From 271e4500d984145a07de6c6de58f267a8b0cb904 Mon Sep 17 00:00:00 2001 From: Gonzalo Matheu Date: Wed, 31 Mar 2021 18:08:53 -0300 Subject: [PATCH 001/241] telegram: Adding dynamic keyboard to /forcebuy response --- freqtrade/rpc/telegram.py | 11 +++++++++-- 1 file changed, 9 insertions(+), 2 deletions(-) diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index 92899d67f..d263cb605 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -626,6 +626,10 @@ class Telegram(RPCHandler): self._rpc._rpc_forcebuy(pair, price) except RPCException as e: self._send_msg(str(e)) + else: + whitelist = self._rpc._rpc_whitelist()['whitelist'] + pairs_keyboard: List[List[Union[str, KeyboardButton]]] = [[f'/forcebuy {pair}' for pair in whitelist]] + self._send_msg("Which pair?", keyboard=pairs_keyboard) @authorized_only def _trades(self, update: Update, context: CallbackContext) -> None: @@ -942,7 +946,8 @@ class Telegram(RPCHandler): ) def _send_msg(self, msg: str, parse_mode: str = ParseMode.MARKDOWN, - disable_notification: bool = False) -> None: + disable_notification: bool = False, + keyboard: List[List[Union[str, KeyboardButton]]] = None) -> None: """ Send given markdown message :param msg: message @@ -950,7 +955,9 @@ class Telegram(RPCHandler): :param parse_mode: telegram parse mode :return: None """ - reply_markup = ReplyKeyboardMarkup(self._keyboard, resize_keyboard=True) + if keyboard is None: + keyboard = self._keyboard + reply_markup = ReplyKeyboardMarkup(keyboard, resize_keyboard=True) try: try: self._updater.bot.send_message( From e2f28991e6e5f3b7d429a3d50ad63ba6dd7f47c5 Mon Sep 17 00:00:00 2001 From: Gonzalo Matheu Date: Wed, 31 Mar 2021 21:51:15 -0300 Subject: [PATCH 002/241] telegram: Wrapping long line --- freqtrade/rpc/telegram.py | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index d263cb605..ae308a1cf 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -628,7 +628,9 @@ class Telegram(RPCHandler): self._send_msg(str(e)) else: whitelist = self._rpc._rpc_whitelist()['whitelist'] - pairs_keyboard: List[List[Union[str, KeyboardButton]]] = [[f'/forcebuy {pair}' for pair in whitelist]] + pairs_keyboard: List[List[Union[str, KeyboardButton]]] = [ + [f'/forcebuy {pair}' for pair in whitelist] + ] self._send_msg("Which pair?", keyboard=pairs_keyboard) @authorized_only From 50bdae8eb200294136d03f0c287847aaf9b5386b Mon Sep 17 00:00:00 2001 From: Gonzalo Matheu Date: Sat, 10 Apr 2021 20:13:04 -0300 Subject: [PATCH 003/241] telegram: Adding forcebuy inline keyboard --- freqtrade/rpc/telegram.py | 62 +++++++++++++++++++++++++++------- tests/rpc/test_rpc_telegram.py | 28 +++++++++++++++ 2 files changed, 78 insertions(+), 12 deletions(-) diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index ae308a1cf..b24638e48 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -12,9 +12,9 @@ from typing import Any, Callable, Dict, List, Union import arrow from tabulate import tabulate -from telegram import KeyboardButton, ParseMode, ReplyKeyboardMarkup, Update +from telegram import KeyboardButton, ParseMode, ReplyKeyboardMarkup, Update, BotCommand, InlineKeyboardMarkup, InlineKeyboardButton from telegram.error import NetworkError, TelegramError -from telegram.ext import CallbackContext, CommandHandler, Updater +from telegram.ext import CallbackContext, CommandHandler, Updater, CallbackQueryHandler from telegram.utils.helpers import escape_markdown from freqtrade.