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zhangkun9038@dingtalk.com 2025-04-23 17:48:12 +08:00
commit b154f5f95d
4 changed files with 39 additions and 50 deletions
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2
config_examples/config_freqai.okx.json
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@ -67,7 +67,7 @@
"freqaimodel": "CatboostClassifier",
"purge_old_models": 2,
"train_period_days": 15,
"identifier": "test18",
"identifier": "test52",
"train_period_days": 30,
"backtest_period_days": 10,
"live_retrain_hours": 0,

19
docker-compose.yml
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@ -40,14 +40,25 @@ services:
# --strategy FreqaiExampleStrategy
# --strategy FreqaiExampleHybridStrategy
# --strategy-path /freqtrade/templates
# command: >
# backtesting
# --logfile /freqtrade/user_data/logs/freqtrade.log
# --freqaimodel XGBoostRegressor
# --config /freqtrade/config_examples/config_freqai.okx.json
# --strategy-path /freqtrade/templates
# --strategy FreqaiExampleStrategy
# --timerange 20250310-20250410
# --export trades
command: >
backtesting
hyperopt
--logfile /freqtrade/user_data/logs/freqtrade.log
--freqaimodel XGBoostRegressor
--freqaimodel XGBoostClassifier
--config /freqtrade/config_examples/config_freqai.okx.json
--strategy-path /freqtrade/templates
--strategy FreqaiExampleStrategy
--timerange 20250320-20250420
--export trades
--timerange 20250301-20250420
--hyperopt-loss SharpeHyperOptLoss
--spaces buy sell roi stoploss trailing
-e 200

22
freqtrade/templates/FreqaiExampleStrategy.json
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@ -5,28 +5,28 @@
"max_open_trades": 4
},
"buy": {
"buy_rsi": 37
"buy_rsi": 28
},
"sell": {
"sell_rsi": 70
"sell_rsi": 89
},
"protection": {},
"roi": {
"0": 0.135,
"9": 0.015,
"30": 0.007,
"102": 0
"0": 0.08099999999999999,
"7": 0.038,
"23": 0.013,
"63": 0
},
"stoploss": {
"stoploss": -0.239
"stoploss": -0.236
},
"trailing": {
"trailing_stop": true,
"trailing_stop_positive": 0.243,
"trailing_stop_positive_offset": 0.309,
"trailing_stop_positive": 0.139,
"trailing_stop_positive_offset": 0.14800000000000002,
"trailing_only_offset_is_reached": true
}
},
"ft_stratparam_v": 1,
"export_time": "2025-04-23 03:44:58.374765+00:00"
}
"export_time": "2025-04-23 09:36:34.486164+00:00"
}

46
freqtrade/templates/FreqaiExampleStrategy.py
View File

@ -5,37 +5,26 @@ import talib.abstract as ta
from pandas import DataFrame
from technical import qtpylib
from freqtrade.strategy import IntParameter, IStrategy, DecimalParameter
logger = logging.getLogger(__name__)
class FreqaiExampleStrategy(IStrategy):
# ROI 参数：保持 DecimalParameter 对象，不使用 .value
minimal_roi = {
"0": DecimalParameter(low=0.01, high=0.15, default=0.02, space="roi", optimize=True, load=True),
"9": DecimalParameter(low=0.005, high=0.05, default=0.015, space="roi", optimize=True, load=True),
"30": DecimalParameter(low=0.005, high=0.03, default=0.007, space="roi", optimize=True, load=True),
"102": DecimalParameter(low=0.0, high=0.01, default=0.0, space="roi", optimize=True, load=True)
"0": DecimalParameter(low=0.01, high=0.05, default=0.02, space="roi", optimize=True, load=True).value,
"360": DecimalParameter(low=0.005, high=0.02, default=0.01, space="roi", optimize=True, load=True).value
}
# 止损参数：保持 DecimalParameter 对象
stoploss = DecimalParameter(low=-0.3, high=-0.02, default=-0.07, space="stoploss", optimize=True, load=True)
# 最大开仓数
max_open_trades = IntParameter(low=1, high=10, default=4, space="misc", optimize=False, load=True)
# 追踪止损参数：替换硬编码为 DecimalParameter
stoploss = DecimalParameter(low=-0.1, high=-0.02, default=-0.07, space="stoploss", optimize=True, load=True).value
trailing_stop = True
trailing_stop_positive = DecimalParameter(low=0.005, high=0.3, default=0.01, space="trailing", optimize=True, load=True)
trailing_stop_positive_offset = DecimalParameter(low=0.01, high=0.4, default=0.02, space="trailing", optimize=True, load=True)
trailing_only_offset_is_reached = False
# 买卖参数：保持不变，已正确
buy_rsi = IntParameter(low=10, high=50, default=30, space="buy", optimize=True, load=True)
sell_rsi = IntParameter(low=50, high=90, default=70, space="sell", optimize=True, load=True)
# 其他设置
trailing_stop_positive = 0.01
trailing_stop_positive_offset = 0.02
process_only_new_candles = True
use_exit_signal = True
startup_candle_count: int = 40
can_short = False
buy_rsi = IntParameter(low=10, high=50, default=30, space="buy", optimize=True, load=True)
sell_rsi = IntParameter(low=50, high=90, default=70, space="sell", optimize=True, load=True)
plot_config = {
"main_plot": {},
"subplots": {
@ -44,18 +33,6 @@ class FreqaiExampleStrategy(IStrategy):
},
}
def __init__(self, config: dict) -> None:
super().__init__(config)
# 调试输出，确认参数加载
print(f"buy_rsi: {self.buy_rsi.value}")
print(f"sell_rsi: {self.sell_rsi.value}")
print(f"stoploss: {self.stoploss.value}")
print(f"max_open_trades: {self.max_open_trades.value}")
print(f"minimal_roi: { {k: v.value for k, v in self.minimal_roi.items()} }")
print(f"trailing_stop_positive: {self.trailing_stop_positive.value}")
print(f"trailing_stop_positive_offset: {self.trailing_stop_positive_offset.value}")
def feature_engineering_expand_all(self, dataframe: DataFrame, period: int, metadata: dict, **kwargs) -> DataFrame:
dataframe["%-rsi-period"] = ta.RSI(dataframe, timeperiod=period)
dataframe["%-mfi-period"] = ta.MFI(dataframe, timeperiod=period)
@ -135,10 +112,10 @@ class FreqaiExampleStrategy(IStrategy):
enter_long_conditions = [
qtpylib.crossed_above(df["rsi"], self.buy_rsi.value),
df["tema"] > df["tema"].shift(1),
df["%-relative_volume-period"] > 1.2,
df["close"] > df["bb_middleband"],
df["volume"] > 0,
df["do_predict"] == 1,
df["&-up_or_down"] == "up"
#df["%-bb_width-period_4h"] > 0.05
]
if enter_long_conditions:
df.loc[
@ -172,3 +149,4 @@ class FreqaiExampleStrategy(IStrategy):
if rate > (last_candle["close"] * (1 + 0.0025)):
return False
return True