v0.5: Bollinger Bands entry signals (60%+ Win-Rate target) - Replace RSI+Support
This commit is contained in:
Marc Blatter
parent
4e156f8b18
commit
3204fdccd4
137
src/main_ml.py
137
src/main_ml.py
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@ -1,5 +1,5 @@
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#!/usr/bin/env python3
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"""Trading Bot v0.4.2 - Win-Rate Optimization (RSI + Support Detection)"""
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"""Trading Bot v0.5 - Bollinger Bands Entry Signals (60%+ Win-Rate target)"""
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import os, json, time, logging, sqlite3
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from datetime import datetime
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from dotenv import load_dotenv
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@ -23,15 +23,13 @@ MAX_POSITION_PCT = 0.07
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TAKE_PROFIT_PCT = 0.015
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STOP_LOSS_PCT = -0.008
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CYCLE_SEC = 60
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RSI_PERIOD = 14
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RSI_OVERSOLD = 30
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RSI_OVERBOUGHT = 70
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BB_PERIOD = 20
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BB_STD_DEV = 2.0
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class TradingBotV042:
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class TradingBotV05:
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def __init__(self):
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self.client = Client(API_KEY, API_SECRET)
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self.price_history = {sym: [] for sym in SYMBOLS}
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self.rsi_values = {sym: [] for sym in SYMBOLS}
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self.active_trades = {}
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self.portfolio_value = 0
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self.max_trade_usdt = 0
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@ -59,26 +57,51 @@ class TradingBotV042:
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except Exception as e:
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logger.warning(f"Recovery failed: {e}")
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logger.info("[v0.4.2 INIT] RSI + Support-based Entry Signals (55%+ Win-Rate target)")
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logger.info("[v0.5 INIT] Bollinger Bands Entry Signals (60%+ WR target)")
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def calculate_rsi(self, prices):
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"""Calculate RSI from price list"""
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if len(prices) < RSI_PERIOD + 1:
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return None
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def calculate_bollinger_bands(self, prices):
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"""Calculate 20-EMA +/- 2*StdDev"""
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if len(prices) < BB_PERIOD:
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return None, None, None
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deltas = [prices[i] - prices[i-1] for i in range(1, len(prices))]
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gains = [d if d > 0 else 0 for d in deltas[-RSI_PERIOD:]]
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losses = [abs(d) if d < 0 else 0 for d in deltas[-RSI_PERIOD:]]
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# EMA-20
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ema = prices[-1]
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alpha = 2.0 / (BB_PERIOD + 1)
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for price in prices[-BB_PERIOD:]:
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ema = (price * alpha) + (ema * (1 - alpha))
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avg_gain = sum(gains) / RSI_PERIOD
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avg_loss = sum(losses) / RSI_PERIOD
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# StdDev of last 20 prices
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recent_prices = prices[-BB_PERIOD:]
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mean = sum(recent_prices) / BB_PERIOD
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variance = sum((p - mean) ** 2 for p in recent_prices) / BB_PERIOD
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std_dev = variance ** 0.5
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if avg_loss == 0:
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return 100 if avg_gain > 0 else 0
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upper_band = ema + (BB_STD_DEV * std_dev)
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lower_band = ema - (BB_STD_DEV * std_dev)
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rs = avg_gain / avg_loss
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rsi = 100 - (100 / (1 + rs))
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return rsi
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return ema, upper_band, lower_band
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def is_bollinger_breakout(self, symbol):
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"""Buy when price rebounds from lower band (crosses from below to above)"""
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if len(self.price_history[symbol]) < BB_PERIOD + 1:
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return False
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prices = self.price_history[symbol]
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ema, upper, lower = self.calculate_bollinger_bands(prices)
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if not ema or not lower:
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return False
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current_price = prices[-1]
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prev_price = prices[-2]
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# Signal: Price was below lower band, now above lower band
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breakout = (prev_price < lower and current_price > lower)
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if breakout:
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logger.info(f"[SIGNAL-BB] {symbol} Bollinger Breakout (EMA={ema:.2f}, Lower={lower:.2f})")
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return breakout
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def get_fresh_balance(self):
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try:
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@ -109,7 +132,7 @@ class TradingBotV042:
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self.portfolio_value = portfolio_value
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self.max_trade_usdt = portfolio_value * MAX_POSITION_PCT
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logger.info(f"[v0.4.2] USDT={usdt_available:.2f} | Portfolio={portfolio_value:.2f}")
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logger.info(f"[v0.5] USDT={usdt_available:.2f} | Portfolio={portfolio_value:.2f} | Max={self.max_trade_usdt:.2f}")
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return usdt_available, portfolio_value
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except:
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return 0, 0
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@ -121,59 +144,6 @@ class TradingBotV042:
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except:
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return None
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def is_local_minimum(self, symbol):
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"""OLD: Local Minimum (price below last 4 candles)"""
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if len(self.price_history[symbol]) < 5:
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return False
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recent = self.price_history[symbol][-5:]
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current = recent[-1]
