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Calculate stoploss_from_absolute for shorts

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This commit is contained in:
Guillermo Rodríguez 2022-01-22 18:01:02 +01:00
parent e04956be0e
commit 40cd478c6d
2 changed files with 15 additions and 4 deletions
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12
freqtrade/strategy/strategy_helper.py
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@ -102,9 +102,8 @@ def stoploss_from_open(
return max(stoploss, 0.0) return max(stoploss, 0.0)
def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float: def stoploss_from_absolute(stop_rate: float, current_rate: float, is_short: bool = False) -> float:
""" """
TODO-lev: Update this method with "is_short" formula
Given current price and desired stop price, return a stop loss value that is relative to current Given current price and desired stop price, return a stop loss value that is relative to current
price. price.
@ -115,6 +114,7 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float:
:param stop_rate: Stop loss price. :param stop_rate: Stop loss price.
:param current_rate: Current asset price. :param current_rate: Current asset price.
:param is_short: When true, perform the calculation for short instead of long
:return: Positive stop loss value relative to current price :return: Positive stop loss value relative to current price
""" """
@ -123,6 +123,10 @@ def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float:
return 1 return 1
stoploss = 1 - (stop_rate / current_rate) stoploss = 1 - (stop_rate / current_rate)
if is_short:
stoploss = -stoploss
# negative stoploss values indicate the requested stop price is higher than the current price # negative stoploss values indicate the requested stop price is higher/lower
return max(stoploss, 0.0) # (long/short) than the current price
# shorts can yield stoploss values higher than 1, so limit that as well
return max(min(stoploss, 1.0), 0.0)

7
tests/strategy/test_strategy_helpers.py
View File

@ -159,6 +159,13 @@ def test_stoploss_from_absolute():
assert stoploss_from_absolute(100, 0) == 1 assert stoploss_from_absolute(100, 0) == 1
assert stoploss_from_absolute(0, 100) == 1 assert stoploss_from_absolute(0, 100) == 1
assert stoploss_from_absolute(90, 100, True) == 0
assert stoploss_from_absolute(100, 100, True) == 0
assert stoploss_from_absolute(110, 100, True) == -(1 - (110/100))
assert stoploss_from_absolute(100, 0, True) == 1
assert stoploss_from_absolute(0, 100, True) == 0
assert stoploss_from_absolute(100, 1, True) == 1
# TODO-lev: @pytest.mark.parametrize('candle_type', ['mark', '']) # TODO-lev: @pytest.mark.parametrize('candle_type', ['mark', ''])
def test_informative_decorator(mocker, default_conf): def test_informative_decorator(mocker, default_conf):