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adriance 2022-03-14 18:38:44 +08:00
parent 1d4eeacc6d
commit 31182c4d80
1 changed files with 117 additions and 78 deletions
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195
freqtrade/optimize/backtesting.py
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@ -354,26 +354,25 @@ class Backtesting:
def _get_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple, def _get_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
trade_dur: int) -> float: trade_dur: int) -> float:
leverage = trade.leverage or 1.0
is_short = trade.is_short or False
""" """
Get close rate for backtesting result Get close rate for backtesting result
""" """
# Special handling if high or low hit STOP_LOSS or ROI # Special handling if high or low hit STOP_LOSS or ROI
is_short = trade.is_short or False
if is_short:
return self._get_short_close_rate(sell_row, trade, sell, trade_dur)
else:
return self._get_long_close_rate(sell_row, trade, sell, trade_dur)
def _get_short_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
trade_dur: int) -> float:
leverage = trade.leverage or 1.0
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS): if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
if is_short: if trade.stop_loss < sell_row[LOW_IDX]:
if trade.stop_loss < sell_row[LOW_IDX]: # our stoploss was already lower than candle high,
# our stoploss was already lower than candle high, # possibly due to a cancelled trade exit.
# possibly due to a cancelled trade exit. # sell at open price.
# sell at open price. return sell_row[OPEN_IDX]
return sell_row[OPEN_IDX]
else:
if trade.stop_loss > sell_row[HIGH_IDX]:
# our stoploss was already higher than candle high,
# possibly due to a cancelled trade exit.
# sell at open price.
return sell_row[OPEN_IDX]
# Special case: trailing triggers within same candle as trade opened. Assume most # Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and # pessimistic price movement, which is moving just enough to arm stoploss and
@ -386,29 +385,96 @@ class Backtesting:
and self.strategy.trailing_stop_positive and self.strategy.trailing_stop_positive
): ):
# Worst case: price reaches stop_positive_offset and dives down. # Worst case: price reaches stop_positive_offset and dives down.
if is_short: stop_rate = (sell_row[OPEN_IDX] *
stop_rate = (sell_row[OPEN_IDX] *
(1 - abs(self.strategy.trailing_stop_positive_offset) + (1 - abs(self.strategy.trailing_stop_positive_offset) +
abs(self.strategy.trailing_stop_positive))) abs(self.strategy.trailing_stop_positive)))
else:
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)))
else: else:
# Worst case: price ticks tiny bit above open and dives down. # Worst case: price ticks tiny bit above open and dives down.
if is_short: stop_rate = sell_row[OPEN_IDX] * (1 + abs(trade.stop_loss_pct / leverage))
stop_rate = sell_row[OPEN_IDX] * (1 + abs(trade.stop_loss_pct / leverage)) assert stop_rate > sell_row[HIGH_IDX]
assert stop_rate > sell_row[HIGH_IDX]
else:
stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage))
assert stop_rate < sell_row[HIGH_IDX]
# Limit lower-end to candle low to avoid sells below the low. # Limit lower-end to candle low to avoid sells below the low.
# This still remains "worst case" - but "worst realistic case". # This still remains "worst case" - but "worst realistic case".
if is_short: return min(sell_row[HIGH_IDX], stop_rate)
return min(sell_row[HIGH_IDX], stop_rate)
# Set close_rate to stoploss
return trade.stop_loss
elif sell.sell_type == (SellType.ROI):
roi_entry, roi = self.strategy.min_roi_reached_entry(trade_dur)
if roi is not None and roi_entry is not None:
if roi == -1 and roi_entry % self.timeframe_min == 0:
# When forceselling with ROI=-1, the roi time will always be equal to trade_dur.
# If that entry is a multiple of the timeframe (so on candle open)
# - we'll use open instead of close
return sell_row[OPEN_IDX]
# - (Expected abs profit - open_rate - open_fee) / (fee_close -1)
open_fee_rate = trade.open_rate * (1 - trade.fee_open)
roi_rate = trade.open_rate * roi / leverage
close_rate = (roi_rate - open_fee_rate) / (trade.fee_close + 1)
if (trade_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_min == 0
and sell_row[OPEN_IDX] < close_rate):
# new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX]
if (
trade_dur == 0
# Red candle (for longs), TODO: green candle (for shorts)
and sell_row[OPEN_IDX] < sell_row[CLOSE_IDX] # Red candle
and trade.open_rate > sell_row[OPEN_IDX] # trade-open below open_rate
and close_rate < sell_row[CLOSE_IDX]
):
# 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
# If open_rate is < open, only allow sells below the close on red candles.
raise ValueError("Opening candle ROI on red candles.")
