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Improve exit signal sequence

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This commit is contained in:
Matthias 2022-05-22 11:01:18 +02:00
parent ce3bfd59f5
commit 3692fcd3d5
3 changed files with 23 additions and 10 deletions
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3
freqtrade/enums/exitchecktuple.py
View File

@ -18,3 +18,6 @@ class ExitCheckTuple:
def __eq__(self, other): def __eq__(self, other):
return self.exit_type == other.exit_type and self.exit_reason == other.exit_reason return self.exit_type == other.exit_type and self.exit_reason == other.exit_reason
def __repr__(self):
return f"ExitCheckTuple({self.exit_type}, {self.exit_reason})"

15
freqtrade/strategy/interface.py
View File

@ -942,15 +942,22 @@ class IStrategy(ABC, HyperStrategyMixin):
# Sequence: # Sequence:
# Exit-signal # Exit-signal
# ROI (if not stoploss)
# Stoploss # Stoploss
if roi_reached and stoplossflag.exit_type != ExitType.STOP_LOSS: # ROI
# Trailing stoploss
if stoplossflag.exit_type == ExitType.STOP_LOSS:
logger.debug(f"{trade.pair} - Stoploss hit. exit_type={stoplossflag.exit_type}")
exits.append(stoplossflag)
if roi_reached:
logger.debug(f"{trade.pair} - Required profit reached. exit_type=ExitType.ROI") logger.debug(f"{trade.pair} - Required profit reached. exit_type=ExitType.ROI")
exits.append(ExitCheckTuple(exit_type=ExitType.ROI)) exits.append(ExitCheckTuple(exit_type=ExitType.ROI))
if stoplossflag.exit_flag: if stoplossflag.exit_type == ExitType.TRAILING_STOP_LOSS:
logger.debug(f"{trade.pair} - Stoploss hit. exit_type={stoplossflag.exit_type}") logger.debug(f"{trade.pair} - Trailing stoploss hit.")
exits.append(stoplossflag) exits.append(stoplossflag)
return exits return exits

15
tests/strategy/test_interface.py
View File

@ -525,7 +525,7 @@ def test_custom_exit(default_conf, fee, caplog) -> None:
assert log_has_re('Custom exit reason returned from custom_exit is too long.*', caplog) assert log_has_re('Custom exit reason returned from custom_exit is too long.*', caplog)
def test_should_sell(default_conf, fee, caplog) -> None: def test_should_sell(default_conf, fee) -> None:
strategy = StrategyResolver.load_strategy(default_conf) strategy = StrategyResolver.load_strategy(default_conf)
trade = Trade( trade = Trade(
@ -561,22 +561,24 @@ def test_should_sell(default_conf, fee, caplog) -> None:
low=None, high=None) low=None, high=None)
assert len(res) == 2 assert len(res) == 2
assert res == [ assert res == [
ExitCheckTuple(exit_type=ExitType.ROI),
ExitCheckTuple(exit_type=ExitType.STOP_LOSS), ExitCheckTuple(exit_type=ExitType.STOP_LOSS),
ExitCheckTuple(exit_type=ExitType.ROI),
] ]
strategy.custom_exit = MagicMock(return_value='hello world') strategy.custom_exit = MagicMock(return_value='hello world')
# custom-exit and exit-signal is first
res = strategy.should_exit(trade, 1, now, res = strategy.should_exit(trade, 1, now,
enter=False, exit_=False, enter=False, exit_=False,
low=None, high=None) low=None, high=None)
assert len(res) == 3 assert len(res) == 3
assert res == [ assert res == [
ExitCheckTuple(exit_type=ExitType.CUSTOM_EXIT, exit_reason='hello world'), ExitCheckTuple(exit_type=ExitType.CUSTOM_EXIT, exit_reason='hello world'),
ExitCheckTuple(exit_type=ExitType.ROI),
ExitCheckTuple(exit_type=ExitType.STOP_LOSS), ExitCheckTuple(exit_type=ExitType.STOP_LOSS),
ExitCheckTuple(exit_type=ExitType.ROI),
] ]
strategy.stop_loss_reached = MagicMock(
return_value=ExitCheckTuple(exit_type=ExitType.TRAILING_STOP_LOSS))
# Regular exit signal # Regular exit signal
res = strategy.should_exit(trade, 1, now, res = strategy.should_exit(trade, 1, now,
enter=False, exit_=True, enter=False, exit_=True,
@ -585,7 +587,7 @@ def test_should_sell(default_conf, fee, caplog) -> None:
assert res == [ assert res == [
ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL), ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL),
ExitCheckTuple(exit_type=ExitType.ROI), ExitCheckTuple(exit_type=ExitType.ROI),
ExitCheckTuple(exit_type=ExitType.STOP_LOSS), ExitCheckTuple(exit_type=ExitType.TRAILING_STOP_LOSS),
] ]
# Regular exit signal, no ROI # Regular exit signal, no ROI
@ -596,9 +598,10 @@ def test_should_sell(default_conf, fee, caplog) -> None:
assert len(res) == 2 assert len(res) == 2
assert res == [ assert res == [
ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL), ExitCheckTuple(exit_type=ExitType.EXIT_SIGNAL),
ExitCheckTuple(exit_type=ExitType.STOP_LOSS), ExitCheckTuple(exit_type=ExitType.TRAILING_STOP_LOSS),
] ]
@pytest.mark.parametrize('side', TRADE_SIDES) @pytest.mark.parametrize('side', TRADE_SIDES)
def test_leverage_callback(default_conf, side) -> None: def test_leverage_callback(default_conf, side) -> None:
default_conf['strategy'] = 'StrategyTestV2' default_conf['strategy'] = 'StrategyTestV2'