369 lines
17 KiB
Python
369 lines
17 KiB
Python
# --- Do not remove these libs ---
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from freqtrade.strategy import IStrategy
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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 ChanLun_Classifier import ChanLunClassifier
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from ChanEnum import Chan_FX_TYPE, 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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from datetime import datetime, timedelta
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from freqtrade.persistence import Trade
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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_SOL_5 --datadir user_data/data/binance -c ./user_data/ChanLun_SOL.json --timerange=20250309-
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# freqtrade trade -c ./user_data/Chan/config/ChanLun_SOL.json --strategy ChanLun_SOL_15 --strategy-path ./user_data/Chan/strategies
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# freqtrade backtesting -c ./user_data/Chan/config/ChanLun_SOL.json --strategy ChanLun_SOL_15 --strategy-path ./user_data/Chan/strategies --timerange=20250416-
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# freqtrade download-data -c ./user_data/Chan/config/ChanLun_SOL.json -t 1m --pairs SOL/USDT:USDT --timerange=20250405-
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# freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --spaces roi stoploss --strategy ChanLun_SOL_5 --strategy-path ./user _data/Chan/strategies -c ./user_data/Chan/config/ChanLun_SOL.json -e 200 --timerange=20250201-20250401
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# sudo docker compose run --rm chan_btc backtesting -c ./user_data/Chan/config/ChanLun_SOL.json --strategy ChanLun_SOL --strategy-path ./user_data/Chan/strategies --timerange=20250101-
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# sudo docker compose run --rm chan_btc download-data -c ./user_data/Chan/config/ChanLun_SOL.json --pairs SOL/USDT:USDT -t 1m --timerange 20240101-
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# sudo docker compose run --rm chan_btc trade -c ./user_data/Chan/config/ChanLun_SOL.json --strategy ChanLun_SOL --strategy-path ./user_data/Chan/strategies
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class ChanLun_SOL_15(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": 0.10,
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"360": 0.05,
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"640": 0.025,
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"1200": 0
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}
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# 5m and 15m
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minimal_roi_1 = {
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"0": 0.253,
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"60": 0.159,
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"120": 0.052,
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"240": 0
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}
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# 15m and 30m
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minimal_roi_2 = {
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"0": 0.253,
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"120": 0.159,
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"240": 0.052,
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"360": 0
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}
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can_short = True
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stoploss = -0.20
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trailing_stop = False
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trailing_stop_positive = 0.015
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trailing_stop_positive_offset = 0.043
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trailing_only_offset_is_reached = False
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position_adjustment_enable = True
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max_entry_position_adjustment = 3
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max_dca_multiplier = 5.5
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startup_candle_count = 600
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time5 = 5
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time15 = 15
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time30 = 30
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time60 = 60
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time4h = 240
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small_time = 30
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big_time = 60
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last_time = datetime.now()
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big_size = 0
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big_state = "00"
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big_state_list = []
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chan = ChanLun()
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small_size = 0
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small_state = "00"
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small_state_list = []
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classifier = ChanLunClassifier(None)
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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# resample our dataframes
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dataframe_5 = resample_to_interval(dataframe, self.get_ticker_indicator() * 5)
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dataframe_15 = resample_to_interval(dataframe, self.get_ticker_indicator() * 15)
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dataframe_30 = resample_to_interval(dataframe, self.get_ticker_indicator() * 30)
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dataframe_60 = resample_to_interval(dataframe, self.get_ticker_indicator() * 60)
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dataframe_4h = resample_to_interval(dataframe, self.get_ticker_indicator() * 240)
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#dataframe_1d = self.dp.get_pair_dataframe(pair=metadata['pair'], timeframe='1d')
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#dataframe_1w = resample_to_interval(dataframe_1d, self.get_ticker_indicator() * 10080)
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#dataframe_1m = resample_to_interval(dataframe_1d, self.get_ticker_indicator() * 43200)
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dataframe_1d = resample_to_interval(dataframe, self.get_ticker_indicator() * 1440)
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#dataframe_1w = resample_to_interval(dataframe, self.get_ticker_indicator() * 10080)
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#dataframe_1m = resample_to_interval(dataframe, self.get_ticker_indicator() * 43200)
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dataframe = self.add_indicators(dataframe)
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dataframe_5 = self.add_indicators(dataframe_5)
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dataframe_30 = self.add_indicators(dataframe_30)
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dataframe_60 = self.add_indicators(dataframe_60)
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dataframe_4h = self.add_indicators(dataframe_4h)
