68 lines
2.7 KiB
Python
68 lines
2.7 KiB
Python
|
|
import ccxt
|
|
import pandas as pd
|
|
|
|
def get_ohlcv(symbol, timeframe):
|
|
exchange = ccxt.binance()
|
|
ohlcv = exchange.fetch_ohlcv(symbol, timeframe)
|
|
df = pd.DataFrame(ohlcv, columns=['timestamp', 'open', 'high', 'low', 'close', 'volume'])
|
|
df['timestamp'] = pd.to_datetime(df['timestamp'], unit='ms')
|
|
return df
|
|
|
|
def get_trend(df):
|
|
df['ema20'] = df['close'].ewm(span=20, adjust=False).mean()
|
|
df['ema50'] = df['close'].ewm(span=50, adjust=False).mean()
|
|
df['rsi'] = 100 - (100 / (1 + df['close'].diff().apply(lambda x: x if x > 0 else 0).ewm(alpha=1/14, adjust=False).mean() / df['close'].diff().apply(lambda x: abs(x) if x < 0 else 0).ewm(alpha=1/14, adjust=False).mean()))
|
|
|
|
last_row = df.iloc[-1]
|
|
if last_row['ema20'] > last_row['ema50'] and last_row['close'] > last_row['ema20'] and last_row['rsi'] > 50:
|
|
return 'UP'
|
|
elif last_row['ema20'] < last_row['ema50'] and last_row['close'] < last_row['ema20'] and last_row['rsi'] < 50:
|
|
return 'DOWN'
|
|
else:
|
|
return None
|
|
|
|
def get_setup(df):
|
|
df['rsi'] = 100 - (100 / (1 + df['close'].diff().apply(lambda x: x if x > 0 else 0).ewm(alpha=1/14, adjust=False).mean() / df['close'].diff().apply(lambda x: abs(x) if x < 0 else 0).ewm(alpha=1/14, adjust=False).mean()))
|
|
|
|
last_row = df.iloc[-1]
|
|
if last_row['rsi'] > 40 and last_row['rsi'] < 60:
|
|
return True
|
|
else:
|
|
return False
|
|
|
|
def get_entry(df):
|
|
df['ema20'] = df['close'].ewm(span=20, adjust=False).mean()
|
|
df['ema50'] = df['close'].ewm(span=50, adjust=False).mean()
|
|
df['rsi'] = 100 - (100 / (1 + df['close'].diff().apply(lambda x: x if x > 0 else 0).ewm(alpha=1/14, adjust=False).mean() / df['close'].diff().apply(lambda x: abs(x) if x < 0 else 0).ewm(alpha=1/14, adjust=False).mean()))
|
|
df['volume_sma20'] = df['volume'].rolling(window=20).mean()
|
|
|
|
last_row = df.iloc[-1]
|
|
if last_row['ema20'] > last_row['ema50'] and last_row['rsi'] > 50 and last_row['close'] > last_row['ema20'] and last_row['volume'] > last_row['volume_sma20']:
|
|
return 'BUY'
|
|
elif last_row['ema20'] < last_row['ema50'] and last_row['rsi'] < 50 and last_row['close'] < last_row['ema20'] and last_row['volume'] > last_row['volume_sma20']:
|
|
return 'SELL'
|
|
else:
|
|
return 'WAIT'
|
|
|
|
def generate_signal(symbol):
|
|
# 1h trend
|
|
df_1h = get_ohlcv(symbol, '1h')
|
|
trend = get_trend(df_1h)
|
|
|
|
if trend:
|
|
# 15m setup
|
|
df_15m = get_ohlcv(symbol, '15m')
|
|
setup = get_setup(df_15m)
|
|
|
|
if setup:
|
|
# 5m entry
|
|
df_5m = get_ohlcv(symbol, '5m')
|
|
entry = get_entry(df_5m)
|
|
|
|
if (trend == 'UP' and entry == 'BUY') or (trend == 'DOWN' and entry == 'SELL'):
|
|
return entry
|
|
|
|
return 'WAIT'
|
|
|