TrailingBuyStrat.py

# --- Do not remove these libs ---
from freqtrade.strategy.interface import IStrategy
from typing import Dict, List
from functools import reduce
from pandas import DataFrame, Series
# --------------------------------

import logging
import pandas as pd
import numpy as np
from datetime import datetime, timedelta, timezone
from freqtrade.persistence import Trade

logger = logging.getLogger(__name__)


class YourStrat(IStrategy):
    # replace this by your strategy
    pass

class TrailingBuyStrat(YourStrat):
    # Orignal idea by @MukavaValkku, code by @tirail and @stash86
    #
    # This class is designed to inherit from yours and starts trailing buy with your buy signals
    # Trailing buy starts at any buy signal
    # Trailing buy stops  with BUY if : price decreases and rises again more than trailing_buy_offset
    # Trailing buy stops with NO BUY : current price is > initial price * (1 +  trailing_buy_max) OR custom_sell tag
    # IT IS NOT COMPATIBLE WITH BACKTEST/HYPEROPT
    #
    # if process_only_new_candles = True, then you need to use 1m timeframe (and normal strategy timeframe as informative)
    # if process_only_new_candles = False, it will use ticker data and you won't need to change anything

    process_only_new_candles = False

    custom_info_trail_buy = dict()

    # Trailing buy parameters
    trailing_buy_order_enabled = True
    trailing_expire_seconds = 300

    # list of buy tags which need a fast buy
    perfect_buy_tags = ['ewo_low']
    def is_perfect_buy_tag(self, buy_tag: str):
        for perfect_buy_tag in self.perfect_buy_tags:
            if buy_tag in perfect_buy_tag:
                return True
        return False

    # If the current candle goes above min_uptrend_trailing_profit % before trailing_expire_seconds_uptrend seconds, buy the coin
    trailing_buy_uptrend_enabled = False
    trailing_expire_seconds_uptrend = 90
    min_uptrend_trailing_profit = 0.02

    debug_mode = True
    trailing_buy_max_stop = 0.1  # stop trailing buy if current_price > starting_price * (1+trailing_buy_max_stop)
    trailing_buy_max_buy = 0.002  # buy if price between uplimit (=min of serie (current_price * (1 + trailing_buy_offset())) and (start_price * 1+trailing_buy_max_buy))

    init_trailing_dict = {
        'trailing_buy_order_started': False,
        'trailing_buy_order_uplimit': 0,
        'start_trailing_price': 0,
        'buy_tag': None,
        'start_trailing_time': None,
        'offset': 0,
    }

    def trailing_buy(self, pair, reinit=False):
        # returns trailing buy info for pair (init if necessary)
        if not pair in self.custom_info_trail_buy:
            self.custom_info_trail_buy[pair] = dict()
        if reinit or not 'trailing_buy' in self.custom_info_trail_buy[pair]:
            self.custom_info_trail_buy[pair]['trailing_buy'] = self.init_trailing_dict
        return self.custom_info_trail_buy[pair]['trailing_buy']

    def trailing_buy_info(self, pair: str, current_price: float):
        # current_time live, dry run
        current_time = datetime.now(timezone.utc)
        if not self.debug_mode:
            return
        trailing_buy = self.trailing_buy(pair)

        duration = 0
        try:
            duration = (current_time - trailing_buy['start_trailing_time'])
        except TypeError:
            duration = 0
        finally:
            logger.info(
                f"pair: {pair} : "
                f"start: {trailing_buy['start_trailing_price']:.4f}, "
                f"duration: {duration}, "
                f"current: {current_price:.4f}, "
                f"uplimit: {trailing_buy['trailing_buy_order_uplimit']:.4f}, "
                f"profit: {self.current_trailing_profit_ratio(pair, current_price)*100:.2f}%, "
                f"offset: {trailing_buy['offset']}")

    def current_trailing_profit_ratio(self, pair: str, current_price: float) -> float:
        trailing_buy = self.trailing_buy(pair)
        if trailing_buy['trailing_buy_order_started']:
            return (trailing_buy['start_trailing_price'] - current_price) / trailing_buy['start_trailing_price']
        else:
            return 0

