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Adjust backtest so sell uses stop-loss or roi value as closerate

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Matthias
2018-08-16 11:31:41 +02:00
parent a0e8bfbd77
commit 233c442af9
3 changed files with 39 additions and 24 deletions
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18
freqtrade/optimize/backtesting.py
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@@ -206,12 +206,20 @@ class Backtesting(object):
buy_signal = sell_row.buy
sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, buy_signal,
sell_row.sell)
sell_row.sell, low=sell_row.low, high=sell_row.high)
if sell.sell_flag:
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
# Set close_rate to stoploss
closerate = trade.stop_loss
elif sell.sell_type == (SellType.ROI):
# set close-rate to min-roi
closerate = trade.open_rate + trade.open_rate * self.strategy.minimal_roi[0]
else:
closerate = sell_row.open
return BacktestResult(pair=pair,
profit_percent=trade.calc_profit_percent(rate=sell_row.open),
profit_abs=trade.calc_profit(rate=sell_row.open),
profit_percent=trade.calc_profit_percent(rate=closerate),
profit_abs=trade.calc_profit(rate=closerate),
open_time=buy_row.date,
close_time=sell_row.date,
trade_duration=int((
@@ -220,7 +228,7 @@ class Backtesting(object):
close_index=sell_row.Index,
open_at_end=False,
open_rate=buy_row.open,
close_rate=sell_row.open,
close_rate=closerate,
sell_reason=sell.sell_type
)
if partial_ticker:
@@ -260,7 +268,7 @@ class Backtesting(object):
position_stacking: do we allow position stacking? (default: False)
:return: DataFrame
"""
headers = ['date', 'buy', 'open', 'close', 'sell']
headers = ['date', 'buy', 'open', 'close', 'sell', 'low', 'high']
processed = args['processed']
max_open_trades = args.get('max_open_trades', 0)
position_stacking = args.get('position_stacking', False)