format
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adriance
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@ -354,26 +354,25 @@ class Backtesting:
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def _get_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
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trade_dur: int) -> float:
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leverage = trade.leverage or 1.0
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is_short = trade.is_short or False
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"""
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Get close rate for backtesting result
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"""
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# Special handling if high or low hit STOP_LOSS or ROI
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is_short = trade.is_short or False
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if is_short:
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return self._get_short_close_rate(sell_row, trade, sell, trade_dur)
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else:
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return self._get_long_close_rate(sell_row, trade, sell, trade_dur)
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def _get_short_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
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trade_dur: int) -> float:
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leverage = trade.leverage or 1.0
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if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
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if is_short:
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if trade.stop_loss < sell_row[LOW_IDX]:
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# our stoploss was already lower than candle high,
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# possibly due to a cancelled trade exit.
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# sell at open price.
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return sell_row[OPEN_IDX]
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else:
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if trade.stop_loss > sell_row[HIGH_IDX]:
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# our stoploss was already higher than candle high,
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# possibly due to a cancelled trade exit.
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# sell at open price.
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return sell_row[OPEN_IDX]
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if trade.stop_loss < sell_row[LOW_IDX]:
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# our stoploss was already lower than candle high,
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# possibly due to a cancelled trade exit.
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# sell at open price.
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return sell_row[OPEN_IDX]
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# Special case: trailing triggers within same candle as trade opened. Assume most
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# pessimistic price movement, which is moving just enough to arm stoploss and
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@ -386,29 +385,96 @@ class Backtesting:
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and self.strategy.trailing_stop_positive
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):
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# Worst case: price reaches stop_positive_offset and dives down.
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if is_short:
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stop_rate = (sell_row[OPEN_IDX] *
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stop_rate = (sell_row[OPEN_IDX] *
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(1 - abs(self.strategy.trailing_stop_positive_offset) +
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abs(self.strategy.trailing_stop_positive)))
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else:
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stop_rate = (sell_row[OPEN_IDX] *
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(1 + abs(self.strategy.trailing_stop_positive_offset) -
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abs(self.strategy.trailing_stop_positive)))
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else:
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# Worst case: price ticks tiny bit above open and dives down.
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if is_short:
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stop_rate = sell_row[OPEN_IDX] * (1 + abs(trade.stop_loss_pct / leverage))
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assert stop_rate > sell_row[HIGH_IDX]
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else:
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stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage))
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assert stop_rate < sell_row[HIGH_IDX]
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stop_rate = sell_row[OPEN_IDX] * (1 + abs(trade.stop_loss_pct / leverage))
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assert stop_rate > sell_row[HIGH_IDX]
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# Limit lower-end to candle low to avoid sells below the low.
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# This still remains "worst case" - but "worst realistic case".
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if is_short:
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return min(sell_row[HIGH_IDX], stop_rate)
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return min(sell_row[HIGH_IDX], stop_rate)
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# Set close_rate to stoploss
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return trade.stop_loss
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elif sell.sell_type == (SellType.ROI):
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roi_entry, roi = self.strategy.min_roi_reached_entry(trade_dur)
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if roi is not None and roi_entry is not None:
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if roi == -1 and roi_entry % self.timeframe_min == 0:
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# When forceselling with ROI=-1, the roi time will always be equal to trade_dur.
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# If that entry is a multiple of the timeframe (so on candle open)
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# - we'll use open instead of close
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return sell_row[OPEN_IDX]
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# - (Expected abs profit - open_rate - open_fee) / (fee_close -1)
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open_fee_rate = trade.open_rate * (1 - trade.fee_open)
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roi_rate = trade.open_rate * roi / leverage
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close_rate = (roi_rate - open_fee_rate) / (trade.fee_close + 1)
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if (trade_dur > 0 and trade_dur == roi_entry
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and roi_entry % self.timeframe_min == 0
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and sell_row[OPEN_IDX] < close_rate):
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# new ROI entry came into effect.
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# use Open rate if open_rate > calculated sell rate
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return sell_row[OPEN_IDX]
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if (
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trade_dur == 0
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# Red candle (for longs), TODO: green candle (for shorts)
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and sell_row[OPEN_IDX] < sell_row[CLOSE_IDX] # Red candle
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and trade.open_rate > sell_row[OPEN_IDX] # trade-open below open_rate
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and close_rate < sell_row[CLOSE_IDX]
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):
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# ROI on opening candles with custom pricing can only
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# trigger if the entry was at Open or lower.
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# details: https: // github.com/freqtrade/freqtrade/issues/6261
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# If open_rate is < open, only allow sells below the close on red candles.
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raise ValueError("Opening candle ROI on red candles.")
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# Use the maximum between close_rate and low as we
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# cannot sell outside of a candle.
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# Applies when a new ROI setting comes in place and the whole candle is above that.
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return max(min(close_rate, sell_row[HIGH_IDX]), sell_row[LOW_IDX])
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else:
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# This should not be reached...
