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updated strategy stop_loss_reached to work for shorts

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This commit is contained in:
Sam Germain 2021-10-09 14:39:11 -06:00
parent d7e6b842ba
commit 729957572b
1 changed files with 27 additions and 12 deletions
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39
freqtrade/strategy/interface.py
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@ -840,31 +840,40 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
logger.warning("CustomStoploss function did not return valid stoploss")
# TODO-lev: short
if self.trailing_stop and trade.stop_loss < (low or current_rate):
if self.trailing_stop and (
(trade.stop_loss < (low or current_rate) and not trade.is_short) or
(trade.stop_loss > (high or current_rate) and trade.is_short)
):
# trailing stoploss handling
sl_offset = self.trailing_stop_positive_offset
# Make sure current_profit is calculated using high for backtesting.
# TODO-lev: Check this function - high / low usage must be inversed for short trades!
high_profit = current_profit if not high else trade.calc_profit_ratio(high)
bound = low if trade.is_short else high
bound_profit = current_profit if not bound else trade.calc_profit_ratio(bound)
# Don't update stoploss if trailing_only_offset_is_reached is true.
if not (self.trailing_only_offset_is_reached and high_profit < sl_offset):
if not (self.trailing_only_offset_is_reached and (
(bound_profit < sl_offset and not trade.is_short) or
(bound_profit > sl_offset and trade.is_short)
)):
# Specific handling for trailing_stop_positive
if self.trailing_stop_positive is not None and high_profit > sl_offset:
if self.trailing_stop_positive is not None and (
(bound_profit > sl_offset and not trade.is_short) or
(bound_profit < sl_offset and trade.is_short)
):
stop_loss_value = self.trailing_stop_positive
logger.debug(f"{trade.pair} - Using positive stoploss: {stop_loss_value} "
f"offset: {sl_offset:.4g} profit: {current_profit:.4f}%")
trade.adjust_stop_loss(high or current_rate, stop_loss_value)
trade.adjust_stop_loss(bound or current_rate, stop_loss_value)
# evaluate if the stoploss was hit if stoploss is not on exchange
# in Dry-Run, this handles stoploss logic as well, as the logic will not be different to
# regular stoploss handling.
# TODO-lev: short
if ((trade.stop_loss >= (low or current_rate)) and
(not self.order_types.get('stoploss_on_exchange') or self.config['dry_run'])):
if ((
(trade.stop_loss >= (low or current_rate) and not trade.is_short) or
((trade.stop_loss <= (high or current_rate) and trade.is_short))
) and (not self.order_types.get('stoploss_on_exchange') or self.config['dry_run'])):
sell_type = SellType.STOP_LOSS
@ -872,12 +881,18 @@ class IStrategy(ABC, HyperStrategyMixin):
if trade.initial_stop_loss != trade.stop_loss:
sell_type = SellType.TRAILING_STOP_LOSS
logger.debug(
f"{trade.pair} - HIT STOP: current price at {(low or current_rate):.6f}, "
f"{trade.pair} - HIT STOP: current price at "
f"{((high if trade.is_short else low) or current_rate):.6f}, "
f"stoploss is {trade.stop_loss:.6f}, "
f"initial stoploss was at {trade.initial_stop_loss:.6f}, "
f"trade opened at {trade.open_rate:.6f}")
new_stoploss = (
trade.stop_loss + trade.initial_stop_loss
if trade.is_short else
trade.stop_loss - trade.initial_stop_loss
)
logger.debug(f"{trade.pair} - Trailing stop saved "
f"{trade.stop_loss - trade.initial_stop_loss:.6f}")
f"{new_stoploss:.6f}")
return SellCheckTuple(sell_type=sell_type)