197 lines
8.2 KiB
Python
197 lines
8.2 KiB
Python
# --- Do not remove these libs ---
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from statistics import median
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from freqtrade.strategy import IStrategy, stoploss_from_absolute
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import sys
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import os
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# 添加父目录到系统路径
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sys.path.append(os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
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from ChanLun import ChanLun
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from ChanEnum import Chan_FX_TYPE, Chan_KLC_FX, Chan_BI_DIR, Chan_KLC_FX
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# --------------------------------
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from technical.util import resample_to_interval, resampled_merge
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import talib.abstract as ta
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from pandas import DataFrame
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import pandas as pd
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from datetime import datetime, timedelta
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from freqtrade.persistence import Trade, Order
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from typing import Optional
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import logging
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logger = logging.getLogger(__name__)
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### Now you can use logger.info('asfd') to log
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# freqtrade plot-dataframe --strategy ChanLun_BTC --datadir user_data/data/binance -c ./user_data/ChanLun_SOL_30.json --timerange=20250309-
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# freqtrade trade -c ./user_data/Chan/config/Local_Test.json --strategy EMA26_EMA52_Cross --strategy-path ./user_data/Chan/strategies
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# freqtrade backtesting -c ./user_data/Chan/config/Local_Test.json --strategy EMA26_EMA52_Cross --strategy-path ./user_data/Chan/strategies --timerange=20260304-
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# freqtrade download-data -c ./user_data/Chan/config/Local_Test.json -t 1m 5m 15m 1h 1d 1w 1M --pairs SOL/USDT:USDT --timerange=20240101-
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# freqtrade download-data -c ./user_data/Chan/config/Local_Test.json -t 1m 1h 1d 1M --pairs SOL/USDT:USDT --timerange=20170101-
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# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi --strategy EMA26_EMA52_Cross --strategy-path ./user_data/Chan/strategies -c ./user_data/Chan/config/Local_Test.json -e 200 --timerange=20250201-20250901
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# freqtrade edge -c ./user_data/Chan/config/Local_Test.json --strategy EMA26_EMA52_Cross --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901
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# freqtrade plot-dataframe -c ./user_data/Chan/config/Local_Test.json --strategy EMA26_EMA52_Cross --strategy-path ./user_data/Chan/strategies --timerange 20250721-20250901
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# sudo docker compose run --rm chanlun_btc backtesting -c ./user_data/Chan/config/EMA26_EMA52_Cross.json --strategy EMA26_EMA52_Cross --strategy-path ./user_data/Chan/strategies --timerange=20250721-
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# sudo docker compose run --rm chanlun_btc download-data -c ./user_data/Chan/config/EMA26_EMA52_Cross.json --pairs BTC/USDT:USDT -t 1m --timerange 20240101-
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# sudo docker compose run --rm chanlun_btc trade -c ./user_data/Chan/config/EMA26_EMA52_Cross.json --strategy EMA26_EMA52_Cross --strategy-path ./user_data/Chan/strategies
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class EMA_Cross(IStrategy):
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INTERFACE_VERSION: int = 3
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# Minimal ROI designed for the strategy.
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# This attribute will be overridden if the config file contains "minimal_roi"
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# 30m and 1h
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minimal_roi = {
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"0": 0.05,
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"50": 0.025,
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"120": 0.015,
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"180": 0.01,
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"240": 0
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}
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# 5m and 15m
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minimal_roi_1 = {
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"0": 0.1,
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"60": 0.05,
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"120": 0.02,
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"240": 0
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}
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# 15m and 30m
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minimal_roi_1 = {
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"0": 0.1,
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"240": 0.05,
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"480": 0.03,
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"600": 0
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}
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minimal_roi_1 = {
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"0": 1.50,
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"120": 0.05,
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"240": 0.025,
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"360": 0
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}
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can_short = True
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lev = 1.0
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stoploss = -0.1 # 设置为很大的负值，让custom_stoploss来控制
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use_custom_stoploss = False # 启用自定义止损
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startup_candle_count = 1600
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trailing_stop = False
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trailing_stop_positive = 0.03
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trailing_stop_positive_offset = 0.06
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trailing_only_offset_is_reached = False
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price_offset = 0.01
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df_dict = {}
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tf_list = [2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 30]
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time = 30
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startup_candle_count: int = 1100
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe = self.merge_df_dict(dataframe)
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return dataframe
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def merge_df_dict(self, dataframe):
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df_dict = self.init_df_dict(dataframe)
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for tf in df_dict.keys():
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dataframe = resampled_merge(dataframe, df_dict[tf])
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return dataframe
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def init_df_dict(self, dataframe):
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df_dict = {}
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if len(dataframe) > 1000:
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for tf in self.tf_list:
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df_dict[tf] = resample_to_interval(dataframe, self.get_ticker_indicator() * tf)
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df_dict[tf] = self.add_indicators(df_dict[tf])