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dataframe_1d = self.add_indicators(dataframe_1d)
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dataframe['state'], dataframe['bi_dir'] = self.chan.cal_klu_state(dataframe)
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dataframe_5['state'], dataframe_5['bi_dir'] = self.chan.cal_klu_state(dataframe_5)
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dataframe_30['state'], dataframe_30['bi_dir'] = self.chan.cal_klu_state(dataframe_30)
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dataframe_60['state'], dataframe_60['bi_dir'] = self.chan.cal_klu_state(dataframe_60)
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dataframe['volume_ratio'] = self.chan.cal_volume_ratio(dataframe)
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dataframe['volume_ratio_5'] = self.chan.cal_volume_ratio(dataframe_5)
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dataframe['volume_ratio_30'] = self.chan.cal_volume_ratio(dataframe_30)
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dataframe['volume_ratio_60'] = self.chan.cal_volume_ratio(dataframe_60)
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#self.print_klc(dataframe, "1m: ")
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#self.chan.plot_dual(dataframe_5, dataframe_30)
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#dataframe['rsi'] = ta.RSI(dataframe, timeperiod=14)
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#self.print_macd_div_list(dataframe)
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#self.print_resample_df(dataframe, 1, 50)
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#self.chan.get_bi_list(dataframe_30)
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#self.chan.plot_dual(dataframe_5, dataframe_30)
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self.chan.print_bi_klc(dataframe_5)
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#if self.last_time + timedelta(minutes=1) < datetime.now():
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#print(informative.iloc[-1])
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#self.print_klc(dataframe, "1m: ")
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#self.print_klc(dataframe_5, "5m: ")
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#self.print_klc(dataframe_30, "30m:")
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#self.log_macd_div_list(dataframe)
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#self.print_xgb(dataframe, "1m_model")
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#self.print_xgb(dataframe_5, "5m_model")
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#self.print_xgb(dataframe_30, "30m_model")
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#self.print_xgb(dataframe_60, "1h_model")
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#self.print_xgb(dataframe_4h, "4h_model")
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#print("-------------------------------------------------------------------------------")
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#self.last_time = datetime.now()
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dataframe = resampled_merge(dataframe, dataframe_5)
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#dataframe = resampled_merge(dataframe, dataframe_15)
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dataframe = resampled_merge(dataframe, dataframe_30)
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dataframe = resampled_merge(dataframe, dataframe_60)
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#dataframe = resampled_merge(dataframe, dataframe_4h)
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return dataframe
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# This is called when placing the initial order (opening trade)
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def print_xgb(self, dataframe, model_name):
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self.classifier.load_model(model_name)
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klc_list = self.chan.get_klc_list(dataframe)
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klc1 = klc_list[-1]
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klc2 = klc_list[-2]
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klc3 = klc_list[-3]
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if klc1.end_time == klc2.start_time:
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print(model_name, klc1.end_time, klc1.fx, self.classifier.predict(klc1))
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else:
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print(model_name, klc1.start_time, klc1.fx, self.classifier.predict(klc1))
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print(model_name, klc2.end_time, klc2.fx, self.classifier.predict(klc2))
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print(model_name, klc3.end_time, klc3.fx, self.classifier.predict(klc3))
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def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
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proposed_stake: float, min_stake: float | None, max_stake: float,
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leverage: float, entry_tag: str | None, side: str,
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**kwargs) -> float:
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# We need to leave most of the funds for possible further DCA orders
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# This also applies to fixed stakes
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return proposed_stake / self.max_dca_multiplier
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def adjust_trade_position1(self, trade: Trade, current_time: datetime,
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current_rate: float, current_profit: float,
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min_stake: float | None, 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
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) -> float | None | tuple[float | None, str | None]:
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"""
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Custom trade adjustment logic, returning the stake amount that a trade should be
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increased or decreased.
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This means extra entry or exit orders with additional fees.
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Only called when `position_adjustment_enable` is set to True.
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For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
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When not implemented by a strategy, returns None
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:param trade: trade object.
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:param current_time: datetime object, containing the current datetime
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:param current_rate: Current entry rate (same as current_entry_profit)
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:param current_profit: Current profit (as ratio), calculated based on current_rate
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(same as current_entry_profit).
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:param min_stake: Minimal stake size allowed by exchange (for both entries and exits)
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:param max_stake: Maximum stake allowed (either through balance, or by exchange limits).
