Merge pull request #1229 from mishaker/money_mgt

Edge Positioning

config.json.example

@@ -53,6 +53,21 @@
         "sell_profit_only": false,
         "ignore_roi_if_buy_signal": false
     },
+    "edge": {
+        "enabled": false,
+        "process_throttle_secs": 3600,
+        "calculate_since_number_of_days": 7,
+        "total_capital_in_stake_currency": 0.5,
+        "allowed_risk": 0.01,
+        "stoploss_range_min": -0.01,
+        "stoploss_range_max": -0.1,
+        "stoploss_range_step": -0.01,
+        "minimum_winrate": 0.60,
+        "minimum_expectancy": 0.20,
+        "min_trade_number": 10,
+        "max_trade_duration_minute": 1440,
+        "remove_pumps": false
+    },
     "telegram": {
         "enabled": true,
         "token": "your_telegram_token",

config_full.json.example

@@ -59,6 +59,20 @@
         ],
         "outdated_offset": 5
     },
+    "edge": {
+        "enabled": false,
+        "process_throttle_secs": 3600,
+        "calculate_since_number_of_days": 2,
+        "allowed_risk": 0.01,
+        "stoploss_range_min": -0.01,
+        "stoploss_range_max": -0.1,
+        "stoploss_range_step": -0.01,
+        "minimum_winrate": 0.60,
+        "minimum_expectancy": 0.20,
+        "min_trade_number": 10,
+        "max_trade_duration_minute": 1440,
+        "remove_pumps": false
+    },
     "experimental": {
         "use_sell_signal": false,
         "sell_profit_only": false,

docs/configuration.md

@@ -47,6 +47,7 @@ The table below will list all configuration parameters.
 | `exchange.ccxt_rate_limit` | True | No | DEPRECATED!! Have CCXT handle Exchange rate limits. Depending on the exchange, having this to false can lead to temporary bans from the exchange.
 | `exchange.ccxt_config` | None | No | Additional CCXT parameters passed to the regular ccxt instance. Parameters may differ from exchange to exchange and are documented in the [ccxt documentation](https://ccxt.readthedocs.io/en/latest/manual.html#instantiation)
 | `exchange.ccxt_async_config` | None | No | Additional CCXT parameters passed to the async ccxt instance. Parameters may differ from exchange to exchange  and are documented in the [ccxt documentation](https://ccxt.readthedocs.io/en/latest/manual.html#instantiation)
+| `edge` | false | No | Please refer to [edge configuration document](edge.md) for detailed explanation.
 | `experimental.use_sell_signal` | false | No | Use your sell strategy in addition of the `minimal_roi`.
 | `experimental.sell_profit_only` | false | No | waits until you have made a positive profit before taking a sell decision.
 | `experimental.ignore_roi_if_buy_signal` | false | No | Does not sell if the buy-signal is still active. Takes preference over `minimal_roi` and `use_sell_signal`

docs/edge.md

@@ -0,0 +1,151 @@
+#  Edge positioning
+
+This page explains how to use Edge Positioning module in your bot in order to enter into a trade only if the trade has a reasonable win rate and risk reward ratio, and consequently adjust your position size and stoploss.
+
+**NOTICE:** Edge positioning is not compatible with dynamic whitelist. it overrides dynamic whitelist.
+
+## Table of Contents
+
+- [Introduction](#introduction)
+- [How does it work?](#how-does-it-work?)
+- [Configurations](#configurations)
+
+## Introduction
+Trading is all about probability. No one can claim that he has a strategy working all the time. You have to assume that sometimes you lose.<br/><br/>
+But it doesn't mean there is no rule, it only means rules should work "most of the time". Let's play a game: we toss a coin, heads: I give you 10$, tails: You give me 10$. Is it an interesting game ? no, it is quite boring, isn't it?<br/><br/>
+But let's say the probability that we have heads is 80%, and the probability that we have tails is 20%. Now it is becoming interesting ...
+That means 10$ x 80% versus 10$ x 20%. 8$ versus 2$. That means over time you will win 8$ risking only 2$ on each toss of coin.<br/><br/>
+Let's complicate it more: you win 80% of the time but only 2$, I win 20% of the time but 8$. The calculation is: 80% * 2$ versus 20% * 8$. It is becoming boring again because overtime you win $1.6$ (80% x 2$) and me $1.6 (20% * 8$) too.<br/><br/>
+The question is: How do you calculate that? how do you know if you wanna play?
+The answer comes to two factors:
+- Win Rate
+- Risk Reward Ratio
+
+
+### Win Rate
+Means over X trades what is the percentage of winning trades to total number of trades (note that we don't consider how much you gained but only If you won or not).
+
+
+`W = (Number of winning trades) / (Number of losing trades)`
+
+### Risk Reward Ratio
+Risk Reward Ratio is a formula used to measure the expected gains of a given investment against the risk of loss. It is basically what you potentially win divided by what you potentially lose:
+
+`R = Profit / Loss`
+
+Over time, on many trades, you can calculate your risk reward by dividing your average profit on winning trades by your average loss on losing trades:
+
+`Average profit = (Sum of profits) / (Number of winning trades)`
+
+`Average loss = (Sum of losses) / (Number of losing trades)`
+
+`R = (Average profit) / (Average loss)`
+
+### Expectancy
+
+At this point we can combine W and R to create an expectancy ratio. This is a simple process of multiplying the risk reward ratio by the percentage of winning trades, and subtracting the percentage of losing trades, which is calculated as follows:
+
+Expectancy Ratio = (Risk Reward Ratio x Win Rate) – Loss Rate
+
+So lets say your Win rate is 28% and your Risk Reward Ratio is 5:
+
+`Expectancy = (5 * 0.28) - 0.72 = 0.68`
+
+Superficially, this means that on average you expect this strategy’s trades to return .68 times the size of your losers. This is important for two reasons: First, it may seem obvious, but you know right away that you have a positive return. Second, you now have a number you can compare to other candidate systems to make decisions about which ones you employ.
+
+It is important to remember that any system with an expectancy greater than 0 is profitable using past data. The key is finding one that will be profitable in the future.
+
+You can also use this number to evaluate the effectiveness of modifications to this system.
+
+**NOTICE:** It's important to keep in mind that Edge is testing your expectancy using historical data , there's no guarantee that you will have a similar edge in the future. It's still vital to do this testing in order to build confidence in your methodology, but be wary of "curve-fitting" your approach to the historical data as things are unlikely to play out the exact same way for future trades.
+
+## How does it work?
+If enabled in config, Edge will go through historical data with a range of stoplosses in order to find buy and sell/stoploss signals. It then calculates win rate and expectancy over X trades for each stoploss. Here is an example:
+
+| Pair   |      Stoploss      |  Win Rate | Risk Reward Ratio | Expectancy |
+|----------|:-------------:|-------------:|------------------:|-----------:|
+| XZC/ETH  |  -0.03        |   0.52       |1.359670           | 0.228      |
+| XZC/ETH  |  -0.01        |   0.50       |1.176384           | 0.088      |
+| XZC/ETH  |  -0.02        |   0.51       |1.115941           | 0.079      |
+
+The goal here is to find the best stoploss for the strategy in order to have the maximum expectancy. In the above example stoploss at 3% leads to the maximum expectancy according to historical data.
+
+Edge then forces stoploss to your strategy dynamically.
+
+### Position size
+Edge dictates the stake amount for each trade to the bot according to the following factors:
+
+- Allowed capital at risk
+- Stoploss
+
+Allowed capital at risk is calculated as follows:
+
+**allowed capital at risk** = **total capital** X **allowed risk per trade**
+
+**total capital** is your stake amount.
+
+**Stoploss** is calculated as described above against historical data.
+
+Your position size then will be:
+
+**position size** = **allowed capital at risk** / **stoploss**
+
+Example:
+Let's say your stake amount is 3 ETH, you would allow 1% of risk for each trade. thus your allowed capital at risk would be **3 x 0.01 = 0.03 ETH**. Let's assume Edge has calculated that for **XLM/ETH** market your stoploss should be at 2%. So your position size will be **0.03 / 0.02= 1.5ETH**.<br/>
+
+## Configurations
+Edge has following configurations:
+
+#### enabled
+If true, then Edge will run periodically<br/>
+(default to false)
+
+#### process_throttle_secs
+How often should Edge run in seconds? <br/>
+(default to 3600 so one hour)
+
+#### calculate_since_number_of_days
+Number of days of data against which Edge calculates Win Rate, Risk Reward and Expectancy
+Note that it downloads historical data so increasing this number would lead to slowing down the bot<br/>
+(default to 7)
+
+#### allowed_risk
+Percentage of allowed risk per trade<br/>
+(default to 0.01 [1%])
+
+#### stoploss_range_min
+Minimum stoploss <br/>
+(default to -0.01)
+
+#### stoploss_range_max
+Maximum stoploss <br/>
+(default to -0.10)
+
+#### stoploss_range_step
+As an example if this is set to -0.01 then Edge will test the strategy for [-0.01, -0,02, -0,03 ..., -0.09, -0.10] ranges.
+Note than having a smaller step means having a bigger range which could lead to slow calculation. <br/>
+if you set this parameter to -0.001, you then slow down the Edge calculation by a factor of 10. <br/>
+(default to -0.01)
+
+#### minimum_winrate
+It filters pairs which don't have at least minimum_winrate.
+This comes handy if you want to be conservative and don't comprise win rate in favor of risk reward ratio.<br/>
+(default to 0.60)
+
+#### minimum_expectancy
+It filters paris which have an expectancy lower than this number .
+Having an expectancy of 0.20 means if you put 10$ on a trade you expect a 12$ return.<br/>
+(default to 0.20)
+
+#### min_trade_number
+When calculating W and R and E (expectancy) against historical data, you always want to have a minimum number of trades. The more this number is the more Edge is reliable. Having a win rate of 100% on a single trade doesn't mean anything at all. But having a win rate of 70% over past 100 trades means clearly something. <br/>
+(default to 10, it is highly recommended not to decrease this number)
+
+#### max_trade_duration_minute
+Edge will filter out trades with long duration. If a trade is profitable after 1 month, it is hard to evaluate the strategy based on it. But if most of trades are profitable and they have maximum duration of 30 minutes, then it is clearly a good sign.<br/>
+**NOTICE:** While configuring this value, you should take into consideration your ticker interval. as an example filtering out trades having duration less than one day for a strategy which has 4h interval does not make sense. default value is set assuming your strategy interval is relatively small (1m or 5m, etc).<br/>
+(default to 1 day, 1440 = 60 * 24)
+
+#### remove_pumps
+Edge will remove sudden pumps in a given market while going through historical data. However, given that pumps happen very often in crypto markets, we recommend you keep this off.<br/>
+(default to false)

