.33 | 5:01:00 | 287 0 199 59.1 | 1279.461 USDT 75.45% |
============================================================================================================================================================================
"""
# Buy hyperspace params:
buy_params = {
"ewo_high": 4.85,
"for_ma_length": 11,
"for_sigma": 2.066,
}
# Sell hyperspace params:
sell_params = {
"for_ma_length_sell": 61,
"for_sigma_sell": 1.612,
"rsi_high": 87,
}
# ROI table: # value loaded from strategy
minimal_roi = {
"0": 0.1
}
# Stoploss:
stoploss = -0.25 # value loaded from strategy
# Trailing stop:
trailing_stop = False # value loaded from strategy
trailing_stop_positive = 0.005 # value loaded from strategy
trailing_stop_positive_offset = 0.025 # value loaded from strategy
trailing_only_offset_is_reached = True # value loaded from strategy
class BBRSITV3(BBRSITV):
"""
2021-07-01 00:00:00 -> 2021-09-28 00:00:00 | Max open trades : 4
============================================================================== STRATEGY SUMMARY =============================================================================
| Strategy | Buys | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% | Drawdown |
|-----------------------+--------+----------------+----------------+-------------------+----------------+----------------+-------------------------+------------------------|
| Elliotv8_08SL | 906 | 0.92 | 832.19 | 19770.304 | 659.01 | 0:38:00 | 717 0 189 79.1 | 2020.917 USDT 79.84% |
| SMAOffsetProtectOptV1 | 417 | 1.33 | 555.91 | 8423.809 | 280.79 | 1:44:00 | 300 0 117 71.9 | 1056.072 USDT 61.08% |
| BBRSITV | 627 | 1.14 | 715.85 | 12998.605 | 433.29 | 5:35:00 | 374 0 253 59.6 | 2294.408 USDT 100.60% |
============================================================================================================================================================================="""
INTERFACE_VERSION = 2
# Buy hyperspace params:
buy_params = {
"ewo_high": 4.86,
"for_ma_length": 22,
"for_sigma": 1.74,
}
# Sell hyperspace params:
sell_params = {
"for_ma_length_sell": 65,
"for_sigma_sell": 1.895,
"rsi_high": 72,
}
# ROI table: # value loaded from strategy
minimal_roi = {
"0": 0.1
}
# Stoploss:
stoploss = -0.25 # value loaded from strategy
# Trailing stop:
trailing_stop = True
trailing_stop_positive = 0.078
trailing_stop_positive_offset = 0.095
trailing_only_offset_is_reached = False