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v0.5: Bollinger Bands entry signals (60%+ Win-Rate target) - Replace RSI+Support

This commit is contained in:
Marc Blatter 2026-07-24 16:24:32 +02:00
parent 4e156f8b18
commit ced986d3dd
1 changed files with 53 additions and 84 deletions
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137
src/main_ml.py
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@ -1,5 +1,5 @@
#!/usr/bin/env python3 #!/usr/bin/env python3
"""Trading Bot v0.4.2 - Win-Rate Optimization (RSI + Support Detection)""" """Trading Bot v0.5 - Bollinger Bands Entry Signals (60%+ Win-Rate target)"""
import os, json, time, logging, sqlite3 import os, json, time, logging, sqlite3
from datetime import datetime from datetime import datetime
from dotenv import load_dotenv from dotenv import load_dotenv
@ -23,15 +23,13 @@ MAX_POSITION_PCT = 0.07
TAKE_PROFIT_PCT = 0.015 TAKE_PROFIT_PCT = 0.015
STOP_LOSS_PCT = -0.008 STOP_LOSS_PCT = -0.008
CYCLE_SEC = 60 CYCLE_SEC = 60
RSI_PERIOD = 14 BB_PERIOD = 20
RSI_OVERSOLD = 30 BB_STD_DEV = 2.0
RSI_OVERBOUGHT = 70
class TradingBotV042: class TradingBotV05:
def __init__(self): def __init__(self):
self.client = Client(API_KEY, API_SECRET) self.client = Client(API_KEY, API_SECRET)
self.price_history = {sym: [] for sym in SYMBOLS} self.price_history = {sym: [] for sym in SYMBOLS}
self.rsi_values = {sym: [] for sym in SYMBOLS}
self.active_trades = {} self.active_trades = {}
self.portfolio_value = 0 self.portfolio_value = 0
self.max_trade_usdt = 0 self.max_trade_usdt = 0
@ -59,26 +57,51 @@ class TradingBotV042:
except Exception as e: except Exception as e:
logger.warning(f"Recovery failed: {e}") logger.warning(f"Recovery failed: {e}")
logger.info("[v0.4.2 INIT] RSI + Support-based Entry Signals (55%+ Win-Rate target)") logger.info("[v0.5 INIT] Bollinger Bands Entry Signals (60%+ WR target)")
def calculate_rsi(self, prices): def calculate_bollinger_bands(self, prices):
"""Calculate RSI from price list""" """Calculate 20-EMA +/- 2*StdDev"""
if len(prices) < RSI_PERIOD + 1: if len(prices) < BB_PERIOD:
return None return None, None, None
deltas = [prices[i] - prices[i-1] for i in range(1, len(prices))] # EMA-20
gains = [d if d > 0 else 0 for d in deltas[-RSI_PERIOD:]] ema = prices[-1]
losses = [abs(d) if d < 0 else 0 for d in deltas[-RSI_PERIOD:]] alpha = 2.0 / (BB_PERIOD + 1)
for price in prices[-BB_PERIOD:]:
ema = (price * alpha) + (ema * (1 - alpha))
avg_gain = sum(gains) / RSI_PERIOD # StdDev of last 20 prices
avg_loss = sum(losses) / RSI_PERIOD recent_prices = prices[-BB_PERIOD:]
mean = sum(recent_prices) / BB_PERIOD
variance = sum((p - mean) ** 2 for p in recent_prices) / BB_PERIOD
std_dev = variance ** 0.5
if avg_loss == 0: upper_band = ema + (BB_STD_DEV * std_dev)
return 100 if avg_gain > 0 else 0 lower_band = ema - (BB_STD_DEV * std_dev)
rs = avg_gain / avg_loss return ema, upper_band, lower_band
rsi = 100 - (100 / (1 + rs))
return rsi def is_bollinger_breakout(self, symbol):
"""Buy when price rebounds from lower band (crosses from below to above)"""
if len(self.price_history[symbol]) < BB_PERIOD + 1:
return False
prices = self.price_history[symbol]
ema, upper, lower = self.calculate_bollinger_bands(prices)
if not ema or not lower:
return False
current_price = prices[-1]
prev_price = prices[-2]
# Signal: Price was below lower band, now above lower band
breakout = (prev_price < lower and current_price > lower)
if breakout:
logger.info(f"[SIGNAL-BB] {symbol} Bollinger Breakout (EMA={ema:.2f}, Lower={lower:.2f})")
return breakout
def get_fresh_balance(self): def get_fresh_balance(self):
try: try:
@ -109,7 +132,7 @@ class TradingBotV042:
self.portfolio_value = portfolio_value self.portfolio_value = portfolio_value
self.max_trade_usdt = portfolio_value * MAX_POSITION_PCT self.max_trade_usdt = portfolio_value * MAX_POSITION_PCT
logger.info(f"[v0.4.2] USDT={usdt_available:.2f} | Portfolio={portfolio_value:.2f}") logger.info(f"[v0.5] USDT={usdt_available:.2f} | Portfolio={portfolio_value:.2f} | Max={self.max_trade_usdt:.2f}")
return usdt_available, portfolio_value return usdt_available, portfolio_value
except: except:
return 0, 0 return 0, 0
@ -121,59 +144,6 @@ class TradingBotV042:
except: except:
return None return None
def is_local_minimum(self, symbol):
"""OLD: Local Minimum (price below last 4 candles)"""
if len(self.price_history[symbol]) < 5:
return False
recent = self.price_history[symbol][-5:]
