Merge pull request #1466 from freqtrade/feat/strategy_trailing

trailing stoploss configuration in strategy

docs/configuration.md

@@ -19,10 +19,10 @@ The table below will list all configuration parameters.
 | `dry_run` | true | Yes | Define if the bot must be in Dry-run or production mode.
 | `process_only_new_candles` | false | No | If set to true indicators are processed only once a new candle arrives. If false each loop populates the indicators, this will mean the same candle is processed many times creating system load but can be useful of your strategy depends on tick data not only candle. Can be set either in Configuration or in the strategy.
 | `minimal_roi` | See below | No | Set the threshold in percent the bot will use to sell a trade. More information below. If set, this parameter will override `minimal_roi` from your strategy file.
-| `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. If set, this parameter will override `stoploss` from your strategy file.
+| `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. More details in the [stoploss documentation](stoploss.md).
-| `trailing_stop` | false | No | Enables trailing stop-loss (based on `stoploss` in either configuration or strategy file).
+| `trailing_stop` | false | No | Enables trailing stop-loss (based on `stoploss` in either configuration or strategy file). More details in the [stoploss documentation](stoploss.md).
-| `trailing_stop_positve` | 0 | No | Changes stop-loss once profit has been reached.
+| `trailing_stop_positve` | 0 | No | Changes stop-loss once profit has been reached. More details in the [stoploss documentation](stoploss.md).
-| `trailing_stop_positve_offset` | 0 | No | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive.
+| `trailing_stop_positve_offset` | 0 | No | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive. More details in the [stoploss documentation](stoploss.md).
 | `unfilledtimeout.buy` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled.
 | `unfilledtimeout.sell` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled.
 | `bid_strategy.ask_last_balance` | 0.0 | Yes | Set the bidding price. More information below.

docs/stoploss.md

@@ -6,6 +6,9 @@ At this stage the bot contains the following stoploss support modes:
 2. trailing stop loss, defined in the configuration
 3. trailing stop loss, custom positive loss, defined in configuration
 
+!!! Note
+    All stoploss properties can be configured in eihter Strategy or configuration. Configuration values override strategy values.
+
 ## Static Stop Loss
 
 This is very simple, basically you define a stop loss of x in your strategy file or alternative in the configuration, which

freqtrade/resolvers/strategy_resolver.py

@@ -38,60 +38,43 @@ class StrategyResolver(IResolver):
         self.strategy: IStrategy = self._load_strategy(strategy_name,
                                                        config=config,
                                                        extra_dir=config.get('strategy_path'))
-
         # Set attributes
         # Check if we need to override configuration
-        if 'minimal_roi' in config:
+        attributes = ["minimal_roi",
-            self.strategy.minimal_roi = config['minimal_roi']
+                      "ticker_interval",
-            logger.info("Override strategy 'minimal_roi' with value in config file: %s.",
+                      "stoploss",
-                        config['minimal_roi'])
+                      "trailing_stop",
-        else:
+                      "trailing_stop_positive",
-            config['minimal_roi'] = self.strategy.minimal_roi
+                      "trailing_stop_positive_offset",
+                      "process_only_new_candles",
+                      "order_types",
+                      "order_time_in_force"
+                      ]
+        for attribute in attributes:
+            self._override_attribute_helper(config, attribute)
 
-        if 'stoploss' in config:
+        # Loop this list again to have output combined
-            self.strategy.stoploss = config['stoploss']
+        for attribute in attributes:
-            logger.info(
+            if attribute in config:
-                "Override strategy 'stoploss' with value in config file: %s.", config['stoploss']
+                logger.info("Strategy using %s: %s", attribute, config[attribute])
-            )
-        else:
-            config['stoploss'] = self.strategy.stoploss
 
-        if 'ticker_interval' in config:
+        # Sort and apply type conversions
-            self.strategy.ticker_interval = config['ticker_interval']
+        self.strategy.minimal_roi = OrderedDict(sorted(
-            logger.info(
+            {int(key): value for (key, value) in self.strategy.minimal_roi.items()}.items(),
-                "Override strategy 'ticker_interval' with value in config file: %s.",
+            key=lambda t: t[0]))
-                config['ticker_interval']
+        self.strategy.stoploss = float(self.strategy.stoploss)
-            )
-        else:
-            config['ticker_interval'] = self.strategy.ticker_interval
 
-        if 'process_only_new_candles' in config:
+        self._strategy_sanity_validations()
-            self.strategy.process_only_new_candles = config['process_only_new_candles']
-            logger.info(
-                "Override process_only_new_candles 'process_only_new_candles' "
-                "with value in config file: %s.", config['process_only_new_candles']
-            )
-        else:
-            config['process_only_new_candles'] = self.strategy.process_only_new_candles
 
