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⚡️ Weighted Signal: PVT - Price Volume Trend #54

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⚡️ Weighted Signal: PVT - Price Volume Trend #54

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83ee3a3
Price Volume Trend Indicator
andif888 Jun 6, 2021
dc3142a
Price Volume Trend Indicator comparable HOs
andif888 Jun 6, 2021
8f2b61f
fix the # identation
andif888 Jun 7, 2021
223c396
Merge branch 'development' into feature_pvt_indicator
andif888 Jun 19, 2021
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52 changes: 52 additions & 0 deletions user_data/Total-Average-Signal-Importance-Report.log
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@@ -0,0 +1,52 @@
Signal importance report
--------------------------------------------------------------------
Stake currency: USDT

Total Overall Signal Importance:
--------------------------------------------------------------------
avg | down | side | up
adx_strong_up_down: 53.17% | 46.5% | 50.0% | 63.0%
bollinger_bands: 32.67% | 15.5% | 20.0% | 62.5%
ema_long_golden_death_cross: 43.5% | 67.5% | 49.5% | 13.5%
ema_short_golden_death_cross: 43.17% | 30.0% | 35.5% | 64.0%
macd: 32.83% | 10.0% | 25.0% | 63.5%
rsi: 52.5% | 46.5% | 50.0% | 61.0%
sma_long_golden_death_cross: 43.17% | 63.0% | 42.5% | 24.0%
sma_short_golden_death_cross: 40.5% | 59.5% | 14.5% | 47.5%
vwap_cross: 67.0% | 70.0% | 76.0% | 55.0%
pvt_cross: 30.83% | 77.5% | 11.0% | 4.0%

Total Overall Buy Signal Importance:
--------------------------------------------------------------------
avg | down | side | up
adx_strong_up: 91.33% | 93.0% | 100.0% | 81.0%
bollinger_bands: 30.67% | 0.0% | 0.0% | 92.0%
ema_long_golden_cross: 16.0% | 35.0% | 13.0% | 0.0%
ema_short_golden_cross: 46.33% | 48.0% | 20.0% | 71.0%
macd: 19.33% | 20.0% | 11.0% | 27.0%
rsi: 55.0% | 47.0% | 45.0% | 73.0%
sma_long_golden_cross: 49.33% | 74.0% | 26.0% | 48.0%
sma_short_golden_cross: 51.33% | 100.0% | 29.0% | 25.0%
vwap_cross: 90.33% | 100.0% | 71.0% | 100.0%
pvt_cross: 28.67% | 64.0% | 22.0% | 0.0%

Total Overall Sell Signal Importance:
--------------------------------------------------------------------
avg | down | side | up
adx_strong_down: 15.0% | 0.0% | 0.0% | 45.0%
bollinger_bands: 34.67% | 31.0% | 40.0% | 33.0%
ema_long_death_cross: 71.0% | 100.0% | 86.0% | 27.0%
ema_short_death_cross: 40.0% | 12.0% | 51.0% | 57.0%
macd: 46.33% | 0.0% | 39.0% | 100.0%
rsi: 50.0% | 46.0% | 55.0% | 49.0%
sma_long_death_cross: 37.0% | 52.0% | 59.0% | 0.0%
sma_short_death_cross: 29.67% | 19.0% | 0.0% | 70.0%
vwap_cross: 43.67% | 40.0% | 81.0% | 10.0%
pvt_cross: 33.0% | 91.0% | 0.0% | 8.0%

