Does anybody have an example of a working strategy please?

dimadude101

I'm a bit of a noob in python (came from freqtrade) and find it really helpful to have a working strategy I can relate to to create my own. I find it very difficult so far to work from scratch. Could anybody help me kindly 🙂?

markus

Here you go. Hope that helps.

from jesse.strategies import Strategy
import jesse.indicators as ta
from jesse import utils


class ExampleStrategySimpleEMA(Strategy):
    def should_long(self) -> bool:
        # if the fast EMA is above the slow EMA we assume its a long trend
        if self.EMA_fast > self.EMA_slow:
            return True
        return False

    def should_short(self) -> bool:
        if self.EMA_fast < self.EMA_slow:
            return True
        return False

    def should_cancel(self) -> bool:
        return True

    def go_long(self):
        entry = self.price
        stop = self.price - self.atr * 2
        qty = utils.risk_to_qty(self.capital, 2, entry, stop)

        take_profit_price = entry + self.atr

        self.buy = qty, entry
        self.take_profit = qty, take_profit_price
        self.stop_loss = qty, stop

    def go_short(self):
        # Just go in where the price is right now.
        entry = self.price
        # Average True Range for stop loss - if the market moves 2 times the ATR of the last 20 candles against my position get out.
        stop = self.price + self.atr * 2
        # To avoid losing everything in one trade, you should never risk all your money. That for we calculate the quantity we trade from the risk. In this case we go for a risk of 2.
        qty = utils.risk_to_qty(self.capital, 2, entry, stop)

        # Here we set the profit price, where we exit the trade. In this case we exit if the price moves 1 times the ATR in our direction.
        take_profit_price = entry - self.atr

        # here we set the stuff that we calculated before
        self.sell = qty, entry
        self.take_profit = qty, take_profit_price
        self.stop_loss = qty, stop

   
    # optionally you could remove the self.take_profit part and exit on a condition with update_position.
    # def update_position(self):
    #     if self.is_long and self.EMA_fast < self.EMA_slow:
    #         self.liquidate()
    # 
    #     if self.is_short and self.EMA_fast > self.EMA_slow:
    #         self.liquidate()


    ################################################################
    # # # # # # # # # # # # # indicators # # # # # # # # # # # # # #
    ################################################################

    @property
    def EMA_slow(self):
        return ta.ema(self.candles, period=100)

    @property
    def EMA_fast(self):
        return ta.ema(self.candles, period=25)

    @property
    def atr(self):
        return ta.atr(self.candles, period=20)

Be aware thats not profitable. Its just a example.

loading candles...
 CANDLES              |
----------------------+--------------------------
 period               |    117 days (3.9 months)
 starting-ending date | 2020-01-01 => 2020-04-27


 exchange   | symbol   | timeframe   | strategy                 | DNA
------------+----------+-------------+--------------------------+-------
 Bitfinex   | ETHUSD   | 3h          | ExampleStrategySimpleEMA |


Executing simulation...  [####################################]  100%
Executed backtest simulation in:  11.46 seconds


 METRICS                         |
---------------------------------+----------------------------------------
 Total Closed Trades             |                                    169
 Total Net Profit                |                     -1384.18 (-13.84%)
 Starting => Finishing Balance   |                       10000 => 8610.41
 Total Open Trades               |                                      1
 Open PL                         |                                  11.55
 Total Paid Fees                 |                                3000.46
 Max Drawdown                    |                                -22.82%
 Sharpe Ratio                    |                                  -0.91
 Annual Return                   |                                -27.35%
 Expectancy                      |                         -8.19 (-0.08%)
 Avg Win | Avg Loss              |                          74.9 | 205.96
 Ratio Avg Win / Avg Loss        |                                   0.36
 Percent Profitable              |                                    70%
 Longs | Shorts                  |                              76% | 24%
 Avg Holding Time                | 14.0 hours, 59.0 minutes, 43.0 seconds
 Winning Trades Avg Holding Time | 12.0 hours, 29.0 minutes, 50.0 seconds
 Losing Trades Avg Holding Time  | 20.0 hours, 56.0 minutes, 26.0 seconds

dimadude101

Thank you for this it works! I have another question sorry to bother; does anyone know how to make an indicator on indicator?