docs/index.md

@@ -25,6 +25,7 @@ Pull-request. Do not hesitate to reach us on
 	- [Change your strategy](https://github.com/freqtrade/freqtrade/blob/develop/docs/bot-optimization.md#change-your-strategy)
     - [Add more Indicator](https://github.com/freqtrade/freqtrade/blob/develop/docs/bot-optimization.md#add-more-indicator)
     - [Test your strategy with Backtesting](https://github.com/freqtrade/freqtrade/blob/develop/docs/backtesting.md)
+    - [Edge positioning](https://github.com/mishaker/freqtrade/blob/money_mgt/docs/edge.md)
     - [Find optimal parameters with Hyperopt](https://github.com/freqtrade/freqtrade/blob/develop/docs/hyperopt.md)
 - [Control the bot with telegram](https://github.com/freqtrade/freqtrade/blob/develop/docs/telegram-usage.md)
 - [Receive notifications via webhook](https://github.com/freqtrade/freqtrade/blob/develop/docs/webhook-config.md)

freqtrade/constants.py

@@ -37,7 +37,7 @@ SUPPORTED_FIAT = [
     "KRW", "MXN", "MYR", "NOK", "NZD", "PHP", "PKR", "PLN",
     "RUB", "SEK", "SGD", "THB", "TRY", "TWD", "ZAR", "USD",
     "BTC", "XBT", "ETH", "XRP", "LTC", "BCH", "USDT"
-    ]
+]
 
 # Required json-schema for user specified config
 CONF_SCHEMA = {
@@ -102,6 +102,7 @@ CONF_SCHEMA = {
             }
         },
         'exchange': {'$ref': '#/definitions/exchange'},
+        'edge': {'$ref': '#/definitions/edge'},
         'experimental': {
             'type': 'object',
             'properties': {
@@ -170,6 +171,23 @@ CONF_SCHEMA = {
                 'ccxt_async_config': {'type': 'object'}
             },
             'required': ['name', 'key', 'secret', 'pair_whitelist']
+        },
+        'edge': {
+            'type': 'object',
+            'properties': {
+                "enabled": {'type': 'boolean'},
+                "process_throttle_secs": {'type': 'integer', 'minimum': 600},
+                "calculate_since_number_of_days": {'type': 'integer'},
+                "allowed_risk": {'type': 'number'},
+                "stoploss_range_min": {'type': 'number'},
+                "stoploss_range_max": {'type': 'number'},
+                "stoploss_range_step": {'type': 'number'},
+                "minimum_winrate": {'type': 'number'},
+                "minimum_expectancy": {'type': 'number'},
+                "min_trade_number": {'type': 'number'},
+                "max_trade_duration_minute": {'type': 'integer'},
+                "remove_pumps": {'type': 'boolean'}
+            }
         }
     },
     'anyOf': [