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:param current_entry_rate: Current rate using entry pricing.
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:param current_exit_rate: Current rate using exit pricing.
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:param current_entry_profit: Current profit using entry pricing.
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:param current_exit_profit: Current profit using exit pricing.
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:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
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:return float: Stake amount to adjust your trade,
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Positive values to increase position, Negative values to decrease position.
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Return None for no action.
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Optionally, return a tuple with a 2nd element with an order reason
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"""
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#if trade.has_open_orders:
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# Only act if no orders are open
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#return
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#if current_profit > 0.05 and trade.nr_of_successful_exits == 0:
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# Take half of the profit at +5%
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#return -(trade.stake_amount / 2), "half_profit_5%"
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#if current_profit > -0.05:
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#return None
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# Obtain pair dataframe (just to show how to access it)
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dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
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# Only buy when not actively falling price.
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#last_candle = dataframe.iloc[-1].squeeze()
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#previous_candle = dataframe.iloc[-2].squeeze()
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#if last_candle["close"] < previous_candle["close"]:
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#return None
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filled_entries = trade.select_filled_orders(trade.entry_side)
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last_entry = filled_entries[-1]
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count_of_entries = trade.nr_of_successful_entries
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# Allow up to 3 additional increasingly larger buys (4 in total)
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# Initial buy is 1x
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# If that falls to -5% profit, we buy 1.25x more, average profit should increase to roughly -2.2%
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# If that falls down to -5% again, we buy 1.5x more
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# If that falls once again down to -5%, we buy 1.75x more
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# Total stake for this trade would be 1 + 1.25 + 1.5 + 1.75 = 5.5x of the initial allowed stake.
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# That is why max_dca_multiplier is 5.5
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# Hope you have a deep wallet!
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# This returns first order stake size
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#print(dataframe.iloc[-1]['resample_{}_state'.format(self.get_ticker_indicator()*self.time60)])
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# This returns first order stake size
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stake_amount = filled_entries[0].stake_amount
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# This then calculates current safety order size
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stake_amount = stake_amount * (1 + (count_of_entries * 0.5))
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dataframe_date = dataframe.iloc[-1]['date']
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#print(stake_amount, "---------------------------------------------------")
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if last_entry.order_filled_utc + timedelta(minutes=self.time5) < dataframe_date:
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if dataframe.iloc[-self.time5]['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)] == "-10" and last_entry.side == "buy":
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#print(dataframe.iloc[-self.time5])
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#print(stake_amount)
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return stake_amount, "1/3rd_increase"
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if last_entry.order_filled_utc + timedelta(minutes=self.time5) < dataframe_date:
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if dataframe.iloc[-self.time5]['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)] == "10" and last_entry.side == "sell":
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#print(dataframe.iloc[-self.time5])
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#print(stake_amount)
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return stake_amount, "1/3rd_increase"
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return None
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def log_macd_div_list(self, dataframe):
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bi_macd_div_list, bi_list, seg_macd_div_list, seg_list = self.chan.get_macd_div_list(dataframe)
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logger.info(f"BI MACD DIV LIST")
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for index in range(len(bi_list)-5, len(bi_list)):
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bi = bi_list[index]
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logger.info(f'{bi.start_time}, {bi.high}, {bi.low}, {bi.dir}, {bi.macd_div}')
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logger.info(f"SEG MACD DIV LIST")
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for index in range(len(seg_list)-5, len(seg_list)):
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seg = seg_list[index]
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logger.info(f'{seg.start_bi.start_time}, {seg.high}, {seg.low}, {seg.dir}, {seg.macd_div}')
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def print_klc(self, df, label):
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klc_list = self.chan.get_full_klc_list(df)
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log_str = f""
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for index in range(len(klc_list)-5, len(klc_list)):
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klc = klc_list[index]
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bi_dir = str(klc.bi.dir).replace("Chan_BI_DIR.", "")
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klc_fx_type = str(klc.klc_fx_type).replace("Chan_KLC_FX.", "")
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volume_ratio = df.iloc[index]['volume_ratio']
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if klc.end_time:
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log_str += f"{klc.end_time}E, {bi_dir}, {klc_fx_type}, {volume_ratio}, "
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else:
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log_str += f"{klc.start_time}S, {bi_dir}, {klc_fx_type}, {volume_ratio}, "
