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Improve informative sample method

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This commit is contained in:
Matthias
2021-04-22 07:01:57 +02:00
parent 9782ccd830
commit 3fb4f8c955
1 changed files with 17 additions and 14 deletions
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user_data/strategies/InformativeSample.py
+17 -14
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@@ -1,6 +1,6 @@
# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from freqtrade.strategy import IStrategy, merge_informative_pair
from typing import Dict, List
from functools import reduce
from pandas import DataFrame
@@ -39,8 +39,8 @@ class InformativeSample(IStrategy):
# trailing stoploss
trailing_stop = False
trailing_stop_positive = 0.01
trailing_stop_positive_offset = 0.02
trailing_stop_positive = 0.02
trailing_stop_positive_offset = 0.04
# run "populate_indicators" only for new candle
ta_on_candle = False
@@ -69,7 +69,7 @@ class InformativeSample(IStrategy):
("BTC/USDT", "15m"),
]
"""
return [(f"{self.config['stake_currency']}/USDT", self.timeframe)]
return [(f"BTC/USDT", '15m')]
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
@@ -84,15 +84,18 @@ class InformativeSample(IStrategy):
dataframe['ema50'] = ta.EMA(dataframe, timeperiod=50)
dataframe['ema100'] = ta.EMA(dataframe, timeperiod=100)
if self.dp:
# Get ohlcv data for informative pair.
data = self.dp.get_pair_dataframe(pair=f"{self.stake_currency}/USDT",
timeframe=self.timeframe)
# Combine the 2 dataframes using 'close'.
# This will result in a column named 'closeETH' or 'closeBTC' - depending on stake_currency.
dataframe = dataframe.merge(data[["date", "close"]], on="date", how="left", suffixes=("", self.config['stake_currency']))
# Get ohlcv data for informative pair at 15m interval.
inf_tf = '15m'
informative = self.dp.get_pair_dataframe(pair=f"BTC/USDT",
timeframe=inf_tf)
# Calculate SMA20 on 'close' data for stake_currency/USDT. Resulting column is named as 'smaETH20' (if stake_currency is ETH)
dataframe[f"sma{self.config['stake_currency']}20"] = dataframe[f'close{self.stake_currency}'].rolling(20).mean()
# calculate SMA20 on informative pair
informative['sma20'] = informative['close'].rolling(20).mean()
# Combine the 2 dataframe
# This will result in a column named 'closeETH' or 'closeBTC' - depending on stake_currency.
dataframe = merge_informative_pair(dataframe, informative,
self.timeframe, inf_tf, ffill=True)
return dataframe
@@ -106,7 +109,7 @@ class InformativeSample(IStrategy):
(
(dataframe['ema20'] > dataframe['ema50']) &
# stake/USDT above sma(stake/USDT, 20)
(dataframe[f'close{self.stake_currency}'] > dataframe[f'sma{self.stake_currency}20'])
(dataframe['close_15m'] > dataframe['sma20_15m'])
),
'buy'] = 1
@@ -122,7 +125,7 @@ class InformativeSample(IStrategy):
(
(dataframe['ema20'] < dataframe['ema50']) &
# stake/USDT below sma(stake/USDT, 20)
(dataframe[f'close{self.stake_currency}'] < dataframe[f'sma{self.stake_currency}20'])
(dataframe['close_15m'] < dataframe['sma20_15m'])
),
'sell'] = 1
return dataframe