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Merge branch 'develop' into feat/short

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Matthias
2022-01-29 14:19:30 +01:00
parent fdea4fcb1b e7409e74c2
commit 463714832d
41 changed files with 347 additions and 135 deletions
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21
freqtrade/optimize/backtesting.py
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@@ -434,7 +434,12 @@ class Backtesting:
# Check if we need to adjust our current positions
if self.strategy.position_adjustment_enable:
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
check_adjust_buy = True
if self.strategy.max_entry_position_adjustment > -1:
count_of_buys = trade.nr_of_successful_buys
check_adjust_buy = (count_of_buys <= self.strategy.max_entry_position_adjustment)
if check_adjust_buy:
trade = self._get_adjust_trade_entry_for_candle(trade, sell_row)
sell_candle_time: datetime = sell_row[DATE_IDX].to_pydatetime()
enter = sell_row[SHORT_IDX] if trade.is_short else sell_row[LONG_IDX]
@@ -533,12 +538,14 @@ class Backtesting:
def _enter_trade(self, pair: str, row: Tuple, direction: str,
stake_amount: Optional[float] = None,
trade: Optional[LocalTrade] = None) -> Optional[LocalTrade]:
current_time = row[DATE_IDX].to_pydatetime()
entry_tag = row[ENTER_TAG_IDX] if len(row) >= ENTER_TAG_IDX + 1 else None
# let's call the custom entry price, using the open price as default price
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=row[OPEN_IDX])(
pair=pair, current_time=current_time,
proposed_rate=row[OPEN_IDX]) # default value is the open rate
proposed_rate=row[OPEN_IDX], entry_tag=entry_tag) # default value is the open rate
# Move rate to within the candle's low/high rate
propose_rate = min(max(propose_rate, row[LOW_IDX]), row[HIGH_IDX])
@@ -557,7 +564,7 @@ class Backtesting:
default_retval=stake_amount)(
pair=pair, current_time=current_time, current_rate=propose_rate,
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount,
side=direction)
entry_tag=entry_tag, side=direction)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
@@ -585,14 +592,13 @@ class Backtesting:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
time_in_force=time_in_force, current_time=current_time,
side=direction):
entry_tag=entry_tag, side=direction):
return None
if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount):
amount = round((stake_amount / propose_rate) * leverage, 8)
if trade is None:
# Enter trade
has_buy_tag = len(row) >= ENTER_TAG_IDX + 1
trade = LocalTrade(
pair=pair,
open_rate=propose_rate,
@@ -602,7 +608,7 @@ class Backtesting:
fee_open=self.fee,
fee_close=self.fee,
is_open=True,
enter_tag=row[ENTER_TAG_IDX] if has_buy_tag else None,
enter_tag=entry_tag,
exchange=self._exchange_name,
is_short=(direction == 'short'),
trading_mode=self.trading_mode,
@@ -619,6 +625,9 @@ class Backtesting:
side="buy",
order_type="market",
status="closed",
order_date=current_time,
order_filled_date=current_time,
order_update_date=current_time,
price=propose_rate,
average=propose_rate,
amount=amount,