Introduce max_drawdown protection

This commit is contained in:
Matthias 2020-11-30 08:05:48 +01:00
parent 9d6f3a89ef
commit 089c463cfb
5 changed files with 92 additions and 7 deletions

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@ -27,7 +27,7 @@ AVAILABLE_PAIRLISTS = ['StaticPairList', 'VolumePairList',
'AgeFilter', 'PerformanceFilter', 'PrecisionFilter', 'AgeFilter', 'PerformanceFilter', 'PrecisionFilter',
'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter', 'PriceFilter', 'RangeStabilityFilter', 'ShuffleFilter',
'SpreadFilter'] 'SpreadFilter']
AVAILABLE_PROTECTIONS = ['StoplossGuard', 'CooldownPeriod', 'LowProfitPairs'] AVAILABLE_PROTECTIONS = ['CooldownPeriod', 'LowProfitPairs', 'MaxDrawdown', 'StoplossGuard']
AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5'] AVAILABLE_DATAHANDLERS = ['json', 'jsongz', 'hdf5']
DRY_RUN_WALLET = 1000 DRY_RUN_WALLET = 1000
DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S' DATETIME_PRINT_FORMAT = '%Y-%m-%d %H:%M:%S'

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@ -12,9 +12,7 @@ logger = logging.getLogger(__name__)
class CooldownPeriod(IProtection): class CooldownPeriod(IProtection):
# Can globally stop the bot
has_global_stop: bool = False has_global_stop: bool = False
# Can stop trading for one pair
has_local_stop: bool = True has_local_stop: bool = True
def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None: def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None:

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@ -12,9 +12,7 @@ logger = logging.getLogger(__name__)
class LowProfitPairs(IProtection): class LowProfitPairs(IProtection):
# Can globally stop the bot
has_global_stop: bool = False has_global_stop: bool = False
# Can stop trading for one pair
has_local_stop: bool = True has_local_stop: bool = True
def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None: def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None:

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@ -0,0 +1,91 @@
import logging
from datetime import datetime, timedelta
from typing import Any, Dict
import pandas as pd
from freqtrade.data.btanalysis import calculate_max_drawdown
from freqtrade.persistence import Trade
from freqtrade.plugins.protections import IProtection, ProtectionReturn
logger = logging.getLogger(__name__)
class MaxDrawdown(IProtection):
has_global_stop: bool = True
has_local_stop: bool = False
def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None:
super().__init__(config, protection_config)
self._lookback_period = protection_config.get('lookback_period', 60)
self._trade_limit = protection_config.get('trade_limit', 1)
self._max_allowed_drawdown = protection_config.get('max_allowed_drawdown', 0.0)
# TODO: Implement checks to limit max_drawdown to sensible values
def short_desc(self) -> str:
"""
Short method description - used for startup-messages
"""
return (f"{self.name} - Max drawdown protection, stop trading if drawdown is > "
f"{self._max_allowed_drawdown} within {self._lookback_period} minutes.")
def _reason(self, drawdown: float) -> str:
"""
LockReason to use
"""
return (f'{drawdown} > {self._max_allowed_drawdown} in {self._lookback_period} min, '
f'locking for {self._stop_duration} min.')
def _max_drawdown(self, date_now: datetime, pair: str) -> ProtectionReturn:
"""
Evaluate recent trades for drawdown ...
"""
look_back_until = date_now - timedelta(minutes=self._lookback_period)
filters = [
Trade.is_open.is_(False),
Trade.close_date > look_back_until,
]
if pair:
filters.append(Trade.pair == pair)
trades = Trade.get_trades(filters).all()
trades_df = pd.DataFrame(trades)
if len(trades) < self._trade_limit:
# Not enough trades in the relevant period
return False, None, None
# Drawdown is always positive
drawdown, _, _ = calculate_max_drawdown(trades_df)
if drawdown > self._max_allowed_drawdown:
self.log_once(
f"Trading for {pair} stopped due to {drawdown:.2f} < {self._max_allowed_drawdown} "
f"within {self._lookback_period} minutes.", logger.info)
until = self.calculate_lock_end(trades, self._stop_duration)
return True, until, self._reason(drawdown)
return False, None, None
def global_stop(self, date_now: datetime) -> ProtectionReturn:
"""
Stops trading (position entering) for all pairs
This must evaluate to true for the whole period of the "cooldown period".
:return: Tuple of [bool, until, reason].
If true, all pairs will be locked with <reason> until <until>
"""
return self._max_drawdown(date_now)
def stop_per_pair(self, pair: str, date_now: datetime) -> ProtectionReturn:
"""
Stops trading (position entering) for this pair
This must evaluate to true for the whole period of the "cooldown period".
:return: Tuple of [bool, until, reason].
If true, this pair will be locked with <reason> until <until>
"""
return False, None, None

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@ -15,9 +15,7 @@ logger = logging.getLogger(__name__)
class StoplossGuard(IProtection): class StoplossGuard(IProtection):
# Can globally stop the bot
has_global_stop: bool = True has_global_stop: bool = True
# Can stop trading for one pair
has_local_stop: bool = True has_local_stop: bool = True
def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None: def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None: