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Add detailed backtest test verifying the ROI / trailing stop collision

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Matthias
2020-11-27 08:16:11 +01:00
parent 8e03fee868
commit 81d08c4def
2 changed files with 61 additions and 6 deletions
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12
freqtrade/strategy/interface.py
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@@ -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