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thetank3.py
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import logging
import numpy as np
import pandas as pd
from technical import qtpylib, pivots_points
from pandas import DataFrame
from datetime import datetime, timezone
from typing import Optional
from functools import reduce
import talib.abstract as ta
import pandas_ta as pta
from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter,
IStrategy, IntParameter, RealParameter, merge_informative_pair)
import freqtrade.vendor.qtpylib.indicators as qtpylib
from freqtrade.persistence import Trade
logger = logging.getLogger(__name__)
class thetank3(IStrategy):
### Strategy parameters ###
exit_profit_only = True ### No selling at a loss
use_custom_stoploss = True
trailing_stop = True
position_adjustment_enable = True
ignore_roi_if_entry_signal = True
use_exit_signal = True
stoploss = -0.09
startup_candle_count: int = 30
timeframe = '15m'
# DCA Parameters
position_adjustment_enable = True
max_entry_position_adjustment = 0
max_dca_multiplier = 1
minimal_roi = {
"12000": 0.01,
"2400": 0.10,
"300": 0.15,
"180": 0.30,
"120":0.40,
"60": 0.45,
"0": 0.50
}
### Hyperoptable parameters ###
# entry optizimation
max_epa = CategoricalParameter([0, 1, 2, 3], default=0, space="buy", optimize=True)
# protections
cooldown_lookback = IntParameter(4, 48, default=16, space="protection", optimize=True)
stop_duration = IntParameter(5, 96, default=5, space="protection", optimize=True)
use_stop_protection = BooleanParameter(default=True, space="protection", optimize=True)
# indicators
wavelength = IntParameter(low=3, high=10, default=8, space='buy', optimize=True)
crosslength = IntParameter(low=3, high=10, default=3, space='sell', optimize=True)
filterlength = IntParameter(low=25, high=35, default=25, space='buy', optimize=True)
# trading
buy_rsi = IntParameter(low=20, high=30, default=25, space='buy', optimize=True, load=True)
buy_rsi_bear = IntParameter(low=40, high=55, default=45, space='buy', optimize=True, load=True)
buy_rsi_bull = IntParameter(low=55, high=75, default=65, space='buy', optimize=True, load=True)
buy_wt_bear = IntParameter(low=20, high=55, default=45, space='buy', optimize=True, load=True)
buy_wt_bull = IntParameter(low=30, high=75, default=65, space='buy', optimize=True, load=True)
sell_rsi = IntParameter(low=50, high=80, default=55, space='sell', optimize=True, load=True)
# dca level optimization
dca1 = DecimalParameter(low=0.03, high=0.08, decimals=2, default=0.05, space='buy', optimize=True, load=True)
dca2 = DecimalParameter(low=0.08, high=0.15, decimals=2, default=0.10, space='buy', optimize=True, load=True)
dca3 = DecimalParameter(low=0.15, high=0.25, decimals=2, default=0.15, space='buy', optimize=True, load=True)
#trailing stop loss optimiziation
tsl_target5 = DecimalParameter(low=0.2, high=0.4, decimals=1, default=0.3, space='sell', optimize=True, load=True)
ts5 = DecimalParameter(low=0.04, high=0.06, default=0.05, space='sell', optimize=True, load=True)
tsl_target4 = DecimalParameter(low=0.18, high=0.3, default=0.2, space='sell', optimize=True, load=True)
ts4 = DecimalParameter(low=0.03, high=0.05, default=0.045, space='sell', optimize=True, load=True)
tsl_target3 = DecimalParameter(low=0.10, high=0.15, default=0.15, space='sell', optimize=True, load=True)
ts3 = DecimalParameter(low=0.025, high=0.04, default=0.035, space='sell', optimize=True, load=True)
tsl_target2 = DecimalParameter(low=0.07, high=0.12, default=0.1, space='sell', optimize=True, load=True)
ts2 = DecimalParameter(low=0.015, high=0.03, default=0.02, space='sell', optimize=True, load=True)
tsl_target1 = DecimalParameter(low=0.05, high=0.06, default=0.07, space='sell', optimize=True, load=True)
ts1 = DecimalParameter(low=0.01, high=0.016, default=0.013, space='sell', optimize=True, load=True)
tsl_target0 = DecimalParameter(low=0.02, high=0.05, default=0.03, space='sell', optimize=True, load=True)
ts0 = DecimalParameter(low=0.008, high=0.015, default=0.013, space='sell', optimize=True, load=True)
### protections ###
@property
def protections(self):
prot = []
prot.append({
"method": "CooldownPeriod",
"stop_duration_candles": self.cooldown_lookback.value
})
if self.use_stop_protection.value:
prot.append({
"method": "StoplossGuard",
"lookback_period_candles": 24 * 3,
"trade_limit": 1,
"stop_duration_candles": self.stop_duration.value,
"only_per_pair": False
})
return prot
### Dollar Cost Averaging ###
# This is called when placing the initial order (opening trade)
def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
proposed_stake: float, min_stake: Optional[float], max_stake: float,
leverage: float, entry_tag: Optional[str], side: str,
**kwargs) -> float:
# if self.max_epa.value == 0:
# self.max_dca_multiplier = 1
# elif self.max_epa.value == 1:
# self.max_dca_multiplier = 2
# elif self.max_epa.value == 2:
# self.max_dca_multiplier = 3
# else:
# self.max_dca_multiplier = 4
# We need to leave most of the funds for possible further DCA orders
# This also applies to fixed stakes
return proposed_stake / self.max_dca_multiplier
def adjust_trade_position(self, trade: Trade, current_time: datetime,
current_rate: float, current_profit: float,
min_stake: Optional[float], max_stake: float,
current_entry_rate: float, current_exit_rate: float,
current_entry_profit: float, current_exit_profit: float,
**kwargs) -> Optional[float]:
"""
Custom trade adjustment logic, returning the stake amount that a trade should be
increased or decreased.
This means extra buy or sell orders with additional fees.
Only called when `position_adjustment_enable` is set to True.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, returns None
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Current buy rate.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param min_stake: Minimal stake size allowed by exchange (for both entries and exits)
:param max_stake: Maximum stake allowed (either through balance, or by exchange limits).
:param current_entry_rate: Current rate using entry pricing.
:param current_exit_rate: Current rate using exit pricing.
:param current_entry_profit: Current profit using entry pricing.
:param current_exit_profit: Current profit using exit pricing.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: Stake amount to adjust your trade,
Positive values to increase position, Negative values to decrease position.
Return None for no action.
"""
if current_profit > 0.10 and trade.nr_of_successful_exits == 0:
# Take half of the profit at +5%
return -(trade.stake_amount / 2)
if current_profit > -(self.dca1.value) and trade.nr_of_successful_entries == 1:
return None
if current_profit > -(self.dca2.value) and trade.nr_of_successful_entries == 2:
return None
if current_profit > -(self.dca3.value) and trade.nr_of_successful_entries == 3:
return None
# Obtain pair dataframe (just to show how to access it)
dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
filled_entries = trade.select_filled_orders(trade.entry_side)
count_of_entries = trade.nr_of_successful_entries
# Allow up to 3 additional increasingly larger buys (4 in total)
# Initial buy is 1x
# If that falls to -2.5% profit, we buy more,
# If that falls down to -5% again, we buy 1.5x more
# If that falls once again down to -5%, we buy more
# Total stake for this trade would be 1 + 1.5 + 2 + 2.5 = 7x of the initial allowed stake.
# That is why max_dca_multiplier is 7
# Hope you have a deep wallet!
try:
# This returns first order stake size
stake_amount = filled_entries[0].cost
# This then calculates current safety order size
if count_of_entries == 1:
stake_amount = stake_amount * 1
elif count_of_entries == 2:
stake_amount = stake_amount * 1
elif count_of_entries == 3:
stake_amount = stake_amount * 1
else:
stake_amount = stake_amount
return stake_amount
except Exception as exception:
return None
return None
### Trailing Stop ###
def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
current_rate: float, current_profit: float, **kwargs) -> float:
for stop5 in self.tsl_target5.range:
if (current_profit > stop5):
for stop5a in self.ts5.range:
return stop5a
for stop4 in self.tsl_target4.range:
if (current_profit > stop4):
for stop4a in self.ts4.range:
return stop4a
for stop3 in self.tsl_target3.range:
if (current_profit > stop3):
for stop3a in self.ts3.range:
return stop3a
for stop2 in self.tsl_target2.range:
if (current_profit > stop2):
for stop2a in self.ts2.range:
return stop2a
for stop1 in self.tsl_target1.range:
if (current_profit > stop1):
for stop1a in self.ts1.range:
return stop1a
for stop0 in self.tsl_target0.range:
if (current_profit > stop0):
for stop0a in self.ts0.range:
return stop0a
return self.stoploss
### NORMAL INDICATORS ###
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# Pivot Points
pivots = pivots_points.pivots_points(dataframe)
dataframe['pivot'] = pivots['pivot']
dataframe['s1'] = pivots['s1']
dataframe['r1'] = pivots['r1']
dataframe['s2'] = pivots['s2']
dataframe['r2'] = pivots['r2']
dataframe['s3'] = pivots['s3']
dataframe['r3'] = pivots['r3']
dataframe['r3-dif'] = (dataframe['r3'] - dataframe['r2']) / 4
dataframe['r2.25'] = dataframe['r2'] + dataframe['r3-dif']
dataframe['r2.50'] = dataframe['r2'] + (dataframe['r3-dif'] * 2)
dataframe['r2.75'] = dataframe['r2'] + (dataframe['r3-dif'] * 3)
# Filter ZEMA
for length in self.filterlength.range:
dataframe[f'ema_1{length}'] = ta.EMA(dataframe['close'], timeperiod=length)
dataframe[f'ema_2{length}'] = ta.EMA(dataframe[f'ema_1{length}'], timeperiod=length)
dataframe[f'ema_dif{length}'] = dataframe[f'ema_1{length}'] - dataframe[f'ema_2{length}']
dataframe[f'zema_{length}'] = dataframe[f'ema_1{length}'] + dataframe[f'ema_dif{length}']
# RSI
dataframe['rsi'] = ta.RSI(dataframe)
dataframe['rsi_ma'] = ta.SMA(dataframe['rsi'], timeperiod=7)
# WaveTrend using OHLC4 or HA close - 3/21
ap = (0.25 * (dataframe['high'] + dataframe['low'] + dataframe["close"] + dataframe["open"]))
for wave in self.wavelength.range:
dataframe[f'esa{wave}'] = ta.EMA(ap, timeperiod = wave)
dataframe[f'd{wave}'] = ta.EMA(abs(ap - dataframe[f'esa{wave}']), timeperiod = wave)
dataframe[f'wave_ci{wave}'] = (ap-dataframe[f'esa{wave}']) / (0.015 * dataframe[f'd{wave}'])
dataframe[f'wave_t1{wave}'] = ta.EMA(dataframe[f'wave_ci{wave}'], timeperiod = 21)
for cross in self.crosslength.range:
dataframe[f'wave_t2{cross}_{wave}'] = ta.SMA(dataframe[f'wave_t1{wave}'], timeperiod = cross)
# SMA
dataframe['200_SMA'] = ta.SMA(dataframe["close"], timeperiod = 200)
dataframe['30_SMA'] = ta.SMA(dataframe["close"], timeperiod = 30)
# TTM Squeeze
ttm_Squeeze = pta.squeeze(high = dataframe['high'], low = dataframe['low'], close = dataframe["close"], lazybear = True)
dataframe['ttm_Squeeze'] = ttm_Squeeze['SQZ_20_2.0_20_1.5_LB']
dataframe['ttm_ema'] = ta.EMA(dataframe['ttm_Squeeze'], timeperiod = 4)
dataframe['squeeze_ON'] = ttm_Squeeze['SQZ_ON']
dataframe['squeeze_OFF'] = ttm_Squeeze['SQZ_OFF']
dataframe['NO_squeeze'] = ttm_Squeeze['SQZ_NO']
# if self.dp.runmode.value in ('live', 'dry_run'):
# ticker = self.dp.ticker(metadata['pair'])
# dataframe['last_price'] = ticker['last']
# dataframe['volume24h'] = ticker['quoteVolume']
# dataframe['vwap'] = ticker['vwap']
# # Trading pair: {'symbol': 'KAVA/USDT', 'timestamp': 1675451904532, 'datetime': '2023-02-03T19:18:24.532Z',
# 'high': 1.0652, 'low': 1.0031, 'bid': 1.0382, 'bidVolume': None, 'ask': 1.0395, 'askVolume': None,
# 'vwap': 1.035200204815235, 'open': 1.0558, 'close': 1.0403, 'last': 1.0403, 'previousClose': None, 'change': -0.0155,
# 'percentage': -1.46, 'average': 1.04130553, 'baseVolume': 457210.7641, 'quoteVolume': 473304.67664005,
# 'info':
# {'time': 1675451904532, 'symbol': 'KAVA-USDT', 'buy': '1.0382', 'sell': '1.0395', 'changeRate': '-0.0146', 'changePrice': '-0.0155', 'high': '1.0652', 'low': '1.0031', 'vol': '457210.7641', 