From: Jérôme Benoit <jerome.benoit@piment-noir.org>
Date: Thu, 20 Mar 2025 11:47:32 +0000 (+0100)
Subject: feat(qav3): make SL/TP labeling window aware
X-Git-Url: https://git.piment-noir.org/?a=commitdiff_plain;h=3d0a3f9e89a06e2389da7a8bc4775dceb5774d69;p=freqai-strategies.git

feat(qav3): make SL/TP labeling window aware

Signed-off-by: Jérôme Benoit <jerome.benoit@piment-noir.org>
---

diff --git a/quickadapter/docs/ labeling_window.txt b/quickadapter/docs/ labeling_window.txt
new file mode 100644
index 0000000..e1f0068
--- /dev/null
+++ b/quickadapter/docs/ labeling_window.txt	
@@ -0,0 +1,42 @@
+- = candle = { open, close, high, low, volume, natr_ratio_label_window, ... } dataframe
+
+Labeling window: 
+----------------
+
+[  label window   ] size can change because of HPO
+										  	
+										                                                               now
+										                                                                |
+-------------------------------------------------------------------------------------
+	      ][  label window   ][  label window   ][  label window   ][  label window   ]
+
+Price movement expectation over the labeling window:
+----------------------------------------------------
+
+trade candles = current candle date - trade candle date / timeframe (in the same time unit)
+
+		         trade candle	
+                              |
+-------------------------------       -> trade natr * trade open rate = expected price movement in the future label window candles
+[   trade natr label window   ]
+
+
+   trade candle	         current candle
+	|		        |
+---------------------------------     -> current natr * current rate = expected price movement in the future label window candles
+[   current natr label window   ]
+
+   trade candle	         		current candle
+	|		        	       |
+------------------------------------------------------------------   -> current natr * current rate * trade candles // label window  = expected price movement in the future
+[   current natr label window   ][   current natr label window   ]								       (trade candles // label window) label window candles  
+
+
+
+
+
+
+
+
+
+
diff --git a/quickadapter/user_data/strategies/QuickAdapterV3.py b/quickadapter/user_data/strategies/QuickAdapterV3.py
index 37e63b7..e0744f0 100644
--- a/quickadapter/user_data/strategies/QuickAdapterV3.py
+++ b/quickadapter/user_data/strategies/QuickAdapterV3.py
@@ -44,7 +44,7 @@ class QuickAdapterV3(IStrategy):
     INTERFACE_VERSION = 3
 
     def version(self) -> str:
-        return "3.1.11"
+        return "3.1.12"
 
     timeframe = "5m"
 
@@ -398,12 +398,29 @@ class QuickAdapterV3(IStrategy):
         entry_candle = df.loc[(df["date"] == entry_date)]
         if entry_candle.empty:
             return None
-        return entry_candle.squeeze()
+        return entry_candle
+
+    def get_trade_candles(self, df: DataFrame, trade: Trade) -> int | None:
+        entry_candle = self.get_trade_entry_candle(df, trade)
+        if isna(entry_candle):
+            return None
+        entry_candle = entry_candle.squeeze()
+        entry_candle_date = entry_candle["date"]
+        current_candle_date = df["date"].iloc[-1]
+        if isna(current_candle_date):
+            return None
+        trade_duration_minutes = (
+            current_candle_date - entry_candle_date
+        ).total_seconds() / 60.0
+        return max(
+            int(trade_duration_minutes / timeframe_to_minutes(self.timeframe)), 1
+        )
 
     def get_trade_entry_natr(self, df: DataFrame, trade: Trade) -> float | None:
         entry_candle = self.get_trade_entry_candle(df, trade)
         if isna(entry_candle):
             return None
+        entry_candle = entry_candle.squeeze()
         return entry_candle["natr_ratio_labeling_window"]
 
     def get_trade_stoploss_distance(self, df: DataFrame, trade: Trade) -> float | None:
@@ -423,11 +440,19 @@ class QuickAdapterV3(IStrategy):
     def get_stoploss_distance(
         self, df: DataFrame, trade: Trade, current_rate: float
     ) -> float | None:
-        trade_stoploss_distance = self.get_trade_stoploss_distance(df, trade)
-        current_stoploss_distance = self.get_current_stoploss_distance(df, current_rate)
-        if isna(trade_stoploss_distance) or isna(current_stoploss_distance):
+        label_window_frequency = self.get_trade_candles(df, trade) // (
+            self.get_label_period_candles(trade.pair) * 2
+        )
+        # trade_stoploss_distance = self.get_trade_stoploss_distance(df, trade)
+        current_stoploss_distance = self.get_current_stoploss_distance(
+            df, current_rate
+        ) / self.get_trade_candles(df, trade)
+        # if isna(trade_stoploss_distance) or isna(current_stoploss_distance):
+        #     return None
+        # return max(trade_stoploss_distance, current_stoploss_distance)
+        if isna(current_stoploss_distance):
             return None
-        return max(trade_stoploss_distance, current_stoploss_distance)
+        return current_stoploss_distance
 
     def custom_stoploss(
         self,
@@ -537,7 +562,7 @@ class QuickAdapterV3(IStrategy):
     ) -> bool:
         max_open_trades_per_side = self.max_open_trades_per_side()
         if max_open_trades_per_side >= 0:
-            open_trades = Trade.get_trades(trade_filter=Trade.is_open.is_(True))
+            open_trades = Trade.get_open_trades()
             num_shorts, num_longs = 0, 0
             for trade in open_trades:
                 if "short" in trade.enter_tag: