Initial commit: Freqtrade BTC 1h trading bot
Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
jackyu66git
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from functools import reduce
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import talib.abstract as ta
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from pandas import DataFrame
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from freqtrade.strategy import IStrategy, merge_informative_pair
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from freqtrade.persistence import Trade
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from datetime import datetime
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class TrendStructureExecutor(IStrategy):
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"""
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TrendStructureExecutor — Trend-continuation strategy (spot/futures).
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Core concept:
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Identify established trends on the 1h chart (EMA52 + MACD + EMA200),
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then trade 5m continuation entries when the MACD histogram pulls back
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to zero and resumes in the trend direction. Skip low-volatility
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ranging markets. Partial take-profit on momentum weakening.
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"""
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INTERFACE_VERSION = 3
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# =========================================================================
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# CONFIGURATION
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# =========================================================================
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timeframe = "5m"
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informative_timeframe = "1h"
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# Futures support (long + short)
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# Set can_short = True and switch config to futures mode (BTC/USDT:USDT)
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# to enable short trading.
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can_short = False
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# trading_mode = "futures"
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# margin_mode = "isolated"
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# Risk management — fixed 0.8% stoploss (tighter than the 1% ROI target)
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stoploss = -0.008
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# Trailing stop to protect profits
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trailing_stop = True
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trailing_stop_positive = 0.004
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trailing_stop_positive_offset = 0.012
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trailing_only_offset_is_reached = True
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# Position adjustment for partial take-profits
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position_adjustment_enable = True
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# ROI disabled — exits managed by trailing stop + partial TP + EMA52 breach
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minimal_roi = {"0": 0.99}
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# General settings
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use_exit_signal = True
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exit_profit_only = False
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startup_candle_count = 200
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process_only_new_candles = True
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order_types = {
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"entry": "limit",
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"exit": "limit",
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"stoploss": "market",
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"stoploss_on_exchange": False,
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}
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# =========================================================================
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# INFORMATIVE PAIRS
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# =========================================================================
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def informative_pairs(self):
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pairs = self.dp.current_whitelist()
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return [(pair, self.informative_timeframe) for pair in pairs]
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# =========================================================================
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# INDICATORS
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# =========================================================================
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def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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1h: EMA52, EMA200, MACD, slope, range/consolidation, trend flags.
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5m: MACD, histogram direction helpers.
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"""
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if self.dp:
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informative = self.dp.get_pair_dataframe(
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pair=metadata["pair"], timeframe=self.informative_timeframe
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)
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# --- EMA 52 ---
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informative["ema_52"] = ta.EMA(informative, timeperiod=52)
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# --- EMA 200 (super-trend filter) ---
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informative["ema_200"] = ta.EMA(informative, timeperiod=200)
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# EMA 52 slope (3-period ROC for noise reduction)
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informative["ema_52_slope"] = (
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informative["ema_52"] - informative["ema_52"].shift(3)
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)
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# --- MACD (12, 26, 9) ---
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macd_1h = ta.MACD(informative)
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informative["macd_hist_1h"] = macd_1h["macdhist"]
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informative["macd_hist_1h_delta"] = (
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informative["macd_hist_1h"] - informative["macd_hist_1h"].shift(1)
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)
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# --- Range / consolidation filter ---
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# If the 20-candle price range is less than 1.5 %, the market is
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# considered to be ranging and no entries are allowed.