'volValue': '473304.67664005', 'last': '1.0403', 'averagePrice': '1.04130553', 'takerFeeRate': '0.001', 'makerFeeRate': '0.001', 'takerCoefficient': '1', 'makerCoefficient': '1'}}, self.max_epa.value: 1, self.max_dca_multiplier: 2
# if (dataframe['30_SMA'].iloc[-1] > dataframe['200_SMA'].iloc[-1]
# and dataframe['30_SMA'].iloc[-1] > dataframe['30_SMA'].iloc[-2]
# and dataframe['200_SMA'].iloc[-1] > dataframe['200_SMA'].iloc[-2]).all():
# self.max_epa.value = 1
# elif (dataframe['30_SMA'].iloc[-1] > dataframe['200_SMA'].iloc[-1]
# and dataframe['30_SMA'].iloc[-1] > dataframe['30_SMA'].iloc[-2].all()):
# self.max_epa.value = 1
# elif (dataframe['30_SMA'].iloc[-1] < dataframe['200_SMA'].iloc[-1]
# and dataframe['30_SMA'].iloc[-1] > dataframe['30_SMA'].iloc[-2].all()):
# self.max_epa.value = 2
# else:
# self.max_epa.value = 2
# # print(f"Trading Pair: {dataframe.name}")
# print(f"self.max_epa.value: {self.max_epa.value}")
# print(f"self.max_dca_multiplier: {self.max_dca_multiplier}")
# print(f"Trading pair: {ticker['symbol']}, max_epa: {self.max_epa.value}, dca_multiplier: {self.max_dca_multiplier}")
return dataframe
### ENTRY CONDITIONS ###
def populate_entry_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
df.loc[
(
(qtpylib.crossed_above(df[f'zema_{self.filterlength.value}'], df['s3'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'S3 - XO')
df.loc[
(
(qtpylib.crossed_above(df[f'zema_{self.filterlength.value}'], df['s2'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'S2 - XO')
df.loc[
(
# Signal: RSI crosses above 30
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['squeeze_ON'] == 1)&
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['200_SMA'] < df['200_SMA'].shift(1)) &
(df['rsi'] < self.buy_rsi_bear.value) &
(df[f'wave_t1{self.wavelength.value}'] < self.buy_wt_bear.value)&
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
(qtpylib.crossed_above(df[f'wave_t1{self.wavelength.value}'], df[f'wave_t2{self.crosslength.value}_{self.wavelength.value}'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'ttm_Squeeze/WT - bear')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['squeeze_ON'] == 1)&
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['rsi'] < self.buy_rsi_bear.value) &
(df['200_SMA'] < df['200_SMA'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] < self.buy_wt_bear.value)&
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
(df[f'wave_t1{self.wavelength.value}'].shift(2) > df[f'wave_t1{self.wavelength.value}'].shift(1)) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'ttm_Squeeze/WTT - bear')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['rsi'] < self.buy_rsi_bear.value) &
(df['200_SMA'] < df['200_SMA'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] < self.buy_wt_bear.value)&
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
(df[f'wave_t1{self.wavelength.value}'].shift(2) > df[f'wave_t1{self.wavelength.value}'].shift(1)) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'WT transition - bear')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['200_SMA'] < df['200_SMA'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
(df[f'wave_t1{self.wavelength.value}'] < self.buy_wt_bear.value) &
(df[f'wave_t1{self.wavelength.value}'].shift(2) > df[f'wave_t1{self.wavelength.value}'].shift(1)) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'WT - bear')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['squeeze_ON'] == 1)&
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['rsi'] < self.buy_rsi_bull.value) &
(df['200_SMA'] > df['200_SMA'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
(qtpylib.crossed_above(df[f'wave_t1{self.wavelength.value}'], df[f'wave_t2{self.crosslength.value}_{self.wavelength.value}'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'ttm_Squeeze/WT - bull')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['squeeze_ON'] == 1)&
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['rsi'] < self.buy_rsi_bull.value) &
(df['200_SMA'] > df['200_SMA'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] < self.buy_wt_bull.value) &
(df[f'wave_t1{self.wavelength.value}'].shift(2) > df[f'wave_t1{self.wavelength.value}'].shift(1)) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'ttm_Squeeze/WTT - bull')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['rsi'] < self.buy_rsi_bull.value) &
(df['200_SMA'] > df['200_SMA'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
(df[f'wave_t1{self.wavelength.value}'] < self.buy_wt_bull.value) &
(df[f'wave_t1{self.wavelength.value}'].shift(2) > df[f'wave_t1{self.wavelength.value}'].shift(1)) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'WT transition - bull')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['200_SMA'] > df['200_SMA'].shift(1)) &
(df[f'wave_t1{self.wavelength.value}'] > df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
(df[f'wave_t1{self.wavelength.value}'] < self.buy_wt_bull.value) &
(df[f'wave_t1{self.wavelength.value}'].shift(2) > df[f'wave_t1{self.wavelength.value}'].shift(1)) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'WT - bull')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['rsi'] > self.buy_rsi.value) &
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['rsi'] < self.buy_rsi_bear.value) &
(df['200_SMA'] < df['200_SMA'].shift(1)) &
(qtpylib.crossed_above(df['rsi'], df['rsi_ma'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'RSI-XO bear')
df.loc[
(
(df['close'] > df[f'zema_{self.filterlength.value}'])&
(df['close'] < df['r2']) &
(df['rsi'] > self.buy_rsi.value) &
(df['rsi_ma'] > df['rsi_ma'].shift(1)) &
(df['rsi'] < self.buy_rsi_bull.value) &
(df['200_SMA'] > df['200_SMA'].shift(1)) &
(qtpylib.crossed_above(df['rsi'], df['rsi_ma'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['enter_long', 'enter_tag']] = (1, 'RSI-XO bull')
return df
### EXIT CONDITIONS ###
def populate_exit_trend(self, df: DataFrame, metadata: dict) -> DataFrame:
# df.loc[
# (
# # Signal: RSI crosses above 30
# (df['squeeze_ON'] == 1)&
# (df[f'wave_t1{self.wavelength.value}'] < df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
# (df[f'wave_t1{self.wavelength.value}'].shift(2) < df[f'wave_t1{self.wavelength.value}'].shift(1)) &
# (df['volume'] > 0) # Make sure Volume is not 0
# ),
# ['exit_long', 'exit_tag']] = (1, 'ttm_Squeeze/WT transition')
# df.loc[
# (
# # Signal: RSI crosses above 30
# (df[f'wave_t1{self.wavelength.value}'] < df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
# (df[f'wave_t1{self.wavelength.value}'].shift(2) < df[f'wave_t1{self.wavelength.value}'].shift(1)) &
# (df['volume'] > 0) # Make sure Volume is not 0
# ),
# ['exit_long', 'exit_tag']] = (1, 'WT transition bear')
# df.loc[
# (
# # Signal: RSI crosses above 30
# (df[f'wave_t1{self.wavelength.value}'] < df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
# (df[f'wave_t1{self.wavelength.value}'].shift(2) < df[f'wave_t1{self.wavelength.value}'].shift(1)) &
# (df['volume'] > 0) # Make sure Volume is not 0
# ),
# df.loc[
# (
# # Signal: RSI crosses above 30
# (df['rsi'] < df['rsi_ma']) &
# # (df['tf'] > df['close']) &
# (df[f'wave_t1{self.wavelength.value}'] < df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
# (qtpylib.crossed_above(df[f'wave_t2{self.crosslength.value}_{self.wavelength.value}'], df[f'wave_t1{self.wavelength.value}'])) &
# (df['volume'] > 0) # Make sure Volume is not 0
# ),
# ['exit_long', 'exit_tag']] = (1, 'WT/RSI-XO')
# df.loc[
# (
# (df['rsi'] > self.sell_rsi.value) &
# (qtpylib.crossed_above(df['rsi_ma'], df['rsi'])) &
# (df['volume'] > 0) # Make sure Volume is not 0
# ),
# ['exit_long', 'exit_tag']] = (1, 'RSI-XO')
# df.loc[
# (
# # Signal: RSI crosses above 30
# (df['rsi'] > self.sell_rsi.value) &
# # (df['rsi'] < df['rsi_ma'])&
# (df[f'wave_t1{self.wavelength.value}'] < df[f'wave_t1{self.wavelength.value}'].shift(1)) & # Guard: Wave 1 is raising
# (df[f'wave_t1{self.wavelength.value}'].shift(1) > df[f'wave_t1{self.wavelength.value}'].shift(2)) &
# # (abs(df[f'wave_t2{self.crosslength.value}_{self.wavelength.value}'] - df[f'wave_t1{self.wavelength.value}']) > 2.5) &
# (df['volume'] > 0) # Make sure Volume is not 0
# ),
# ['exit_long', 'exit_tag']] = (1, 'WT/RSI TURN DOWN')
df.loc[
(
(qtpylib.crossed_below(df[f'zema_{self.filterlength.value}'], df['r3'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['exit_long', 'exit_tag']] = (1, 'R3 - XO')
df.loc[
(
(qtpylib.crossed_below(df[f'zema_{self.filterlength.value}'], df['r2.75'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['exit_long', 'exit_tag']] = (1, 'R2.75 - XO')
df.loc[
(
(qtpylib.crossed_below(df[f'zema_{self.filterlength.value}'], df['r2.50'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['exit_long', 'exit_tag']] = (1, 'R2.5 - XO')
df.loc[
(
(qtpylib.crossed_below(df[f'zema_{self.filterlength.value}'], df['r2.25'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['exit_long', 'exit_tag']] = (1, 'R2.25 - XO')
df.loc[
(
(qtpylib.crossed_below(df[f'zema_{self.filterlength.value}'], df['r2'])) &
(df['volume'] > 0) # Make sure Volume is not 0
),
['exit_long', 'exit_tag']] = (1, 'R2 - XO')
return df
# Best result:
# 40/250: 1027 trades. 699/290/38 Wins/Draws/Losses. Avg profit 0.91%. Median profit 0.25%. Total profit 6051.24032389 USDT ( 60.51%). Avg duration 11:33:00 min. Objective: -6051.24032
# # Buy hyperspace params:
# buy_params = {
# "buy_rsi": 21,
# "buy_rsi_bear": 48,
# "buy_rsi_bull": 75,
# "buy_wt_bear": 46,
# "buy_wt_bull": 70,
# "dca1": 0.01,
# "dca2": 0.11,
# "dca3": 0.23,
# "max_epa": 2,
# "wavelength": 10,
# }
# # Sell hyperspace params:
# sell_params = {
# "sell_rsi": 71,
# "ts0": 0.012,
# "ts1": 0.011,
# "ts2": 0.022,
# "ts3": 0.03,
# "ts4": 0.038,
# "ts5": 0.045,
# "tsl_target0": 0.029,
# "tsl_target1": 0.058,
# "tsl_target2": 0.091,
# "tsl_target3": 0.143,
# "tsl_target4": 0.183,
# "tsl_target5": 0.2,
# }
# # Protection hyperspace params:
# protection_params = {
# "cooldown_lookback": 38, # value loaded from strategy
# "stop_duration": 47, # value loaded from strategy
# "use_stop_protection": False, # value loaded from strategy
# }
# # ROI table:
# minimal_roi = {
# "0": 0.364,
# "45": 0.145,
# "160": 0.048,
# "520": 0
# }
# # Stoploss:
# stoploss = -0.286
# # Trailing stop:
# trailing_stop = True # value loaded from strategy
# trailing_stop_positive = 0.269 # value loaded from strategy
# trailing_stop_positive_offset = 0.317 # value loaded from strategy
# trailing_only_offset_is_reached = True # value loaded from strategy
# # Max Open Trades:
# max_open_trades = 12 # value loaded from strategy
# Best result:
# 53/250: 886 trades. 