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Implement most pessimistic handling of trailing stoploss.

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This commit is contained in:
Rokas Kupstys
2021-06-12 10:16:30 +03:00
parent 0af9bcef60
commit 6d5fc96714
3 changed files with 65 additions and 2 deletions
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16
freqtrade/optimize/backtesting.py
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@@ -225,6 +225,22 @@ class Backtesting:
# sell at open price.
return sell_row[OPEN_IDX]
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0 and \
self.strategy.trailing_stop_positive:
if self.strategy.trailing_only_offset_is_reached:
# Worst case: price reaches stop_positive_offset and dives down.
stop_rate = sell_row[OPEN_IDX] * \
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive))
else:
# Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(self.strategy.trailing_stop_positive))
assert stop_rate < sell_row[HIGH_IDX]
return stop_rate
# Set close_rate to stoploss
return trade.stop_loss
elif sell.sell_type == (SellType.ROI):