Merge pull request #6228 from clover-es/feat/short

Stoploss from open for shorts

freqtrade/strategy/strategy_helper.py

@@ -1,6 +1,5 @@
 import pandas as pd
 
-from freqtrade.exceptions import OperationalException
 from freqtrade.exchange import timeframe_to_minutes
 
 
@@ -81,30 +80,26 @@ def stoploss_from_open(
     The requested stop can be positive for a stop above the open price, or negative for
     a stop below the open price. The return value is always >= 0.
 
-    Returns 0 if the resulting stop price would be above the current price.
+    Returns 0 if the resulting stop price would be above/below (longs/shorts) the current price
 
     :param open_relative_stop: Desired stop loss percentage relative to open price
     :param current_profit: The current profit percentage
+    :param for_short: When true, perform the calculation for short instead of long
     :return: Stop loss value relative to current price
     """
 
-    # formula is undefined for current_profit -1, return maximum value
-    if current_profit == -1:
+    # formula is undefined for current_profit -1 (longs) or 1 (shorts), return maximum value
+    if (current_profit == -1 and not for_short) or (for_short and current_profit == 1):
         return 1
 
     if for_short is True:
-        # TODO-lev: How would this be calculated for short
-        raise OperationalException(
-            "Freqtrade hasn't figured out how to calculated stoploss on shorts")
-        # stoploss = 1-((1+open_relative_stop)/(1+current_profit))
+        stoploss = -1+((1-open_relative_stop)/(1-current_profit))
     else:
         stoploss = 1-((1+open_relative_stop)/(1+current_profit))
 
-    # negative stoploss values indicate the requested stop price is higher than the current price
-    if for_short:
-        return min(stoploss, 0.0)
-    else:
-        return max(stoploss, 0.0)
+    # negative stoploss values indicate the requested stop price is higher/lower
+    # (long/short) than the current price
+    return max(stoploss, 0.0)
 
 
 def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float:

tests/strategy/test_strategy_helpers.py

@@ -109,33 +109,47 @@ def test_stoploss_from_open():
         [1, 100, 30],
         [100, 10000, 30],
     ]
-    current_profit_range = [-0.99, 2, 30]
+    # profit range for long is [-1, inf] while for shorts is [-inf, 1]
+    current_profit_range_dict = {'long': [-0.99, 2, 30], 'short': [-2.0, 0.99, 30]}
     desired_stop_range = [-0.50, 0.50, 30]
 
-    for open_range in open_price_ranges:
-        for open_price in np.linspace(*open_range):
-            for desired_stop in np.linspace(*desired_stop_range):
+    for side, current_profit_range in current_profit_range_dict.items():
+        for open_range in open_price_ranges:
+            for open_price in np.linspace(*open_range):
+                for desired_stop in np.linspace(*desired_stop_range):
 
-                # -1 is not a valid current_profit, should return 1
-                assert stoploss_from_open(desired_stop, -1) == 1
-
-                for current_profit in np.linspace(*current_profit_range):
-                    current_price = open_price * (1 + current_profit)
-                    expected_stop_price = open_price * (1 + desired_stop)
-
-                    stoploss = stoploss_from_open(desired_stop, current_profit)
-
-                    assert stoploss >= 0
-                    assert stoploss <= 1
-
-                    stop_price = current_price * (1 - stoploss)
-
-                    # there is no correct answer if the expected stop price is above
-                    # the current price
-                    if expected_stop_price > current_price:
-                        assert stoploss == 0
+                    if side == 'long':
+                        # -1 is not a valid current_profit, should return 1
+                        assert stoploss_from_open(desired_stop, -1) == 1
                     else:
-                        assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)
+                        # 1 is not a valid current_profit for shorts, should return 1
+                        assert stoploss_from_open(desired_stop, 1, True) == 1
+
+                    for current_profit in np.linspace(*current_profit_range):
+                        if side == 'long':
+                            current_price = open_price * (1 + current_profit)
+                            expected_stop_price = open_price * (1 + desired_stop)
+                            stoploss = stoploss_from_open(desired_stop, current_profit)
+                            stop_price = current_price * (1 - stoploss)
+                        else:
+                            current_price = open_price * (1 - current_profit)
+                            expected_stop_price = open_price * (1 - desired_stop)
+                            stoploss = stoploss_from_open(desired_stop, current_profit, True)
+                            stop_price = current_price * (1 + stoploss)
+
+                        assert stoploss >= 0
+                        # Technically the formula can yield values greater than 1 for shorts
+                        # eventhough it doesn't make sense because the position would be liquidated
+                        if side == 'long':
+                            assert stoploss <= 1
+
+                        # there is no correct answer if the expected stop price is above
+                        # the current price
+                        if (side == 'long' and expected_stop_price > current_price) \
+                                or (side == 'short' and expected_stop_price < current_price):
+                            assert stoploss == 0
+                        else:
+                            assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)
 
 
 def test_stoploss_from_absolute():