608/262/16 Wins/Draws/Losses. Avg profit 0.90%. Median profit 0.23%. Total profit 5306.73713390 USDT ( 53.07%). Avg duration 12:10:00 min. Objective: -5306.73713
# # Buy hyperspace params:
# buy_params = {
# "buy_rsi": 22,
# "buy_rsi_bear": 40,
# "buy_rsi_bull": 59,
# "buy_wt_bear": 48,
# "buy_wt_bull": 56,
# "dca1": 0.01,
# "dca2": 0.14,
# "dca3": 0.21,
# "max_epa": 1,
# "wavelength": 9,
# }
# # Sell hyperspace params:
# sell_params = {
# "sell_rsi": 68,
# "ts0": 0.009,
# "ts1": 0.013,
# "ts2": 0.025,
# "ts3": 0.028,
# "ts4": 0.04,
# "ts5": 0.047,
# "tsl_target0": 0.047,
# "tsl_target1": 0.053,
# "tsl_target2": 0.099,
# "tsl_target3": 0.135,
# "tsl_target4": 0.25,
# "tsl_target5": 0.4,
# }
# # Protection hyperspace params:
# protection_params = {
# "cooldown_lookback": 26,
# "stop_duration": 83,
# "use_stop_protection": False,
# }
# # ROI table:
# minimal_roi = {
# "0": 0.154,
# "120": 0.09,
# "300": 0.044,
# "554": 0
# }
# # Stoploss:
# stoploss = -0.205
# # Trailing stop:
# trailing_stop = True
# trailing_stop_positive = 0.342
# trailing_stop_positive_offset = 0.437
# trailing_only_offset_is_reached = True
# # Max Open Trades:
# max_open_trades = 12 # value loaded from strategy
# (.env) core@core:~/freqtrade$ freqtrade hyperopt --hyperopt-loss OnlyProfitHyperOptLoss --strategy thetank2 --config ho.json -e 250 --timerange 20230101-20230215 --spaces buy sell roi stoploss trailing protection
# Result for strategy thetank2 45 pairs 1hr
# ============================================================= BACKTESTING REPORT =============================================================
# | Pair | Entries | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% |
# |------------+-----------+----------------+----------------+-------------------+----------------+------------------+-------------------------|
# | LDO/USDT | 30 | 5.71 | 171.35 | 264.999 | 2.65 | 22:04:00 | 23 4 3 76.7 |
# | AGIX/USDT | 42 | 3.84 | 161.20 | 224.104 | 2.24 | 14:41:00 | 27 3 12 64.3 |
# | AKT/USDT | 44 | 3.63 | 159.82 | 210.718 | 2.11 | 13:08:00 | 38 3 3 86.4 |
# | RNDR/USDT | 37 | 3.91 | 144.50 | 196.314 | 1.96 | 15:52:00 | 32 3 2 86.5 |
# | OCEAN/USDT | 38 | 3.42 | 130.13 | 186.827 | 1.87 | 17:09:00 | 34 3 1 89.5 |
# | INJ/USDT | 32 | 3.89 | 124.64 | 185.401 | 1.85 | 19:30:00 | 23 6 3 71.9 |
# | SCRT/USDT | 34 | 2.79 | 94.71 | 135.555 | 1.36 | 20:12:00 | 28 5 1 82.4 |
# | GMX/USDT | 29 | 2.93 | 85.11 | 125.473 | 1.25 | 1 day, 0:39:00 | 25 4 0 100 |
# | HBAR/USDT | 30 | 2.70 | 81.12 | 114.205 | 1.14 | 22:12:00 | 25 3 2 83.3 |
# | IMX/USDT | 33 | 2.50 | 82.46 | 112.595 | 1.13 | 19:25:00 | 25 4 4 75.8 |
# | OP/USDT | 26 | 2.96 | 76.91 | 104.512 | 1.05 | 1 day, 2:18:00 | 20 4 2 76.9 |
# | ORAI/USDT | 34 | 2.29 | 77.91 | 94.056 | 0.94 | 17:16:00 | 20 2 12 58.8 |
# | DYDX/USDT | 28 | 2.54 | 71.20 | 90.262 | 0.90 | 23:51:00 | 21 4 3 75.0 |
# | GRT/USDT | 27 | 2.24 | 60.47 | 86.385 | 0.86 | 1 day, 0:53:00 | 20 5 2 74.1 |
# | CSPR/USDT | 29 | 2.06 | 59.67 | 80.551 | 0.81 | 1 day, 0:06:00 | 23 4 2 79.3 |
# | ROSE/USDT | 27 | 2.02 | 54.56 | 76.839 | 0.77 | 1 day, 1:29:00 | 18 8 1 66.7 |
# | NEAR/USDT | 27 | 2.24 | 60.58 | 71.576 | 0.72 | 1 day, 0:22:00 | 21 5 1 77.8 |
# | KLAY/USDT | 24 | 1.95 | 46.79 | 58.648 | 0.59 | 1 day, 6:10:00 | 18 5 1 75.0 |
# | IOTA/USDT | 30 | 1.87 | 55.96 | 58.406 | 0.58 | 1 day, 0:34:00 | 24 5 1 80.0 |
# | ENJ/USDT | 26 | 2.21 | 57.37 | 55.862 | 0.56 | 1 day, 2:51:00 | 20 5 1 76.9 |
# | AVAX/USDT | 22 | 1.75 | 38.55 | 51.655 | 0.52 | 1 day, 7:08:00 | 18 2 2 81.8 |
# | FIL/USDT | 20 | 1.96 | 39.13 | 47.378 | 0.47 | 1 day, 13:57:00 | 14 5 1 70.0 |
# | MATIC/USDT | 25 | 1.52 | 38.07 | 44.904 | 0.45 | 1 day, 3:53:00 | 20 4 1 80.0 |
# | THETA/USDT | 20 | 1.61 | 32.19 | 40.040 | 0.40 | 1 day, 13:03:00 | 13 6 1 65.0 |
# | ADA/USDT | 24 | 1.19 | 28.48 | 36.719 | 0.37 | 1 day, 6:28:00 | 18 4 2 75.0 |
# | VET/USDT | 27 | 1.36 | 36.76 | 36.663 | 0.37 | 1 day, 2:27:00 | 22 4 1 81.5 |
# | ATOM/USDT | 17 | 1.40 | 23.88 | 34.406 | 0.34 | 1 day, 19:21:00 | 13 2 2 76.5 |
# | ETC/USDT | 17 | 1.76 | 29.89 | 32.255 | 0.32 | 1 day, 19:14:00 | 13 3 1 76.5 |
# | LINK/USDT | 25 | 0.86 | 21.60 | 30.926 | 0.31 | 1 day, 6:24:00 | 18 6 1 72.0 |
# | TRX/USDT | 24 | 1.16 | 27.84 | 28.180 | 0.28 | 1 day, 7:40:00 | 16 7 1 66.7 |
# | DOGE/USDT | 20 | 1.04 | 20.88 | 25.900 | 0.26 | 1 day, 14:12:00 | 14 5 1 70.0 |
# | OSMO/USDT | 18 | 1.12 | 20.21 | 22.729 | 0.23 | 1 day, 0:47:00 | 15 1 2 83.3 |
# | KAVA/USDT | 17 | 1.59 | 27.02 | 21.355 | 0.21 | 1 day, 21:49:00 | 14 2 1 82.4 |
# | DOT/USDT | 22 | 0.86 | 18.99 | 19.816 | 0.20 | 1 day, 9:25:00 | 16 5 1 72.7 |
# | QNT/USDT | 15 | 0.99 | 14.82 | 19.477 | 0.19 | 2 days, 7:44:00 | 11 3 1 73.3 |
# | ETH/USDT | 19 | 1.37 | 26.02 | 19.227 | 0.19 | 1 day, 15:19:00 | 14 4 1 73.7 |
# | SOL/USDT | 18 | 1.38 | 24.75 | 16.865 | 0.17 | 1 day, 15:47:00 | 11 6 1 61.1 |
# | ALGO/USDT | 21 | 0.91 | 19.21 | 16.804 | 0.17 | 1 day, 11:49:00 | 15 5 1 71.4 |
# | BTC/USDT | 23 | 0.81 | 18.65 | 15.550 | 0.16 | 1 day, 7:50:00 | 20 2 1 87.0 |
# | EGLD/USDT | 24 | 0.70 | 16.70 | 14.247 | 0.14 | 1 day, 8:08:00 | 19 4 1 79.2 |
# | UNI/USDT | 11 | 0.78 | 8.56 | 11.334 | 0.11 | 3 days, 4:11:00 | 6 4 1 54.5 |
# | XLM/USDT | 20 | 0.58 | 11.63 | 5.577 | 0.06 | 1 day, 14:27:00 | 13 6 1 65.0 |
# | XTZ/USDT | 15 | 0.82 | 12.33 | 0.802 | 0.01 | 2 days, 2:32:00 | 8 6 1 53.3 |
# | XRP/USDT | 17 | 0.49 | 8.25 | 0.122 | 0.00 | 1 day, 21:18:00 | 14 2 1 82.4 |
# | XDC/USDT | 18 | 0.28 | 5.09 | -3.780 | -0.04 | 1 day, 20:30:00 | 13 4 1 72.2 |
# | ZEC/USDT | 7 | 0.24 | 1.66 | -3.944 | -0.04 | 4 days, 23:00:00 | 4 2 1 57.1 |
# | TOTAL | 1133 | 2.14 | 2427.63 | 3118.496 | 31.18 | 1 day, 4:47:00 | 857 189 87 75.6 |
# =================================================================== ENTER TAG STATS ===================================================================
# | TAG | Entries | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% |
# |-----------------------+-----------+----------------+----------------+-------------------+----------------+----------------+-------------------------|
# | WT - bull | 706 | 2.13 | 1500.70 | 1903.689 | 19.04 | 1 day, 4:41:00 | 531 128 47 75.2 |
# | RSI-XO bull | 376 | 2.23 | 838.42 | 1106.063 | 11.06 | 1 day, 5:30:00 | 289 53 34 76.9 |
# | WT - bear | 33 | 2.17 | 71.71 | 93.210 | 0.93 | 1 day, 5:00:00 | 25 6 2 75.8 |
# | RSI-XO bear | 5 | 3.10 | 15.49 | 26.693 | 0.27 | 16:00:00 | 5 0 0 100 |
# | ttm_Squeeze/WT - bull | 13 | 0.10 | 1.31 | -11.159 | -0.11 | 18:18:00 | 7 2 4 53.8 |
# | TOTAL | 1133 | 2.14 | 2427.63 | 3118.496 | 31.18 | 1 day, 4:47:00 | 857 189 87 75.6 |
# ======================================================= EXIT REASON STATS ========================================================
# | Exit Reason | Exits | Win Draws Loss Win% | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % |
# |--------------------+---------+--------------------------+----------------+----------------+-------------------+----------------|
# | WT transition bull | 437 | 437 0 0 100 | 0.96 | 418.88 | 521.784 | 9.31 |
# | trailing_stop_loss | 430 | 381 0 49 88.6 | 5.07 | 2179.53 | 2991.88 | 48.43 |
# | roi | 228 | 39 189 0 100 | 0.85 | 194.11 | 310.197 | 4.31 |
# | force_exit | 38 | 0 0 38 0 | -9.6 | -364.88 | -705.368 | -8.11 |
# =========================================================== LEFT OPEN TRADES REPORT ===========================================================
# | Pair | Entries | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% |
# |------------+-----------+----------------+----------------+-------------------+----------------+-------------------+-------------------------|
# | TRX/USDT | 1 | -0.19 | -0.19 | -0.197 | -0.00 | 5:00:00 | 0 0 1 0 |
# | AKT/USDT | 1 | -0.20 | -0.20 | -0.203 | -0.00 | 0:00:00 | 0 0 1 0 |
# | SCRT/USDT | 1 | -0.35 | -0.35 | -0.710 | -0.01 | 1 day, 14:00:00 | 0 0 1 0 |
# | KLAY/USDT | 1 | -1.35 | -1.35 | -2.679 | -0.03 | 5 days, 23:00:00 | 0 0 1 0 |
# | ADA/USDT | 1 | -1.97 | -1.97 | -3.926 | -0.04 | 6 days, 6:00:00 | 0 0 1 0 |
# | BTC/USDT | 1 | -5.44 | -5.44 | -10.373 | -0.10 | 11 days, 8:00:00 | 0 0 1 0 |
# | MATIC/USDT | 1 | -5.27 | -5.27 | -10.443 | -0.10 | 6 days, 2:00:00 | 0 0 1 0 |
# | VET/USDT | 1 | -6.56 | -6.56 | -13.027 | -0.13 | 5 days, 23:00:00 | 0 0 1 0 |
# | ETH/USDT | 1 | -6.59 | -6.59 | -13.060 | -0.13 | 6 days, 16:00:00 | 0 0 1 0 |
# | EGLD/USDT | 1 | -6.62 | -6.62 | -13.166 | -0.13 | 6 days, 10:00:00 | 0 0 1 0 |
# | GRT/USDT | 1 | -7.36 | -7.36 | -14.650 | -0.15 | 6 days, 5:00:00 | 0 0 1 0 |
# | SOL/USDT | 1 | -7.71 | -7.71 | -15.343 | -0.15 | 6 days, 9:00:00 | 0 0 1 0 |
# | IOTA/USDT | 1 | -8.05 | -8.05 | -15.938 | -0.16 | 6 days, 16:00:00 | 0 0 1 0 |
# | DOT/USDT | 1 | -8.41 | -8.41 | -16.744 | -0.17 | 6 days, 7:00:00 | 0 0 1 0 |
# | XLM/USDT | 1 | -8.80 | -8.80 | -17.025 | -0.17 | 10 days, 2:00:00 | 0 0 1 0 |
# | OSMO/USDT | 1 | -8.82 | -8.82 | -17.624 | -0.18 | 5 days, 8:00:00 | 0 0 1 0 |
# | XRP/USDT | 1 | -10.23 | -10.23 | -18.174 | -0.18 | 21 days, 12:00:00 | 0 0 1 0 |
# | ZEC/USDT | 1 | -11.10 | -11.10 | -19.042 | -0.19 | 24 days, 20:00:00 | 0 0 1 0 |
# | THETA/USDT | 1 | -9.77 | -9.77 | -19.353 | -0.19 | 6 days, 19:00:00 | 0 0 1 0 |
# | UNI/USDT | 1 | -10.19 | -10.19 | -19.748 | -0.20 | 10 days, 3:00:00 | 0 0 1 0 |
# | OP/USDT | 1 | -10.35 | -10.35 | -20.543 | -0.21 | 5 days, 23:00:00 | 0 0 1 0 |
# | ATOM/USDT | 1 | -10.34 | -10.34 | -20.552 | -0.21 | 6 days, 8:00:00 | 0 0 1 0 |
# | NEAR/USDT | 1 | -10.71 | -10.71 | -21.371 | -0.21 | 5 days, 12:00:00 | 0 0 1 0 |
# | OCEAN/USDT | 1 | -10.84 | -10.84 | -21.493 | -0.21 | 6 days, 18:00:00 | 0 0 1 0 |
# | QNT/USDT | 1 | -12.01 | -12.01 | -21.609 | -0.22 | 19 days, 19:00:00 | 0 0 1 0 |
# | XDC/USDT | 1 | -11.28 | -11.28 | -21.801 | -0.22 | 10 days, 3:00:00 | 0 0 1 0 |
# | DOGE/USDT | 1 | -11.32 | -11.32 | -22.009 | -0.22 | 9 days, 14:00:00 | 0 0 1 0 |
# | ORAI/USDT | 1 | -11.02 | -11.02 | -22.151 | -0.22 | 2 days, 20:00:00 | 0 0 1 0 |
# | FIL/USDT | 1 | -12.00 | -12.00 | -22.643 | -0.23 | 12 days, 16:00:00 | 0 0 1 0 |
# | LINK/USDT | 1 | -11.37 | -11.37 | -22.733 | -0.23 | 5 days, 5:00:00 | 0 0 1 0 |
# | ETC/USDT | 1 | -12.23 | -12.23 | -23.738 | -0.24 | 9 days, 21:00:00 | 0 0 1 0 |
# | ALGO/USDT | 1 | -12.70 | -12.70 | -25.172 | -0.25 | 6 days, 2:00:00 | 0 0 1 0 |
# | XTZ/USDT | 1 | -12.77 | -12.77 | -25.310 | -0.25 | 6 days, 3:00:00 | 0 0 1 0 |
# | ENJ/USDT | 1 | -12.93 | -12.93 | -25.846 | -0.26 | 5 days, 8:00:00 | 0 0 1 0 |
# | CSPR/USDT | 1 | -16.05 | -16.05 | -31.813 | -0.32 | 6 days, 4:00:00 | 0 0 1 0 |
# | AVAX/USDT | 1 | -18.27 | -18.27 | -34.645 | -0.35 | 12 days, 1:00:00 | 0 0 1 0 |
# | KAVA/USDT | 1 | -21.51 | -21.51 | -38.360 | -0.38 | 20 days, 23:00:00 | 0 0 1 0 |
# | DYDX/USDT | 1 | -22.20 | -22.20 | -42.154 | -0.42 | 12 days, 3:00:00 | 0 0 1 0 |
# | TOTAL | 38 | -9.60 | -364.88 | -705.368 | -7.05 | 8 days, 8:55:00 | 0 0 38 0 |
# ================== SUMMARY METRICS ==================
# | Metric | Value |
# |-----------------------------+---------------------|
# | Backtesting from | 2023-01-01 00:00:00 |
