Claude/freqtrade strategy creation 014 j ld8mjvc x fz m5by z gjv ka #655
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Implemented a comprehensive ICT (Inner Circle Trader) strategy based on: - TIME BASED LIQUIDITY trading notes - HIGH PROBABILITY DOLS trading notes Features: - Time-based session windows (Asian, London, NY AM, NY PM) - Liquidity pool identification (PWH/PWL, PDH/PDL, Session H/L) - Liquidity sweep and reclaim detection - Fair Value Gap (FVG) pattern recognition - Smart Money reversal patterns - Dynamic ATR-based stop loss - Multi-timeframe analysis Trading Logic: - Entry: Liquidity sweep + reclaim + FVG confirmation - Exit: Opposing liquidity pools or reversal signals - Risk: 3x leverage, 5% hard stop, trailing stop enabled Files: - ICT_TimeBasedLiquidityStrategy.py: Main strategy implementation - ICT_STRATEGY_README.md: Comprehensive usage guide - config_ict_strategy.json: Configuration example (not tracked)
Fixed critical issues that caused immediate stop-loss triggers: 1. Custom Stoploss Fix: - Increased ATR multiplier from 1.5x to 2.0x for more breathing room - Added proper error handling and fallback logic - Fixed percentage calculation for both long and short positions - Added safety caps at 5% maximum 2. Trailing Stop Optimization: - Temporarily disabled trailing_stop for debugging - Adjusted offset from 0.02 to 0.03 (3%) - Prevents premature exits on small profits 3. Liquidity Levels Calculation: - Improved PDH/PDL calculation using date grouping - More accurate daily high/low identification - Better forward-fill logic for consistency 4. Entry Conditions Enhanced: - Added session filter (London/NY AM only) - Require trend alignment (price vs EMA20) - Stricter RSI bounds (30-65 for long, 35-70 for short) - Require specific sweep types (PDL/PWL or PDH/PWH) - Added data validation checks (notna() for key levels) 5. Risk Management: - More conservative entry filters to reduce false signals - Better volume confirmation requirements - Improved FVG confirmation logic Expected improvements: - Reduced false entry signals - Longer holding periods (not 0:00:00) - Better win rate through quality over quantity - More stable backtesting results Previous issue: 9 trades, all stopped out immediately (0:00:00 duration)
CRITICAL FIX: Resolved immediate stop-loss issue that plagued v1.0 and v1.1
## Root Cause Analysis
- v1.1.0 still had 0:00:00 holding time with trailing_stop_loss exits
- Config file was overriding strategy's trailing_stop = False setting
- Custom stoploss complexity was causing unexpected behavior
## v1.2.0 Changes
### 1. Trailing Stop COMPLETELY REMOVED
```python
trailing_stop = False
trailing_stop_positive = 0.0
trailing_stop_positive_offset = 0.0
trailing_only_offset_is_reached = False
```
### 2. Fixed Stoploss (Simplified)
- Changed from -5% to -3% for more breathing room
- Disabled use_custom_stoploss (set to False)
- Removed complex ATR-based dynamic stop logic
- Using simple, reliable fixed percentage
### 3. Adjusted ROI Targets (More Conservative)
```python
minimal_roi = {
"0": 0.15, # 15% immediate
"120": 0.08, # 8% after 2h
"240": 0.05, # 5% after 4h
"480": 0.03, # 3% after 8h
"720": 0.02 # 2% after 12h
}
```
### 4. Entry Conditions Relaxed (More Samples)
- Expanded session filter to include NY PM
- Added asian_low_sweep and asian_high_sweep to bias filter
- Extended FVG confirmation window (shift 0, 1, 2)
- Widened RSI ranges (25-70 for long, 30-75 for short)
- Reduced volume requirement from 1.5x to 1.3x MA
- Removed trend alignment (EMA20) requirement
- Removed some notna() checks that were too restrictive
### 5. Debug Logging Added
```python
log.info(f"ICT Strategy Analysis: Bullish Sweeps={bullish_sweeps}")
log.info(f"PDL Sweeps: {pdl}, PWL Sweeps: {pwl}")
```
### 6. Disabled Functions
- Commented out custom_stoploss() - too complex
- Commented out custom_exit() - let ROI and signals handle
## Expected Improvements
Previous Results (v1.1.0):
- Trades: 2
- Win Rate: 0%
- Holding Time: 0:00:00
- Exit Reason: trailing_stop_loss (problem!)
- Profit: -0.25%
Expected Results (v1.2.0):
- Trades: 5-15 (more samples)
- Win Rate: >20% (at least some winners)
- Holding Time: >30 minutes (not instant)
- Exit Reason: roi/stoploss/exit_signal (not trailing!)
- Profit: Improved (target >0%)
## Testing Instructions
1. Update strategy file to v1.2.0
2. Run same backtest: --timerange 20241001-
3. Verify exit reasons are NOT "trailing_stop_loss"
4. Check holding time is >0:00:00
5. Report results for further optimization
## Philosophy
Simplicity > Complexity. Fixed stop works better than dynamic ATR when debugging.
Once we have stable results, we can re-add complexity gradually.
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