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Merge pull request #6140 from freqtrade/sell_before_roi

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Change sequence of ROI/sell signal to favor sell-signal
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Matthias 2021-12-31 10:32:19 +01:00 committed by GitHub
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3 changed files with 9 additions and 13 deletions
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2
docs/backtesting.md
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@ -484,8 +484,8 @@ Since backtesting lacks some detailed information about what happens within a ca
- ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies - ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies
- Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used) - Sell-reason does not explain if a trade was positive or negative, just what triggered the sell (this can look odd if negative ROI values are used)
- Evaluation sequence (if multiple signals happen on the same candle) - Evaluation sequence (if multiple signals happen on the same candle)
- ROI (if not stoploss)
- Sell-signal - Sell-signal
- ROI (if not stoploss)
- Stoploss - Stoploss
Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode. Taking these assumptions, backtesting tries to mirror real trading as closely as possible. However, backtesting will **never** replace running a strategy in dry-run mode.

14
freqtrade/strategy/interface.py
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@ -703,23 +703,21 @@ class IStrategy(ABC, HyperStrategyMixin):
custom_reason = custom_reason[:CUSTOM_SELL_MAX_LENGTH] custom_reason = custom_reason[:CUSTOM_SELL_MAX_LENGTH]
else: else:
custom_reason = None custom_reason = None
# TODO: return here if sell-signal should be favored over ROI if sell_signal in (SellType.CUSTOM_SELL, SellType.SELL_SIGNAL):
logger.debug(f"{trade.pair} - Sell signal received. "
f"sell_type=SellType.{sell_signal.name}" +
(f", custom_reason={custom_reason}" if custom_reason else ""))
return SellCheckTuple(sell_type=sell_signal, sell_reason=custom_reason)
# Start evaluations # Start evaluations
# Sequence: # Sequence:
# ROI (if not stoploss)
# Sell-signal # Sell-signal
# ROI (if not stoploss)
# Stoploss # Stoploss
if roi_reached and stoplossflag.sell_type != SellType.STOP_LOSS: if roi_reached and stoplossflag.sell_type != SellType.STOP_LOSS:
logger.debug(f"{trade.pair} - Required profit reached. sell_type=SellType.ROI") logger.debug(f"{trade.pair} - Required profit reached. sell_type=SellType.ROI")
return SellCheckTuple(sell_type=SellType.ROI) return SellCheckTuple(sell_type=SellType.ROI)
if sell_signal != SellType.NONE:
logger.debug(f"{trade.pair} - Sell signal received. "
f"sell_type=SellType.{sell_signal.name}" +
(f", custom_reason={custom_reason}" if custom_reason else ""))
return SellCheckTuple(sell_type=sell_signal, sell_reason=custom_reason)
if stoplossflag.sell_flag: if stoplossflag.sell_flag:
logger.debug(f"{trade.pair} - Stoploss hit. sell_type={stoplossflag.sell_type}") logger.debug(f"{trade.pair} - Stoploss hit. sell_type={stoplossflag.sell_type}")

6
tests/optimize/test_backtest_detail.py
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@ -426,8 +426,6 @@ tc26 = BTContainer(data=[
# Test 27: Sell with signal sell in candle 3 (ROI at signal candle) # Test 27: Sell with signal sell in candle 3 (ROI at signal candle)
# Stoploss at 10% (irrelevant), ROI at 5% (will trigger) - Wins over Sell-signal # Stoploss at 10% (irrelevant), ROI at 5% (will trigger) - Wins over Sell-signal
# TODO: figure out if sell-signal should win over ROI
# Sell-signal wins over stoploss
tc27 = BTContainer(data=[ tc27 = BTContainer(data=[
# D O H L C V B S # D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0], [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
@ -436,8 +434,8 @@ tc27 = BTContainer(data=[
[3, 5010, 5012, 4986, 5010, 6172, 0, 1], # sell-signal [3, 5010, 5012, 4986, 5010, 6172, 0, 1], # sell-signal
[4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on [4, 5010, 5251, 4855, 4995, 6172, 0, 0], # Triggers ROI, sell-signal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]], [5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.05, use_sell_signal=True, stop_loss=-0.10, roi={"0": 0.05}, profit_perc=0.002, use_sell_signal=True,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=4)] trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
) )
# Test 28: trailing_stop should raise so candle 3 causes a stoploss # Test 28: trailing_stop should raise so candle 3 causes a stoploss