diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 759d7b72d..fb8c182ee 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -270,6 +270,11 @@ class Backtesting: # - (Expected abs profit + open_rate + open_fee) / (fee_close -1) closerate = - (trade.open_rate * roi + trade.open_rate * (1 + trade.fee_open)) / (trade.fee_close - 1) + + # Use the maximum between closerate and low as we + # cannot sell outside of a candle. + # Applies when using {"xx": -1} as roi to force sells after xx minutes + closerate = max(closerate, sell_row.low) else: # This should not be reached... closerate = sell_row.open diff --git a/tests/edge/test_edge.py b/tests/edge/test_edge.py index 4fab68591..5e244a97e 100644 --- a/tests/edge/test_edge.py +++ b/tests/edge/test_edge.py @@ -79,7 +79,7 @@ tc0 = 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, 1]], # enter trade (signal on last candle) - stop_loss=-0.99, roi=float('inf'), profit_perc=0.00, + stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00, trades=[] ) @@ -94,7 +94,7 @@ tc1 = BTContainer(data=[ [5, 5000, 5025, 4975, 4987, 6172, 0, 1], # no action [6, 5000, 5025, 4975, 4987, 6172, 0, 0], # should sell ], - stop_loss=-0.99, roi=float('inf'), profit_perc=0.00, + stop_loss=-0.99, roi={"0": float('inf')}, profit_perc=0.00, trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2), BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=4, close_tick=6)] ) @@ -106,7 +106,7 @@ tc2 = BTContainer(data=[ [1, 5000, 5025, 4600, 4987, 6172, 0, 0], # enter trade, stoploss hit [2, 5000, 5025, 4975, 4987, 6172, 0, 0], ], - stop_loss=-0.01, roi=float('inf'), profit_perc=-0.01, + stop_loss=-0.01, roi={"0": float('inf')}, profit_perc=-0.01, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) @@ -117,7 +117,7 @@ tc3 = BTContainer(data=[ [1, 5000, 5025, 4800, 4987, 6172, 0, 0], # enter trade, stoploss hit [2, 5000, 5025, 4975, 4987, 6172, 0, 0], ], - stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03, + stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) @@ -128,7 +128,7 @@ tc4 = BTContainer(data=[ [1, 5000, 5025, 4800, 4987, 6172, 0, 1], # enter trade, stoploss hit, sell signal [2, 5000, 5025, 4975, 4987, 6172, 0, 0], ], - stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03, + stop_loss=-0.03, roi={"0": float('inf')}, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) diff --git a/tests/optimize/__init__.py b/tests/optimize/__init__.py index 41500051f..fdbaaa54d 100644 --- a/tests/optimize/__init__.py +++ b/tests/optimize/__init__.py @@ -1,4 +1,4 @@ -from typing import NamedTuple, List +from typing import Dict, List, NamedTuple import arrow from pandas import DataFrame @@ -25,7 +25,7 @@ class BTContainer(NamedTuple): """ data: List[float] stop_loss: float - roi: float + roi: Dict[str, float] trades: List[BTrade] profit_perc: float trailing_stop: bool = False diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index d8a4190e2..802532dd2 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -22,7 +22,7 @@ tc0 = BTContainer(data=[ [3, 5010, 5000, 4980, 5010, 6172, 0, 1], [4, 5010, 4987, 4977, 4995, 6172, 0, 0], [5, 4995, 4995, 4995, 4950, 6172, 0, 0]], - stop_loss=-0.01, roi=1, profit_perc=0.002, use_sell_signal=True, + 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)] ) @@ -36,7 +36,7 @@ tc1 = BTContainer(data=[ [3, 4975, 5000, 4980, 4977, 6172, 0, 0], [4, 4977, 4987, 4977, 4995, 6172, 0, 0], [5, 4995, 4995, 4995, 4950, 6172, 0, 0]], - stop_loss=-0.01, roi=1, profit_perc=-0.01, + stop_loss=-0.01, roi={"0": 1}, profit_perc=-0.01, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) @@ -51,7 +51,7 @@ tc2 = BTContainer(data=[ [3, 4975, 5000, 4800, 4962, 6172, 0, 0], # exit with stoploss hit [4, 4962, 4987, 4937, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.03, roi=1, profit_perc=-0.03, + stop_loss=-0.03, roi={"0": 1}, profit_perc=-0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)] ) @@ -71,7 +71,7 @@ tc3 = BTContainer(data=[ [4, 4975, 5000, 4950, 4962, 6172, 0, 0], # enter trade 2 (signal on last candle) [5, 4962, 4987, 4000, 4000, 6172, 0, 0], # exit with stoploss hit [6, 4950, 4975, 4975, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=1, profit_perc=-0.04, + stop_loss=-0.02, roi={"0": 1}, profit_perc=-0.04, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2), BTrade(sell_reason=SellType.STOP_LOSS, open_tick=4, close_tick=5)] ) @@ -88,7 +88,7 @@ tc4 = BTContainer(data=[ [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4937, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=0.06, profit_perc=-0.02, + stop_loss=-0.02, roi={"0": 