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Merge branch 'patch-4' of https://github.com/mrsegen/freqtrade into patch-4

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Leif Segen
2020-11-28 01:22:15 -06:00
parent dbd50fdff6 cfbd1c4c43
commit 1f7d681ddb
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9
docs/backtesting.md
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@@ -162,6 +162,8 @@ A backtesting result will look like that:
|-----------------------+---------------------|
| Backtesting from | 2019-01-01 00:00:00 |
| Backtesting to | 2019-05-01 00:00:00 |
| Max open trades | 3 |
| | |
| Total trades | 429 |
| First trade | 2019-01-01 18:30:00 |
| First trade Pair | EOS/USDT |
@@ -233,6 +235,8 @@ It contains some useful key metrics about performance of your strategy on backte
|-----------------------+---------------------|
| Backtesting from | 2019-01-01 00:00:00 |
| Backtesting to | 2019-05-01 00:00:00 |
| Max open trades | 3 |
| | |
| Total trades | 429 |
| First trade | 2019-01-01 18:30:00 |
| First trade Pair | EOS/USDT |
@@ -251,16 +255,17 @@ It contains some useful key metrics about performance of your strategy on backte
```
- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).
- `Max open trades`: Setting of `max_open_trades` (or `--max-open-trades`) - to clearly see settings for this.
- `Total trades`: Identical to the total trades of the backtest output table.
- `First trade`: First trade entered.
- `First trade pair`: Which pair was part of the first trade.
- `Backtesting from` / `Backtesting to`: Backtesting range (usually defined with the `--timerange` option).
- `Total Profit %`: Total profit per stake amount. Aligned to the TOTAL column of the first table.
- `Trades per day`: Total trades divided by the backtesting duration in days (this will give you information about how many trades to expect from the strategy).
- `Best day` / `Worst day`: Best and worst day based on daily profit.
- `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
- `Max Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
- `Drawdown Start` / `Drawdown End`: Start and end datetimes for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
- `Drawdown Start` / `Drawdown End`: Start and end datetime for this largest drawdown (can also be visualized via the `plot-dataframe` sub-command).
- `Market change`: Change of the market during the backtest period. Calculated as average of all pairs changes from the first to the last candle using the "close" column.
### Assumptions made by backtesting

2
docs/configuration.md
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@@ -177,7 +177,7 @@ In the example above this would mean:
This option only applies with [Static stake amount](#static-stake-amount) - since [Dynamic stake amount](#dynamic-stake-amount) divides the balances evenly.
!!! Note
The minimum last stake amount can be configured using `amend_last_stake_amount` - which defaults to 0.5 (50%). This means that the minimum stake amount that's ever used is `stake_amount * 0.5`. This avoids very low stake amounts, that are close to the minimum tradable amount for the pair and can be refused by the exchange.
The minimum last stake amount can be configured using `last_stake_amount_min_ratio` - which defaults to 0.5 (50%). This means that the minimum stake amount that's ever used is `stake_amount * 0.5`. This avoids very low stake amounts, that are close to the minimum tradable amount for the pair and can be refused by the exchange.
#### Static stake amount

8
docs/exchanges.md
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@@ -23,7 +23,8 @@ Binance has been split into 3, and users must use the correct ccxt exchange ID f
## Kraken
!!! Tip "Stoploss on Exchange"
Kraken supports `stoploss_on_exchange` and uses stop-loss-market orders. It provides great advantages, so we recommend to benefit from it, however since the resulting order is a stoploss-market order, sell-rates are not guaranteed, which makes this feature less secure than on other exchanges. This limitation is based on kraken's policy [source](https://blog.kraken.com/post/1234/announcement-delisting-pairs-and-temporary-suspension-of-advanced-order-types/) and [source2](https://blog.kraken.com/post/1494/kraken-enables-advanced-orders-and-adds-10-currency-pairs/) - which has stoploss-limit orders disabled.
Kraken supports `stoploss_on_exchange` and can use both stop-loss-market and stop-loss-limit orders. It provides great advantages, so we recommend to benefit from it.
You can use either `"limit"` or `"market"` in the `order_types.stoploss` configuration setting to decide which type to use.
