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Attempt fix for #6261

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This commit is contained in:
Matthias 2022-02-14 20:02:38 +01:00
parent acd7f26a9d
commit 30f6dbfc40
2 changed files with 17 additions and 5 deletions
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14
freqtrade/optimize/backtesting.py
View File

@ -357,6 +357,15 @@ class Backtesting:
# use Open rate if open_rate > calculated sell rate # use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX] return sell_row[OPEN_IDX]
if (
trade_dur == 0
and trade.open_rate < sell_row[OPEN_IDX] # trade-open > open_rate
and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
):
# ROI on opening candles with custom pricing can only
# trigger if the entry was at Open or lower.
# details: https: // github.com/freqtrade/freqtrade/issues/6261
raise ValueError("Opening candle ROI on red candles.")
# Use the maximum between close_rate and low as we # Use the maximum between close_rate and low as we
# cannot sell outside of a candle. # cannot sell outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that. # Applies when a new ROI setting comes in place and the whole candle is above that.
@ -414,7 +423,10 @@ class Backtesting:
trade.close_date = sell_candle_time trade.close_date = sell_candle_time
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60) trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) try:
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
except ValueError:
return None
# call the custom exit price,with default value as previous closerate # call the custom exit price,with default value as previous closerate
current_profit = trade.calc_profit_ratio(closerate) current_profit = trade.calc_profit_ratio(closerate)
order_type = self.strategy.order_types['sell'] order_type = self.strategy.order_types['sell']

8
tests/optimize/test_backtest_detail.py
View File

@ -562,9 +562,9 @@ tc35 = BTContainer(data=[
) )
# Test 36: Custom-entry-price around candle low # Test 36: Custom-entry-price around candle low
# Causes immediate ROI exit. This is currently expected behavior (#6261) # Would cause immediate ROI exit, but since the trade was entered
# https://github.com/freqtrade/freqtrade/issues/6261 # below open, we treat this as cheating, and delay the sell by 1 candle.
# But may change at a later point. # details: https://github.com/freqtrade/freqtrade/issues/6261
tc36 = BTContainer(data=[ tc36 = BTContainer(data=[
# D O H L C V B S BT # D O H L C V B S BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0], [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -574,7 +574,7 @@ tc36 = BTContainer(data=[
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01, stop_loss=-0.10, roi={"0": 0.01}, profit_perc=0.01,
custom_entry_price=4952, custom_entry_price=4952,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=1)] trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
) )