first
This commit is contained in:
zhangkun9038@dingtalk.com
parent
6730a560fd
commit
b5d1743843
68
config_examples/config_base_hyperopt.json
Normal file
68
config_examples/config_base_hyperopt.json
Normal file
@ -0,0 +1,68 @@
|
||||
{
|
||||
"strategy": "MyStrategy",
|
||||
"timeframe": "5m",
|
||||
"dry_run": true,
|
||||
"stake_currency": "USDT",
|
||||
"stake_amount": 10.0,
|
||||
"minimal_roi": {
|
||||
"40": 0.0,
|
||||
"30": 0.01,
|
||||
"20": 0.02,
|
||||
"0": 0.04
|
||||
},
|
||||
"stoploss": -0.10,
|
||||
"trailing_stop": false,
|
||||
"trailing_stop_positive": 0.0,
|
||||
"trailing_stop_positive_offset": 0.0,
|
||||
"trailing_only_offset_is_reached": 0.0,
|
||||
"unfilledtimeout": {
|
||||
"buy": 300,
|
||||
"sell": 300
|
||||
},
|
||||
"exchange": {
|
||||
"name": "binance",
|
||||
"key": "",
|
||||
"secret": "",
|
||||
"ccxt_config": {
|
||||
"enableRateLimit": true
|
||||
},
|
||||
"pair_whitelist": [
|
||||
"BTC/USDT",
|
||||
"ETH/USDT",
|
||||
"SOL/USDT"
|
||||
],
|
||||
"pair_blacklist": []
|
||||
},
|
||||
"experimental": {
|
||||
"use_sell_signal": true,
|
||||
"ignore_roi_if_buy_signal": false
|
||||
},
|
||||
"telegram": {
|
||||
"enabled": false,
|
||||
"token": "",
|
||||
"chat_id": ""
|
||||
},
|
||||
"api_server": {
|
||||
"enabled": false,
|
||||
"listen_ip_address": "127.0.0.1",
|
||||
"listen_port": 8080,
|
||||
"verbosity": "error",
|
||||
"enable_openapi": false
|
||||
},
|
||||
"hyperopt": {
|
||||
"enabled": false,
|
||||
"epochs": 100,
|
||||
"spaces": [
|
||||
"buy",
|
||||
"sell",
|
||||
"roi",
|
||||
"stoploss",
|
||||
"trailing"
|
||||
],
|
||||
"hyperopt_path": "",
|
||||
"hyperopt_loss": "SharpeHyperOptLossDaily",
|
||||
"print_all": false,
|
||||
"mongodb_url": "",
|
||||
"mongodb_database": ""
|
||||
}
|
||||
}
|
||||
@ -67,9 +67,9 @@ services:
|
||||
backtesting
|
||||
--logfile /freqtrade/user_data/logs/freqtrade.log
|
||||
--freqaimodel XGBoostRegressor
|
||||
--config /freqtrade/config_examples/config_freqai.okx.json
|
||||
--config /freqtrade/config_examples/config_base_hyperopt.json
|
||||
--strategy-path /freqtrade/templates
|
||||
--strategy OKXRegressionStrategy
|
||||
--strategy SharpeHyperOptStrategy
|
||||
--timerange 20250401-20250415
|
||||
--fee 0.0008
|
||||
--cache none
|
||||
|
||||
190
freqtrade/templates/BaseHyperOptStrategy.py
Normal file
190
freqtrade/templates/BaseHyperOptStrategy.py
Normal file
@ -0,0 +1,190 @@
|
||||
from freqtrade.strategy import IStrategy, IntParameter, RealParameter, DecimalParameter, BooleanParameter
|
||||
from pandas import DataFrame
|
||||
import talib.abstract as ta
|
||||
import freqtrade.vendor.qtpylib.indicators as qtpylib
|
||||
from datetime import datetime
|
||||
|
||||
class BsseHyperOptStrategy(IStrategy):
|
||||
# 策略的基本配置
|
||||
timeframe = '5m'
|
||||
minimal_roi = {"40": 0.0, "30": 0.01, "20": 0.02, "0": 0.04}
|
||||
stoploss = -0.10
|
||||
startup_candle_count = 20
|
||||
|
||||
# 可选的订单类型映射
|
||||
order_types = {
|
||||
"entry": "limit",
|
||||
"exit": "limit",
|
||||
"stoploss": "limit",
|
||||
"stoploss_on_exchange": False,
|
||||
}
|
||||
|
||||
# 可选的订单有效时间
|
||||
order_time_in_force = {
|
||||
"entry": "gtc",
|
||||
"exit": "gtc",
|
||||
}
|
||||
|
||||
# 可优化的参数
|
||||
buy_rsi = IntParameter(30, 50, default=35, space='buy')
|
||||
buy_plusdi = RealParameter(low=0, high=1, default=0.5, space='buy')
|
||||
sell_rsi = IntParameter(low=50, high=100, default=70, space='sell')
|
||||
sell_minusdi = DecimalParameter(
|
||||
low=0, high=1, default=0.5001, decimals=3, space='sell', load=False
|
||||
)
|
||||
protection_enabled = BooleanParameter(default=True)
|
||||
protection_cooldown_lookback = IntParameter([0, 50], default=30)
|
||||
|
||||
@property
|
||||
def protections(self):
|
||||
prot = []
|
||||
if self.protection_enabled.value:
|
||||
prot.append(
|
||||
{
|
||||
"method": "CooldownPeriod",
|
||||
"stop_duration_candles": self.protection_cooldown_lookback.value,
|
||||
}
|
||||
)
|
||||
return prot
|
||||
|
||||
def bot_start(self):
|
||||
pass
|
||||
|
||||
def informative_pairs(self):
|
||||
return []
|
||||
|
||||
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
# 动量指标
|
||||
# ADX
|
||||
dataframe["adx"] = ta.ADX(dataframe)
|
||||
|
||||
# MACD
|
||||
macd = ta.MACD(dataframe)
|
||||
dataframe["macd"] = macd["macd"]
|
||||
dataframe["macdsignal"] = macd["macdsignal"]
|
||||
dataframe["macdhist"] = macd["macdhist"]
|
||||
|
||||
# 负向指标
|
||||
dataframe["minus_di"] = ta.MINUS_DI(dataframe)
|
||||
|
||||
# 正向指标
|
||||
dataframe["plus_di"] = ta.PLUS_DI(dataframe)
|
||||
|
||||
# RSI
|
||||
dataframe["rsi"] = ta.RSI(dataframe)
|
||||
|
||||
# 快速随机指标
|
||||
stoch_fast = ta.STOCHF(dataframe)
|
||||
dataframe["fastd"] = stoch_fast["fastd"]
|
||||
dataframe["fastk"] = stoch_fast["fastk"]
|
||||
|
||||
# 布林带
|
||||
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
|
||||
dataframe["bb_lowerband"] = bollinger["lower"]
|
||||
dataframe["bb_middleband"] = bollinger["mid"]
|
||||
dataframe["bb_upperband"] = bollinger["upper"]
|
||||
|
||||
# 指数移动平均线
|
||||
dataframe["ema10"] = ta.EMA(dataframe, timeperiod=10)
|
||||
|
||||
return dataframe
|
||||
|
||||
def populate_entry_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
dataframe.loc[
|
||||
(
|
||||
(dataframe["rsi"] < self.buy_rsi.value)
|
||||
& (dataframe["fastd"] < 35)
|
||||
& (dataframe["adx"] > 30)
|
||||
& (dataframe["plus_di"] > self.buy_plusdi.value)
|
||||
)
|
||||
| ((dataframe["adx"] > 65) & (dataframe["plus_di"] > self.buy_plusdi.value)),
|
||||
"enter_long",
|
||||
] = 1
|
||||
|
||||
return dataframe
|
||||
|
||||
def populate_exit_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
|
||||
dataframe.loc[
|
||||
(
|
||||
(
|
||||
(qtpylib.crossed_above(dataframe["rsi"], self.sell_rsi.value))
|
||||
| (qtpylib.crossed_above(dataframe["fastd"], 70))
|
||||
)
|
||||
& (dataframe["adx"] > 10)
|
||||
& (dataframe["minus_di"] > 0)
|
||||
)
|
||||
| ((dataframe["adx"] > 70) & (dataframe["minus_di"] > self.sell_minusdi.value)),
|
||||
"exit_long",
|
||||
] = 1
|
||||
|
||||
return dataframe
|
||||
|
||||
def leverage(
|
||||
self,
|
||||
pair: str,
|
||||
current_time: datetime,
|
||||
current_rate: float,
|
||||
proposed_leverage: float,
|
||||
max_leverage: float,
|
||||
entry_tag: str | None,
|
||||
side: str,
|
||||
**kwargs,
|
||||
) -> float:
|
||||
return 3.0
|
||||
|
||||
def adjust_trade_position(
|
||||
self,
|
||||
trade,
|
||||
current_time: datetime,
|
||||
current_rate: float,
|
||||
current_profit: float,
|
||||
min_stake: float | None,
|
||||
max_stake: float,
|
||||
current_entry_rate: float,
|
||||
current_exit_rate: float,
|
||||
current_entry_profit: float,
|
||||
current_exit_profit: float,
|
||||
**kwargs,
|
||||
) -> float | None:
|
||||
if current_profit < -0.0075:
|
||||
orders = trade.select_filled_orders(trade.entry_side)
|
||||
return round(orders[0].stake_amount, 0)
|
||||
return None
|
||||
|
||||
class HyperOpt:
|
||||
def buy_indicator_space(self):
|
||||
return [
|
||||
self.strategy.buy_rsi.get_space('buy_rsi'),
|
||||
self.strategy.buy_plusdi.get_space('buy_plusdi')
|
||||
]
|
||||
|
||||
def sell_indicator_space(self):
|
||||
return [
|
||||
self.strategy.sell_rsi.get_space('sell_rsi'),
|
||||
self.strategy.sell_minusdi.get_space('sell_minusdi')
|
||||
]
|
||||
|
||||
def roi_space(self):
|
||||
from skopt.space import Integer
|
||||
return [
|
||||
Integer(10, 120, name='roi_t1'),
|
||||
Integer(10, 60, name='roi_t2'),
|
||||
Integer(10, 40, name='roi_t3'),
|
||||
]
|
||||
|
||||
def stoploss_space(self):
|
||||
from skopt.space import Real
|
||||
return [Real(-0.5, -0.01, name='stoploss')]
|
||||
|
||||
def trailing_space(self):
|
||||
from skopt.space import Real, Categorical
|
||||
return [
|
||||
Categorical([True, False], name='trailing_stop'),
|
||||
Real(0.01, 0.1, name='trailing_stop_positive'),
|
||||
Real(0.0, 0.1, name='trailing_stop_positive_offset'),
|
||||
Real(0.0, 0.1, name='trailing_only_offset_is_reached')
|
||||
]
|
||||
|
||||
def max_open_trades_space(self):
|
||||
from skopt.space import Integer
|
||||
return [Integer(1, 10, name='max_open_trades')]``
|
||||
Loading…
x
Reference in New Issue
Block a user