diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 923119591..0fd47ef9a 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -252,22 +252,20 @@ class Backtesting(object): sell = self.strategy.should_sell(trade, sell_row.open, sell_row.date, sell_row.buy, sell_row.sell, low=sell_row.low, high=sell_row.high) if sell.sell_flag: - trade_dur = int((sell_row.date - buy_row.date).total_seconds() // 60) # Special handling if high or low hit STOP_LOSS or ROI if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS): # Set close_rate to stoploss closerate = trade.stop_loss elif sell.sell_type == (SellType.ROI): - # get next entry in min_roi > to trade duration - # Interface.py skips on trade_duration <= duration - roi_entry = max(list(filter(lambda x: trade_dur >= x, - self.strategy.minimal_roi.keys()))) - roi = self.strategy.minimal_roi[roi_entry] - - # - (Expected abs profit + open_rate + open_fee) / (fee_close -1) - closerate = - (trade.open_rate * roi + trade.open_rate * - (1 + trade.fee_open)) / (trade.fee_close - 1) + roi = self.strategy.min_roi_reached_entry(trade_dur) + if roi is not None: + # - (Expected abs profit + open_rate + open_fee) / (fee_close -1) + closerate = - (trade.open_rate * roi + trade.open_rate * + (1 + trade.fee_open)) / (trade.fee_close - 1) + else: + # This should not be reached... + closerate = sell_row.open else: closerate = sell_row.open diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 949a88b91..2a28bcd22 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -6,7 +6,7 @@ import logging from abc import ABC, abstractmethod from datetime import datetime from enum import Enum -from typing import Dict, List, NamedTuple, Tuple +from typing import Dict, List, NamedTuple, Optional, Tuple import warnings import arrow @@ -347,23 +347,32 @@ class IStrategy(ABC): return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE) + def min_roi_reached_entry(self, trade_dur: int) -> Optional[float]: + """ + Based on trade duration defines the ROI entry that may have been reached. + :param trade_dur: trade duration in minutes + :return: minimal ROI entry value or None if none proper ROI entry was found. + """ + # Get highest entry in ROI dict where key <= trade-duration + roi_list = list(filter(lambda x: x <= trade_dur, self.minimal_roi.keys())) + if not roi_list: + return None + roi_entry = max(roi_list) + return self.minimal_roi[roi_entry] + def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool: """ - Based an earlier trade and current price and ROI configuration, decides whether bot should + Based on trade duration, current price and ROI configuration, decides whether bot should sell. Requires current_profit to be in percent!! :return: True if bot should sell at current rate """ - # Check if time matches and current rate is above threshold - trade_dur = (current_time.timestamp() - trade.open_date.timestamp()) / 60 - - # Get highest entry in ROI dict where key >= trade-duration - roi_entry = max(list(filter(lambda x: trade_dur >= x, self.minimal_roi.keys()))) - threshold = self.minimal_roi[roi_entry] - if current_profit > threshold: - return True - - return False + trade_dur = int((current_time.timestamp() - trade.open_date.timestamp()) // 60) + roi = self.min_roi_reached_entry(trade_dur) + if roi is None: + return False + else: + return current_profit > roi def tickerdata_to_dataframe(self, tickerdata: Dict[str, List]) -> Dict[str, DataFrame]: """ diff --git a/freqtrade/tests/strategy/test_interface.py b/freqtrade/tests/strategy/test_interface.py index fe7fd2193..e92cb7b1c 100644 --- a/freqtrade/tests/strategy/test_interface.py +++ b/freqtrade/tests/strategy/test_interface.py @@ -186,6 +186,39 @@ def test_min_roi_reached2(default_conf, fee) -> None: assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime) +def test_min_roi_reached3(default_conf, fee) -> None: + + # test for issue #1948 + min_roi = {20: 0.07, + 30: 0.05, + 55: 0.30, + } + strategy = DefaultStrategy(default_conf) + strategy.minimal_roi = min_roi + trade = Trade( + pair='ETH/BTC', + stake_amount=0.001, + open_date=arrow.utcnow().shift(hours=-1).datetime, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='bittrex', + open_rate=1, + ) + + assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime) + assert not strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime) + + assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime) + assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime) + + assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime) + assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime) + + # Should not trigger with 20% profit since after 55 minutes only 30% is active. + assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime) + assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime) + + def test_analyze_ticker_default(ticker_history, mocker, caplog) -> None: caplog.set_level(logging.DEBUG) ind_mock = MagicMock(side_effect=lambda x, meta: x)