### Historic Kraken data
@@ -75,8 +76,7 @@ print(res)
!!! Tip "Stoploss on Exchange"
FTX supports `stoploss_on_exchange` and can use both stop-loss-market and stop-loss-limit orders. It provides great advantages, so we recommend to benefit from it.
You can use either `"limit"` or `"market"` in the `order_types.stoploss` configuration setting to decide.
You can use either `"limit"` or `"market"` in the `order_types.stoploss` configuration setting to decide which type of stoploss shall be used.
### Using subaccounts
@@ -99,10 +99,10 @@ To use subaccounts with FTX, you need to edit the configuration and add the foll
Should you experience constant errors with Nonce (like `InvalidNonce`), it is best to regenerate the API keys. Resetting Nonce is difficult and it's usually easier to regenerate the API keys.
## Random notes for other exchanges
* The Ocean (exchange id: `theocean`) exchange uses Web3 functionality and requires `web3` python package to be installed:
```shell
$ pip3 install web3
```

30
docs/includes/pairlists.md
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@@ -20,6 +20,7 @@ Inactive markets are always removed from the resulting pairlist. Explicitly blac
* [`PriceFilter`](#pricefilter)
* [`ShuffleFilter`](#shufflefilter)
* [`SpreadFilter`](#spreadfilter)
* [`RangeStabilityFilter`](#rangestabilityfilter)
!!! Tip "Testing pairlists"
Pairlist configurations can be quite tricky to get right. Best use the [`test-pairlist`](utils.md#test-pairlist) utility sub-command to test your configuration quickly.
@@ -60,7 +61,7 @@ The `refresh_period` setting allows to define the period (in seconds), at which
"method": "VolumePairList",
"number_assets": 20,
"sort_key": "quoteVolume",
"refresh_period": 1800,
"refresh_period": 1800
}],
```
@@ -128,6 +129,27 @@ Example:
If `DOGE/BTC` maximum bid is 0.00000026 and minimum ask is 0.00000027, the ratio is calculated as: `1 - bid/ask ~= 0.037` which is `> 0.005` and this pair will be filtered out.
#### RangeStabilityFilter
Removes pairs where the difference between lowest low and highest high over `lookback_days` days is below `min_rate_of_change`. Since this is a filter that requires additional data, the results are cached for `refresh_period`.
In the below example:
If the trading range over the last 10 days is <1%, remove the pair from the whitelist.
```json
"pairlists": [
{
"method": "RangeStabilityFilter",
"lookback_days": 10,
"min_rate_of_change": 0.01,
"refresh_period": 1440
}
]
```
!!! Tip
This Filter can be used to automatically remove stable coin pairs, which have a very low trading range, and are therefore extremely difficult to trade with profit.
### Full example of Pairlist Handlers
The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, sorting pairs by `quoteVolume` and applies both [`PrecisionFilter`](#precisionfilter) and [`PriceFilter`](#price-filter), filtering all assets where 1 price unit is > 1%. Then the `SpreadFilter` is applied and pairs are finally shuffled with the random seed set to some predefined value.
@@ -147,6 +169,12 @@ The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets,
{"method": "PrecisionFilter"},
{"method": "PriceFilter", "low_price_ratio": 0.01},
{"method": "SpreadFilter", "max_spread_ratio": 0.005},
{
"method": "RangeStabilityFilter",
"lookback_days": 10,
"min_rate_of_change": 0.01,
"refresh_period": 1440
},
{"method": "ShuffleFilter", "seed": 42}
],
```

27
docs/stoploss.md
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@@ -23,11 +23,12 @@ These modes can be configured with these values:
```
!!! Note
Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market) and FTX (stop limit and stop-market) as of now.
<ins>Do not set too low stoploss value if using stop loss on exchange!</ins>
If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work
Stoploss on exchange is only supported for Binance (stop-loss-limit), Kraken (stop-loss-market, stop-loss-limit) and FTX (stop limit and stop-market) as of now.
<ins>Do not set too low/tight stoploss value if using stop loss on exchange!</ins>
If set to low/tight then you have greater risk of missing fill on the order and stoploss will not work.
### stoploss_on_exchange and stoploss_on_exchange_limit_ratio
Enable or Disable stop loss on exchange.