Losing Open Trade Sell Unclogger:
--------------------------------------------------------------------

minimal_losing_trade_duration_minutes: 36
minimal_losing_trades_open: 4
trend_lookback_candles_window: 24
300 changes: 300 additions & 0 deletions user_data/hyperopt_results/strategy_MoniGoManiHyperStrategy_no_pvt.fthypt
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300 changes: 300 additions & 0 deletions user_data/hyperopt_results/strategy_MoniGoManiHyperStrategy_with_pvt.fthypt
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2 changes: 1 addition & 1 deletion user_data/mgm-config.json
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Original file line number Diff line number Diff line change
Expand Up @@ -21,7 +21,7 @@
"max_trend_total_signal_needed_candles_lookback_window_value": 6,
"search_threshold_weighted_signal_values": 10,
"search_threshold_trend_total_signal_needed_candles_lookback_window_value": 1,
"number_of_weighted_signals": 9
"number_of_weighted_signals": 10
},
"stoploss_spaces": {
"stoploss_min_value": -0.02,
Expand Down
17 changes: 13 additions & 4 deletions user_data/mgm_tools/Total-Overall-Signal-Importance-Calculator.py
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Expand Up @@ -43,6 +43,7 @@ class TotalOverallSignalImportanceCalculator:
"buy_downwards_trend_sma_long_golden_cross_weight": 100, # value loaded from strategy
"buy_downwards_trend_sma_short_golden_cross_weight": 29,
"buy_downwards_trend_vwap_cross_weight": 66,
"buy_downwards_trend_pvt_cross_weight": 88,
"buy_sideways_trend_adx_strong_up_weight": 75,
"buy_sideways_trend_bollinger_bands_weight": 64,
"buy_sideways_trend_ema_long_golden_cross_weight": 50,
Expand All @@ -52,6 +53,7 @@ class TotalOverallSignalImportanceCalculator:
"buy_sideways_trend_sma_long_golden_cross_weight": 37,
"buy_sideways_trend_sma_short_golden_cross_weight": 100, # value loaded from strategy
"buy_sideways_trend_vwap_cross_weight": 81,
"buy_sideways_trend_pvt_cross_weight": 74,
"buy_upwards_trend_adx_strong_up_weight": 73,
"buy_upwards_trend_bollinger_bands_weight": 100, # value loaded from strategy
"buy_upwards_trend_ema_long_golden_cross_weight": 49,
Expand All @@ -60,7 +62,8 @@ class TotalOverallSignalImportanceCalculator:
"buy_upwards_trend_rsi_weight": 61,
"buy_upwards_trend_sma_long_golden_cross_weight": 80,
"buy_upwards_trend_sma_short_golden_cross_weight": 100, # value loaded from strategy
"buy_upwards_trend_vwap_cross_weight": 43
"buy_upwards_trend_vwap_cross_weight": 43,
"buy_upwards_trend_pvt_cross_weight": 26
}

# Sell hyperspace params:
Expand Down Expand Up @@ -92,6 +95,7 @@ class TotalOverallSignalImportanceCalculator:
"sell_downwards_trend_sma_long_death_cross_weight": 44,
"sell_downwards_trend_sma_short_death_cross_weight": 72,
"sell_downwards_trend_vwap_cross_weight": 5,
"sell_downwards_trend_pvt_cross_weight": 87,
"sell_sideways_trend_adx_strong_down_weight": 100, # value loaded from strategy
"sell_sideways_trend_bollinger_bands_weight": 0, # value loaded from strategy
"sell_sideways_trend_ema_long_death_cross_weight": 44,
Expand All @@ -101,6 +105,7 @@ class TotalOverallSignalImportanceCalculator:
"sell_sideways_trend_sma_long_death_cross_weight": 100, # value loaded from strategy
"sell_sideways_trend_sma_short_death_cross_weight": 44,
"sell_sideways_trend_vwap_cross_weight": 49,
"sell_sideways_trend_pvt_cross_weight": 67,
"sell_upwards_trend_adx_strong_down_weight": 14,
"sell_upwards_trend_bollinger_bands_weight": 19,
"sell_upwards_trend_ema_long_death_cross_weight": 80,
Expand All @@ -109,7 +114,8 @@ class TotalOverallSignalImportanceCalculator:
"sell_upwards_trend_rsi_weight": 62,
"sell_upwards_trend_sma_long_death_cross_weight": 19,
"sell_upwards_trend_sma_short_death_cross_weight": 18,
"sell_upwards_trend_vwap_cross_weight": 78
"sell_upwards_trend_vwap_cross_weight": 78,
"sell_upwards_trend_pvt_cross_weight": 27
}

####################################################################################################################
Expand Down Expand Up @@ -270,6 +276,7 @@ def main():
'sma_long_golden_cross',
'sma_short_golden_cross',
'vwap_cross',
'pvt_cross'
]

sell_indicator_names = [
Expand All @@ -281,7 +288,8 @@ def main():
'rsi',
'sma_long_death_cross',
'sma_short_death_cross',
'vwap_cross'
'vwap_cross',
'pvt_cross'
]

combined_indicator_names = {
Expand All @@ -293,7 +301,8 @@ def main():
'rsi': ['rsi'],
'sma_long_golden_death_cross': ['sma_long_golden_cross', 'sma_long_death_cross'],
'sma_short_golden_death_cross': ['sma_short_golden_cross', 'sma_short_death_cross'],
'vwap_cross': ['vwap_cross']
'vwap_cross': ['vwap_cross'],
'pvt_cross': ['pvt_cross']
}

# Check if loading parameters from a JSON file
Expand Down
16 changes: 14 additions & 2 deletions user_data/strategies/MoniGoManiHyperStrategy.py
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Original file line number Diff line number Diff line change
Expand Up @@ -30,7 +30,9 @@
# Weighted Buy Signal: SMA short term Golden Cross (Short term SMA crosses above Medium term SMA)
'sma_short_golden_cross': lambda df: (qtpylib.crossed_above(df['sma9'], df['sma50'])),
# Weighted Sell Signal: VWAP crosses above current price
'vwap_cross': lambda df: (qtpylib.crossed_above(df['vwap'], df['close']))
'vwap_cross': lambda df: (qtpylib.crossed_above(df['vwap'], df['close'])),
# Weighted Buy Signal: PVT crosses above PVT_SMA (Price and volume increase)
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nit: please fix the # identation

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fixed in 8f2b61f

'pvt_cross': lambda df: (qtpylib.crossed_above(df['pvt'], df['pvt_sma']))
}

sell_signals = {
Expand All @@ -51,7 +53,9 @@
# Weighted Sell Signal: SMA short term Death Cross (Short term SMA crosses below Medium term SMA)
'sma_short_death_cross': lambda df: (qtpylib.crossed_below(df['sma9'], df['sma50'])),
# Weighted Sell Signal: VWAP crosses below current price
'vwap_cross': lambda df: (qtpylib.crossed_below(df['vwap'], df['close']))
'vwap_cross': lambda df: (qtpylib.crossed_below(df['vwap'], df['close'])),
# Weighted Sell Signal: PVT crosses below PVT_SMA
'pvt_cross': lambda df: (qtpylib.crossed_below(df['pvt'], df['pvt_sma']))
}

# Returns the method responsible for decorating the current class with all the parameters of the MGM
Expand Down Expand Up @@ -117,6 +121,10 @@ class MoniGoManiHyperStrategy(MasterMoniGoManiHyperStrategy):
},
'RSI (Relative Strength Index)': {
'rsi': {'color': '#7fba3c'}
},
'PVT (Price Volume Trend)': {
'pvt': {'color': '#19038a'},
'pvt_sma': {'color': '#ae231c'}
}
}
}
Expand Down Expand Up @@ -182,6 +190,10 @@ def do_populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFr
# VWAP - Volume Weighted Average Price
dataframe['vwap'] = qtpylib.vwap(dataframe)

# PVT - Price Volume Trend
dataframe['pvt'] = qtpylib.pvt(dataframe)
dataframe['pvt_sma'] = ta.SMA(qtpylib.pvt(dataframe), timeperiod=21)

return dataframe

def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
Expand Down