__init__ import __version__ @@ -169,6 +169,11 @@ class Telegram(RPCHandler): [h.command for h in handles] ) + self._current_callback_query_handler = None + self._callback_query_handlers = { + 'forcebuy': CallbackQueryHandler(self._forcebuy_inline) + } + def cleanup(self) -> None: """ Stops all running telegram threads. @@ -610,6 +615,24 @@ class Telegram(RPCHandler): except RPCException as e: self._send_msg(str(e)) + def _forcebuy_action(self, pair, price = None): + try: + self._rpc._rpc_forcebuy(pair, price) + except RPCException as e: + self._send_msg(str(e)) + + def _forcebuy_inline(self, update: Update, _: CallbackContext) -> None: + query = update.callback_query + pair = query.data + query.answer() + query.edit_message_text(text=f"Force Buying: {pair}") + self._forcebuy_action(pair) + + @staticmethod + def _layout_inline_keyboard(buttons: List[InlineKeyboardButton], + cols=3) -> List[List[InlineKeyboardButton]]: + return [buttons[i:i + cols] for i in range(0, len(buttons), cols)] + @authorized_only def _forcebuy(self, update: Update, context: CallbackContext) -> None: """ @@ -622,16 +645,13 @@ class Telegram(RPCHandler): if context.args: pair = context.args[0] price = float(context.args[1]) if len(context.args) > 1 else None - try: - self._rpc._rpc_forcebuy(pair, price) - except RPCException as e: - self._send_msg(str(e)) + self._forcebuy_action(pair, price) else: whitelist = self._rpc._rpc_whitelist()['whitelist'] - pairs_keyboard: List[List[Union[str, KeyboardButton]]] = [ - [f'/forcebuy {pair}' for pair in whitelist] - ] - self._send_msg("Which pair?", keyboard=pairs_keyboard) + pairs = [InlineKeyboardButton(pair, callback_data=pair) for pair in whitelist] + self._send_inline_msg("Which pair?", + keyboard=self._layout_inline_keyboard(pairs), + callback_query_handler='forcebuy') @authorized_only def _trades(self, update: Update, context: CallbackContext) -> None: @@ -947,9 +967,27 @@ class Telegram(RPCHandler): f"*Current state:* `{val['state']}`" ) + def _send_inline_msg(self, msg: str, callback_query_handler, + parse_mode: str = ParseMode.MARKDOWN, disable_notification: bool = False, + keyboard: List[List[InlineKeyboardButton]] = None, ) -> None: + """ + Send given markdown message + :param msg: message + :param bot: alternative bot + :param parse_mode: telegram parse mode + :return: None + """ + if self._current_callback_query_handler: + self._updater.dispatcher.remove_handler(self._current_callback_query_handler) + self._current_callback_query_handler = self._callback_query_handlers[callback_query_handler] + self._updater.dispatcher.add_handler(self._current_callback_query_handler) + + self._send_msg(msg, parse_mode, disable_notification, keyboard, reply_markup=InlineKeyboardMarkup) + def _send_msg(self, msg: str, parse_mode: str = ParseMode.MARKDOWN, disable_notification: bool = False, - keyboard: List[List[Union[str, KeyboardButton]]] = None) -> None: + keyboard: List[List[Union[str, KeyboardButton]]] = None, + reply_markup=ReplyKeyboardMarkup) -> None: """ Send given markdown message :param msg: message @@ -959,7 +997,7 @@ class Telegram(RPCHandler): """ if keyboard is None: keyboard = self._keyboard - reply_markup = ReplyKeyboardMarkup(keyboard, resize_keyboard=True) + reply_markup = reply_markup(keyboard, resize_keyboard=True) try: try: self._updater.bot.send_message( diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index 27babb1b7..7fdbf77f7 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -6,6 +6,7 @@ import re from datetime import datetime from random import choice, randint from string import ascii_uppercase +from functools import reduce from unittest.mock import ANY, MagicMock import arrow @@ -53,6 +54,12 @@ class DummyCls(Telegram): """ raise Exception('test') +def get_telegram_testobject_with_inline(mocker, default_conf, mock=True, ftbot=None): + inline_msg_mock = MagicMock() + telegram, ftbot, msg_mock = get_telegram_testobject(mocker, default_conf) + mocker.patch('freqtrade.rpc.telegram.Telegram._send_inline_msg', inline_msg_mock) + + return telegram, ftbot, msg_mock, inline_msg_mock def get_telegram_testobject(mocker, default_conf, mock=True, ftbot=None): msg_mock = MagicMock() @@ -901,6 +908,27 @@ def test_forcebuy_handle_exception(default_conf, update, mocker) -> None: assert msg_mock.call_args_list[0][0][0] == 'Forcebuy not enabled.' +def test_forcebuy_no_pair(default_conf, update, mocker) -> None: + mocker.patch('freqtrade.rpc.rpc.CryptoToFiatConverter._find_price', return_value=15000.0) + + fbuy_mock = MagicMock(return_value=None) + mocker.patch('freqtrade.rpc.RPC._rpc_forcebuy', fbuy_mock) + + telegram, freqtradebot, _, inline_msg_mock = get_telegram_testobject_with_inline(mocker, default_conf) + patch_get_signal(freqtradebot, (True, False)) + + context = MagicMock() + context.args = [] + telegram._forcebuy(update=update, context=context) + + assert fbuy_mock.call_count == 0 + assert inline_msg_mock.call_count == 1 + assert inline_msg_mock.call_args_list[0][0][0] == 'Which pair?' + assert inline_msg_mock.call_args_list[0][1]['callback_query_handler'] == 'forcebuy' + keyboard = inline_msg_mock.call_args_list[0][1]['keyboard'] + assert reduce(lambda acc, x: acc + len(x), keyboard, 0) == 4 + + def test_performance_handle(default_conf, update, ticker, fee, limit_buy_order, limit_sell_order, mocker) -> None: From 5fae4ea2fdcc46f31117b7d64dd1b477e7b8ffe3 Mon Sep 17 00:00:00 2001 From: Gonzalo Matheu Date: Wed, 14 Apr 2021 17:52:47 -0300 Subject: [PATCH 004/241] telegram: Formatting code --- freqtrade/rpc/telegram.py | 12 ++++++++---- tests/rpc/test_rpc_telegram.py | 5 ++++- 2 files changed, 12 insertions(+), 5 deletions(-) diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index b24638e48..52cd7a5ed 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -12,7 +12,10 @@ from typing import Any, Callable, Dict, List, Union import arrow from tabulate import tabulate -from telegram import KeyboardButton, ParseMode, ReplyKeyboardMarkup, Update, BotCommand, InlineKeyboardMarkup, InlineKeyboardButton +from telegram import ( + KeyboardButton, ParseMode, ReplyKeyboardMarkup, + Update, InlineKeyboardMarkup, InlineKeyboardButton + ) from telegram.error import NetworkError, TelegramError from telegram.ext import CallbackContext, CommandHandler, Updater, CallbackQueryHandler from telegram.utils.helpers import escape_markdown @@ -615,7 +618,7 @@ class Telegram(RPCHandler): except RPCException as e: self._send_msg(str(e)) - def _forcebuy_action(self, pair, price = None): + def _forcebuy_action(self, pair, price=None): try: self._rpc._rpc_forcebuy(pair, price) except RPCException as e: @@ -969,7 +972,7 @@ class Telegram(RPCHandler): def _send_inline_msg(self, msg: str, callback_query_handler, parse_mode: str = ParseMode.MARKDOWN, disable_notification: bool = False, - keyboard: List[List[InlineKeyboardButton]] = None, ) -> None: + keyboard: List[List[InlineKeyboardButton]] = None, ) -> None: """ Send given markdown message :param msg: message @@ -982,7 +985,8 @@ class Telegram(RPCHandler): self._current_callback_query_handler = self._callback_query_handlers[callback_query_handler] self._updater.dispatcher.add_handler(self._current_callback_query_handler) - self._send_msg(msg, parse_mode, disable_notification, keyboard, reply_markup=InlineKeyboardMarkup) + self._send_msg(msg, parse_mode, disable_notification, keyboard, + reply_markup=InlineKeyboardMarkup) def _send_msg(self, msg: str, parse_mode: str = ParseMode.MARKDOWN, disable_notification: bool = False, diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index 7fdbf77f7..c80709ac1 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -54,6 +54,7 @@ class DummyCls(Telegram): """ raise Exception('test') + def get_telegram_testobject_with_inline(mocker, default_conf, mock=True, ftbot=None): inline_msg_mock = MagicMock() telegram, ftbot, msg_mock = get_telegram_testobject(mocker, default_conf) @@ -61,6 +62,7 @@ def get_telegram_testobject_with_inline(mocker, default_conf, mock=True, ftbot=N return telegram, ftbot, msg_mock, inline_msg_mock + def get_telegram_testobject(mocker, default_conf, mock=True, ftbot=None): msg_mock = MagicMock() if mock: @@ -914,7 +916,8 @@ def test_forcebuy_no_pair(default_conf, update, mocker) -> None: fbuy_mock = MagicMock(return_value=None) mocker.patch('freqtrade.rpc.RPC._rpc_forcebuy', fbuy_mock) - telegram, freqtradebot, _, inline_msg_mock = get_telegram_testobject_with_inline(mocker, default_conf) + telegram, freqtradebot, _, inline_msg_mock = get_telegram_testobject_with_inline(mocker, + default_conf) patch_get_signal(freqtradebot, (True, False)) context = MagicMock() From e3c5a4b3fc8b1e33eca8c3313d42889e20bf8b0b Mon Sep 17 00:00:00 2001 From: Gonzalo Matheu Date: Wed, 14 Apr 2021 18:20:10 -0300 Subject: [PATCH 005/241] telegram: Formatting imports --- freqtrade/rpc/telegram.py | 8 +++----- tests/rpc/test_rpc_telegram.py | 2 +- 2 files changed, 4 insertions(+), 6 deletions(-) diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index 52cd7a5ed..8a25fc61f 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -12,12 +12,10 @@ from typing import Any, Callable, Dict, List, Union import arrow from tabulate import tabulate -from telegram import ( - KeyboardButton, ParseMode, ReplyKeyboardMarkup, - Update, InlineKeyboardMarkup, InlineKeyboardButton - ) +from telegram import (InlineKeyboardButton, InlineKeyboardMarkup, KeyboardButton, ParseMode, + ReplyKeyboardMarkup, Update) from telegram.error import NetworkError, TelegramError -from telegram.ext import CallbackContext, CommandHandler, Updater, CallbackQueryHandler +from telegram.ext import CallbackContext, CallbackQueryHandler, CommandHandler, Updater from telegram.utils.helpers import escape_markdown from freqtrade.__init__ import __version__ diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index c80709ac1..a3147f956 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -4,9 +4,9 @@ import re from datetime import datetime +from functools import reduce from random import choice, randint from string import ascii_uppercase -from functools import reduce from unittest.mock import ANY, MagicMock import arrow From 7a98de10ea6cea4c13e74fc3c1cc9ae36817cf6c Mon Sep 17 00:00:00 2001 From: Gonzalo Matheu Date: Thu, 15 Apr 2021 09:31:20 -0300 Subject: [PATCH 006/241] telegram: Formatting typings --- freqtrade/rpc/telegram.py | 22 ++++++++++++---------- 1 file changed, 12 insertions(+), 10 deletions(-) diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index 8a25fc61f..0d978cc6e 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -8,7 +8,7 @@ import logging from datetime import timedelta from html import escape from itertools import chain -from typing import Any, Callable, Dict, List, Union +from typing import Any, Callable, Dict, List, Optional, Union, cast import arrow from tabulate import tabulate @@ -88,7 +88,7 @@ class Telegram(RPCHandler): Validates the keyboard configuration from telegram config section. """ - self._keyboard: List[List[Union[str, KeyboardButton]]] = [ + self._keyboard: List[List[Union[str, KeyboardButton, InlineKeyboardButton]]] = [ ['/daily', '/profit', '/balance'], ['/status', '/status table', '/performance'], ['/count', '/start', '/stop', '/help'] @@ -170,7 +170,7 @@ class Telegram(RPCHandler): [h.command for h in handles] ) - self._current_callback_query_handler = None + self._current_callback_query_handler: Optional[CallbackQueryHandler] = None self._callback_query_handlers = { 'forcebuy': CallbackQueryHandler(self._forcebuy_inline) } @@ -623,11 +623,12 @@ class Telegram(RPCHandler): self._send_msg(str(e)) def _forcebuy_inline(self, update: Update, _: CallbackContext) -> None: - query = update.callback_query - pair = query.data - query.answer() - query.edit_message_text(text=f"Force Buying: {pair}") - self._forcebuy_action(pair) + if update.callback_query: + query = update.callback_query + pair = query.data + query.answer() + query.edit_message_text(text=f"Force