Merge pull request #1931 from freqtrade/fix/trailing_stoploss_offset
Fix/trailing stoploss offset
This commit is contained in:
Misagh
GitHub
commit
24f86e9ff3
freqtrade
user_data/strategies
@ -308,14 +308,16 @@ class IStrategy(ABC):
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if trailing_stop:
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# trailing stoploss handling
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sl_offset = self.config.get('trailing_stop_positive_offset') or 0.0
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tsl_only_offset = self.config.get('trailing_only_offset_is_reached', False)
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# Make sure current_profit is calculated using high for backtesting.
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high_profit = current_profit if not high else trade.calc_profit_percent(high)
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# Don't update stoploss if trailing_only_offset_is_reached is true.
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if not (tsl_only_offset and current_profit < sl_offset):
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if not (tsl_only_offset and high_profit < sl_offset):
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# Specific handling for trailing_stop_positive
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if 'trailing_stop_positive' in self.config and current_profit > sl_offset:
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if 'trailing_stop_positive' in self.config and high_profit > sl_offset:
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# Ignore mypy error check in configuration that this is a float
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stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore
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logger.debug(f"using positive stop loss: {stop_loss_value} "
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@ -29,6 +29,10 @@ class BTContainer(NamedTuple):
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trades: List[BTrade]
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profit_perc: float
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trailing_stop: bool = False
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trailing_only_offset_is_reached: bool = False
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trailing_stop_positive: float = None
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trailing_stop_positive_offset: float = 0.0
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use_sell_signal: bool = False
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def _get_frame_time_from_offset(offset):
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@ -14,6 +14,21 @@ from freqtrade.tests.optimize import (BTContainer, BTrade,
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_get_frame_time_from_offset,
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tests_ticker_interval)
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# Test 0 Sell signal sell
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# Test with Stop-loss at 1%
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# TC0: Sell signal in candle 3
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tc0 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
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[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4987, 5012, 4986, 4600, 6172, 0, 0], # exit with stoploss hit
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[3, 5010, 5000, 4980, 5010, 6172, 0, 1],
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[4, 5010, 4987, 4977, 4995, 6172, 0, 0],
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[5, 4995, 4995, 4995, 4950, 6172, 0, 0]],
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stop_loss=-0.01, roi=1, profit_perc=0.002, use_sell_signal=True,
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trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
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)
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# Test 1 Minus 8% Close
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# Test with Stop-loss at 1%
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# TC1: Stop-Loss Triggered 1% loss
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@ -146,7 +161,7 @@ tc8 = BTContainer(data=[
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# Test 9 - trailing_stop should raise - high and low in same candle.
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# Candle Data for test 9
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC9: Trailing stoploss - stoploss should be adjusted candle 2
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# TC9: Trailing stoploss - stoploss should be adjusted candle 3
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tc9 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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@ -158,7 +173,59 @@ tc9 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 10 - trailing_stop should raise so candle 3 causes a stoploss
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# without applying trailing_stop_positive since stoploss_offset is at 10%.
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC10: Trailing stoploss - stoploss should be adjusted candle 2
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tc10 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
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[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi=0.10, profit_perc=-0.1, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)]
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)
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# Test 11 - trailing_stop should raise so candle 3 causes a stoploss
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# applying a positive trailing stop of 3% since stop_positive_offset is reached.
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC11: Trailing stoploss - stoploss should be adjusted candle 2,
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tc11 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
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[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi=0.10, profit_perc=0.019, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 12 - trailing_stop should raise in candle 2 and cause a stoploss in the same candle
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# applying a positive trailing stop of 3% since stop_positive_offset is reached.
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# Set stop-loss at 10%, ROI at 10% (should not apply)
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# TC12: Trailing stoploss - stoploss should be adjusted candle 2,
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tc12 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
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[2, 5100, 5251, 4650, 5100, 6172, 0, 0],
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[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi=0.10, profit_perc=0.019, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
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)
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TESTS = [
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tc0,
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tc1,
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tc2,
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tc3,
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@ -168,6 +235,9 @@ TESTS = [
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tc7,
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tc8,
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tc9,
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tc10,
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tc11,
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tc12,
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]
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@ -180,6 +250,13 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
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default_conf["minimal_roi"] = {"0": data.roi}
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default_conf["ticker_interval"] = tests_ticker_interval
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default_conf["trailing_stop"] = data.trailing_stop
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default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached
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# Only add this to configuration If it's necessary
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if data.trailing_stop_positive:
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default_conf["trailing_stop_positive"] = data.trailing_stop_positive
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default_conf["trailing_stop_positive_offset"] = data.trailing_stop_positive_offset
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default_conf["experimental"] = {"use_sell_signal": data.use_sell_signal}
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mocker.patch("freqtrade.exchange.Exchange.get_fee", MagicMock(return_value=0.0))
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patch_exchange(mocker)
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frame = _build_backtest_dataframe(data.data)
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@ -44,8 +44,8 @@ class TestStrategy(IStrategy):
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# trailing stoploss
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trailing_stop = False
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trailing_stop_positive = 0.01
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trailing_stop_positive_offset = 0.0 # Disabled / not configured
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# trailing_stop_positive = 0.01
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# trailing_stop_positive_offset = 0.0 # Disabled / not configured
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# Optimal ticker interval for the strategy
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ticker_interval = '5m'
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