-        if 'order_types' in config:
+    def _override_attribute_helper(self, config, attribute: str):
-            self.strategy.order_types = config['order_types']
+        if attribute in config:
-            logger.info(
+            setattr(self.strategy, attribute, config[attribute])
-                "Override strategy 'order_types' with value in config file: %s.",
+            logger.info("Override strategy '%s' with value in config file: %s.",
-                config['order_types']
+                        attribute, config[attribute])
-            )
+        elif hasattr(self.strategy, attribute):
-        else:
+            config[attribute] = getattr(self.strategy, attribute)
-            config['order_types'] = self.strategy.order_types
-
-        if 'order_time_in_force' in config:
-            self.strategy.order_time_in_force = config['order_time_in_force']
-            logger.info(
-                "Override strategy 'order_time_in_force' with value in config file: %s.",
-                config['order_time_in_force']
-            )
-        else:
-            config['order_time_in_force'] = self.strategy.order_time_in_force
 
+    def _strategy_sanity_validations(self):
         if not all(k in self.strategy.order_types for k in constants.REQUIRED_ORDERTYPES):
             raise ImportError(f"Impossible to load Strategy '{self.strategy.__class__.__name__}'. "
                               f"Order-types mapping is incomplete.")
@@ -100,12 +83,6 @@ class StrategyResolver(IResolver):
             raise ImportError(f"Impossible to load Strategy '{self.strategy.__class__.__name__}'. "
                               f"Order-time-in-force mapping is incomplete.")
 
-        # Sort and apply type conversions
-        self.strategy.minimal_roi = OrderedDict(sorted(
-            {int(key): value for (key, value) in self.strategy.minimal_roi.items()}.items(),
-            key=lambda t: t[0]))
-        self.strategy.stoploss = float(self.strategy.stoploss)
-
     def _load_strategy(
             self, strategy_name: str, config: dict, extra_dir: Optional[str] = None) -> IStrategy:
         """

freqtrade/strategy/interface.py

@@ -67,6 +67,11 @@ class IStrategy(ABC):
     # associated stoploss
     stoploss: float
 
+    # trailing stoploss
+    trailing_stop: bool = False
+    trailing_stop_positive: float
+    trailing_stop_positive_offset: float
+
     # associated ticker interval
     ticker_interval: str
 

freqtrade/tests/strategy/test_strategy.py

@@ -150,6 +150,45 @@ def test_strategy_override_stoploss(caplog):
             ) in caplog.record_tuples
 
 
+def test_strategy_override_trailing_stop(caplog):
+    caplog.set_level(logging.INFO)
+    config = {
+        'strategy': 'DefaultStrategy',
+        'trailing_stop': True
+    }
+    resolver = StrategyResolver(config)
+
+    assert resolver.strategy.trailing_stop
+    assert isinstance(resolver.strategy.trailing_stop, bool)
+    assert ('freqtrade.resolvers.strategy_resolver',
+            logging.INFO,
+            "Override strategy 'trailing_stop' with value in config file: True."
+            ) in caplog.record_tuples
+
+
+def test_strategy_override_trailing_stop_positive(caplog):
+    caplog.set_level(logging.INFO)
+    config = {
+        'strategy': 'DefaultStrategy',
+        'trailing_stop_positive': -0.1,
+        'trailing_stop_positive_offset': -0.2
+
+    }
+    resolver = StrategyResolver(config)
+
+    assert resolver.strategy.trailing_stop_positive == -0.1
+    assert ('freqtrade.resolvers.strategy_resolver',
+            logging.INFO,
+            "Override strategy 'trailing_stop_positive' with value in config file: -0.1."
+            ) in caplog.record_tuples
+
+    assert resolver.strategy.trailing_stop_positive_offset == -0.2
+    assert ('freqtrade.resolvers.strategy_resolver',
+            logging.INFO,
+            "Override strategy 'trailing_stop_positive' with value in config file: -0.1."
+            ) in caplog.record_tuples
+
+
 def test_strategy_override_ticker_interval(caplog):
     caplog.set_level(logging.INFO)
 
@@ -178,8 +217,7 @@ def test_strategy_override_process_only_new_candles(caplog):
     assert resolver.strategy.process_only_new_candles
     assert ('freqtrade.resolvers.strategy_resolver',
             logging.INFO,
-            "Override process_only_new_candles 'process_only_new_candles' "
+            "Override strategy 'process_only_new_candles' with value in config file: True."
-            "with value in config file: True."
             ) in caplog.record_tuples
 
 

user_data/strategies/test_strategy.py

@@ -42,6 +42,11 @@ class TestStrategy(IStrategy):
     # This attribute will be overridden if the config file contains "stoploss"
     stoploss = -0.10
 
+    # trailing stoploss
+    trailing_stop = False
+    trailing_stop_positive = 0.01
+    trailing_stop_positive_offset = None  # Disabled / not configured
+
     # Optimal ticker interval for the strategy
     ticker_interval = '5m'