0.06}, profit_perc=-0.02, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) @@ -102,7 +102,7 @@ tc5 = BTContainer(data=[ [3, 4975, 6000, 4975, 6000, 6172, 0, 0], # ROI [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.01, roi=0.03, profit_perc=0.03, + stop_loss=-0.01, roi={"0": 0.03}, profit_perc=0.03, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] ) @@ -116,7 +116,7 @@ tc6 = BTContainer(data=[ [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=0.05, profit_perc=-0.02, + stop_loss=-0.02, roi={"0": 0.05}, profit_perc=-0.02, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)] ) @@ -130,7 +130,7 @@ tc7 = BTContainer(data=[ [3, 4975, 5000, 4950, 4962, 6172, 0, 0], [4, 4962, 4987, 4972, 4950, 6172, 0, 0], [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], - stop_loss=-0.02, roi=0.03, profit_perc=0.03, + stop_loss=-0.02, roi={"0": 0.03}, profit_perc=0.03, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)] ) @@ -144,7 +144,7 @@ tc8 = BTContainer(data=[ [2, 5000, 5250, 4750, 4850, 6172, 0, 0], [3, 4850, 5050, 4650, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.10, profit_perc=-0.055, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.055, trailing_stop=True, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] ) @@ -158,7 +158,7 @@ tc9 = BTContainer(data=[ [2, 5000, 5050, 4950, 5000, 6172, 0, 0], [3, 5000, 5200, 4550, 4850, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.10, profit_perc=-0.064, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.064, trailing_stop=True, trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] ) @@ -172,7 +172,7 @@ tc10 = BTContainer(data=[ [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=0.10, profit_perc=-0.1, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.1, trailing_stop=True, trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.10, trailing_stop_positive=0.03, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=4)] @@ -188,7 +188,7 @@ tc11 = BTContainer(data=[ [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=0.10, profit_perc=0.019, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, 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.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)] @@ -204,7 +204,7 @@ tc12 = BTContainer(data=[ [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=0.10, profit_perc=0.019, trailing_stop=True, + stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, 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.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)] @@ -219,7 +219,7 @@ tc13 = BTContainer(data=[ [2, 5100, 5251, 4850, 5100, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0], [4, 4750, 4950, 4850, 4750, 6172, 0, 0]], - stop_loss=-0.10, roi=0.01, profit_perc=0.01, + stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)] ) @@ -232,7 +232,7 @@ tc14 = BTContainer(data=[ [2, 5100, 5251, 4850, 5100, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.05, roi=0.10, profit_perc=-0.05, + stop_loss=-0.05, roi={"0": 0.10}, profit_perc=-0.05, trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)] ) @@ -246,11 +246,26 @@ tc15 = BTContainer(data=[ [2, 5100, 5251, 4650, 5100, 6172, 0, 0], [3, 4850, 5050, 4850, 4750, 6172, 0, 0], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.05, roi=0.01, profit_perc=-0.04, + stop_loss=-0.05, roi={"0": 0.01}, profit_perc=-0.04, trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1), BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)] ) +# Test 16: Buy, hold for 65 mins, then forcesell using roi=-1 +# Causes negative profit even though sell-reason is ROI. +# stop-loss: 10%, ROI: 10% (should not apply), -100% after 65 minutes (limits trade duration) +tc16 = 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], + [2, 4987, 5300, 4950, 5050, 6172, 0, 0], + [3, 4975, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1) + [4, 4962, 4987, 4972, 4950, 6172, 0, 0], + [5, 4950, 4975, 4925, 4950, 6172, 0, 0]], + stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012, + trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] +) + TESTS = [ tc0, tc1, @@ -268,6 +283,7 @@ TESTS = [ tc13, tc14, tc15, + tc16, ] @@ -277,7 +293,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: run functional tests """ default_conf["stoploss"] = data.stop_loss - default_conf["minimal_roi"] = {"0": data.roi} + default_conf["minimal_roi"] = data.roi default_conf["ticker_interval"] = tests_ticker_interval default_conf["trailing_stop"] = data.trailing_stop default_conf["trailing_only_offset_is_reached"] = data.trailing_only_offset_is_reached