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is_min = all(current < p for p in recent[:-1])
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if is_min:
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logger.info(f"[SIGNAL-1] LOCAL_MIN: {symbol}")
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return is_min
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def is_rsi_oversold(self, symbol):
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"""NEW: RSI oversold (RSI < 30)"""
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if len(self.price_history[symbol]) < RSI_PERIOD + 2:
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return False
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rsi = self.calculate_rsi(self.price_history[symbol])
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if not rsi:
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return False
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is_oversold = rsi < RSI_OVERSOLD
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if is_oversold:
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logger.info(f"[SIGNAL-2] RSI_OVERSOLD: {symbol} RSI={rsi:.1f}")
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return is_oversold
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def is_support_bounce(self, symbol):
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"""NEW: Price bouncing from support level (2% rebound)"""
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if len(self.price_history[symbol]) < 5:
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return False
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recent = self.price_history[symbol][-5:]
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low = min(recent[:-1])
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current = recent[-1]
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# If current is 2%+ above recent low, it's a bounce
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bounce_pct = ((current - low) / low) * 100
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is_bounce = (bounce_pct >= 2.0)
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if is_bounce:
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logger.info(f"[SIGNAL-3] SUPPORT_BOUNCE: {symbol} {bounce_pct:.1f}%")
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return is_bounce
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def has_buy_signal(self, symbol):
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"""Multiple entry signals for higher Win-Rate"""
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return (
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self.is_local_minimum(symbol) or
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self.is_rsi_oversold(symbol) or
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self.is_support_bounce(symbol)
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)
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def calculate_valid_quantity(self, symbol, usdt_amount):
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try:
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price = self.get_current_price(symbol)
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@ -222,7 +192,7 @@ class TradingBotV042:
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'entry_time': datetime.now().isoformat()
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}
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logger.info(f"[BUY-v0.4.2] {symbol} {qty} @ {price}")
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logger.info(f"[BUY-v0.5] {symbol} {qty} @ {price} (BB Breakout)")
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return order
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except:
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return None
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@ -257,7 +227,6 @@ class TradingBotV042:
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pass
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def save_pnl_to_db(self, portfolio_val, usdt_free):
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"""Save P&L data to database"""
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try:
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conn = sqlite3.connect('/home/marc/bot-deploy/pnl_charts.db')
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baseline = conn.execute('SELECT pv FROM history ORDER BY ts ASC LIMIT 1').fetchone()
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@ -281,7 +250,7 @@ class TradingBotV042:
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usdt_free, portfolio_val = self.get_fresh_balance()
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if usdt_free < MIN_TRADE_USDT:
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logger.warning(f"Low capital: {usdt_free}")
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logger.warning(f"Low capital: {usdt_free:.2f}")
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logger.info("="*70)
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return
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@ -295,10 +264,10 @@ class TradingBotV042:
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if len(self.price_history[symbol]) > 100:
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self.price_history[symbol].pop(0)
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# Find BEST signal (any of the 3)
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# Find BEST Bollinger Bands signal
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best_signal = None
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for symbol in SYMBOLS:
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if symbol not in self.active_trades and self.has_buy_signal(symbol):
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if symbol not in self.active_trades and self.is_bollinger_breakout(symbol):
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best_signal = symbol
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break
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@ -316,7 +285,7 @@ class TradingBotV042:
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'portfolio_value': round(portfolio_val, 2),
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'max_trade_usdt': round(self.max_trade_usdt, 2),
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'timestamp': datetime.now().isoformat(),
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'version': 'v0.4.2'
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'version': 'v0.5-bollinger-bands'
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}, f)
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os.replace(temp, '/home/marc/bot-deploy/active_trades.json')
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except:
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@ -325,18 +294,18 @@ class TradingBotV042:
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# Save P&L
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self.save_pnl_to_db(portfolio_val, usdt_free)
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logger.info(f"[CYCLE-END] Trades={len(self.active_trades)} | Portfolio={portfolio_val:.2f}")
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logger.info(f"[CYCLE-END] Trades={len(self.active_trades)} | Portfolio={portfolio_val:.2f} [v0.5]")
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logger.info("="*70)
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if __name__ == '__main__':
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import sys
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bot = TradingBotV042()
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bot = TradingBotV05()
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if len(sys.argv) > 1 and sys.argv[1] == '--once':
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bot.run_cycle()
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else:
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logger.info("[v0.4.2 START] Bot running (RSI + Support Signals)...")
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logger.info("[v0.5 START] Trading Bot with Bollinger Bands signals...")
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while True:
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try:
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bot.run_cycle()
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