Attend PR comment.

2023-01-08 11:06:17 +01:00
parent cb5a0f394e
commit f8e5ecc403
1 changed files with 57 additions and 0 deletions
@@ -0,0 +1,57 @@
+from freqtrade.strategy.interface import IStrategy
+from pandas import DataFrame
+import talib.abstract as ta
+
+class VolatilitySystem(IStrategy):
+
+    INTERFACE_VERSION: int = 3
+    # ROI table:
+    minimal_roi = {"0": 0.15, "30": 0.1, "60": 0.05}
+    # minimal_roi = {"0": 1}
+
+    # Stoploss:
+    stoploss = -0.265
+
+    # Trailing stop:
+    trailing_stop = True
+    trailing_stop_positive = 0.05
+    trailing_stop_positive_offset = 0.1
+    trailing_only_offset_is_reached = False
+
+    timeframe = "5m"
+
+    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # Calculate ATR
+        dataframe['atr'] = ta.ATR(dataframe, timeperiod=14) * 2.0
+        dataframe['close_change'] = dataframe['close'].pct_change()
+        return dataframe
+    
+    def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # Add long entry signals
+        dataframe.loc[
+            (dataframe['close_change'] > dataframe['atr']) & 
+            (dataframe['close'].shift(1) <= dataframe['atr'].shift(1)), 
+            'enter_long'] = 1
+        
+        # Add short entry signals
+        dataframe.loc[
+            (dataframe['close_change'] < -dataframe['atr']) & 
+            (dataframe['close'].shift(1) >= -dataframe['atr'].shift(1)), 
+            'enter_short'] = 1
+        
+        return dataframe
+    
+    def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # Add long exit signals
+        dataframe.loc[
+            (dataframe['close_change'] < dataframe['atr']) & 
+            (dataframe['close'].shift(1) >= dataframe['atr'].shift(1)), 
+            'exit_long'] = 1
+        
+        # Add short exit signals
+        dataframe.loc[
+            (dataframe['close_change'] > -dataframe['atr']) & 
+            (dataframe['close'].shift(1) <= -dataframe['atr'].shift(1)), 
+            'exit_short'] = 1
+        
+        return dataframe