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return sell_row[OPEN_IDX]
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else:
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return sell_row[OPEN_IDX]
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def _get_long_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
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trade_dur: int) -> float:
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leverage = trade.leverage or 1.0
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if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
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if trade.stop_loss > sell_row[HIGH_IDX]:
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# our stoploss was already higher than candle high,
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# possibly due to a cancelled trade exit.
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# sell at open price.
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return sell_row[OPEN_IDX]
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# Special case: trailing triggers within same candle as trade opened. Assume most
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# pessimistic price movement, which is moving just enough to arm stoploss and
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# immediately going down to stop price.
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if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
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if (
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not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
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and self.strategy.trailing_only_offset_is_reached
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and self.strategy.trailing_stop_positive_offset is not None
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and self.strategy.trailing_stop_positive
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):
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# Worst case: price reaches stop_positive_offset and dives down.
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stop_rate = (sell_row[OPEN_IDX] *
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(1 + abs(self.strategy.trailing_stop_positive_offset) -
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abs(self.strategy.trailing_stop_positive)))
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else:
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return max(sell_row[LOW_IDX], stop_rate)
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# Worst case: price ticks tiny bit above open and dives down.
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stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage))
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assert stop_rate < sell_row[HIGH_IDX]
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# Limit lower-end to candle low to avoid sells below the low.
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# This still remains "worst case" - but "worst realistic case".
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return max(sell_row[LOW_IDX], stop_rate)
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# Set close_rate to stoploss
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return trade.stop_loss
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@ -422,60 +488,33 @@ class Backtesting:
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return sell_row[OPEN_IDX]
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# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
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if is_short:
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close_rate = (trade.open_rate *
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(1 - trade.fee_open) - trade.open_rate * roi / leverage) / (trade.fee_close + 1)
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if (trade_dur > 0 and trade_dur == roi_entry
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and roi_entry % self.timeframe_min == 0
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and sell_row[OPEN_IDX] < close_rate):
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# new ROI entry came into effect.
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# use Open rate if open_rate > calculated sell rate
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return sell_row[OPEN_IDX]
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else:
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close_rate = - (trade.open_rate * roi / leverage + trade.open_rate *
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(1 + trade.fee_open)) / (trade.fee_close - 1)
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close_rate = -(trade.open_rate * roi / leverage + trade.open_rate *
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(1 + trade.fee_open)) / (trade.fee_close - 1)
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if (trade_dur > 0 and trade_dur == roi_entry
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and roi_entry % self.timeframe_min == 0
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and sell_row[OPEN_IDX] > close_rate):
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# new ROI entry came into effect.
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# use Open rate if open_rate > calculated sell rate
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return sell_row[OPEN_IDX]
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if (trade_dur > 0 and trade_dur == roi_entry
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and roi_entry % self.timeframe_min == 0
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and sell_row[OPEN_IDX] > close_rate):
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# new ROI entry came into effect.
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# use Open rate if open_rate > calculated sell rate
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return sell_row[OPEN_IDX]
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if is_short:
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if (
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trade_dur == 0
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# Red candle (for longs), TODO: green candle (for shorts)
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and sell_row[OPEN_IDX] < sell_row[CLOSE_IDX] # Red candle
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and trade.open_rate > sell_row[OPEN_IDX] # trade-open below open_rate
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and close_rate < sell_row[CLOSE_IDX]
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):
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# ROI on opening candles with custom pricing can only
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# trigger if the entry was at Open or lower.
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# details: https: // github.com/freqtrade/freqtrade/issues/6261
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# If open_rate is < open, only allow sells below the close on red candles.
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raise ValueError("Opening candle ROI on red candles.")
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else:
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if (
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trade_dur == 0
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# Red candle (for longs), TODO: green candle (for shorts)
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and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
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and trade.open_rate < sell_row[OPEN_IDX] # trade-open below open_rate
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and close_rate > sell_row[CLOSE_IDX]
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):
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# ROI on opening candles with custom pricing can only
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# trigger if the entry was at Open or lower.
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# details: https: // github.com/freqtrade/freqtrade/issues/6261
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# If open_rate is < open, only allow sells below the close on red candles.
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raise ValueError("Opening candle ROI on red candles.")
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if (
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trade_dur == 0
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# Red candle (for longs), TODO: green candle (for shorts)
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and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
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and trade.open_rate < sell_row[OPEN_IDX] # trade-open below open_rate
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and close_rate > sell_row[CLOSE_IDX]
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):
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# ROI on opening candles with custom pricing can only
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# trigger if the entry was at Open or lower.
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# details: https: // github.com/freqtrade/freqtrade/issues/6261
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# If open_rate is < open, only allow sells below the close on red candles.
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raise ValueError("Opening candle ROI on red candles.")
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# Use the maximum between close_rate and low as we
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# cannot sell outside of a candle.
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# Applies when a new ROI setting comes in place and the whole candle is above that.
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if is_short:
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return max(min(close_rate, sell_row[HIGH_IDX]), sell_row[LOW_IDX])
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else:
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return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
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return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
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else:
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# This should not be reached...
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