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return df_dict
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def add_indicators(self, dataframe):
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dataframe['ema5'] = ta.EMA(dataframe, timeperiod=5)
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dataframe['ema13'] = ta.EMA(dataframe, timeperiod=26)
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dataframe['ema26'] = ta.EMA(dataframe, timeperiod=26)
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dataframe['ema52'] = ta.EMA(dataframe, timeperiod=52)
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# 上穿：本根 26 > 52，上一根 26 ≤ 52
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dataframe['ema26_cross_up_52'] = (
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(dataframe['ema26'] > dataframe['ema52']) &
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(dataframe['ema26'].shift(1) <= dataframe['ema52'].shift(1))
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)
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# 下穿：本根 26 < 52，上一根 26 ≥ 52
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dataframe['ema26_cross_down_52'] = (
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(dataframe['ema26'] < dataframe['ema52']) &
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(dataframe['ema26'].shift(1) >= dataframe['ema52'].shift(1))
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)
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# 上穿：本根 2 > 13，上一根 2 ≤ 13
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dataframe['ema5_cross_up_13'] = (
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(dataframe['ema5'] > dataframe['ema13']) &
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(dataframe['ema5'].shift(1) <= dataframe['ema13'].shift(1))
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)
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# 下穿：本根 2 < 13，上一根 2 ≥ 13
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dataframe['ema5_cross_down_13'] = (
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(dataframe['ema5'] < dataframe['ema13']) &
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(dataframe['ema5'].shift(1) >= dataframe['ema13'].shift(1))
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)
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dataframe_macd = ta.MACD(dataframe, fast=12, slow=26, signal=9)
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dataframe['macdsignal'] = dataframe_macd['macdsignal']
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dataframe['macd'] = dataframe_macd['macd']
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dataframe['macdhist'] = dataframe_macd['macdhist']
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return dataframe
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def custom_entry_price(self, pair: str, trade: Trade | None, current_time: datetime, proposed_rate: float,
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entry_tag: str | None, side: str, **kwargs) -> float:
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new_entryprice = proposed_rate
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if trade:
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if trade.is_short:
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new_entryprice = proposed_rate - self.price_offset
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else:
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new_entryprice = proposed_rate + self.price_offset
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return new_entryprice
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def custom_exit_price(self, pair: str, trade: Trade,
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current_time: datetime, proposed_rate: float,
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current_profit: float, exit_tag: str | None, **kwargs) -> float:
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new_exitprice = proposed_rate
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if trade:
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if trade.is_short:
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new_exitprice = proposed_rate + self.price_offset
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else:
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new_exitprice = proposed_rate - self.price_offset
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return new_exitprice
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def adjust_trade_position(self, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float,
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min_stake: Optional[float], max_stake: float,
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current_entry_rate: float, current_exit_rate: float,
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current_entry_profit: float, current_exit_profit: float,
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**kwargs) -> Optional[float]:
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# 关闭分批止盈，始终不调整仓位
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return None
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def custom_exit(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
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current_profit: float, **kwargs):
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# 不做分批止盈/最终止盈处理，退出由策略信号/ROI/止损决定
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return None
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def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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cross_up = 'resample_{}_ema26_cross_up_52'.format(self.get_ticker_indicator() * self.time)
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cross_down = 'resample_{}_ema26_cross_down_52'.format(self.get_ticker_indicator() * self.time)
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#time = 1
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#cross_up = 'ema26_cross_up_52'
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#cross_down = 'ema26_cross_down_52'
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dataframe.loc[
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(dataframe[cross_up].shift(self.time) == True),
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['enter_long', 'enter_tag']] = (1, 'long_signal')
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dataframe.loc[
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(dataframe[cross_down].shift(self.time) == True),
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['enter_short', 'enter_tag']] = (1, 'short_signal')
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return dataframe
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def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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cross_up = 'resample_{}_ema26_cross_up_52'.format(self.get_ticker_indicator() * self.time)
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cross_down = 'resample_{}_ema26_cross_down_52'.format(self.get_ticker_indicator() * self.time)
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#time = 1
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#cross_up = 'ema26_cross_up_52'
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#cross_down = 'ema26_cross_down_52'
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dataframe.loc[
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(dataframe[cross_down].shift(self.time) == True),
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['exit_long', 'exit_tag']] = (1, 'long_signal')
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dataframe.loc[
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(dataframe[cross_up].shift(self.time) == True),
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['exit_short', 'exit_tag']] = (1, 'short_signal')
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return dataframe
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def leverage(self, pair: str, current_time: datetime, current_rate: float,
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proposed_leverage: float, max_leverage: float, entry_tag: Optional[str], side: str,
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**kwargs) -> float:
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return self.lev
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def get_ticker_indicator(self):
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return int(self.timeframe[:-1]) |