    def buy(self, dataframe, pair: str, current_price: float, buy_tag: str):
        dataframe.iloc[-1, dataframe.columns.get_loc('buy')] = 1
        ratio = "%.2f" % ((self.current_trailing_profit_ratio(pair, current_price)) * 100)
        if 'buy_tag' in dataframe.columns:
            dataframe.iloc[-1, dataframe.columns.get_loc('buy_tag')] = f"{buy_tag} ({ratio} %)"
        self.trailing_buy_info(pair, current_price)
        logger.info(f"price OK for {pair} ({ratio} %, {current_price}), order may not be triggered if all slots are full")

    def trailing_buy_offset(self, dataframe, pair: str, current_price: float):
        # return rebound limit before a buy in % of initial price, function of current price
        # return None to stop trailing buy (will start again at next buy signal)
        # return 'forcebuy' to force immediate buy
        # (example with 0.5%. initial price : 100 (uplimit is 100.5), 2nd price : 99 (no buy, uplimit updated to 99.5), 3price 98 (no buy uplimit updated to 98.5), 4th price 99 -> BUY
        current_trailing_profit_ratio = self.current_trailing_profit_ratio(pair, current_price)
        default_offset = 0.005

        trailing_buy = self.trailing_buy(pair)
        if not trailing_buy['trailing_buy_order_started']:
            return default_offset

        # example with duration and indicators
        # dry run, live only
        last_candle = dataframe.iloc[-1]
        current_time = datetime.now(timezone.utc)
        trailing_duration = current_time - trailing_buy['start_trailing_time']
        if self.is_perfect_buy_tag(trailing_buy['buy_tag']):
            return 'forcebuy'
        elif trailing_duration.total_seconds() > self.trailing_expire_seconds:
            if current_trailing_profit_ratio > 0 and last_candle['pre_buy'] == 1:
                # more than 1h, price under first signal, buy signal still active -> buy
                return 'forcebuy'
            else:
                # wait for next signal
                return None
        elif (self.trailing_buy_uptrend_enabled and (trailing_duration.total_seconds() < self.trailing_expire_seconds_uptrend) and (current_trailing_profit_ratio < (-1 * self.min_uptrend_trailing_profit))):
            # less than 90s and price is rising, buy
            return 'forcebuy'

        if current_trailing_profit_ratio < 0:
            # current price is higher than initial price
            return default_offset

        trailing_buy_offset = {
            0.06: 0.02,
            0.03: 0.01,
            0: default_offset,
        }

        for key in trailing_buy_offset:
            if current_trailing_profit_ratio > key:
                return trailing_buy_offset[key]

        return default_offset

    # end of trailing buy parameters
    # -----------------------------------------------------

    def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
                    current_profit: float, **kwargs):
        tag = super().custom_sell(pair, trade, current_time, current_rate, current_profit, **kwargs)
        if tag:
            self.trailing_buy_info(pair, current_rate)
            self.trailing_buy(pair, reinit=True)
            logger.info(f'STOP trailing buy for {pair} because of {tag}')
        return tag

    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe = super().populate_indicators(dataframe, metadata)
        self.trailing_buy(metadata['pair'])
        return dataframe

    def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float,
                           rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool:
        val = super().confirm_trade_exit(pair, trade, order_type, amount, rate, time_in_force, sell_reason, **kwargs)
        self.trailing_buy(pair, reinit=True)
        return val

    def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, time_in_force: str, **kwargs) -> bool:
        val = super().confirm_trade_entry(pair, order_type, amount, rate, time_in_force, **kwargs)
        # stop trailing when buy signal ! prevent from buying much higher price when slot is free
        self.trailing_buy_info(pair, rate)
        self.trailing_buy(pair, reinit=True)
        logger.info(f'STOP trailing buy for {pair} because I buy it')
        return val

    def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
        dataframe = super().populate_buy_trend(dataframe, metadata)