freqtrade/edge/__init__.py

@@ -0,0 +1,408 @@
+# pragma pylint: disable=W0603
+""" Edge positioning package """
+import logging
+from typing import Any, Dict
+from collections import namedtuple
+import arrow
+
+import numpy as np
+import utils_find_1st as utf1st
+from pandas import DataFrame
+
+import freqtrade.optimize as optimize
+from freqtrade.arguments import Arguments
+from freqtrade.arguments import TimeRange
+from freqtrade.strategy.interface import SellType
+
+
+logger = logging.getLogger(__name__)
+
+
+class Edge():
+    """
+    Calculates Win Rate, Risk Reward Ratio, Expectancy
+    against historical data for a give set of markets and a strategy
+    it then adjusts stoploss and position size accordingly
+    and force it into the strategy
+    Author: https://github.com/mishaker
+    """
+
+    config: Dict = {}
+    _cached_pairs: Dict[str, Any] = {}  # Keeps a list of pairs
+
+    # pair info data type
+    _pair_info = namedtuple(
+        'pair_info',
+        ['stoploss', 'winrate', 'risk_reward_ratio', 'required_risk_reward', 'expectancy'])
+
+    def __init__(self, config: Dict[str, Any], exchange, strategy) -> None:
+
+        self.config = config
+        self.exchange = exchange
+        self.strategy = strategy
+        self.ticker_interval = self.strategy.ticker_interval
+        self.tickerdata_to_dataframe = self.strategy.tickerdata_to_dataframe
+        self.get_timeframe = optimize.get_timeframe
+        self.advise_sell = self.strategy.advise_sell
+        self.advise_buy = self.strategy.advise_buy
+
+        self.edge_config = self.config.get('edge', {})
+        self._cached_pairs: Dict[str, Any] = {}  # Keeps a list of pairs
+
+        self._total_capital: float = self.config['stake_amount']
+        self._allowed_risk: float = self.edge_config.get('allowed_risk')
+        self._since_number_of_days: int = self.edge_config.get('calculate_since_number_of_days', 14)
+        self._last_updated: int = 0  # Timestamp of pairs last updated time
+
+        self._stoploss_range_min = float(self.edge_config.get('stoploss_range_min', -0.01))
+        self._stoploss_range_max = float(self.edge_config.get('stoploss_range_max', -0.05))
+        self._stoploss_range_step = float(self.edge_config.get('stoploss_range_step', -0.001))
+
+        # calculating stoploss range
+        self._stoploss_range = np.arange(
+            self._stoploss_range_min,
+            self._stoploss_range_max,
+            self._stoploss_range_step
+        )
+
+        self._timerange: TimeRange = Arguments.parse_timerange("%s-" % arrow.now().shift(
+            days=-1 * self._since_number_of_days).format('YYYYMMDD'))
+
+        self.fee = self.exchange.get_fee()
+
+    def calculate(self) -> bool:
+        pairs = self.config['exchange']['pair_whitelist']
+        heartbeat = self.edge_config.get('process_throttle_secs')
+
+        if (self._last_updated > 0) and (
+                self._last_updated + heartbeat > arrow.utcnow().timestamp):
+            return False
+
+        data: Dict[str, Any] = {}
+        logger.info('Using stake_currency: %s ...', self.config['stake_currency'])
+        logger.info('Using local backtesting data (using whitelist in given config) ...')
+
+        data = optimize.load_data(
+            self.config['datadir'],
+            pairs=pairs,
+            ticker_interval=self.ticker_interval,
+            refresh_pairs=True,
+            exchange=self.exchange,
+            timerange=self._timerange
+        )
+
+        if not data:
+            # Reinitializing cached pairs
+            self._cached_pairs = {}
+            logger.critical("No data found. Edge is stopped ...")
+            return False
+
+        preprocessed = self.tickerdata_to_dataframe(data)
+
+        # Print timeframe
+        min_date, max_date = self.get_timeframe(preprocessed)
+        logger.info(
+            'Measuring data from %s up to %s (%s days) ...',
+            min_date.isoformat(),
+            max_date.isoformat(),
+            (max_date - min_date).days
+        )
+        headers = ['date', 'buy', 'open', 'close', 'sell', 'high', 'low']
+
+        trades: list = []
+        for pair, pair_data in preprocessed.items():
+            # Sorting dataframe by date and reset index
+            pair_data = pair_data.sort_values(by=['date'])
+            pair_data = pair_data.reset_index(drop=True)
+
+            ticker_data = self.advise_sell(
+                self.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()
+
+            trades += self._find_trades_for_stoploss_range(ticker_data, pair, self._stoploss_range)
+
+        # If no trade found then exit
+        if len(trades) == 0:
+            return False
+
+        # Fill missing, calculable columns, profit, duration , abs etc.
+        trades_df = self._fill_calculable_fields(DataFrame(trades))
+        self._cached_pairs = self._process_expectancy(trades_df)
+        self._last_updated = arrow.utcnow().timestamp
+
+        # Not a nice hack but probably simplest solution:
+        # When backtest load data it loads the delta between disk and exchange
+        # The problem is that exchange consider that recent.
+        # it is but it is incomplete (c.f. _async_get_candle_history)
+        # So it causes get_signal to exit cause incomplete ticker_hist
+        # A patch to that would be update _pairs_last_refresh_time of exchange
+        # so it will download again all pairs
+        # Another solution is to add new data to klines instead of reassigning it:
+        # self.klines[pair].update(data) instead of self.klines[pair] = data in exchange package.
+        # But that means indexing timestamp and having a verification so that
+        # there is no empty range between two timestaps (recently added and last
+        # one)
+        self.exchange._pairs_last_refresh_time = {}
+
+        return True
+
+    def stake_amount(self, pair: str) -> float:
+        stoploss = self._cached_pairs[pair].stoploss
+        allowed_capital_at_risk = round(self._total_capital * self._allowed_risk, 5)
+        position_size = abs(round((allowed_capital_at_risk / stoploss), 5))
+        return position_size
+
+    def stoploss(self, pair: str) -> float:
+        return self._cached_pairs[pair].stoploss
+
+    def adjust(self, pairs) -> list:
+        """
+        Filters out and sorts "pairs" according to Edge calculated pairs
+        """
+
+        final = []
+        for pair, info in self._cached_pairs.items():
+            if info.expectancy > float(self.edge_config.get('minimum_expectancy', 0.2)) and \
+                info.winrate > float(self.edge_config.get('minimum_winrate', 0.60)) and \
+                    pair in pairs:
+                final.append(pair)
+
+        if final:
+            logger.info('Edge validated only %s', final)
+        else:
+            logger.info('Edge removed all pairs as no pair with minimum expectancy was found !')
+
+        return final
+
+    def _fill_calculable_fields(self, result: DataFrame) -> DataFrame:
+        """
+        The result frame contains a number of columns that are calculable
+        from other columns. These are left blank till all rows are added,
+        to be populated in single vector calls.
+
+        Columns to be populated are:
+        - Profit
+        - trade duration
+        - profit abs
+        :param result Dataframe
+        :return: result Dataframe
+        """
+
+        # stake and fees
+        # stake = 0.015
+        # 0.05% is 0.0005
+        # fee = 0.001
+
+        stake = self.config.get('stake_amount')
+        fee = self.fee
+
+        open_fee = fee / 2
+        close_fee = fee / 2
+
+        result['trade_duration'] = result['close_time'] - result['open_time']
+
+        result['trade_duration'] = result['trade_duration'].map(
+            lambda x: int(x.total_seconds() / 60))
+
+        # Spends, Takes, Profit, Absolute Profit
+
+        # Buy Price
+        result['buy_vol'] = stake / result['open_rate']  # How many target are we buying
+        result['buy_fee'] = stake * open_fee
+        result['buy_spend'] = stake + result['buy_fee']  # How much we're spending
+
+        # Sell price
+        result['sell_sum'] = result['buy_vol'] * result['close_rate']
+        result['sell_fee'] = result['sell_sum'] * close_fee
+        result['sell_take'] = result['sell_sum'] - result['sell_fee']
+
+        # profit_percent
+        result['profit_percent'] = (result['sell_take'] - result['buy_spend']) / result['buy_spend']
+
+        # Absolute profit
+        result['profit_abs'] = result['sell_take'] - result['buy_spend']
+
+        return result
+
+    def _process_expectancy(self, results: DataFrame) -> Dict[str, Any]:
+        """
+        This calculates WinRate, Required Risk Reward, Risk Reward and Expectancy of all pairs
+        The calulation will be done per pair and per strategy.
+        """
+        # Removing pairs having less than min_trades_number
+        min_trades_number = self.edge_config.get('min_trade_number', 10)
+        results = results.groupby(['pair', 'stoploss']).filter(lambda x: len(x) > min_trades_number)
+        ###################################
+
+        # Removing outliers (Only Pumps) from the dataset
+        # The method to detect outliers is to calculate standard deviation
+        # Then every value more than (standard deviation + 2*average) is out (pump)
+        #
+        # Removing Pumps
+        if self.edge_config.get('remove_pumps', False):
+            results = results.groupby(['pair', 'stoploss']).apply(
+                lambda x: x[x['profit_abs'] < 2 * x['profit_abs'].std() + x['profit_abs'].mean()])
+        ##########################################################################
+
+        # Removing trades having a duration more than X minutes (set in config)
+        max_trade_duration = self.edge_config.get('max_trade_duration_minute', 1440)
+        results = results[results.trade_duration < max_trade_duration]
+        #######################################################################
+
+        if results.empty:
+            return {}
+
+        groupby_aggregator = {
+            'profit_abs': [
+                ('nb_trades', 'count'),  # number of all trades
+                ('profit_sum', lambda x: x[x > 0].sum()),  # cumulative profit of all winning trades
+                ('loss_sum', lambda x: abs(x[x < 0].sum())),  # cumulative loss of all losing trades
+                ('nb_win_trades', lambda x: x[x > 0].count())  # number of winning trades
+            ],
+            'trade_duration': [('avg_trade_duration', 'mean')]
+        }
+
+        # Group by (pair and stoploss) by applying above aggregator
+        df = results.groupby(['pair', 'stoploss'])['profit_abs', 'trade_duration'].agg(
+            groupby_aggregator).reset_index(col_level=1)
+
+        # Dropping level 0 as we don't need it
+        df.columns = df.columns.droplevel(0)
+
+        # Calculating number of losing trades, average win and average loss
+        df['nb_loss_trades'] = df['nb_trades'] - df['nb_win_trades']
+        df['average_win'] = df['profit_sum'] / df['nb_win_trades']
+        df['average_loss'] = df['loss_sum'] / df['nb_loss_trades']
+
+        # Win rate = number of profitable trades / number of trades
+        df['winrate'] = df['nb_win_trades'] / df['nb_trades']
+
+        # risk_reward_ratio = average win / average loss
+        df['risk_reward_ratio'] = df['average_win'] / df['average_loss']
+
+        # required_risk_reward = (1 / winrate) - 1
+        df['required_risk_reward'] = (1 / df['winrate']) - 1
+
+        # expectancy = (risk_reward_ratio * winrate) - (lossrate)
+        df['expectancy'] = (df['risk_reward_ratio'] * df['winrate']) - (1 - df['winrate'])
+
+        # sort by expectancy and stoploss
+        df = df.sort_values(by=['expectancy', 'stoploss'], ascending=False).groupby(
+            'pair').first().sort_values(by=['expectancy'], ascending=False).reset_index()
+
+        final = {}
+        for x in df.itertuples():
+            info = {
+                'stoploss': x.stoploss,
+                'winrate': x.winrate,
+                'risk_reward_ratio': x.risk_reward_ratio,
+                'required_risk_reward': x.required_risk_reward,
+                'expectancy': x.expectancy
+            }
+            final[x.pair] = self._pair_info(**info)
+
+        # Returning a list of pairs in order of "expectancy"
+        return final
+
+    def _find_trades_for_stoploss_range(self, ticker_data, pair, stoploss_range):
+        buy_column = ticker_data['buy'].values
+        sell_column = ticker_data['sell'].values
+        date_column = ticker_data['date'].values
+        ohlc_columns = ticker_data[['open', 'high', 'low', 'close']].values
+
+        result: list = []
+        for stoploss in stoploss_range:
+            result += self._detect_next_stop_or_sell_point(
+                buy_column, sell_column, date_column, ohlc_columns, round(stoploss, 6), pair
+            )
+
+        return result
+
+    def _detect_next_stop_or_sell_point(self, buy_column, sell_column, date_column,
+                                        ohlc_columns, stoploss, pair, start_point=0):
+        """
+        Iterate through ohlc_columns recursively in order to find the next trade
+        Next trade opens from the first buy signal noticed to
+        The sell or stoploss signal after it.
+        It then calls itself cutting OHLC, buy_column, sell_colum and date_column
+        Cut from (the exit trade index) + 1
+        Author: https://github.com/mishaker
+        """
+
+        result: list = []
+        open_trade_index = utf1st.find_1st(buy_column, 1, utf1st.cmp_equal)
+
+        # return empty if we don't find trade entry (i.e. buy==1) or
+        # we find a buy but at the of array
+        if open_trade_index == -1 or open_trade_index == len(buy_column) - 1:
+            return []
+        else:
+            open_trade_index += 1  # when a buy signal is seen,
+            # trade opens in reality on the next candle
+
+        stop_price_percentage = stoploss + 1
+        open_price = ohlc_columns[open_trade_index, 0]
+        stop_price = (open_price * stop_price_percentage)
+
+        # Searching for the index where stoploss is hit
+        stop_index = utf1st.find_1st(
+            ohlc_columns[open_trade_index:, 2], stop_price, utf1st.cmp_smaller)
+
+        # If we don't find it then we assume stop_index will be far in future (infinite number)
+        if stop_index == -1:
+            stop_index = float('inf')
+
+        # Searching for the index where sell is hit
+        sell_index = utf1st.find_1st(sell_column[open_trade_index:], 1, utf1st.cmp_equal)
+
+        # If we don't find it then we assume sell_index will be far in future (infinite number)
+        if sell_index == -1:
+            sell_index = float('inf')
+
+        # Check if we don't find any stop or sell point (in that case trade remains open)
+        # It is not interesting for Edge to consider it so we simply ignore the trade
+        # And stop iterating there is no more entry
+        if stop_index == sell_index == float('inf'):
+            return []
+
+        if stop_index <= sell_index:
+            exit_index = open_trade_index + stop_index
+            exit_type = SellType.STOP_LOSS
+            exit_price = stop_price
+        elif stop_index > sell_index:
+            # if exit is SELL then we exit at the next candle
+            exit_index = open_trade_index + sell_index + 1
+
+            # check if we have the next candle
+            if len(ohlc_columns) - 1 < exit_index:
+                return []
+
+            exit_type = SellType.SELL_SIGNAL
+            exit_price = ohlc_columns[exit_index, 0]
+
+        trade = {'pair': pair,
+                 'stoploss': stoploss,
+                 'profit_percent': '',
+                 'profit_abs': '',
+                 'open_time': date_column[open_trade_index],
+                 'close_time': date_column[exit_index],
+                 'open_index': start_point + open_trade_index,
+                 'close_index': start_point + exit_index,
+                 'trade_duration': '',
+                 'open_rate': round(open_price, 15),
+                 'close_rate': round(exit_price, 15),
+                 'exit_type': exit_type
+                 }
+
+        result.append(trade)
+
+        # Calling again the same function recursively but giving
+        # it a view of exit_index till the end of array
+        return result + self._detect_next_stop_or_sell_point(
+            buy_column[exit_index:],
+            sell_column[exit_index:],
+            date_column[exit_index:],
+            ohlc_columns[exit_index:],
+            stoploss,
+            pair,
+            (start_point + exit_index)
+        )