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informative["range_high_20"] = informative["high"].rolling(20).max()
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informative["range_low_20"] = informative["low"].rolling(20).min()
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informative["range_pct"] = (
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(informative["range_high_20"] - informative["range_low_20"])
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/ informative["range_low_20"]
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)
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informative["is_ranging"] = (informative["range_pct"] < 0.015).astype(int)
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# --- LONG trend confirmation ---
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# Price above EMA52 + EMA52 sloping up + MACD histogram positive
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# + histogram not shrinking significantly (delta > -0.5 * rolling std)
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informative["trend_bull"] = (
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(informative["close"] > informative["ema_52"])
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& (informative["close"] > informative["ema_200"])
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& (informative["ema_52_slope"] > 0)
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& (informative["macd_hist_1h"] > 0)
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& (
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informative["macd_hist_1h_delta"]
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> -informative["macd_hist_1h"].rolling(20).std() * 0.5
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)
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).astype(int)
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# --- SHORT trend confirmation ---
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# Price below EMA52 + EMA52 sloping down + MACD histogram negative
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# + histogram not expanding upward (delta < +0.5 * rolling std)
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informative["trend_bear"] = (
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(informative["close"] < informative["ema_52"])
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& (informative["close"] < informative["ema_200"])
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& (informative["ema_52_slope"] < 0)
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& (informative["macd_hist_1h"] < 0)
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& (
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informative["macd_hist_1h_delta"]
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< informative["macd_hist_1h"].rolling(20).std() * 0.5
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)
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).astype(int)
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# Merge 1h → 5m (merge_informative_pair handles lookahead protection
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# by shifting the higher-timeframe data by one candle)
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dataframe = merge_informative_pair(
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dataframe,
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informative,
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self.timeframe,
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self.informative_timeframe,
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ffill=True,
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)
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# --- 5m MACD ---
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macd_5m = ta.MACD(dataframe)
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dataframe["macd_hist_5m"] = macd_5m["macdhist"]
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# Direction helpers (avoids repeating shift logic in entry/exit methods)
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dataframe["macd_hist_5m_up"] = (
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dataframe["macd_hist_5m"] > dataframe["macd_hist_5m"].shift(1)
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)
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dataframe["macd_hist_5m_down"] = (
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dataframe["macd_hist_5m"] < dataframe["macd_hist_5m"].shift(1)
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)
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return dataframe
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# =========================================================================
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# ENTRY LOGIC
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# =========================================================================
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def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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LONG: 1h bullish + 5m MACD hist pullback-then-resumption + recent reset.
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SHORT: 1h bearish + 5m MACD hist pullback-then-resumption + recent reset.
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Both skip ranging markets.
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"""
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# Columns from merge_informative_pair carry the _1h suffix
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trend_bull = dataframe["trend_bull_1h"]
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trend_bear = dataframe["trend_bear_1h"]
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is_ranging = dataframe["is_ranging_1h"]
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# ── LONG ──────────────────────────────────────────────────────────────
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long_conditions = [
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trend_bull == 1,
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is_ranging == 0,
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dataframe["macd_hist_5m_down"].shift(1) == True,
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dataframe["macd_hist_5m_up"] == True,
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dataframe["macd_hist_5m"] > 0,
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dataframe["macd_hist_5m"].rolling(3).min() < 0,
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]
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dataframe.loc[
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reduce(lambda a, b: a & b, long_conditions),
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["enter_long", "enter_tag"],
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] = (1, "long_continuation")
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# ── SHORT ─────────────────────────────────────────────────────────────
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short_conditions = [
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trend_bear == 1,
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is_ranging == 0,
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dataframe["macd_hist_5m_up"].shift(1) == True,
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dataframe["macd_hist_5m_down"] == True,
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dataframe["macd_hist_5m"] < 0,
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dataframe["macd_hist_5m"].rolling(3).max() > 0,
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]
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dataframe.loc[
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reduce(lambda a, b: a & b, short_conditions),
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["enter_short", "enter_tag"],
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] = (1, "short_continuation")
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return dataframe
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# =========================================================================
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# EXIT LOGIC
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# =========================================================================
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def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
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"""
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LONG: exit on 1h EMA52 breach (trend reversal).
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SHORT (futures only): exit on 1h EMA52 breach.
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"""
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long_cond = dataframe["close"] < dataframe["ema_52_1h"]
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dataframe.loc[long_cond, "exit_long"] = 1
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dataframe.loc[long_cond, "exit_tag"] = "long_exit"
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if self.can_short:
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short_cond = dataframe["close"] > dataframe["ema_52_1h"]
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dataframe.loc[short_cond, "exit_short"] = 1
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dataframe.loc[short_cond, "exit_tag"] = "short_exit"
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return dataframe
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# =========================================================================
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# POSITION ADJUSTMENT (Partial Take-Profit)
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# =========================================================================
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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: 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) -> float | None:
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"""
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Sell 50% when MACD momentum weakens while in profit.
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Fires once per trade (guarded by filled_exits). Exits half the
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position when the 5m MACD histogram starts declining toward zero
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while we are still above +0.5% profit.
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"""
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if current_profit <= 0.005:
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return None
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# Only one partial exit per trade
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filled_exits = trade.select_filled_orders(trade.exit_side)
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if filled_exits:
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return None
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dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
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if dataframe is None or len(dataframe) < 2:
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return None
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last = dataframe.iloc[-1]
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prev = dataframe.iloc[-2]
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if trade.is_short:
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if last["macd_hist_5m"] < 0 and last["macd_hist_5m"] > prev["macd_hist_5m"]:
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return -(trade.stake_amount / 2)
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else:
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if last["macd_hist_5m"] > 0 and last["macd_hist_5m"] < prev["macd_hist_5m"]:
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return -(trade.stake_amount / 2)
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return None
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