For example below is a working indicator on python working at freqtrade - it makes the EMA based off the RSI instead of the close candle prices. How would you write the equivalent on here pls?

   dataframe['ris'] = ta.RSI(dataframe, timeperiod=14)
   rsiframe = DataFrame(dataframe['ris']).rename(columns={'rsi': 'close'})
   dataframe['maShort'] = ta.EMA(rsiframe, timeperiod=50)

Gabri

dimadude101 I think you can do directly on your strategy file (but you can put in a specific file too if you want).
For example in a my strategy I needed to have a EMA calculated for a specific part of the candle (not necessarily the close ones).
So I did something like this:

import talib
...
    def _emaCustom(self, cands, period, candle_part):
        if len(cands) > 240:
            cands = cands[-240:]
        res = talib.EMA(cands[:, candle_part], timeperiod=period)
        return res

So, you can use directly talib and pass to talib.EMA a tuple obtained from talib.RSI

dimadude101

Gabri

Thank you. I tried this look right to you I can't get it to work unfortunately... ;(

What would you write the code to be for an EMA period 20 based of RSI period 14... pls?

dimadude101

Gabri @markus

Thank you both. I fixed the indentation and added return but still get this error:

Uncaught Exception: ValueError: The truth value of an array with more than one element is ambiguous. Use a.any() or a.all().

My code is attached below could you please see if anything wrong with it?

@property
def EMA1(self):
    rsi14 = ta.rsi(self.candles, 14, True)
    ema_rsi = talib.EMA(rsi14, 11)
    return ema_rsi
    print('rsi14:{} - ema_rsi:{}'.format(rsi14[-1], ema_rsi[-1]))

@property
def EMA2(self):
    rsi14 = ta.rsi(self.candles, 14, True)
    ema_rsi = talib.EMA(rsi14, 15)
    return ema_rsi
    print('rsi14:{} - ema_rsi:{}'.format(rsi14[-1], ema_rsi[-1]))

Gabri

Try this dimadude101 :

rsi14 = ta.rsi(self.candles, 14, True)
ema_rsi = talib.EMA(rsi14, 20)
print('rsi14:{} - ema_rsi:{}'.format(rsi14[-1], ema_rsi[-1]))

dimadude101

Thank you, I tried this but get the following error message do you have an idea what it could be?

  File "/usr/local/bin/jesse", line 8, in <module>
    sys.exit(cli())
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 764, in __call__
    return self.main(*args, **kwargs)
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 717, in main
    rv = self.invoke(ctx)
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 1137, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 956, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 555, in invoke
    return callback(*args, **kwargs)
  File "/usr/local/lib/python3.8/dist-packages/jesse/__init__.py", line 286, in backtest
    backtest_mode.run(start_date, finish_date, chart=chart, tradingview=tradingview)
  File "/usr/local/lib/python3.8/dist-packages/jesse/modes/backtest_mode/__init__.py", line 58, in run
    simulator(candles)
  File "/usr/local/lib/python3.8/dist-packages/jesse/modes/backtest_mode/__init__.py", line 225, in simulator
    r.strategy._execute()
  File "/usr/local/lib/python3.8/dist-packages/jesse/strategies/Strategy.py", line 817, in _execute
    self._check()
  File "/usr/local/lib/python3.8/dist-packages/jesse/strategies/Strategy.py", line 608, in _check
    if self.should_short() and self.should_long():
  File "/home/mybot/strategies/ExampleStrategySimpleEMA/__init__.py", line 14, in should_short
    if self.EMA_fast < self.EMA_slow:
  File "/home/mybot/strategies/ExampleStrategySimpleEMA/__init__.py", line 71, in EMA_fast
    ema_rsi = ta.ema(rsi14, 20)
  File "/usr/local/lib/python3.8/dist-packages/jesse/indicators/ema.py", line 20, in ema
    res = talib.EMA(candles[:, 2], timeperiod=period)
=========================================================================

 Uncaught Exception: IndexError: too many indices for array
root@cb969121dfbe:/home/mybot#

Gabri

You made a mistake: you used ta.ema but you need to use talib.EMA
See my example above, it should work

dimadude101

Gabri

Thank you sir. Do I need to import the Talib library or anything?