        if not self.trailing_buy_order_enabled or not self.config['runmode'].value in ('live', 'dry_run'): # no buy trailing
            return dataframe

        dataframe = dataframe.rename(columns={"buy": "pre_buy"})
        last_candle = dataframe.iloc[-1].squeeze()
        dataframe['buy'] = 0
        trailing_buy = self.trailing_buy(metadata['pair'])

        if not trailing_buy['trailing_buy_order_started'] and last_candle['pre_buy'] == 1:
            current_price = self.get_current_price(metadata["pair"], last_candle)
            open_trades = Trade.get_trades([Trade.pair == metadata['pair'], Trade.is_open.is_(True), ]).all()
            if not open_trades:
                # start trailing buy
                self.custom_info_trail_buy[metadata["pair"]]['trailing_buy'] = {
                    'trailing_buy_order_started': True,
                    'trailing_buy_order_uplimit': last_candle['close'],
                    'start_trailing_price': last_candle['close'],
                    'buy_tag': last_candle['buy_tag'] if 'buy_tag' in last_candle else 'buy signal',
                    'start_trailing_time': datetime.now(timezone.utc),
                    'offset': 0,
                }
                self.trailing_buy_info(metadata["pair"], current_price)
                logger.info(f'start trailing buy for {metadata["pair"]} at {last_candle["close"]}')
        elif trailing_buy['trailing_buy_order_started']:
            current_price = self.get_current_price(metadata["pair"], last_candle)
            trailing_buy_offset = self.trailing_buy_offset(dataframe, metadata['pair'], current_price)

            if trailing_buy_offset == 'forcebuy':
                # buy in custom conditions
                self.buy(dataframe, metadata['pair'], current_price, trailing_buy['buy_tag'])
            elif trailing_buy_offset is None:
                # stop trailing buy custom conditions
                self.trailing_buy(metadata['pair'], reinit=True)
                logger.info(f'STOP trailing buy for {metadata["pair"]} because "trailing buy offset" returned None')
            elif current_price < trailing_buy['trailing_buy_order_uplimit']:
                # update uplimit
                old_uplimit = trailing_buy["trailing_buy_order_uplimit"]
                self.custom_info_trail_buy[metadata["pair"]]['trailing_buy']['trailing_buy_order_uplimit'] = min(current_price * (1 + trailing_buy_offset), self.custom_info_trail_buy[metadata["pair"]]['trailing_buy']['trailing_buy_order_uplimit'])
                self.custom_info_trail_buy[metadata["pair"]]['trailing_buy']['offset'] = trailing_buy_offset
                self.trailing_buy_info(metadata["pair"], current_price)
                logger.info(f'update trailing buy for {metadata["pair"]} at {old_uplimit} -> {self.custom_info_trail_buy[metadata["pair"]]["trailing_buy"]["trailing_buy_order_uplimit"]}')
            elif current_price < (trailing_buy['start_trailing_price'] * (1 + self.trailing_buy_max_buy)):
                # buy ! current price > uplimit && lower thant starting price
                self.buy(dataframe, metadata['pair'], current_price, trailing_buy['buy_tag'])
            elif current_price > (trailing_buy['start_trailing_price'] * (1 + self.trailing_buy_max_stop)):
                # stop trailing buy because price is too high
                self.trailing_buy(metadata['pair'], reinit=True)
                self.trailing_buy_info(metadata["pair"], current_price)
                logger.info(f'STOP trailing buy for {metadata["pair"]} because of the price is higher than starting price * {1 + self.trailing_buy_max_stop}')
            else:
                # uplimit > current_price > max_price, continue trailing and wait for the price to go down
                self.trailing_buy_info(metadata["pair"], current_price)
                logger.info(f'price too high for {metadata["pair"]} !')
        return dataframe

    def get_current_price(self, pair: str, last_candle) -> float:
        if self.process_only_new_candles:
            current_price = last_candle['close']
        else:
            ticker = self.dp.ticker(pair)
            current_price = ticker['last']
        return current_price