freqtrade/freqtradebot.py

@@ -17,6 +17,7 @@ from cachetools import TTLCache, cached
 from freqtrade import (DependencyException, OperationalException,
                        TemporaryError, __version__, constants, persistence)
 from freqtrade.exchange import Exchange
+from freqtrade.edge import Edge
 from freqtrade.persistence import Trade
 from freqtrade.rpc import RPCManager, RPCMessageType
 from freqtrade.state import State
@@ -24,6 +25,7 @@ from freqtrade.strategy.interface import SellType
 from freqtrade.strategy.resolver import IStrategy, StrategyResolver
 from freqtrade.exchange.exchange_helpers import order_book_to_dataframe
 
+
 logger = logging.getLogger(__name__)
 
 
@@ -54,6 +56,11 @@ class FreqtradeBot(object):
         self.rpc: RPCManager = RPCManager(self)
         self.persistence = None
         self.exchange = Exchange(self.config)
+
+        # Initializing Edge only if enabled
+        self.edge = Edge(self.config, self.exchange, self.strategy) if \
+            self.config.get('edge', {}).get('enabled', False) else None
+
         self.active_pair_whitelist: List[str] = self.config['exchange']['pair_whitelist']
         self._init_modules()
 
@@ -179,6 +186,17 @@ class FreqtradeBot(object):
             # Keep only the subsets of pairs wanted (up to nb_assets)
             self.active_pair_whitelist = sanitized_list[:nb_assets] if nb_assets else sanitized_list
 