Buying: {pair}") + self._forcebuy_action(pair) @staticmethod def _layout_inline_keyboard(buttons: List[InlineKeyboardButton], @@ -983,12 +984,13 @@ class Telegram(RPCHandler): self._current_callback_query_handler = self._callback_query_handlers[callback_query_handler] self._updater.dispatcher.add_handler(self._current_callback_query_handler) - self._send_msg(msg, parse_mode, disable_notification, keyboard, + self._send_msg(msg, parse_mode, disable_notification, + cast(List[List[Union[str, KeyboardButton, InlineKeyboardButton]]], keyboard), reply_markup=InlineKeyboardMarkup) def _send_msg(self, msg: str, parse_mode: str = ParseMode.MARKDOWN, disable_notification: bool = False, - keyboard: List[List[Union[str, KeyboardButton]]] = None, + keyboard: List[List[Union[str, KeyboardButton, InlineKeyboardButton]]] = None, reply_markup=ReplyKeyboardMarkup) -> None: """ Send given markdown message From b69a9134f59f3eed093dc0fad8c5b7191cdcb888 Mon Sep 17 00:00:00 2001 From: saeedrss Date: Fri, 23 Apr 2021 21:27:13 +0430 Subject: [PATCH 007/241] fixing support for HitBTC #4778 hitbtc by default send candle from beginning (not most recently) this change fixed --- freqtrade/exchange/exchange.py | 11 +++++++++-- 1 file changed, 9 insertions(+), 2 deletions(-) diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index ed7918b36..809cdb4e1 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -874,8 +874,15 @@ class Exchange: "Fetching pair %s, interval %s, since %s %s...", pair, timeframe, since_ms, s ) - - data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe, + #fixing support for HitBTC #4778 + if self.name== 'HitBTC': + data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe, + since=since_ms, + limit=self.ohlcv_candle_limit(timeframe), + params={"sort": "DESC"} + ) + else: + data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe, since=since_ms, limit=self.ohlcv_candle_limit(timeframe)) From 0fd68aee51ad010a7155aba0ff0caee8f62d57ef Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 17 Apr 2021 10:49:09 +0300 Subject: [PATCH 008/241] Add IStrategy.custom_sell method which allows per-trade sell signal evaluation. --- freqtrade/strategy/interface.py | 28 ++++++++++++++++++++++++++-- 1 file changed, 26 insertions(+), 2 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 54c7f2353..b0710e833 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -285,6 +285,27 @@ class IStrategy(ABC, HyperStrategyMixin): """ return self.stoploss + def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, + current_profit: float, **kwargs) -> bool: + """ + Custom sell signal logic indicating that specified position should be sold. Returning True + from this method is equal to setting sell signal on a candle at specified time. + This method is not called when sell signal is set. + + This method should be overridden to create sell signals that depend on trade parameters. For + example you could implement a stoploss relative to candle when trade was opened, or a custom + 1:2 risk-reward ROI. + + :param pair: Pair that's currently analyzed + :param trade: trade object. + :param current_time: datetime object, containing the current datetime + :param current_rate: Rate, calculated based on pricing settings in ask_strategy. + :param current_profit: Current profit (as ratio), calculated based on current_rate. + :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. + :return bool: Whether trade should exit now. + """ + return False + def informative_pairs(self) -> ListPairsWithTimeframes: """ Define additional, informative pair/interval combinations to be cached from the exchange. @@ -535,9 +556,12 @@ class IStrategy(ABC, HyperStrategyMixin): and current_profit <= ask_strategy.get('sell_profit_offset', 0)): # sell_profit_only and profit doesn't reach the offset - ignore sell signal