If the stoploss is *on exchange* it means a stoploss limit order is placed on the exchange immediately after buy order happens successfully. This will protect you against sudden crashes in market as the order will be in the queue immediately and if market goes down then the order has more chance of being fulfilled.
@@ -35,18 +36,23 @@ If `stoploss_on_exchange` uses limit orders, the exchange needs 2 prices, the st
`stoploss` defines the stop-price where the limit order is placed - and limit should be slightly below this.
If an exchange supports both limit and market stoploss orders, then the value of `stoploss` will be used to determine the stoploss type.
Calculation example: we bought the asset at 100$.
Stop-price is 95$, then limit would be `95 * 0.99 = 94.05$` - so the limit order fill can happen between 95$ and 94.05$.
Calculation example: we bought the asset at 100\$.
Stop-price is 95\$, then limit would be `95 * 0.99 = 94.05$` - so the limit order fill can happen between 95$ and 94.05$.
For example, assuming the stoploss is on exchange, and trailing stoploss is enabled, and the market is going up, then the bot automatically cancels the previous stoploss order and puts a new one with a stop value higher than the previous stoploss order.
!!! Note
If `stoploss_on_exchange` is enabled and the stoploss is cancelled manually on the exchange, then the bot will create a new stoploss order.
### stoploss_on_exchange_interval
In case of stoploss on exchange there is another parameter called `stoploss_on_exchange_interval`. This configures the interval in seconds at which the bot will check the stoploss and update it if necessary.
The bot cannot do these every 5 seconds (at each iteration), otherwise it would get banned by the exchange.
So this parameter will tell the bot how often it should update the stoploss order. The default value is 60 (1 minute).
This same logic will reapply a stoploss order on the exchange should you cancel it accidentally.
### emergencysell
`emergencysell` is an optional value, which defaults to `market` and is used when creating stop loss on exchange orders fails.
The below is the default which is used if not changed in strategy or configuration file.
@@ -84,6 +90,7 @@ Example of stop loss:
```
For example, simplified math:
* the bot buys an asset at a price of 100$
* the stop loss is defined at -10%
* the stop loss would get triggered once the asset drops below 90$
@@ -107,7 +114,7 @@ For example, simplified math:
* the stop loss would get triggered once the asset drops below 90$
* assuming the asset now increases to 102$
* the stop loss will now be -10% of 102$ = 91.8$
* now the asset drops in value to 101$, the stop loss will still be 91.8$ and would trigger at 91.8$.
* now the asset drops in value to 101\$, the stop loss will still be 91.8$ and would trigger at 91.8$.
In summary: The stoploss will be adjusted to be always be -10% of the highest observed price.
@@ -133,8 +140,8 @@ For example, simplified math:
* the stop loss is defined at -10%
* the stop loss would get triggered once the asset drops below 90$
* assuming the asset now increases to 102$
* the stop loss will now be -2% of 102$ = 99.96$ (99.96$ stop loss will be locked in and will follow asset price increasements with -2%)
* now the asset drops in value to 101$, the stop loss will still be 99.96$ and would trigger at 99.96$
* the stop loss will now be -2% of 102$ = 99.96$ (99.96$ stop loss will be locked in and will follow asset price increments with -2%)
* now the asset drops in value to 101\$, the stop loss will still be 99.96$ and would trigger at 99.96$
The 0.02 would translate to a -2% stop loss.
Before this, `stoploss` is used for the trailing stoploss.
@@ -151,7 +158,7 @@ This option can be used with or without `trailing_stop_positive`, but uses `trai
trailing_only_offset_is_reached = True
```
Configuration (offset is buyprice + 3%):
Configuration (offset is buy-price + 3%):
``` python
stoploss = -0.10
@@ -169,7 +176,7 @@ For example, simplified math:
* stoploss will remain at 90$ unless asset increases to or above our configured offset
* assuming the asset now increases to 103$ (where we have the offset configured)
* the stop loss will now be -2% of 103$ = 100.94$
* now the asset drops in value to 101$, the stop loss will still be 100.94$ and would trigger at 100.94$
* now the asset drops in value to 101\$, the stop loss will still be 100.94$ and would trigger at 100.94$
!!! Tip
Make sure to have this value (`trailing_stop_positive_offset`) lower than minimal ROI, otherwise minimal ROI will apply first and sell the trade.