+            # Calculating Edge positiong
+            # Should be called before refresh_tickers
+            # Otherwise it will override cached klines in exchange
+            # with delta value (klines only from last refresh_pairs)
+            if self.edge:
+                self.edge.calculate()
+                self.active_pair_whitelist = self.edge.adjust(self.active_pair_whitelist)
+
+            # Refreshing candles
+            self.exchange.refresh_tickers(self.active_pair_whitelist, self.strategy.ticker_interval)
+
             # Query trades from persistence layer
             trades = Trade.query.filter(Trade.is_open.is_(True)).all()
 
@@ -309,13 +327,17 @@ class FreqtradeBot(object):
 
         return used_rate
 
-    def _get_trade_stake_amount(self) -> Optional[float]:
+    def _get_trade_stake_amount(self, pair) -> Optional[float]:
         """
         Check if stake amount can be fulfilled with the available balance
         for the stake currency
         :return: float: Stake Amount
         """
-        stake_amount = self.config['stake_amount']
+        if self.edge:
+            stake_amount = self.edge.stake_amount(pair)
+        else:
+            stake_amount = self.config['stake_amount']
+
         avaliable_amount = self.exchange.get_balance(self.config['stake_currency'])
 
         if stake_amount == constants.UNLIMITED_STAKE_AMOUNT:
@@ -373,15 +395,6 @@ class FreqtradeBot(object):
         :return: True if a trade object has been created and persisted, False otherwise
         """
         interval = self.strategy.ticker_interval
-        stake_amount = self._get_trade_stake_amount()
-
-        if not stake_amount:
-            return False
-
-        logger.info(
-            'Checking buy signals to create a new trade with stake_amount: %f ...',
-            stake_amount
-        )
         whitelist = copy.deepcopy(self.active_pair_whitelist)
 
         # Remove currently opened and latest pairs from whitelist
@@ -394,10 +407,18 @@ class FreqtradeBot(object):
             raise DependencyException('No currency pairs in whitelist')
 
         # running get_signal on historical data fetched
-        # to find buy signals
         for _pair in whitelist:
             (buy, sell) = self.strategy.get_signal(_pair, interval, self.exchange.klines.get(_pair))
             if buy and not sell:
+                stake_amount = self._get_trade_stake_amount(_pair)
+                if not stake_amount:
+                    return False
+
+                logger.info(
+                    'Buy signal found: about create a new trade with stake_amount: %f ...',
+                    stake_amount
+                )
+
                 bidstrat_check_depth_of_market = self.config.get('bid_strategy', {}).\
                     get('check_depth_of_market', {})
                 if (bidstrat_check_depth_of_market.get('enabled', False)) and\
@@ -624,10 +645,16 @@ class FreqtradeBot(object):
         return False
 
     def check_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool:
-        should_sell = self.strategy.should_sell(trade, sell_rate, datetime.utcnow(), buy, sell)
+        if self.edge:
+            stoploss = self.edge.stoploss(trade.pair)
+            should_sell = self.strategy.should_sell(
+                trade, sell_rate, datetime.utcnow(), buy, sell, force_stoploss=stoploss)
+        else:
+            should_sell = self.strategy.should_sell(trade, sell_rate, datetime.utcnow(), buy, sell)
+
         if should_sell.sell_flag:
             self.execute_sell(trade, sell_rate, should_sell.sell_type)
-            logger.info('excuted sell')
+            logger.info('executed sell, reason: %s', should_sell.sell_type)
             return True
         return False
 

freqtrade/rpc/rpc.py

@@ -410,7 +410,7 @@ class RPC(object):
             raise RPCException(f'position for {pair} already open - id: {trade.id}')
 
         # gen stake amount
-        stakeamount = self._freqtrade._get_trade_stake_amount()
+        stakeamount = self._freqtrade._get_trade_stake_amount(pair)
 
         # execute buy
         if self._freqtrade.execute_buy(pair, stakeamount, price):

freqtrade/strategy/interface.py

@@ -203,17 +203,20 @@ class IStrategy(ABC):
         return buy, sell
 
     def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,
-                    sell: bool, low: float = None, high: float = None) -> SellCheckTuple:
+                    sell: bool, low: float = None, high: float = None,
+                    force_stoploss: float = 0) -> SellCheckTuple:
         """
         This function evaluate if on the condition required to trigger a sell has been reached
         if the threshold is reached and updates the trade record.
         :return: True if trade should be sold, False otherwise
         """
+
         # Set current rate to low for backtesting sell
         current_rate = low or rate
         current_profit = trade.calc_profit_percent(current_rate)
         stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
-                                              current_time=date, current_profit=current_profit)
+                                              current_time=date, current_profit=current_profit,
+                                              force_stoploss=force_stoploss)
         if stoplossflag.sell_flag:
             return stoplossflag
         # Set current rate to low for backtesting sell
@@ -241,7 +244,7 @@ class IStrategy(ABC):
         return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
 
     def stop_loss_reached(self, current_rate: float, trade: Trade, current_time: datetime,
-                          current_profit: float) -> SellCheckTuple:
+                          current_profit: float, force_stoploss: float) -> SellCheckTuple:
         """
         Based on current profit of the trade and configured (trailing) stoploss,
         decides to sell or not
@@ -250,7 +253,8 @@ class IStrategy(ABC):
 
         trailing_stop = self.config.get('trailing_stop', False)
 
-        trade.adjust_stop_loss(trade.open_rate, self.stoploss, initial=True)
+        trade.adjust_stop_loss(trade.open_rate, force_stoploss if force_stoploss
+                               else self.stoploss, initial=True)
 
         # evaluate if the stoploss was hit
         if self.stoploss is not None and trade.stop_loss >= current_rate:

freqtrade/tests/conftest.py

@@ -4,6 +4,7 @@ import logging
 from datetime import datetime
 from functools import reduce
 from typing import Dict, Optional
+from collections import namedtuple
 from unittest.mock import MagicMock, PropertyMock
 
 import arrow
@@ -12,6 +13,7 @@ from telegram import Chat, Message, Update
 
 from freqtrade.exchange.exchange_helpers import parse_ticker_dataframe
 from freqtrade.exchange import Exchange
+from freqtrade.edge import Edge
 from freqtrade.freqtradebot import FreqtradeBot
 
 logging.getLogger('').setLevel(logging.INFO)
@@ -42,7 +44,32 @@ def get_patched_exchange(mocker, config, api_mock=None) -> Exchange:
     return exchange
 
 
+def patch_edge(mocker) -> None:
+    # "ETH/BTC",
+    # "LTC/BTC",
+    # "XRP/BTC",
+    # "NEO/BTC"
+    pair_info = namedtuple(
+        'pair_info',
+        'stoploss, winrate, risk_reward_ratio, required_risk_reward, expectancy')
+    mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
+        return_value={
+            'NEO/BTC': pair_info(-0.20, 0.66, 3.71, 0.50, 1.71),
+            'LTC/BTC': pair_info(-0.21, 0.66, 3.71, 0.50, 1.71),
+        }
+    ))
+    mocker.patch('freqtrade.edge.Edge.stoploss', MagicMock(return_value=-0.20))
+    mocker.patch('freqtrade.edge.Edge.calculate', MagicMock(return_value=True))
+
+
+def get_patched_edge(mocker, config) -> Edge:
+    patch_edge(mocker)
+    edge = Edge(config)
+    return edge
+
 # Functions for recurrent object patching
+
+
 def get_patched_freqtradebot(mocker, config) -> FreqtradeBot:
     """
     This function patch _init_modules() to not call dependencies
@@ -752,3 +779,23 @@ def buy_order_fee():
         'status': 'closed',
         'fee': None
     }
+
+
+@pytest.fixture(scope="function")
+def edge_conf(default_conf):
+    default_conf['edge'] = {
+        "enabled": True,
+        "process_throttle_secs": 1800,
+        "calculate_since_number_of_days": 14,
+        "allowed_risk": 0.01,
+        "stoploss_range_min": -0.01,
+        "stoploss_range_max": -0.1,
+        "stoploss_range_step": -0.01,
+        "maximum_winrate": 0.80,
+        "minimum_expectancy": 0.20,
+        "min_trade_number": 15,
+        "max_trade_duration_minute": 1440,
+        "remove_pumps": False
+    }
+
+    return default_conf