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logger.info(label+log_str)
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def print_resample_df(self, dataframe, time, limit=10):
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df = dataframe.tail(limit)
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if limit > 0:
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if time == 1:
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for index in range(len(dataframe) - limit, len(dataframe)):
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cn1 = 'date'
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cn2 = 'rsi'
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cn3 = 'state'
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logger.info(f'{df[cn1][index]}, {df[cn2][index]}, {df[cn3][index]}')
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else:
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for index in range(0, limit):
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cn1 = 'resample_{}_date'.format(self.get_ticker_indicator()*time)
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cn2 = 'resample_{}_rsi'.format(self.get_ticker_indicator()*time)
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cn3 = 'resample_{}_state'.format(self.get_ticker_indicator()*time)
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logger.info(f'{df[cn1][index]}, {df[cn2][index]}, {df[cn3][index]}')
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def add_indicators(self, df):
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fast = 8
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slow = 16
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period = 6
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macd = ta.MACD(df, fastperiod=fast, slowperiod=slow, signalperiod=period)
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df['macd'] = macd['macd']
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df['macdsignal'] = macd['macdsignal']
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df['macdhist'] = macd['macdhist']
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df['ma5'] = ta.MA(df, timeperiod=5)
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df['ma10'] = ta.MA(df, timeperiod=10)
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df['ma30'] = ta.EMA(df, timeperiod=30)
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df['ma250'] = ta.MA(df, timeperiod=250)
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df['rsi'] = ta.RSI(df, timeperiod=14)
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df['macd'] = df['macd'].fillna(0)
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df['macdsignal'] = df['macdsignal'].fillna(0)
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df['macdhist'] = df['macdhist'].fillna(0)
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df['ma5'] = df['ma5'].fillna(0)
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df['ma10'] = df['ma10'].fillna(0)
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df['ma30'] = df['ma30'].fillna(0)
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df['ma250'] = df['ma250'].fillna(0)
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df['rsi'] = df['rsi'].fillna(0)
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df['volume_ratio'] = self.cal_volume_ratio(df)
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return df
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def cal_volume_ratio(self, dataframe, window=10):
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df = dataframe.copy()
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# 计算过去N根K线的平均成交量
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df['avg_volume'] = df['volume'].rolling(window=window).mean()
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# 计算量比
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df['volume_ratio'] = df['volume'] / df['avg_volume']
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# 填充缺失值（前N根K线）
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df['volume_ratio'] = df['volume_ratio'].fillna(1.0)
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return df['volume_ratio']
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def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe.loc[
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(
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#(dataframe['state'] == "-30")
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((dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "10")) |
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((dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "20"))
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10") &
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "-10") &
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10")
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#(qtpylib.crossed_above(dataframe['macd'], dataframe['macdsignal']))
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),
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['enter_long', 'enter_tag']] = (1, 'long_signal_chan')
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dataframe.loc[
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(
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#(dataframe['state'] == "30")
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((dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "99")) |
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((dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "99"))
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "10") &
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "10") &
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "10")
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#(qtpylib.crossed_above(dataframe['macd'], dataframe['macdsignal']))
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),
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['enter_short', 'enter_tag']] = (1, 'short_signal_chan')
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return dataframe
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def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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dataframe.loc[
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(
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#(dataframe['state']== "-10").shift(1) |
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#(dataframe['state']== "-20").shift(1)
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((dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10")) |
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((dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-20"))
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#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "10")
|
|
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "10") &
|
|
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time60)] == "10")
|
|
),
|
|
['exit_long', 'exit_tag']] = (1, 'long_close_signal_chan')
|
|
dataframe.loc[
|
|
(
|
|
(dataframe['state'] == "99").shift(1) |
|
|
(dataframe['state'] == "99").shift(1)
|
|
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time5)].shift(self.time5) == "-10")
|
|
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time30)] == "-10") &
|
|
#(dataframe['resample_{}_state'.format(self.get_ticker_indicator()*self.time60)] == "-10")
|
|
),
|
|
['exit_short', 'exit_tag']] = (1, 'short_close_signal_chan')
|
|
return dataframe
|
|
def leverage(self, pair: str, current_time: datetime, current_rate: float,
|
|
proposed_leverage: float, max_leverage: float, entry_tag: Optional[str], side: str,
|
|
**kwargs) -> float:
|
|
return 1.0
|
|
|
|
def get_ticker_indicator(self):
|
|
return int(self.timeframe[:-1]) |