add short close rate calu
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@ -362,6 +362,13 @@ class Backtesting:
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"""
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# Special handling if high or low hit STOP_LOSS or ROI
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if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
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if is_short:
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if trade.stop_loss < sell_row[LOW_IDX]:
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# our stoploss was already lower than candle high,
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# possibly due to a cancelled trade exit.
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# sell at open price.
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return sell_row[OPEN_IDX]
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else:
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if trade.stop_loss > sell_row[HIGH_IDX]:
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# our stoploss was already higher than candle high,
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# possibly due to a cancelled trade exit.
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@ -379,15 +386,28 @@ class Backtesting:
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and self.strategy.trailing_stop_positive
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):
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# Worst case: price reaches stop_positive_offset and dives down.
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if is_short:
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stop_rate = (sell_row[OPEN_IDX] *
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(1 - abs(self.strategy.trailing_stop_positive_offset) +
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abs(self.strategy.trailing_stop_positive)))
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else:
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stop_rate = (sell_row[OPEN_IDX] *
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(1 + abs(self.strategy.trailing_stop_positive_offset) -
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abs(self.strategy.trailing_stop_positive)))
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else:
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# Worst case: price ticks tiny bit above open and dives down.
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if is_short:
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stop_rate = sell_row[OPEN_IDX] * (1 + abs(trade.stop_loss_pct / leverage))
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assert stop_rate > sell_row[HIGH_IDX]
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else:
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stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage))
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assert stop_rate < sell_row[HIGH_IDX]
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# Limit lower-end to candle low to avoid sells below the low.
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# This still remains "worst case" - but "worst realistic case".
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if is_short:
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return min(sell_row[HIGH_IDX], stop_rate)
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else:
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return max(sell_row[LOW_IDX], stop_rate)
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# Set close_rate to stoploss
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@ -402,6 +422,16 @@ class Backtesting:
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return sell_row[OPEN_IDX]
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# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
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if is_short:
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close_rate = (trade.open_rate *
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(1 - trade.fee_open) - trade.open_rate * roi / leverage) / (trade.fee_close + 1)
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if (trade_dur > 0 and trade_dur == roi_entry
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and roi_entry % self.timeframe_min == 0
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and sell_row[OPEN_IDX] < close_rate):
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# new ROI entry came into effect.
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# use Open rate if open_rate > calculated sell rate
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return sell_row[OPEN_IDX]
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else:
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close_rate = - (trade.open_rate * roi / leverage + trade.open_rate *
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(1 + trade.fee_open)) / (trade.fee_close - 1)
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@ -412,6 +442,20 @@ class Backtesting:
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# use Open rate if open_rate > calculated sell rate
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return sell_row[OPEN_IDX]
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if is_short:
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if (
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trade_dur == 0
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# Red candle (for longs), TODO: green candle (for shorts)
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and sell_row[OPEN_IDX] < sell_row[CLOSE_IDX] # Red candle
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and trade.open_rate > sell_row[OPEN_IDX] # trade-open below open_rate
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and close_rate < sell_row[CLOSE_IDX]
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):
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# ROI on opening candles with custom pricing can only
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# trigger if the entry was at Open or lower.
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# details: https: // github.com/freqtrade/freqtrade/issues/6261
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# If open_rate is < open, only allow sells below the close on red candles.
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raise ValueError("Opening candle ROI on red candles.")
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else:
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if (
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trade_dur == 0
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# Red candle (for longs), TODO: green candle (for shorts)
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@ -424,9 +468,13 @@ class Backtesting:
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# details: https: // github.com/freqtrade/freqtrade/issues/6261
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# If open_rate is < open, only allow sells below the close on red candles.
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raise ValueError("Opening candle ROI on red candles.")
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# Use the maximum between close_rate and low as we
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# cannot sell outside of a candle.
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# Applies when a new ROI setting comes in place and the whole candle is above that.
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if is_short:
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return max(min(close_rate, sell_row[HIGH_IDX]), sell_row[LOW_IDX])
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else:
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return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
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else:
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@ -610,6 +658,9 @@ class Backtesting:
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proposed_rate=propose_rate, entry_tag=entry_tag) # default value is the open rate
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# We can't place orders higher than current high (otherwise it'd be a stop limit buy)
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# which freqtrade does not support in live.
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if direction == "short":
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propose_rate = max(propose_rate, row[LOW_IDX])
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else:
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propose_rate = min(propose_rate, row[HIGH_IDX])
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min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
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@ -700,13 +751,13 @@ class Backtesting:
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trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
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trade.set_isolated_liq(self.exchange.get_liquidation_price(
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pair=pair,
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open_rate=propose_rate,
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amount=amount,
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leverage=leverage,
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is_short=is_short,
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))
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# trade.set_isolated_liq(self.exchange.get_liquidation_price(
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# pair=pair,
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# open_rate=propose_rate,
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# amount=amount,
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# leverage=leverage,
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# is_short=is_short,
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# ))
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order = Order(
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id=self.order_id_counter,
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