freqtrade/tests/edge/test_edge.py

@@ -0,0 +1,310 @@
+# pragma pylint: disable=missing-docstring, C0103, C0330
+# pragma pylint: disable=protected-access, too-many-lines, invalid-name, too-many-arguments
+
+import pytest
+import logging
+from freqtrade.tests.conftest import get_patched_freqtradebot
+from freqtrade.edge import Edge
+from pandas import DataFrame, to_datetime
+from freqtrade.strategy.interface import SellType
+from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataframe,
+                                      _get_frame_time_from_offset)
+import arrow
+import numpy as np
+import math
+
+from unittest.mock import MagicMock
+
+# Cases to be tested:
+# 1) Open trade should be removed from the end
+# 2) Two complete trades within dataframe (with sell hit for all)
+# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
+# 4) Entered, sl 3%, candle drops 4%, recovers to 1% => Trade closed, 3% loss
+# 5) Stoploss and sell are hit. should sell on stoploss
+####################################################################
+
+ticker_start_time = arrow.get(2018, 10, 3)
+ticker_interval_in_minute = 60
+_ohlc = {'date': 0, 'buy': 1, 'open': 2, 'high': 3, 'low': 4, 'close': 5, 'sell': 6, 'volume': 7}
+
+
+# Open trade should be removed from the end
+tc0 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 1]],  # enter trade (signal on last candle)
+    stop_loss=-0.99, roi=float('inf'), profit_perc=0.00,
+    trades=[]
+)
+
+# Two complete trades within dataframe(with sell hit for all)
+tc1 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 1],  # enter trade (signal on last candle)
+    [2, 5000, 5025, 4975, 4987, 6172, 0, 0],  # exit at open
+    [3, 5000, 5025, 4975, 4987, 6172, 1, 0],  # no action
+    [4, 5000, 5025, 4975, 4987, 6172, 0, 0],  # should enter the trade
+    [5, 5000, 5025, 4975, 4987, 6172, 0, 1],  # no action
+    [6, 5000, 5025, 4975, 4987, 6172, 0, 0],  # should sell
+],
+    stop_loss=-0.99, roi=float('inf'), profit_perc=0.00,
+    trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=2),
+            BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=4, close_tick=6)]
+)
+
+# 3) Entered, sl 1%, candle drops 8% => Trade closed, 1% loss
+tc2 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4600, 4987, 6172, 0, 0],  # enter trade, stoploss hit
+    [2, 5000, 5025, 4975, 4987, 6172, 0, 0],
+],
+    stop_loss=-0.01, roi=float('inf'), profit_perc=-0.01,
+    trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
+)
+
+# 4) Entered, sl 3 %, candle drops 4%, recovers to 1 % = > Trade closed, 3 % loss
+tc3 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4800, 4987, 6172, 0, 0],  # enter trade, stoploss hit
+    [2, 5000, 5025, 4975, 4987, 6172, 0, 0],
+],
+    stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03,
+    trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
+)
+
+# 5) Stoploss and sell are hit. should sell on stoploss
+tc4 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4800, 4987, 6172, 0, 1],  # enter trade, stoploss hit, sell signal
+    [2, 5000, 5025, 4975, 4987, 6172, 0, 0],
+],
+    stop_loss=-0.03, roi=float('inf'), profit_perc=-0.03,
+    trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)]
+)
+
+TESTS = [
+    tc0,
+    tc1,
+    tc2,
+    tc3,
+    tc4
+]
+
+
+@pytest.mark.parametrize("data", TESTS)
+def test_edge_results(edge_conf, mocker, caplog, data) -> None:
+    """
+    run functional tests
+    """
+    freqtrade = get_patched_freqtradebot(mocker, edge_conf)
+    edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
+    frame = _build_backtest_dataframe(data.data)
+    caplog.set_level(logging.DEBUG)
+    edge.fee = 0
+
+    trades = edge._find_trades_for_stoploss_range(frame, 'TEST/BTC', [data.stop_loss])
+    results = edge._fill_calculable_fields(DataFrame(trades)) if trades else DataFrame()
+
+    print(results)
+
+    assert len(trades) == len(data.trades)
+
+    if not results.empty:
+        assert round(results["profit_percent"].sum(), 3) == round(data.profit_perc, 3)
+
+    for c, trade in enumerate(data.trades):
+        res = results.iloc[c]
+        assert res.exit_type == trade.sell_reason
+        assert res.open_time == _get_frame_time_from_offset(trade.open_tick)
+        assert res.close_time == _get_frame_time_from_offset(trade.close_tick)
+
+
+def test_adjust(mocker, default_conf):
+    freqtrade = get_patched_freqtradebot(mocker, default_conf)
+    edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
+    mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
+        return_value={
+            'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
+            'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
+            'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
+        }
+    ))
+
+    pairs = ['A/B', 'C/D', 'E/F', 'G/H']
+    assert(edge.adjust(pairs) == ['E/F', 'C/D'])
+
+
+def test_stoploss(mocker, default_conf):
+    freqtrade = get_patched_freqtradebot(mocker, default_conf)
+    edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
+    mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
+        return_value={
+            'E/F': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
+            'C/D': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71),
+            'N/O': Edge._pair_info(-0.01, 0.66, 3.71, 0.50, 1.71)
+        }
+    ))
+
+    assert edge.stoploss('E/F') == -0.01
+
+
+def _validate_ohlc(buy_ohlc_sell_matrice):
+    for index, ohlc in enumerate(buy_ohlc_sell_matrice):
+        # if not high < open < low or not high < close < low
+        if not ohlc[3] >= ohlc[2] >= ohlc[4] or not ohlc[3] >= ohlc[5] >= ohlc[4]:
+            raise Exception('Line ' + str(index + 1) + ' of ohlc has invalid values!')
+    return True
+
+
+def _build_dataframe(buy_ohlc_sell_matrice):
+    _validate_ohlc(buy_ohlc_sell_matrice)
+    tickers = []
+    for ohlc in buy_ohlc_sell_matrice:
+        ticker = {
+            'date': ticker_start_time.shift(
+                minutes=(
+                    ohlc[0] *
+                    ticker_interval_in_minute)).timestamp *
+            1000,
+            'buy': ohlc[1],
+            'open': ohlc[2],
+            'high': ohlc[3],
+            'low': ohlc[4],
+            'close': ohlc[5],
+            'sell': ohlc[6]}
+        tickers.append(ticker)
+
+    frame = DataFrame(tickers)
+    frame['date'] = to_datetime(frame['date'],
+                                unit='ms',
+                                utc=True,
+                                infer_datetime_format=True)
+
+    return frame
+
+
+def _time_on_candle(number):
+    return np.datetime64(ticker_start_time.shift(
+        minutes=(number * ticker_interval_in_minute)).timestamp * 1000, 'ms')
+
+
+def test_edge_heartbeat_calculate(mocker, edge_conf):
+    freqtrade = get_patched_freqtradebot(mocker, edge_conf)
+    edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
+    heartbeat = edge_conf['edge']['process_throttle_secs']
+
+    # should not recalculate if heartbeat not reached
+    edge._last_updated = arrow.utcnow().timestamp - heartbeat + 1
+
+    assert edge.calculate() is False
+
+
+def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=False,
+                     timerange=None, exchange=None):
+    hz = 0.1
+    base = 0.001
+
+    ETHBTC = [
+        [
+            ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
+            math.sin(x * hz) / 1000 + base,
+            math.sin(x * hz) / 1000 + base + 0.0001,
+            math.sin(x * hz) / 1000 + base - 0.0001,
+            math.sin(x * hz) / 1000 + base,
+            123.45
+        ] for x in range(0, 500)]
+
+    hz = 0.2
+    base = 0.002
+    LTCBTC = [
+        [
+            ticker_start_time.shift(minutes=(x * ticker_interval_in_minute)).timestamp * 1000,
+            math.sin(x * hz) / 1000 + base,
+            math.sin(x * hz) / 1000 + base + 0.0001,
+            math.sin(x * hz) / 1000 + base - 0.0001,
+            math.sin(x * hz) / 1000 + base,
+            123.45
+        ] for x in range(0, 500)]
+
+    pairdata = {'NEO/BTC': ETHBTC, 'LTC/BTC': LTCBTC}
+    return pairdata
+
+
+def test_edge_process_downloaded_data(mocker, default_conf):
+    default_conf['datadir'] = None
+    freqtrade = get_patched_freqtradebot(mocker, default_conf)
+    mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.001))
+    mocker.patch('freqtrade.optimize.load_data', mocked_load_data)
+    edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
+
+    assert edge.calculate()
+    assert len(edge._cached_pairs) == 2
+    assert edge._last_updated <= arrow.utcnow().timestamp + 2
+
+
+def test_process_expectancy(mocker, edge_conf):
+    edge_conf['edge']['min_trade_number'] = 2
+    freqtrade = get_patched_freqtradebot(mocker, edge_conf)
+
+    def get_fee():
+        return 0.001
+
+    freqtrade.exchange.get_fee = get_fee
+    edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
+
+    trades = [
+        {'pair': 'TEST/BTC',
+         'stoploss': -0.9,
+         'profit_percent': '',
+         'profit_abs': '',
+         'open_time': np.datetime64('2018-10-03T00:05:00.000000000'),
+         'close_time': np.datetime64('2018-10-03T00:10:00.000000000'),
+         'open_index': 1,
+         'close_index': 1,
+         'trade_duration': '',
+         'open_rate': 17,
+         'close_rate': 17,
+         'exit_type': 'sell_signal'},
+
+        {'pair': 'TEST/BTC',
+         'stoploss': -0.9,
+         'profit_percent': '',
+         'profit_abs': '',
+         'open_time': np.datetime64('2018-10-03T00:20:00.000000000'),
+         'close_time': np.datetime64('2018-10-03T00:25:00.000000000'),
+         'open_index': 4,
+         'close_index': 4,
+         'trade_duration': '',
+         'open_rate': 20,
+         'close_rate': 20,
+         'exit_type': 'sell_signal'},
+
+        {'pair': 'TEST/BTC',
+         'stoploss': -0.9,
+         'profit_percent': '',
+         'profit_abs': '',
+         'open_time': np.datetime64('2018-10-03T00:30:00.000000000'),
+         'close_time': np.datetime64('2018-10-03T00:40:00.000000000'),
+         'open_index': 6,
+         'close_index': 7,
+         'trade_duration': '',
+         'open_rate': 26,
+         'close_rate': 34,
+         'exit_type': 'sell_signal'}
+    ]
+
+    trades_df = DataFrame(trades)
+    trades_df = edge._fill_calculable_fields(trades_df)
+    final = edge._process_expectancy(trades_df)
+    assert len(final) == 1
+
+    assert 'TEST/BTC' in final
+    assert final['TEST/BTC'].stoploss == -0.9
+    assert round(final['TEST/BTC'].winrate, 10) == 0.3333333333
+    assert round(final['TEST/BTC'].risk_reward_ratio, 10) == 306.5384615384
+    assert round(final['TEST/BTC'].required_risk_reward, 10) == 2.0
+    assert round(final['TEST/BTC'].expectancy, 10) == 101.5128205128

