The provided code defines a strategy called "DonchianChannel." Let's break down what the strategy does:
The populate_indicators method is responsible for adding various technical indicators to the input DataFrame. The indicators added are:
Bollinger Bands (bb_upperband, bb_middleband, bb_lowerband) with a window of 20 and 2 standard deviations. Donchian Channels (dc_upper, dc_lower, dc_mid) based on the highest high and lowest low within a specified period (buy_dc_period).
Additional Donchian levels (dc_hf, dc_chf, dc_clf, dc_lf) calculated based on different Fibonacci ratios.
Average Directional Index (adx), Plus Directional Movement Indicator (dm_plus), and Minus Directional Movement Indicator (dm_minus).
Money Flow Index (mfi). Moving Average Convergence Divergence (MACD) and its components (macd, macdsignal, macdhist). Fast Stochastic Oscillator (fastd, fastk). Relative Strength Index (rsi) and Fisher Transform of RSI (fisher_rsi). Exponential Moving Averages (ema5, ema10, ema50, ema100). Parabolic SAR (sar). 200-period Simple Moving Average (sma200). The populate_buy_trend method populates the "buy" column of the DataFrame based on certain conditions. The "buy" column will have a value of 1 when the strategy suggests a buy signal based on the following conditions: If Parabolic SAR (sar) is not null, and the closing price is less than SAR. If 200-period Simple Moving Average (sma200) is not null, and the closing price is greater than SMA. If 50-period Exponential Moving Average (ema50) is not null, and the closing price is greater than EMA. If Money Flow Index (mfi) is not null and greater than or equal to the specified buy_mfi value. If Average Directional Index (adx) is greater than or equal to the specified buy_adx value. If the difference between Plus and Minus Directional Movement (dm_delta) is positive. If the MACD line (macd) is greater than the MACD signal line (macdsignal). If Fisher Transform of RSI (fisher_rsi) is less than the specified buy_fisher value. If the closing price is greater than or equal to the Upper Donchian Channel (dc_upper). The populate_sell_trend method populates the "sell" column of the DataFrame based on certain conditions. The "sell" column will have a value of 1 when the strategy suggests a sell signal. The sell conditions include: If the closing price falls below the Lower Donchian Channel (dc_lower) after crossing above it from below OR If the closing price falls below or equals the Lower Donchian Channel (dc_lower) after the previous closing price being greater than the Lower Donchian Channel value. The method also has the option to add additional sell conditions based on user-configured technical indicators (such as SAR, SMA, EMA, ADX, DM, and MACD) when these options are enabled. Overall, the "DonchianChannel" strategy combines multiple technical indicators, including Bollinger Bands, Donchian Channels, ADX, MFI, MACD, RSI, and various moving averages, to generate buy and sell signals for backtesting trading strategies.
Additional Donchian levels (dc_hf, dc_chf, dc_clf, dc_lf) calculated based on different Fibonacci ratios.
Average Directional Index (adx), Plus Directional Movement Indicator (dm_plus), and Minus Directional Movement Indicator (dm_minus).
Money Flow Index (mfi). Moving Average Convergence Divergence (MACD) and its components (macd, macdsignal, macdhist). Fast Stochastic Oscillator (fastd, fastk). Relative Strength Index (rsi) and Fisher Transform of RSI (fisher_rsi). Exponential Moving Averages (ema5, ema10, ema50, ema100). Parabolic SAR (sar). 200-period Simple Moving Average (sma200). The populate_buy_trend method populates the "buy" column of the DataFrame based on certain conditions. The "buy" column will have a value of 1 when the strategy suggests a buy signal based on the following conditions: If Parabolic SAR (sar) is not null, and the closing price is less than SAR. If 200-period Simple Moving Average (sma200) is not null, and the closing price is greater than SMA. If 50-period Exponential Moving Average (ema50) is not null, and the closing price is greater than EMA. If Money Flow Index (mfi) is not null and greater than or equal to the specified buy_mfi value. If Average Directional Index (adx) is greater than or equal to the specified buy_adx value. If the difference between Plus and Minus Directional Movement (dm_delta) is positive. If the MACD line (macd) is greater than the MACD signal line (macdsignal). If Fisher Transform of RSI (fisher_rsi) is less than the specified buy_fisher value. If the closing price is greater than or equal to the Upper Donchian Channel (dc_upper). The populate_sell_trend method populates the "sell" column of the DataFrame based on certain conditions. The "sell" column will have a value of 1 when the strategy suggests a sell signal. The sell conditions include: If the closing price falls below the Lower Donchian Channel (dc_lower) after crossing above it from below OR If the closing price falls below or equals the Lower Donchian Channel (dc_lower) after the previous closing price being greater than the Lower Donchian Channel value. The method also has the option to add additional sell conditions based on user-configured technical indicators (such as SAR, SMA, EMA, ADX, DM, and MACD) when these options are enabled. Overall, the "DonchianChannel" strategy combines multiple technical indicators, including Bollinger Bands, Donchian Channels, ADX, MFI, MACD, RSI, and various moving averages, to generate buy and sell signals for backtesting trading strategies.
stoploss: 0 timeframe: 5m hash(sha256): 45f94efe046a8724f123abbef1440dc4ce1753cda25e8f595e37d241e9a8a356 indicators: upper dc_lf close dc_h dm_delta bb_lowerband mfi ema5 dc_hf macdhist fastk dc_cl level open dm_plus fastd ema10 sar high macdsignal mid bb_diff dc_upper fisher_rsi dc_diff dc_lower ema100 dc_clf dc_dif macd dc_ch dc_mid dc_dist dc_chf adx lower dc_l bb_middleband rsi bb_upperband low ema50 dm_minus sma200
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last change: 2024-04-29 01:19:18