# Use the maximum between close_rate and low as we
# cannot sell outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that.
return max(min(close_rate, sell_row[HIGH_IDX]), sell_row[LOW_IDX])
else:
# This should not be reached...
return sell_row[OPEN_IDX]
else:
return sell_row[OPEN_IDX]
def _get_long_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
trade_dur: int) -> float:
leverage = trade.leverage or 1.0
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
if trade.stop_loss > sell_row[HIGH_IDX]:
# our stoploss was already higher than candle high,
# possibly due to a cancelled trade exit.
# sell at open price.
return sell_row[OPEN_IDX]
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
if (
not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
and self.strategy.trailing_only_offset_is_reached
and self.strategy.trailing_stop_positive_offset is not None
and self.strategy.trailing_stop_positive
):
# Worst case: price reaches stop_positive_offset and dives down.
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)))
else: else:
return max(sell_row[LOW_IDX], stop_rate) # Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage))
assert stop_rate < sell_row[HIGH_IDX]
# Limit lower-end to candle low to avoid sells below the low.
# This still remains "worst case" - but "worst realistic case".
return max(sell_row[LOW_IDX], stop_rate)
# Set close_rate to stoploss # Set close_rate to stoploss
return trade.stop_loss return trade.stop_loss
@ -422,60 +488,33 @@ class Backtesting:
return sell_row[OPEN_IDX] return sell_row[OPEN_IDX]
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1) # - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
if is_short: close_rate = -(trade.open_rate * roi / leverage + trade.open_rate *
close_rate = (trade.open_rate * (1 + trade.fee_open)) / (trade.fee_close - 1)
(1 - trade.fee_open) - trade.open_rate * roi / leverage) / (trade.fee_close + 1)
if (trade_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_min == 0
and sell_row[OPEN_IDX] < close_rate):
# new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX]
else:
close_rate = - (trade.open_rate * roi / leverage + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
if (trade_dur > 0 and trade_dur == roi_entry if (trade_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_min == 0 and roi_entry % self.timeframe_min == 0
and sell_row[OPEN_IDX] > close_rate): and sell_row[OPEN_IDX] > close_rate):
# new ROI entry came into effect. # new ROI entry came into effect.
# 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 is_short: if (
if ( trade_dur == 0
trade_dur == 0 # Red candle (for longs), TODO: green candle (for shorts)
# Red candle (for longs), TODO: green candle (for shorts) and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
and sell_row[OPEN_IDX] < sell_row[CLOSE_IDX] # Red candle and trade.open_rate < sell_row[OPEN_IDX] # trade-open below open_rate
and trade.open_rate > sell_row[OPEN_IDX] # trade-open below open_rate and close_rate > sell_row[CLOSE_IDX]
and close_rate < sell_row[CLOSE_IDX] ):
): # ROI on opening candles with custom pricing can only
# ROI on opening candles with custom pricing can only # trigger if the entry was at Open or lower.
# trigger if the entry was at Open or lower. # details: https: // github.com/freqtrade/freqtrade/issues/6261
# details: https: // github.com/freqtrade/freqtrade/issues/6261 # If open_rate is < open, only allow sells below the close on red candles.
# If open_rate is < open, only allow sells below the close on red candles. raise ValueError("Opening candle ROI on red candles.")
raise ValueError("Opening candle ROI on red candles.")
else:
if (
trade_dur == 0
# Red candle (for longs), TODO: green candle (for shorts)
and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
and trade.open_rate < sell_row[OPEN_IDX] # trade-open below open_rate
and close_rate > sell_row[CLOSE_IDX]
):
# 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
# If open_rate is < open, only allow sells below the close on red candles.
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.
if is_short: return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
return max(min(close_rate, sell_row[HIGH_IDX]), sell_row[LOW_IDX])
else:
return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
else: else:
# This should not be reached... # This should not be reached...