Merge pull request #3929 from radwayne/roi_trailing_backtest

change backtesting behaviour if roi and trailing-stop happen at the same time
2020-12-03 19:40:46 +01:00 · 2020-12-03 19:40:46 +01:00 · 22595e6f92
parent 01cb676f2c c69ce28b76
commit 22595e6f92
4 changed files with 153 additions and 24 deletions
--- a/docs/backtesting.md
+++ b/docs/backtesting.md
@ -279,18 +279,24 @@ It contains some useful key metrics about performance of your strategy on backte
 Since backtesting lacks some detailed information about what happens within a candle, it needs to take a few assumptions:

 - Buys happen at open-price
- Sell signal sells happen at open-price of the following candle
- Low happens before high for stoploss, protecting capital first
+- Sell-signal sells happen at open-price of the consecutive candle
+- Sell-signal is favored over Stoploss, because sell-signals are assumed to trigger on candle's open
 - ROI
  - sells are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the sell will be at 2%)
  - sells are never "below the candle", so a ROI of 2% may result in a sell at 2.4% if low was at 2.4% profit
  - Forcesells caused by `<N>=-1` ROI entries use low as sell value, unless N falls on the candle open (e.g. `120: -1` for 1h candles)
 - Stoploss sells happen exactly at stoploss price, even if low was lower
+- Stoploss is evaluated before ROI within one candle. So you can often see more trades with the `stoploss` sell reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes
+- Low happens before high for stoploss, protecting capital first
 - Trailing stoploss
  - High happens first - adjusting stoploss
  - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly)
+  - ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies
 - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used)
- Stoploss (and trailing stoploss) is evaluated before ROI within one candle. So you can often see more trades with the `stoploss` and/or `trailing_stop` sell reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes.
+- Evaluation sequence (if multiple signals happen on the same candle)
+  - ROI (if not stoploss)
+  - Sell-signal
+  - Stoploss

 Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode.
 Also, keep in mind that past results don't guarantee future success.
--- a/freqtrade/strategy/interface.py
+++ b/freqtrade/strategy/interface.py
@ -476,40 +476,44 @@ class IStrategy(ABC):
                                              current_time=date, current_profit=current_profit,
                                              force_stoploss=force_stoploss, high=high)

-        if stoplossflag.sell_flag:
-            logger.debug(f"{trade.pair} - Stoploss hit. sell_flag=True, "
-                         f"sell_type={stoplossflag.sell_type}")
-            return stoplossflag
-
        # Set current rate to high for backtesting sell
        current_rate = high or rate
        current_profit = trade.calc_profit_ratio(current_rate)
        config_ask_strategy = self.config.get('ask_strategy', {})

-        if buy and config_ask_strategy.get('ignore_roi_if_buy_signal', False):
-            # This one is noisy, commented out
-            # logger.debug(f"{trade.pair} - Buy signal still active. sell_flag=False")
-            return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
+        # if buy signal and ignore_roi is set, we don't need to evaluate min_roi.
+        roi_reached = (not (buy and config_ask_strategy.get('ignore_roi_if_buy_signal', False))
+                       and self.min_roi_reached(trade=trade, current_profit=current_profit,
+                                                current_time=date))

-        # Check if minimal roi has been reached and no longer in buy conditions (avoiding a fee)
-        if self.min_roi_reached(trade=trade, current_profit=current_profit, current_time=date):
+        if config_ask_strategy.get('sell_profit_only', False) and trade.calc_profit(rate=rate) <= 0:
+            # Negative profits and sell_profit_only - ignore sell signal
+            sell_signal = False
+        else:
+            sell_signal = sell and not buy and config_ask_strategy.get('use_sell_signal', True)
+            # TODO: return here if sell-signal should be favored over ROI
+
+        # Start evaluations
+        # Sequence:
+        # ROI (if not stoploss)
+        # Sell-signal
+        # Stoploss
+        if roi_reached and stoplossflag.sell_type != SellType.STOP_LOSS:
            logger.debug(f"{trade.pair} - Required profit reached. sell_flag=True, "
                         f"sell_type=SellType.ROI")
            return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)

-        if config_ask_strategy.get('sell_profit_only', False):
-            # This one is noisy, commented out
-            # logger.debug(f"{trade.pair} - Checking if trade is profitable...")
-            if trade.calc_profit(rate=rate) <= 0:
-                # This one is noisy, commented out
-                # logger.debug(f"{trade.pair} - Trade is not profitable. sell_flag=False")
-                return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
-
-        if sell and not buy and config_ask_strategy.get('use_sell_signal', True):
+        if sell_signal:
            logger.debug(f"{trade.pair} - Sell signal received. sell_flag=True, "
                         f"sell_type=SellType.SELL_SIGNAL")
            return SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL)

+        if stoplossflag.sell_flag:
+
+            logger.debug(f"{trade.pair} - Stoploss hit. sell_flag=True, "
+                         f"sell_type={stoplossflag.sell_type}")
+            return stoplossflag
+
        # This one is noisy, commented out...
        # logger.debug(f"{trade.pair} - No sell signal. sell_flag=False")
        return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
--- a/tests/optimize/test_backtest_detail.py
+++ b/tests/optimize/test_backtest_detail.py
@ -328,6 +328,118 @@ tc20 = BTContainer(data=[
    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
 )

