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Merge pull request #1457 from freqtrade/fix/minroi

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minroi sequence of keys should not matter
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Misagh 2019-01-02 12:32:13 +01:00 committed by GitHub
commit 71eba2afba
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4 changed files with 28 additions and 24 deletions
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7
docs/bot-optimization.md
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@ -179,10 +179,9 @@ minimal_roi = {
The above configuration would therefore mean: The above configuration would therefore mean:
- Sell whenever 4% profit was reached - Sell whenever 4% profit was reached
- Sell after 20 minutes when 2% profit was reached - Sell when 2% profit was reached (in effect after 20 minutes)
- Sell after 20 minutes when 2% profit was reached - Sell when 1% profit was reached (in effect after 30 minutes)
- Sell after 30 minutes when 1% profit was reached - Sell when trade is non-loosing (in effect after 40 minutes)
- Sell after 40 minutes when the trade is non-loosing (no profit)
The calculation does include fees. The calculation does include fees.

5
freqtrade/optimize/backtesting.py
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@ -219,8 +219,9 @@ class Backtesting(object):
# Set close_rate to stoploss # Set close_rate to stoploss
closerate = trade.stop_loss closerate = trade.stop_loss
elif sell.sell_type == (SellType.ROI): elif sell.sell_type == (SellType.ROI):
# get entry in min_roi >= to trade duration # get next entry in min_roi > to trade duration
roi_entry = max(list(filter(lambda x: trade_dur >= x, # Interface.py skips on trade_duration <= duration
roi_entry = max(list(filter(lambda x: trade_dur > x,
self.strategy.minimal_roi.keys()))) self.strategy.minimal_roi.keys())))
roi = self.strategy.minimal_roi[roi_entry] roi = self.strategy.minimal_roi[roi_entry]

2
freqtrade/strategy/interface.py
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@ -321,7 +321,7 @@ class IStrategy(ABC):
time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60 time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60
for duration, threshold in self.minimal_roi.items(): for duration, threshold in self.minimal_roi.items():
if time_diff <= duration: if time_diff <= duration:
return False continue
if current_profit > threshold: if current_profit > threshold:
return True return True

10
freqtrade/tests/strategy/test_interface.py
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@ -117,8 +117,12 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
def test_min_roi_reached(default_conf, fee) -> None: def test_min_roi_reached(default_conf, fee) -> None:
min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
{0: 0.1, 20: 0.05, 55: 0.01}]
for roi in min_roi_list:
strategy = DefaultStrategy(default_conf) strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = {0: 0.1, 20: 0.05, 55: 0.01} strategy.minimal_roi = roi
trade = Trade( trade = Trade(
pair='ETH/BTC', pair='ETH/BTC',
stake_amount=0.001, stake_amount=0.001,
@ -129,8 +133,8 @@ def test_min_roi_reached(default_conf, fee) -> None:
open_rate=1, open_rate=1,
) )
assert not strategy.min_roi_reached(trade, 0.01, arrow.utcnow().shift(minutes=-55).datetime) assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-55).datetime) assert 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 not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime) assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-39).datetime)