I attach the error code below and the strategy code as well.. sorry

============================== EXCEPTION TRACEBACK:
  File "/usr/local/bin/jesse", line 8, in <module>
    sys.exit(cli())
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 764, in __call__
    return self.main(*args, **kwargs)
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 717, in main
    rv = self.invoke(ctx)
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 1137, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 956, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/usr/local/lib/python3.8/dist-packages/click/core.py", line 555, in invoke
    return callback(*args, **kwargs)
  File "/usr/local/lib/python3.8/dist-packages/jesse/__init__.py", line 286, in backtest
    backtest_mode.run(start_date, finish_date, chart=chart, tradingview=tradingview)
  File "/usr/local/lib/python3.8/dist-packages/jesse/modes/backtest_mode/__init__.py", line 58, in run
    simulator(candles)
  File "/usr/local/lib/python3.8/dist-packages/jesse/modes/backtest_mode/__init__.py", line 225, in simulator
    r.strategy._execute()
  File "/usr/local/lib/python3.8/dist-packages/jesse/strategies/Strategy.py", line 817, in _execute
    self._check()
  File "/usr/local/lib/python3.8/dist-packages/jesse/strategies/Strategy.py", line 608, in _check
    if self.should_short() and self.should_long():
  File "/home/mybot/strategies/ExampleStrategySimpleEMA/__init__.py", line 14, in should_short
    if self.price > self.EMA_fast:
  File "/home/mybot/strategies/ExampleStrategySimpleEMA/__init__.py", line 65, in EMA_fast
    ema_rsi = talib.EMA(rsi14, 20)
=========================================================================

 Uncaught Exception: NameError: name 'talib' is not defined
root@cb969121dfbe:/home/mybot# 


from jesse.strategies import Strategy
import jesse.indicators as ta
from jesse import utils


class ExampleStrategySimpleEMA(Strategy):
    def should_long(self) -> bool:
        # if the fast EMA is above the slow EMA we assume its a long trend
        if self.price > self.EMA_fast:
            return True
        return False

    def should_short(self) -> bool:
        if self.price > self.EMA_fast:
            return True
        return False

    def should_cancel(self) -> bool:
        return True

    def go_long(self):
        entry = self.price
        stop = self.price - self.atr * 2
        qty = utils.risk_to_qty(self.capital, 2, entry, stop)

        take_profit_price = entry + self.atr

        self.buy = qty, entry
        self.take_profit = qty, take_profit_price
        self.stop_loss = qty, stop

    def go_short(self):
        # Just go in where the price is right now.
        entry = self.price
        # Average True Range for stop loss - if the market moves 2 times the ATR of the last 20 candles against my position get out.
        stop = self.price + self.atr * 2
        # To avoid losing everything in one trade, you should never risk all your money. That for we calculate the quantity we trade from the risk. In this case we go for a risk of 2.
        qty = utils.risk_to_qty(self.capital, 2, entry, stop)

        # Here we set the profit price, where we exit the trade. In this case we exit if the price moves 1 times the ATR in our direction.
        take_profit_price = entry - self.atr

        # here we set the stuff that we calculated before
        self.sell = qty, entry
        self.take_profit = qty, take_profit_price
        self.stop_loss = qty, stop

   
    # optionally you could remove the self.take_profit part and exit on a condition with update_position.
    # def update_position(self):
    #     if self.is_long and self.EMA_fast < self.EMA_slow:
    #         self.liquidate()
    # 
    #     if self.is_short and self.EMA_fast > self.EMA_slow:
    #         self.liquidate()


    ################################################################
    # # # # # # # # # # # # # indicators # # # # # # # # # # # # # #
    ################################################################

    @property
    def EMA_fast(self):
        rsi14 = ta.rsi(self.candles, 14, True)
        ema_rsi = talib.EMA(rsi14, 20)
        print('rsi14:{} - ema_rsi:{}'.format(rsi14[-1], ema_rsi[-1]))

    @property
    def atr(self):
        return ta.atr(self.candles, period=20)

markus

Yes. Its a library you need to import if you use it. If you use a jesse built in indicator all that stuff is handled.
Add import talib at the beginning of your script. You could check out some python tutorials. For example: https://www.w3schools.com/python/default.asp - that way you can concentrate more on strategy stuff and less the try and error part.

dimadude101

markus

Thank you so much man - I spent 4 hours today learning python from the start🙂

On the above... I managed to successfully import talib and change the code to what you suggested but I get the following error "

Are you sure the code for the indicator space looks correct ?:

@property
def EMA_fast(self):
    rsi14 = ta.rsi(self.candles, 14, True)
    ema_rsi = talib.EMA(rsi14, 20)
    print('rsi14:{} - ema_rsi:{}'.format(rsi14[-1], ema_rsi[-1]))

@property
def atr(self):
    return ta.atr(self.candles, period=20)