freqtrade/tests/optimize/__init__.py

@@ -31,7 +31,7 @@ class BTContainer(NamedTuple):
 
 def _get_frame_time_from_offset(offset):
     return ticker_start_time.shift(
-        minutes=(offset * ticker_interval_in_minute)).datetime
+        minutes=(offset * ticker_interval_in_minute)).datetime.replace(tzinfo=None)
 
 
 def _build_backtest_dataframe(ticker_with_signals):

freqtrade/tests/optimize/test_backtest_detail.py

@@ -1,4 +1,4 @@
-# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, unused-argument
+# pragma pylint: disable=missing-docstring, W0212, line-too-long, C0103, C0330, unused-argument
 import logging
 from unittest.mock import MagicMock
 
@@ -34,15 +34,15 @@ tc0 = BTContainer(data=[
 # TC2: Stop-Loss Triggered 3% Loss
 tc1 = BTContainer(data=[
     # D  O     H     L     C     V    B  S
-    [0, 5000, 5025, 4975, 4987, 6172,    1, 0],
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
-    [1, 5000, 5025, 4975, 4987, 6172,    0, 0],  # enter trade (signal on last candle)
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],  # enter trade (signal on last candle)
-    [2, 4987, 5012, 4962, 4975, 6172,    0, 0],
+    [2, 4987, 5012, 4962, 4975, 6172, 0, 0],
-    [3, 4975, 5000, 4800, 4962, 6172,    0, 0],  # exit with stoploss hit
+    [3, 4975, 5000, 4800, 4962, 6172, 0, 0],  # exit with stoploss hit
-    [4, 4962, 4987, 4937, 4950, 6172,    0, 0],
+    [4, 4962, 4987, 4937, 4950, 6172, 0, 0],
-    [5, 4950, 4975, 4925, 4950, 6172,    0, 0]],
+    [5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
     stop_loss=-0.03, roi=1, profit_perc=-0.03,
     trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=3)]
-    )
+)
 
 
 # Test 3 Candle drops 4%, Recovers 1%.
@@ -127,7 +127,7 @@ tc6 = BTContainer(data=[
     [5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
     stop_loss=-0.02, roi=0.03, profit_perc=0.03,
     trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
-    )
+)
 
 TESTS = [
     tc0,

freqtrade/tests/test_freqtradebot.py

@@ -18,7 +18,7 @@ from freqtrade.persistence import Trade
 from freqtrade.rpc import RPCMessageType
 from freqtrade.state import State
 from freqtrade.strategy.interface import SellType, SellCheckTuple
-from freqtrade.tests.conftest import log_has, patch_exchange
+from freqtrade.tests.conftest import log_has, patch_exchange, patch_edge
 
 
 # Functions for recurrent object patching
@@ -177,7 +177,7 @@ def test_get_trade_stake_amount(default_conf, ticker, limit_buy_order, fee, mock
 
     freqtrade = FreqtradeBot(default_conf)
 
-    result = freqtrade._get_trade_stake_amount()
+    result = freqtrade._get_trade_stake_amount('ETH/BTC')
     assert result == default_conf['stake_amount']
 
 
@@ -195,7 +195,7 @@ def test_get_trade_stake_amount_no_stake_amount(default_conf,
     freqtrade = FreqtradeBot(default_conf)
 
     with pytest.raises(DependencyException, match=r'.*stake amount.*'):
-        freqtrade._get_trade_stake_amount()
+        freqtrade._get_trade_stake_amount('ETH/BTC')
 
 
 def test_get_trade_stake_amount_unlimited_amount(default_conf,
@@ -224,28 +224,131 @@ def test_get_trade_stake_amount_unlimited_amount(default_conf,
     patch_get_signal(freqtrade)
 
     # no open trades, order amount should be 'balance / max_open_trades'
-    result = freqtrade._get_trade_stake_amount()
+    result = freqtrade._get_trade_stake_amount('ETH/BTC')
     assert result == default_conf['stake_amount'] / conf['max_open_trades']
 
