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add short close rate calu

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adriance 2022-03-09 20:00:06 +08:00
parent 9facd5b52a
commit 82e0eca128
1 changed files with 88 additions and 37 deletions
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125
freqtrade/optimize/backtesting.py
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@ -362,11 +362,18 @@ class Backtesting:
""" """
# Special handling if high or low hit STOP_LOSS or ROI # Special handling if high or low hit STOP_LOSS or ROI
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS): if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
if trade.stop_loss > sell_row[HIGH_IDX]: if is_short:
# our stoploss was already higher than candle high, if trade.stop_loss < sell_row[LOW_IDX]:
# possibly due to a cancelled trade exit. # our stoploss was already lower than candle high,
# sell at open price. # possibly due to a cancelled trade exit.
return sell_row[OPEN_IDX] # sell at open price.
return sell_row[OPEN_IDX]
else:
if trade.stop_loss > sell_row[HIGH_IDX]:
# our stoploss was already higher than candle high,
# possibly due to a cancelled trade exit.
# sell at open price.
return sell_row[OPEN_IDX]
# Special case: trailing triggers within same candle as trade opened. Assume most # Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and # pessimistic price movement, which is moving just enough to arm stoploss and
@ -379,16 +386,29 @@ class Backtesting:
and self.strategy.trailing_stop_positive and self.strategy.trailing_stop_positive
): ):
# Worst case: price reaches stop_positive_offset and dives down. # Worst case: price reaches stop_positive_offset and dives down.
stop_rate = (sell_row[OPEN_IDX] * if is_short:
stop_rate = (sell_row[OPEN_IDX] *
(1 - abs(self.strategy.trailing_stop_positive_offset) +
abs(self.strategy.trailing_stop_positive)))
else:
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) - (1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive))) abs(self.strategy.trailing_stop_positive)))
else: else:
# Worst case: price ticks tiny bit above open and dives down. # Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage)) if is_short:
assert stop_rate < sell_row[HIGH_IDX] stop_rate = sell_row[OPEN_IDX] * (1 + abs(trade.stop_loss_pct / leverage))
assert stop_rate > sell_row[HIGH_IDX]
else:
stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage))
assert stop_rate < sell_row[HIGH_IDX]
# Limit lower-end to candle low to avoid sells below the low. # Limit lower-end to candle low to avoid sells below the low.
# This still remains "worst case" - but "worst realistic case". # This still remains "worst case" - but "worst realistic case".
return max(sell_row[LOW_IDX], stop_rate) if is_short:
return min(sell_row[HIGH_IDX], stop_rate)
else:
return max(sell_row[LOW_IDX], stop_rate)
# Set close_rate to stoploss # Set close_rate to stoploss
return trade.stop_loss return trade.stop_loss
@ -402,32 +422,60 @@ class Backtesting:
return sell_row[OPEN_IDX] return sell_row[OPEN_IDX]
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1) # - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
close_rate = - (trade.open_rate * roi / leverage + trade.open_rate * if is_short:
close_rate = (trade.open_rate *
(1 - trade.fee_open) - trade.open_rate * roi / leverage) / (trade.fee_close + 1)
if (trade_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_min == 0
and sell_row[OPEN_IDX] < close_rate):
# new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX]
else:
close_rate = - (trade.open_rate * roi / leverage + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1) (1 + trade.fee_open)) / (trade.fee_close - 1)
if (trade_dur > 0 and trade_dur == roi_entry if (trade_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_min == 0 and roi_entry % self.timeframe_min == 0
and sell_row[OPEN_IDX] > close_rate): and sell_row[OPEN_IDX] > close_rate):
# new ROI entry came into effect. # new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate # use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX] return sell_row[OPEN_IDX]
if is_short:
if (
trade_dur == 0
# Red candle (for longs), TODO: green candle (for shorts)
and sell_row[OPEN_IDX] < sell_row[CLOSE_IDX] # Red candle
and trade.open_rate > sell_row[OPEN_IDX] # trade-open below open_rate
and close_rate < sell_row[CLOSE_IDX]
):
# ROI on opening candles with custom pricing can only
# trigger if the entry was at Open or lower.
# details: https: // github.com/freqtrade/freqtrade/issues/6261
# If open_rate is < open, only allow sells below the close on red candles.
raise ValueError("Opening candle ROI on red candles.")
else:
if (
trade_dur == 0
# Red candle (for longs), TODO: green candle (for shorts)
and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
and trade.open_rate < sell_row[OPEN_IDX] # trade-open below open_rate
and close_rate > sell_row[CLOSE_IDX]
):
# ROI on opening candles with custom pricing can only
# trigger if the entry was at Open or lower.
# details: https: // github.com/freqtrade/freqtrade/issues/6261
# If open_rate is < open, only allow sells below the close on red candles.
raise ValueError("Opening candle ROI on red candles.")
if (
trade_dur == 0
# Red candle (for longs), TODO: green candle (for shorts)
and sell_row[OPEN_IDX] > sell_row[CLOSE_IDX] # Red candle
and trade.open_rate < sell_row[OPEN_IDX] # trade-open below open_rate
and close_rate > sell_row[CLOSE_IDX]
):
# ROI on opening candles with custom pricing can only
# trigger if the entry was at Open or lower.
# details: https: // github.com/freqtrade/freqtrade/issues/6261
# If open_rate is < open, only allow sells below the close on red candles.
raise ValueError("Opening candle ROI on red candles.")
# Use the maximum between close_rate and low as we # Use the maximum between close_rate and low as we
# cannot sell outside of a candle. # cannot sell outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that. # Applies when a new ROI setting comes in place and the whole candle is above that.
return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX]) if is_short:
return max(min(close_rate, sell_row[HIGH_IDX]), sell_row[LOW_IDX])
else:
return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
else: else:
# This should not be reached... # This should not be reached...
@ -610,7 +658,10 @@ class Backtesting:
proposed_rate=propose_rate, entry_tag=entry_tag) # default value is the open rate proposed_rate=propose_rate, entry_tag=entry_tag) # default value is the open rate
# We can't place orders higher than current high (otherwise it'd be a stop limit buy) # We can't place orders higher than current high (otherwise it'd be a stop limit buy)
# which freqtrade does not support in live. # which freqtrade does not support in live.
propose_rate = min(propose_rate, row[HIGH_IDX]) if direction == "short":
propose_rate = max(propose_rate, row[LOW_IDX])
else:
propose_rate = min(propose_rate, row[HIGH_IDX])
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0 min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
max_stake_amount = self.exchange.get_max_pair_stake_amount(pair, propose_rate) max_stake_amount = self.exchange.get_max_pair_stake_amount(pair, propose_rate)
@ -700,13 +751,13 @@ class Backtesting:
trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True) trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
trade.set_isolated_liq(self.exchange.get_liquidation_price( # trade.set_isolated_liq(self.exchange.get_liquidation_price(
pair=pair, # pair=pair,
open_rate=propose_rate, # open_rate=propose_rate,
amount=amount, # amount=amount,
leverage=leverage, # leverage=leverage,
is_short=is_short, # is_short=is_short,
)) # ))
order = Order( order = Order(
id=self.order_id_counter, id=self.order_id_counter,