current = recent[-1]
is_min = all(current < p for p in recent[:-1])
if is_min:
logger.info(f"[SIGNAL-1] LOCAL_MIN: {symbol}")
return is_min
def is_rsi_oversold(self, symbol):
"""NEW: RSI oversold (RSI < 30)"""
if len(self.price_history[symbol]) < RSI_PERIOD + 2:
return False
rsi = self.calculate_rsi(self.price_history[symbol])
if not rsi:
return False
is_oversold = rsi < RSI_OVERSOLD
if is_oversold:
logger.info(f"[SIGNAL-2] RSI_OVERSOLD: {symbol} RSI={rsi:.1f}")
return is_oversold
def is_support_bounce(self, symbol):
"""NEW: Price bouncing from support level (2% rebound)"""
if len(self.price_history[symbol]) < 5:
return False
recent = self.price_history[symbol][-5:]
low = min(recent[:-1])
current = recent[-1]
# If current is 2%+ above recent low, it's a bounce
bounce_pct = ((current - low) / low) * 100
is_bounce = (bounce_pct >= 2.0)
if is_bounce:
logger.info(f"[SIGNAL-3] SUPPORT_BOUNCE: {symbol} {bounce_pct:.1f}%")
return is_bounce
def has_buy_signal(self, symbol):
"""Multiple entry signals for higher Win-Rate"""
return (
self.is_local_minimum(symbol) or
self.is_rsi_oversold(symbol) or
self.is_support_bounce(symbol)
)
def calculate_valid_quantity(self, symbol, usdt_amount): def calculate_valid_quantity(self, symbol, usdt_amount):
try: try:
price = self.get_current_price(symbol) price = self.get_current_price(symbol)
@ -222,7 +192,7 @@ class TradingBotV042:
'entry_time': datetime.now().isoformat() 'entry_time': datetime.now().isoformat()
} }
logger.info(f"[BUY-v0.4.2] {symbol} {qty} @ {price}") logger.info(f"[BUY-v0.5] {symbol} {qty} @ {price} (BB Breakout)")
return order return order
except: except:
return None return None
@ -257,7 +227,6 @@ class TradingBotV042:
pass pass
def save_pnl_to_db(self, portfolio_val, usdt_free): def save_pnl_to_db(self, portfolio_val, usdt_free):
"""Save P&L data to database"""
try: try:
conn = sqlite3.connect('/home/marc/bot-deploy/pnl_charts.db') conn = sqlite3.connect('/home/marc/bot-deploy/pnl_charts.db')
baseline = conn.execute('SELECT pv FROM history ORDER BY ts ASC LIMIT 1').fetchone() baseline = conn.execute('SELECT pv FROM history ORDER BY ts ASC LIMIT 1').fetchone()
@ -281,7 +250,7 @@ class TradingBotV042:
usdt_free, portfolio_val = self.get_fresh_balance() usdt_free, portfolio_val = self.get_fresh_balance()
if usdt_free < MIN_TRADE_USDT: if usdt_free < MIN_TRADE_USDT:
logger.warning(f"Low capital: {usdt_free}") logger.warning(f"Low capital: {usdt_free:.2f}")
logger.info("="*70) logger.info("="*70)
return return
@ -295,10 +264,10 @@ class TradingBotV042:
if len(self.price_history[symbol]) > 100: if len(self.price_history[symbol]) > 100:
self.price_history[symbol].pop(0) self.price_history[symbol].pop(0)
# Find BEST signal (any of the 3) # Find BEST Bollinger Bands signal
best_signal = None best_signal = None
for symbol in SYMBOLS: for symbol in SYMBOLS:
if symbol not in self.active_trades and self.has_buy_signal(symbol): if symbol not in self.active_trades and self.is_bollinger_breakout(symbol):
best_signal = symbol best_signal = symbol
break break
@ -316,7 +285,7 @@ class TradingBotV042:
'portfolio_value': round(portfolio_val, 2), 'portfolio_value': round(portfolio_val, 2),
'max_trade_usdt': round(self.max_trade_usdt, 2), 'max_trade_usdt': round(self.max_trade_usdt, 2),
'timestamp': datetime.now().isoformat(), 'timestamp': datetime.now().isoformat(),
'version': 'v0.4.2' 'version': 'v0.5-bollinger-bands'
}, f) }, f)
os.replace(temp, '/home/marc/bot-deploy/active_trades.json') os.replace(temp, '/home/marc/bot-deploy/active_trades.json')
except: except:
@ -325,18 +294,18 @@ class TradingBotV042:
# Save P&L # Save P&L
self.save_pnl_to_db(portfolio_val, usdt_free) self.save_pnl_to_db(portfolio_val, usdt_free)
logger.info(f"[CYCLE-END] Trades={len(self.active_trades)} | Portfolio={portfolio_val:.2f}") logger.info(f"[CYCLE-END] Trades={len(self.active_trades)} | Portfolio={portfolio_val:.2f} [v0.5]")
logger.info("="*70) logger.info("="*70)
if __name__ == '__main__': if __name__ == '__main__':
import sys import sys
bot = TradingBotV042() bot = TradingBotV05()
if len(sys.argv) > 1 and sys.argv[1] == '--once': if len(sys.argv) > 1 and sys.argv[1] == '--once':
bot.run_cycle() bot.run_cycle()
else: else:
logger.info("[v0.4.2 START] Bot running (RSI + Support Signals)...") logger.info("[v0.5 START] Trading Bot with Bollinger Bands signals...")
while True: while True:
try: try:
bot.run_cycle() bot.run_cycle()