import talib.abstract as ta from pandas import DataFrame from typing import Dict, Any, Callable, List from functools import reduce from skopt.space import Categorical, Dimension, Integer, Real import freqtrade.vendor.qtpylib.indicators as qtpylib from freqtrade.optimize.hyperopt_interface import IHyperOpt shortRangeBegin = 10 shortRangeEnd = 20 mediumRangeBegin = 100 mediumRangeEnd = 120 class AverageHyperopt(IHyperOpt): """ Hyperopt file for optimizing AverageStrategy. Uses ranges of EMA periods to find the best parameter combination. """ @staticmethod def populate_indicators(dataframe: DataFrame, metadata: dict) -> DataFrame: for short in range(shortRangeBegin, shortRangeEnd): dataframe[f'maShort({short})'] = ta.EMA(dataframe, timeperiod=short) for medium in range(mediumRangeBegin, mediumRangeEnd): dataframe[f'maMedium({medium})'] = ta.EMA(dataframe, timeperiod=medium) return dataframe @staticmethod def buy_strategy_generator(params: Dict[str, Any]) -> Callable: """ Define the buy strategy parameters to be used by hyperopt """ def populate_buy_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: """ Buy strategy Hyperopt will build and use """ conditions = [] # TRIGGERS if 'trigger' in params: trigger = [int(item) for item in params['trigger'].split('-')] conditions.append(qtpylib.crossed_above( dataframe[f"maShort({trigger[0]})"], dataframe[f"maMedium({trigger[1]})"]) ) # Check that volume is not 0 conditions.append(dataframe['volume'] > 0) if conditions: dataframe.loc[ reduce(lambda x, y: x & y, conditions), 'buy'] = 1 return dataframe return populate_buy_trend @staticmethod def indicator_space() -> List[Dimension]: """ Define your Hyperopt space for searching strategy parameters """ buyTriggerList = [] for short in range(shortRangeBegin, shortRangeEnd): for medium in range(mediumRangeBegin, mediumRangeEnd): """ The output will be '{short}-{long}' so we can split it on the trigger this will prevent an error on scikit-optimize not accepting tuples as first argument to Categorical """ buyTriggerList.append( '{}-{}'.format(short, medium) ) return [ Categorical(buyTriggerList, name='trigger') ] @staticmethod def sell_strategy_generator(params: Dict[str, Any]) -> Callable: """ Define the sell strategy parameters to be used by hyperopt """ def populate_sell_trend(dataframe: DataFrame, metadata: dict) -> DataFrame: """ Sell strategy Hyperopt will build and use """ # print(params) conditions = [] # TRIGGERS if 'sell-trigger' in params: trigger = [int(item) for item in params['sell-trigger'].split('-')] conditions.append(qtpylib.crossed_above( dataframe[f"maMedium({trigger[1]})"], dataframe[f"maShort({trigger[0]})"]) ) if conditions: dataframe.loc[ reduce(lambda x, y: x & y, conditions), 'sell'] = 1 return dataframe return populate_sell_trend @staticmethod def sell_indicator_space() -> List[Dimension]: """ Define your Hyperopt space for searching sell strategy parameters """ sellTriggerList = [] for short in range(shortRangeBegin, shortRangeEnd): for medium in range(mediumRangeBegin, mediumRangeEnd): """ The output will be '{short}-{long}' so we can split it on the trigger this will prevent an error on scikit-optimize not accepting tuples as first argument to Categorical """ sellTriggerList.append( '{}-{}'.format(short, medium) ) return [ Categorical(sellTriggerList, name='sell-trigger') ] def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Based on TA indicators. Should be a copy of from strategy must align to populate_indicators in this file Only used when --spaces does not include buy """ dataframe.loc[ ( qtpylib.crossed_above( dataframe[f'maShort({shortRangeBegin})'], dataframe[f'maMedium({mediumRangeBegin})']) ), 'buy'] = 1 return dataframe def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: """ Based on TA indicators. Should be a copy of from strategy must align to populate_indicators in this file Only used when --spaces does not include sell """ dataframe.loc[ ( qtpylib.crossed_above( dataframe[f'maMedium({mediumRangeBegin})'], dataframe[f'maShort({shortRangeBegin})']) ), 'sell'] = 1 return dataframe