     # create one trade, order amount should be 'balance / (max_open_trades - num_open_trades)'
     freqtrade.create_trade()
 
-    result = freqtrade._get_trade_stake_amount()
+    result = freqtrade._get_trade_stake_amount('LTC/BTC')
     assert result == default_conf['stake_amount'] / (conf['max_open_trades'] - 1)
 
     # create 2 trades, order amount should be None
     freqtrade.create_trade()
 
-    result = freqtrade._get_trade_stake_amount()
+    result = freqtrade._get_trade_stake_amount('XRP/BTC')
     assert result is None
 
     # set max_open_trades = None, so do not trade
     conf['max_open_trades'] = 0
     freqtrade = FreqtradeBot(conf)
-    result = freqtrade._get_trade_stake_amount()
+    result = freqtrade._get_trade_stake_amount('NEO/BTC')
     assert result is None
 
 
+def test_edge_called_in_process(mocker, edge_conf) -> None:
+    patch_RPCManager(mocker)
+    patch_edge(mocker)
+
+    def _refresh_whitelist(list):
+        return ['ETH/BTC', 'LTC/BTC', 'XRP/BTC', 'NEO/BTC']
+
+    patch_exchange(mocker)
+    freqtrade = FreqtradeBot(edge_conf)
+    freqtrade._refresh_whitelist = _refresh_whitelist
+    patch_get_signal(freqtrade)
+    freqtrade._process()
+    assert freqtrade.active_pair_whitelist == ['NEO/BTC', 'LTC/BTC']
+
+
+def test_edge_overrides_stake_amount(mocker, edge_conf) -> None:
+    patch_RPCManager(mocker)
+    patch_exchange(mocker)
+    patch_edge(mocker)
+    freqtrade = FreqtradeBot(edge_conf)
+
+    assert freqtrade._get_trade_stake_amount('NEO/BTC') == (0.001 * 0.01) / 0.20
+    assert freqtrade._get_trade_stake_amount('LTC/BTC') == (0.001 * 0.01) / 0.20
+
+
+def test_edge_overrides_stoploss(limit_buy_order, fee, markets, caplog, mocker, edge_conf) -> None:
+
+    patch_RPCManager(mocker)
+    patch_exchange(mocker)
+    patch_edge(mocker)
+
+    # Strategy stoploss is -0.1 but Edge imposes a stoploss at -0.2
+    # Thus, if price falls 21%, stoploss should be triggered
+    #
+    # mocking the ticker: price is falling ...
+    buy_price = limit_buy_order['price']
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        get_ticker=MagicMock(return_value={
+            'bid': buy_price * 0.79,
+            'ask': buy_price * 0.79,
+            'last': buy_price * 0.79
+        }),
+        buy=MagicMock(return_value={'id': limit_buy_order['id']}),
+        get_fee=fee,
+        get_markets=markets,
+    )
+    #############################################
+
+    # Create a trade with "limit_buy_order" price
+    freqtrade = FreqtradeBot(edge_conf)
+    freqtrade.active_pair_whitelist = ['NEO/BTC']
+    patch_get_signal(freqtrade)
+    freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
+    freqtrade.create_trade()
+    trade = Trade.query.first()
+    trade.update(limit_buy_order)
+    #############################################
+
+    # stoploss shoud be hit
+    assert freqtrade.handle_trade(trade) is True
+    assert log_has('executed sell, reason: SellType.STOP_LOSS', caplog.record_tuples)
+    assert trade.sell_reason == SellType.STOP_LOSS.value
+
+
+def test_edge_should_ignore_strategy_stoploss(limit_buy_order, fee, markets,
+                                              mocker, edge_conf) -> None:
+    patch_RPCManager(mocker)
+    patch_exchange(mocker)
+    patch_edge(mocker)
+
+    # Strategy stoploss is -0.1 but Edge imposes a stoploss at -0.2
+    # Thus, if price falls 15%, stoploss should not be triggered
+    #
+    # mocking the ticker: price is falling ...
+    buy_price = limit_buy_order['price']
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        get_ticker=MagicMock(return_value={
+            'bid': buy_price * 0.85,
+            'ask': buy_price * 0.85,
+            'last': buy_price * 0.85
+        }),
+        buy=MagicMock(return_value={'id': limit_buy_order['id']}),
+        get_fee=fee,
+        get_markets=markets,
+    )
+    #############################################
+
+    # Create a trade with "limit_buy_order" price
+    freqtrade = FreqtradeBot(edge_conf)
+    freqtrade.active_pair_whitelist = ['NEO/BTC']
+    patch_get_signal(freqtrade)
+    freqtrade.strategy.min_roi_reached = lambda trade, current_profit, current_time: False
+    freqtrade.create_trade()
+    trade = Trade.query.first()
+    trade.update(limit_buy_order)
+    #############################################
+
+    # stoploss shoud not be hit
+    assert freqtrade.handle_trade(trade) is False
+
+
 def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
     patch_RPCManager(mocker)
     patch_exchange(mocker)
@@ -494,7 +597,7 @@ def test_create_trade_limit_reached(default_conf, ticker, limit_buy_order,
     patch_get_signal(freqtrade)
 
     assert freqtrade.create_trade() is False
-    assert freqtrade._get_trade_stake_amount() is None
+    assert freqtrade._get_trade_stake_amount('ETH/BTC') is None
 
 
 def test_create_trade_no_pairs(default_conf, ticker, limit_buy_order, fee, markets, mocker) -> None:
@@ -593,7 +696,7 @@ def test_process_trade_creation(default_conf, ticker, limit_buy_order,
     assert trade.amount == 90.99181073703367
 
     assert log_has(
-        'Checking buy signals to create a new trade with stake_amount: 0.001000 ...',
+        'Buy signal found: about create a new trade with stake_amount: 0.001000 ...',
         caplog.record_tuples
     )
 
@@ -1547,7 +1650,7 @@ def test_sell_profit_only_enable_loss(default_conf, limit_buy_order, fee, market
     freqtrade = FreqtradeBot(default_conf)
     patch_get_signal(freqtrade)
     freqtrade.strategy.stop_loss_reached = \
-        lambda current_rate, trade, current_time, current_profit: SellCheckTuple(
+        lambda current_rate, trade, current_time, force_stoploss, current_profit: SellCheckTuple(
             sell_flag=False, sell_type=SellType.NONE)
     freqtrade.create_trade()
 
@@ -1821,7 +1924,7 @@ def test_get_real_amount_quote(default_conf, trades_for_order, buy_order_fee, ca
         exchange='binance',
         open_rate=0.245441,
         open_order_id="123456"
-        )
+    )
     freqtrade = FreqtradeBot(default_conf)
     patch_get_signal(freqtrade)
 
@@ -2097,9 +2200,9 @@ def test_order_book_bid_strategy2(mocker, default_conf, order_book_l2, markets)
     """
     patch_exchange(mocker)
     mocker.patch.multiple(
-           'freqtrade.exchange.Exchange',
+        'freqtrade.exchange.Exchange',
-           get_markets=markets,
+        get_markets=markets,
-           get_order_book=order_book_l2
+        get_order_book=order_book_l2
     )
     default_conf['exchange']['name'] = 'binance'
     default_conf['bid_strategy']['use_order_book'] = True

requirements.txt

@@ -24,3 +24,9 @@ scikit-optimize==0.5.2
 
 # Required for plotting data
 #plotly==3.1.1
+
+# find first, C search in arrays
+py_find_1st==1.1.2
+
+#Load ticker files 30% faster
+ujson==1.35

setup.py

@@ -37,6 +37,8 @@ setup(name='freqtrade',
           'cachetools',
           'coinmarketcap',
           'scikit-optimize',
+          'ujson',
+          'py_find_1st'
       ],
       include_package_data=True,
       zip_safe=False,