Merge pull request #4543 from brookmiles/fix-math-custom-stoploss-docs

correct math used in examples and clarify some terminology regarding …

freqtrade/strategy/__init__.py

@@ -2,4 +2,4 @@
 from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date,
                                 timeframe_to_prev_date, timeframe_to_seconds)
 from freqtrade.strategy.interface import IStrategy
-from freqtrade.strategy.strategy_helper import merge_informative_pair
+from freqtrade.strategy.strategy_helper import merge_informative_pair, stoploss_from_open

freqtrade/strategy/strategy_helper.py

@@ -56,3 +56,30 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
         dataframe = dataframe.ffill()
 
     return dataframe
+
+
+def stoploss_from_open(open_relative_stop: float, current_profit: float) -> float:
+    """
+
+    Given the current profit, and a desired stop loss value relative to the open price,
+    return a stop loss value that is relative to the current price, and which can be
+    returned from `custom_stoploss`.
+
+    The requested stop can be positive for a stop above the open price, or negative for
+    a stop below the open price. The return value is always >= 0.
+
+    Returns 0 if the resulting stop price would be above the current price.
+
+    :param open_relative_stop: Desired stop loss percentage relative to open price
+    :param current_profit: The current profit percentage
+    :return: Positive stop loss value relative to current price
+    """
+
+    # formula is undefined for current_profit -1, return maximum value
+    if current_profit == -1:
+        return 1
+
+    stoploss = 1-((1+open_relative_stop)/(1+current_profit))
+
+    # negative stoploss values indicate the requested stop price is higher than the current price
+    return max(stoploss, 0.0)