From 81d08c4deff25a9bd8b24e6d6847bdc04ccdace0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 27 Nov 2020 08:16:11 +0100 Subject: [PATCH] Add detailed backtest test verifying the ROI / trailing stop collision --- freqtrade/strategy/interface.py | 12 +++--- tests/optimize/test_backtest_detail.py | 55 ++++++++++++++++++++++++++ 2 files changed, 61 insertions(+), 6 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 44a281ebe..172264b10 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -475,24 +475,24 @@ class IStrategy(ABC): stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade, current_time=date, current_profit=current_profit, force_stoploss=force_stoploss, high=high) - + # Set current rate to high for backtesting sell current_rate = high or rate current_profit = trade.calc_profit_ratio(current_rate) config_ask_strategy = self.config.get('ask_strategy', {}) - + roi_reached = self.min_roi_reached(trade=trade, current_profit=current_profit, - current_time=date) - + current_time=date) + if stoplossflag.sell_flag: - + # When backtesting, in the case of trailing_stop_loss, # make sure we don't make a profit higher than ROI. if stoplossflag.sell_type == SellType.TRAILING_STOP_LOSS and roi_reached: logger.debug(f"{trade.pair} - Required profit reached. sell_flag=True, " f"sell_type=SellType.ROI") return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI) - + logger.debug(f"{trade.pair} - Stoploss hit. sell_flag=True, " f"sell_type={stoplossflag.sell_type}") return stoplossflag diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index a5de64fe4..f3a2d8b96 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -328,6 +328,58 @@ tc20 = BTContainer(data=[ trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] ) +# Test 21: trailing_stop ROI collision. +# Roi should trigger before Trailing stop - otherwise Trailing stop profits can be > ROI +# which cannot happen in reality +# stop-loss: 10%, ROI: 4%, Trailing stop adjusted at the sell candle +tc21 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5050, 4950, 5000, 6172, 1, 0], + [1, 5000, 5050, 4950, 5100, 6172, 0, 0], + [2, 5100, 5251, 4650, 5100, 6172, 0, 0], + [3, 4850, 5050, 4650, 4750, 6172, 0, 0], + [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], + stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True, + trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05, + trailing_stop_positive=0.03, + trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)] +) + +# Test 22: trailing_stop Raises in candle 2 - but ROI applies at the same time. +# applying a positive trailing stop of 3% - ROI should apply before trailing stop. +# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2 +tc22 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5050, 4950, 5000, 6172, 1, 0], + [1, 5000, 5050, 4950, 5100, 6172, 0, 0], + [2, 5100, 5251, 5100, 5100, 6172, 0, 0], + [3, 4850, 5050, 4650, 4750, 6172, 0, 0], + [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], + stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True, + trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05, + trailing_stop_positive=0.03, + trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)] +) + +# Test 23: trailing_stop Raises in candle 2 (does not trigger) +# applying a positive trailing stop of 3% since stop_positive_offset is reached. +# ROI is changed after this to 4%, dropping ROI below trailing_stop_positive, causing a sell +# in the candle after the raised stoploss candle with ROI reason. +# Stoploss would trigger in this candle too, but it's no longer relevant. +# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2, ROI adjusted in candle 3 (causing the sell) +tc23 = BTContainer(data=[ + # D O H L C V B S + [0, 5000, 5050, 4950, 5000, 6172, 1, 0], + [1, 5000, 5050, 4950, 5100, 6172, 0, 0], + [2, 5100, 5251, 5100, 5100, 6172, 0, 0], + [3, 4850, 5251, 4650, 4750, 6172, 0, 0], + [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], + stop_loss=-0.10, roi={"0": 0.1, "119": 0.03}, profit_perc=0.03, trailing_stop=True, + trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05, + trailing_stop_positive=0.03, + trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)] +) + TESTS = [ tc0, @@ -351,6 +403,9 @@ TESTS = [ tc18, tc19, tc20, + tc21, + tc22, + tc23, ]