+# Test 21: trailing_stop ROI collision.
+# Roi should trigger before Trailing stop - otherwise Trailing stop profits can be > ROI
+# which cannot happen in reality
+# stop-loss: 10%, ROI: 4%, Trailing stop adjusted at the sell candle
+tc21 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5050, 4950, 5100, 6172, 0, 0],
+    [2, 5100, 5251, 4650, 5100, 6172, 0, 0],
+    [3, 4850, 5050, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
+    trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
+    trailing_stop_positive=0.03,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
+)
+
+# Test 22: trailing_stop Raises in candle 2 - but ROI applies at the same time.
+# applying a positive trailing stop of 3% - ROI should apply before trailing stop.
+# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2
+tc22 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5050, 4950, 5100, 6172, 0, 0],
+    [2, 5100, 5251, 5100, 5100, 6172, 0, 0],
+    [3, 4850, 5050, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
+    trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
+    trailing_stop_positive=0.03,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
+)
+
+# Test 23: trailing_stop Raises in candle 2 (does not trigger)
+# applying a positive trailing stop of 3% since stop_positive_offset is reached.
+# ROI is changed after this to 4%, dropping ROI below trailing_stop_positive, causing a sell
+# in the candle after the raised stoploss candle with ROI reason.
+# Stoploss would trigger in this candle too, but it's no longer relevant.
+# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2, ROI adjusted in candle 3 (causing the sell)
+tc23 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5050, 4950, 5100, 6172, 0, 0],
+    [2, 5100, 5251, 5100, 5100, 6172, 0, 0],
+    [3, 4850, 5251, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.1, "119": 0.03}, profit_perc=0.03, trailing_stop=True,
+    trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
+    trailing_stop_positive=0.03,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
+)
+
+# Test 24: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
+# Stoploss at 1%.
+# Stoploss wins over Sell-signal (because sell-signal is acted on in the next candle)
+tc24 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],  # enter trade (signal on last candle)
+    [2, 4987, 5012, 4986, 4600, 6172, 0, 0],
+    [3, 5010, 5000, 4855, 5010, 6172, 0, 1],  # Triggers stoploss + sellsignal
+    [4, 5010, 4987, 4977, 4995, 6172, 0, 0],
+    [5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, use_sell_signal=True,
+    trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
+)
+
+# Test 25: Sell with signal sell in candle 3 (stoploss also triggers on this candle)
+# Stoploss at 1%.
+# Sell-signal wins over stoploss
+tc25 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],  # enter trade (signal on last candle)
+    [2, 4987, 5012, 4986, 4600, 6172, 0, 0],
+    [3, 5010, 5000, 4986, 5010, 6172, 0, 1],
+    [4, 5010, 4987, 4855, 4995, 6172, 0, 0],  # Triggers stoploss + sellsignal acted on
+    [5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002, use_sell_signal=True,
+    trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
+)
+
+# Test 26: Sell with signal sell in candle 3 (ROI at signal candle)
+# Stoploss at 10% (irrelevant), ROI at 5% (will trigger)
+# Sell-signal wins over stoploss
+tc26 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],  # enter trade (signal on last candle)
+    [2, 4987, 5012, 4986, 4600, 6172, 0, 0],
+    [3, 5010, 5251, 4986, 5010, 6172, 0, 1],  # Triggers ROI, sell-signal
+    [4, 5010, 4987, 4855, 4995, 6172, 0, 0],
+    [5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
+)
+
+# Test 27: Sell with signal sell in candle 3 (ROI at signal candle)
+# Stoploss at 10% (irrelevant), ROI at 5% (will trigger) - Wins over Sell-signal
+# TODO: figure out if sell-signal should win over ROI
+# Sell-signal wins over stoploss
+tc27 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],  # enter trade (signal on last candle)
+    [2, 4987, 5012, 4986, 4600, 6172, 0, 0],
+    [3, 5010, 5012, 4986, 5010, 6172, 0, 1],  # sell-signal
+    [4, 5010, 5251, 4855, 4995, 6172, 0, 0],  # Triggers ROI, sell-signal acted on
+    [5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=4)]
+)

 TESTS = [
    tc0,
@ -351,6 +463,13 @@ TESTS = [
    tc18,
    tc19,
    tc20,
+    tc21,
+    tc22,
+    tc23,
+    tc24,
+    tc25,
+    tc26,
+    tc27,
 ]


--- a/tests/test_freqtradebot.py
+++ b/tests/test_freqtradebot.py
@ -3556,7 +3556,7 @@ def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order, limit_b
    # Test if buy-signal is absent
    patch_get_signal(freqtrade, value=(False, True))
    assert freqtrade.handle_trade(trade) is True
-    assert trade.sell_reason == SellType.STOP_LOSS.value
+    assert trade.sell_reason == SellType.SELL_SIGNAL.value


 def test_get_real_amount_quote(default_conf, trades_for_order, buy_order_fee, fee, caplog, mocker):