============================== EXCEPTION TRACEBACK:
  File "/usr/local/bin/jesse", line 8, in <module>
    sys.exit(cli())
  File "/usr/local/lib/python3.7/site-packages/click/core.py", line 764, in __call__
    return self.main(*args, **kwargs)
  File "/usr/local/lib/python3.7/site-packages/click/core.py", line 717, in main
    rv = self.invoke(ctx)
  File "/usr/local/lib/python3.7/site-packages/click/core.py", line 1137, in invoke
    return _process_result(sub_ctx.command.invoke(sub_ctx))
  File "/usr/local/lib/python3.7/site-packages/click/core.py", line 956, in invoke
    return ctx.invoke(self.callback, **ctx.params)
  File "/usr/local/lib/python3.7/site-packages/click/core.py", line 555, in invoke
    return callback(*args, **kwargs)
  File "/usr/local/lib/python3.7/site-packages/jesse/__init__.py", line 286, in backtest
    backtest_mode.run(start_date, finish_date, chart=chart, tradingview=tradingview)
  File "/usr/local/lib/python3.7/site-packages/jesse/modes/backtest_mode/__init__.py", line 58, in run
    simulator(candles)
  File "/usr/local/lib/python3.7/site-packages/jesse/modes/backtest_mode/__init__.py", line 156, in simulator
    r.strategy = StrategyClass()
=========================================================================

 Uncaught Exception: TypeError: 'NoneType' object is not callable
dmitry@dmitrys-mbp jesse.ai %

markus

Do you use a python ide? I like https://www.jetbrains.com/pycharm/
It marks errors in you have in the syntax thats very helpfull. I need to see your whole code with formating.
You can use 3 ` like that "```" before and after your code and it will keep the format here in the forum.

dimadude101

markus Thank you please find it below. Trying to do a crossover strategy using 2EMA's based on RSI's. And yes I installed PyCharm and doing an online course in Python as we speak 🙂 Thank you and hope you have a nice weekend ! 🙂

dimadude101

from jesse.strategies import Strategy
import jesse.indicators as ta
from jesse import utils


class ExampleStrategySimpleEMA(Strategy):
    def should_long(self) -> bool:
        # if the fast EMA is above the slow EMA we assume its a long trend
        if self.EMA_fast > self.EMA_slow:
            return True
        return False

    def should_short(self) -> bool:
        if self.EMA_fast < self.EMA_slow:
            return True
        return False

    def should_cancel(self) -> bool:
        return True

    def go_long(self):
        entry = self.price
        stop = self.price - self.atr * 2
        qty = utils.risk_to_qty(self.capital, 2, entry, stop)

        take_profit_price = entry + self.atr

        self.buy = qty, entry
        self.take_profit = qty, take_profit_price
        self.stop_loss = qty, stop

    def go_short(self):
        # Just go in where the price is right now.
        entry = self.price
        # Average True Range for stop loss - if the market moves 2 times the ATR of the last 20 candles against my position get out.
        stop = self.price + self.atr * 2
        # To avoid losing everything in one trade, you should never risk all your money. That for we calculate the quantity we trade from the risk. In this case we go for a risk of 2.
        qty = utils.risk_to_qty(self.capital, 2, entry, stop)

        # Here we set the profit price, where we exit the trade. In this case we exit if the price moves 1 times the ATR in our direction.
        take_profit_price = entry - self.atr

        # here we set the stuff that we calculated before
        self.sell = qty, entry
        self.take_profit = qty, take_profit_price
        self.stop_loss = qty, stop

    # optionally you could remove the self.take_profit part and exit on a condition with update_position.
    # def update_position(self):
    #     if self.is_long and self.EMA_fast < self.EMA_slow:
    #         self.liquidate()
    #
    #     if self.is_short and self.EMA_fast > self.EMA_slow:
    #         self.liquidate()

    ################################################################
    # # # # # # # # # # # # # indicators # # # # # # # # # # # # # #
    ################################################################


@property
def EMA_fast(self):
    rsi14 = ta.rsi(self.candles, 14, True)
    ema_rsi = talib.EMA(rsi14, 11)
    print('rsi14:{} - ema_rsi:{}'.format(rsi14[-1], ema_rsi[-1]))

@property
def EMA_slow(self):
    rsi14 = ta.rsi(self.candles, 14, True)
    ema_rsi = talib.EMA(rsi14, 15)
    print('rsi14:{} - ema_rsi:{}'.format(rsi14[-1], ema_rsi[-1]))

@property
def atr(self):
    return ta.atr(self.candles, period=20)

markus

dimadude101 The indent of the indicators is wrong. They need to be inside the class.

markus

dimadude101 and you aren't returning the values from the indicators for the comparison.
You need to return ema_rsi. Otherwise the function doesn't do anything but printing to the console and the comparsion doesn't work.

markus

You need to add [-1] like: ema_rsi[-1]
Because right now you are comparing a list of values with another list of values like that: [0, 1, 2 , 3] > [0, 1, 2 , 3]
Something like that is possible in python with numpy, but in your case you just want to compare the recent value.
If you use the jesse builtin indicators with sequential = False the [-1] isn't needed.