# | Backtesting to | 2023-02-14 22:00:00 |
# | Max open trades | 45 |
# | | |
# | Total/Daily Avg Trades | 1133 / 25.75 |
# | Starting balance | 10000 USDT |
# | Final balance | 13118.496 USDT |
# | Absolute profit | 3118.496 USDT |
# | Total profit % | 31.18% |
# | CAGR % | 850.39% |
# | Sortino | 111.14 |
# | Sharpe | 193.21 |
# | Calmar | 265.37 |
# | Profit factor | 4.85 |
# | Expectancy | 0.13 |
# | Trades per day | 25.75 |
# | Avg. daily profit % | 0.71% |
# | Avg. stake amount | 138.885 USDT |
# | Total trade volume | 157356.955 USDT |
# | | |
# | Best Pair | LDO/USDT 171.35% |
# | Worst Pair | ZEC/USDT 1.66% |
# | Best trade | LDO/USDT 56.01% |
# | Worst trade | AGIX/USDT -31.62% |
# | Best day | 257.53 USDT |
# | Worst day | -655.852 USDT |
# | Days win/draw/lose | 37 / 0 / 1 |
# | Avg. Duration Winners | 12:48:00 |
# | Avg. Duration Loser | 3 days, 15:56:00 |
# | Rejected Entry signals | 43 |
# | Entry/Exit Timeouts | 0 / 0 |
# | | |
# | Min balance | 10003.176 USDT |
# | Max balance | 13823.864 USDT |
# | Max % of account underwater | 5.10% |
# | Absolute Drawdown (Account) | 5.10% |
# | Absolute Drawdown | 705.368 USDT |
# | Drawdown high | 3823.864 USDT |
# | Drawdown low | 3118.496 USDT |
# | Drawdown Start | 2023-02-14 16:00:00 |
# | Drawdown End | 2023-02-14 22:00:00 |
# | Market change | 102.18% |
# =====================================================
# Result for strategy thetank2 15m 45 piars
# ============================================================= BACKTESTING REPORT ============================================================
# | Pair | Entries | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% |
# |------------+-----------+----------------+----------------+-------------------+----------------+-----------------+-------------------------|
# | AGIX/USDT | 73 | 3.01 | 219.69 | 527.631 | 5.28 | 12:33:00 | 61 4 8 83.6 |
# | RNDR/USDT | 81 | 2.22 | 179.44 | 436.878 | 4.37 | 10:57:00 | 75 4 2 92.6 |
# | OCEAN/USDT | 85 | 1.93 | 164.20 | 376.178 | 3.76 | 10:37:00 | 81 3 1 95.3 |
# | LDO/USDT | 55 | 3.48 | 191.38 | 354.554 | 3.55 | 17:25:00 | 48 4 3 87.3 |
# | ORAI/USDT | 66 | 2.57 | 169.42 | 346.247 | 3.46 | 13:26:00 | 61 3 2 92.4 |
# | INJ/USDT | 66 | 1.78 | 117.72 | 296.749 | 2.97 | 14:09:00 | 57 8 1 86.4 |
# | AKT/USDT | 80 | 1.45 | 115.76 | 288.802 | 2.89 | 11:33:00 | 70 9 1 87.5 |
# | GRT/USDT | 89 | 1.31 | 116.68 | 287.505 | 2.88 | 10:09:00 | 83 5 1 93.3 |
# | SCRT/USDT | 89 | 1.33 | 117.99 | 287.219 | 2.87 | 10:40:00 | 81 8 0 100 |
# | IMX/USDT | 62 | 1.64 | 101.63 | 260.913 | 2.61 | 15:41:00 | 55 5 2 88.7 |
# | GMX/USDT | 59 | 1.68 | 99.24 | 241.928 | 2.42 | 16:14:00 | 52 6 1 88.1 |
# | CSPR/USDT | 69 | 1.28 | 88.15 | 174.721 | 1.75 | 13:38:00 | 62 6 1 89.9 |
# | ROSE/USDT | 53 | 1.40 | 74.12 | 171.549 | 1.72 | 18:26:00 | 47 6 0 100 |
# | FIL/USDT | 59 | 1.36 | 80.20 | 168.312 | 1.68 | 16:00:00 | 50 7 2 84.7 |
# | HBAR/USDT | 70 | 0.99 | 69.36 | 160.933 | 1.61 | 13:33:00 | 64 4 2 91.4 |
# | DYDX/USDT | 64 | 1.25 | 79.90 | 159.421 | 1.59 | 14:09:00 | 57 5 2 89.1 |
# | OSMO/USDT | 40 | 1.98 | 79.24 | 149.002 | 1.49 | 17:36:00 | 34 5 1 85.0 |
# | OP/USDT | 47 | 1.56 | 73.54 | 145.772 | 1.46 | 20:57:00 | 39 6 2 83.0 |
# | THETA/USDT | 75 | 0.87 | 65.10 | 145.628 | 1.46 | 12:00:00 | 69 6 0 100 |
# | ENJ/USDT | 65 | 1.18 | 76.58 | 142.510 | 1.43 | 14:16:00 | 59 5 1 90.8 |
# | NEAR/USDT | 44 | 1.47 | 64.53 | 131.603 | 1.32 | 22:12:00 | 36 6 2 81.8 |
# | KLAY/USDT | 69 | 0.85 | 58.61 | 119.886 | 1.20 | 14:04:00 | 61 7 1 88.4 |
# | KAVA/USDT | 56 | 1.10 | 61.48 | 107.707 | 1.08 | 17:29:00 | 47 7 2 83.9 |
# | AVAX/USDT | 55 | 1.08 | 59.30 | 104.919 | 1.05 | 17:24:00 | 47 7 1 85.5 |
# | SOL/USDT | 39 | 1.58 | 61.45 | 95.080 | 0.95 | 1 day, 1:12:00 | 35 3 1 89.7 |
# | ETC/USDT | 32 | 1.44 | 46.10 | 85.405 | 0.85 | 1 day, 6:38:00 | 26 5 1 81.2 |
# | MATIC/USDT | 54 | 0.79 | 42.50 | 83.013 | 0.83 | 18:09:00 | 45 8 1 83.3 |
# | ADA/USDT | 54 | 0.77 | 41.55 | 82.207 | 0.82 | 17:57:00 | 48 6 0 100 |
# | EGLD/USDT | 71 | 0.54 | 38.56 | 79.878 | 0.80 | 13:43:00 | 65 5 1 91.5 |
# | XTZ/USDT | 62 | 0.79 | 49.21 | 77.834 | 0.78 | 15:40:00 | 54 6 2 87.1 |
# | DOT/USDT | 46 | 0.98 | 44.98 | 71.382 | 0.71 | 21:34:00 | 41 4 1 89.1 |
# | ALGO/USDT | 59 | 0.66 | 39.09 | 71.233 | 0.71 | 16:23:00 | 52 6 1 88.1 |
# | VET/USDT | 51 | 0.61 | 31.18 | 60.874 | 0.61 | 19:16:00 | 44 6 1 86.3 |
# | QNT/USDT | 36 | 0.79 | 28.29 | 58.083 | 0.58 | 1 day, 4:10:00 | 31 4 1 86.1 |
# | IOTA/USDT | 51 | 0.56 | 28.32 | 52.226 | 0.52 | 19:40:00 | 42 8 1 82.4 |
# | ATOM/USDT | 47 | 0.71 | 33.14 | 48.707 | 0.49 | 20:46:00 | 38 8 1 80.9 |
# | BTC/USDT | 43 | 0.65 | 28.06 | 48.449 | 0.48 | 22:52:00 | 36 7 0 100 |
# | DOGE/USDT | 38 | 0.59 | 22.49 | 38.060 | 0.38 | 1 day, 2:05:00 | 32 5 1 84.2 |
# | LINK/USDT | 41 | 0.59 | 24.12 | 34.947 | 0.35 | 23:56:00 | 34 6 1 82.9 |
# | XRP/USDT | 38 | 0.60 | 22.92 | 34.514 | 0.35 | 1 day, 2:12:00 | 33 4 1 86.8 |
# | TRX/USDT | 24 | 0.82 | 19.65 | 30.057 | 0.30 | 1 day, 18:02:00 | 20 4 0 100 |
# | UNI/USDT | 43 | 0.54 | 23.36 | 29.039 | 0.29 | 23:07:00 | 37 5 1 86.0 |
# | ZEC/USDT | 29 | 0.75 | 21.63 | 28.218 | 0.28 | 1 day, 10:39:00 | 26 2 1 89.7 |
# | XLM/USDT | 36 | 0.48 | 17.14 | 19.628 | 0.20 | 1 day, 4:15:00 | 32 3 1 88.9 |
# | ETH/USDT | 15 | 0.57 | 8.60 | 19.366 | 0.19 | 1 day, 3:30:00 | 12 3 0 100 |
# | XDC/USDT | 59 | 0.15 | 8.96 | -0.376 | -0.00 | 16:49:00 | 53 5 1 89.8 |
# | TOTAL | 2539 | 1.26 | 3204.57 | 6734.393 | 67.34 | 17:08:00 | 2232 249 58 87.9 |
# =================================================================== ENTER TAG STATS ===================================================================
# | TAG | Entries | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% |
# |-----------------------+-----------+----------------+----------------+-------------------+----------------+----------------+-------------------------|
# | WT - bull | 1642 | 1.25 | 2051.71 | 4198.825 | 41.99 | 16:33:00 | 1447 160 35 88.1 |
# | RSI-XO bull | 738 | 1.24 | 918.32 | 1933.208 | 19.33 | 19:20:00 | 638 77 23 86.4 |
# | WT - bear | 134 | 1.32 | 176.68 | 468.563 | 4.69 | 13:49:00 | 123 11 0 100 |
# | ttm_Squeeze/WT - bull | 12 | 3.42 | 40.99 | 101.769 | 1.02 | 6:52:00 | 12 0 0 100 |
# | RSI-XO bear | 13 | 1.30 | 16.87 | 32.028 | 0.32 | 8:43:00 | 12 1 0 100 |
# | TOTAL | 2539 | 1.26 | 3204.57 | 6734.393 | 67.34 | 17:08:00 | 2232 249 58 87.9 |
# ======================================================= EXIT REASON STATS ========================================================
# | Exit Reason | Exits | Win Draws Loss Win% | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % |
# |--------------------+---------+--------------------------+----------------+----------------+-------------------+----------------|
# | WT transition bull | 1836 | 1836 0 0 100 | 0.8 | 1461.08 | 3045.38 | 32.47 |
# | trailing_stop_loss | 396 | 369 0 27 93.2 | 4.55 | 1802.3 | 4114.74 | 40.05 |
# | roi | 273 | 24 249 0 100 | 0.5 | 137.35 | 285.285 | 3.05 |
# | force_exit | 34 | 3 0 31 8.8 | -5.77 | -196.16 | -711.015 | -4.36 |
# =========================================================== LEFT OPEN TRADES REPORT ===========================================================
# | Pair | Entries | Avg Profit % | Cum Profit % | Tot Profit USDT | Tot Profit % | Avg Duration | Win Draw Loss Win% |
# |------------+-----------+----------------+----------------+-------------------+----------------+-------------------+-------------------------|
# | AKT/USDT | 1 | 1.03 | 1.03 | 1.983 | 0.02 | 1:00:00 | 1 0 0 100 |
# | TRX/USDT | 1 | 0.62 | 0.62 | 1.188 | 0.01 | 4:30:00 | 1 0 0 100 |
# | SCRT/USDT | 1 | 0.31 | 0.31 | 0.601 | 0.01 | 0:45:00 | 1 0 0 100 |
# | MATIC/USDT | 1 | -0.96 | -0.96 | -3.608 | -0.04 | 6 days, 9:30:00 | 0 0 1 0 |
# | LDO/USDT | 1 | -1.20 | -1.20 | -4.527 | -0.05 | 6 days, 22:00:00 | 0 0 1 0 |
# | IMX/USDT | 1 | -1.43 | -1.43 | -5.484 | -0.05 | 0:30:00 | 0 0 1 0 |
# | RNDR/USDT | 1 | -1.44 | -1.44 | -5.516 | -0.06 | 1:30:00 | 0 0 1 0 |
# | EGLD/USDT | 1 | -1.81 | -1.81 | -6.844 | -0.07 | 7 days, 7:15:00 | 0 0 1 0 |
# | FIL/USDT | 1 | -2.14 | -2.14 | -8.108 | -0.08 | 7 days, 7:45:00 | 0 0 1 0 |
# | HBAR/USDT | 1 | -3.00 | -3.00 | -11.356 | -0.11 | 3 days, 8:45:00 | 0 0 1 0 |
# | VET/USDT | 1 | -3.19 | -3.19 | -12.062 | -0.12 | 7 days, 9:45:00 | 0 0 1 0 |
# | IOTA/USDT | 1 | -3.36 | -3.36 | -12.691 | -0.13 | 7 days, 18:45:00 | 0 0 1 0 |
# | ZEC/USDT | 1 | -6.30 | -6.30 | -19.084 | -0.19 | 25 days, 0:15:00 | 0 0 1 0 |
# | UNI/USDT | 1 | -5.39 | -5.39 | -19.253 | -0.19 | 11 days, 3:15:00 | 0 0 1 0 |
# | XLM/USDT | 1 | -6.08 | -6.08 | -19.256 | -0.19 | 22 days, 14:15:00 | 0 0 1 0 |
# | ETC/USDT | 1 | -5.99 | -5.99 | -21.531 | -0.22 | 10 days, 19:45:00 | 0 0 1 0 |
# | OCEAN/USDT | 1 | -5.75 | -5.75 | -21.785 | -0.22 | 6 days, 8:15:00 | 0 0 1 0 |
# | XRP/USDT | 1 | -6.97 | -6.97 | -21.927 | -0.22 | 22 days, 23:30:00 | 0 0 1 0 |
# | LINK/USDT | 1 | -6.35 | -6.35 | -24.048 | -0.24 | 6 days, 6:00:00 | 0 0 1 0 |
# | ALGO/USDT | 1 | -6.39 | -6.39 | -24.219 | -0.24 | 7 days, 6:30:00 | 0 0 1 0 |
# | QNT/USDT | 1 | -7.60 | -7.60 | -24.366 | -0.24 | 20 days, 23:15:00 | 0 0 1 0 |
# | DOT/USDT | 1 | -7.02 | -7.02 | -24.723 | -0.25 | 12 days, 4:00:00 | 0 0 1 0 |
# | OSMO/USDT | 1 | -6.90 | -6.90 | -25.965 | -0.26 | 6 days, 22:45:00 | 0 0 1 0 |
# | ATOM/USDT | 1 | -7.08 | -7.08 | -26.581 | -0.27 | 6 days, 21:30:00 | 0 0 1 0 |
# | XTZ/USDT | 1 | -7.05 | -7.05 | -26.654 | -0.27 | 7 days, 13:45:00 | 0 0 1 0 |
# | ENJ/USDT | 1 | -7.73 | -7.73 | -29.174 | -0.29 | 7 days, 19:30:00 | 0 0 1 0 |
# | OP/USDT | 1 | -8.74 | -8.74 | -33.011 | -0.33 | 7 days, 19:45:00 | 0 0 1 0 |
# | XDC/USDT | 1 | -9.53 | -9.53 | -33.663 | -0.34 | 11 days, 21:00:00 | 0 0 1 0 |
# | SOL/USDT | 1 | -10.18 | -10.18 | -33.937 | -0.34 | 16 days, 23:30:00 | 0 0 1 0 |
# | DOGE/USDT | 1 | -9.51 | -9.51 | -34.058 | -0.34 | 11 days, 2:00:00 | 0 0 1 0 |
# | NEAR/USDT | 1 | -10.02 | -10.02 | -37.974 | -0.38 | 7 days, 6:15:00 | 0 0 1 0 |
# | AVAX/USDT | 1 | -12.67 | -12.67 | -43.741 | -0.44 | 13 days, 6:45:00 | 0 0 1 0 |
# | CSPR/USDT | 1 | -12.30 | -12.30 | -46.448 | -0.46 | 7 days, 21:15:00 | 0 0 1 0 |
# | KAVA/USDT | 1 | -14.05 | -14.05 | -53.195 | -0.53 | 7 days, 8:30:00 | 0 0 1 0 |
# | TOTAL | 34 | -5.77 | -196.16 | -711.015 | -7.11 | 8 days, 23:24:00 | 3 0 31 8.8 |
# ================== SUMMARY METRICS ==================
# | Metric | Value |
# |-----------------------------+---------------------|
# | Backtesting from | 2023-01-01 00:00:00 |
# | Backtesting to | 2023-02-16 00:00:00 |
# | Max open trades | 45 |
# | | |
# | Total/Daily Avg Trades | 2539 / 55.2 |
# | Starting balance | 10000 USDT |
# | Final balance | 16734.393 USDT |
# | Absolute profit | 6734.393 USDT |
# | Total profit % | 67.34% |
# | CAGR % | 5846.98% |
# | Sortino | 86.72 |
# | Sharpe | 344.76 |
# | Calmar | 706.66 |