sell_signal = False - else: - sell_signal = sell and not buy and ask_strategy.get('use_sell_signal', True) + elif ask_strategy.get('use_sell_signal', True): + sell = sell or self.custom_sell(trade.pair, trade, date, current_rate, current_profit) + sell_signal = sell and not buy # TODO: return here if sell-signal should be favored over ROI + else: + sell_signal = False # Start evaluations # Sequence: From 1292e08fe47ab5ae8455c24f70612708988bd46c Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 17 Apr 2021 11:26:03 +0300 Subject: [PATCH 009/241] Use strategy_safe_wrapper() when calling custom_sell(). --- freqtrade/strategy/interface.py | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index b0710e833..1a007da15 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -557,7 +557,8 @@ class IStrategy(ABC, HyperStrategyMixin): # sell_profit_only and profit doesn't reach the offset - ignore sell signal sell_signal = False elif ask_strategy.get('use_sell_signal', True): - sell = sell or self.custom_sell(trade.pair, trade, date, current_rate, current_profit) + sell = sell or strategy_safe_wrapper(self.custom_sell, default_retval=False)( + trade.pair, trade, date, current_rate, current_profit) sell_signal = sell and not buy # TODO: return here if sell-signal should be favored over ROI else: From a77337e4241245a8cb77f2c5cf47fe71f3bd5104 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Tue, 20 Apr 2021 10:37:45 +0300 Subject: [PATCH 010/241] Document IStrategy.custom_sell. --- docs/strategy-advanced.md | 14 ++++++++++++++ 1 file changed, 14 insertions(+) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 96c927965..758d08fca 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -69,6 +69,20 @@ class AwesomeStrategy(IStrategy): See `custom_stoploss` examples below on how to access the saved dataframe columns +## Custom sell signal + +It is possible to define custom sell signals. This is very useful when we need to customize sell conditions for each individual trade. + +An example of how we can sell trades that were open longer than 1 day: + +``` python +class AwesomeStrategy(IStrategy): + def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, + current_profit: float, **kwargs) -> bool: + time_delta = datetime.datetime.utcnow() - trade.open_date_utc + return time_delta.days >= 1 +``` + ## Custom stoploss The stoploss price can only ever move upwards - if the stoploss value returned from `custom_stoploss` would result in a lower stoploss price than was previously set, it will be ignored. The traditional `stoploss` value serves as an absolute lower level and will be instated as the initial stoploss. From 1aad128d85dd2e9962631a1ffd8d5a3fd0dacbd1 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Tue, 20 Apr 2021 11:17:00 +0300 Subject: [PATCH 011/241] Support returning a string from custom_sell() and have it recorded as custom sell reason. --- freqtrade/freqtradebot.py | 11 ++++--- freqtrade/optimize/backtesting.py | 2 +- freqtrade/strategy/interface.py | 50 ++++++++++++++++++++----------- 3 files changed, 41 insertions(+), 22 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index ceb822472..9cce8c105 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -961,7 +961,7 @@ class FreqtradeBot(LoggingMixin): if should_sell.sell_flag: logger.info(f'Executing Sell for {trade.pair}. Reason: {should_sell.sell_type}') - self.execute_sell(trade, sell_rate, should_sell.sell_type) + self.execute_sell(trade, sell_rate, should_sell.sell_type, should_sell.sell_reason) return True return False @@ -1150,12 +1150,15 @@ class FreqtradeBot(LoggingMixin): raise DependencyException( f"Not enough amount to sell. Trade-amount: {amount}, Wallet: {wallet_amount}") - def execute_sell(self, trade: Trade, limit: float, sell_reason: SellType) -> bool: + def execute_sell(self, trade: Trade, limit: float, sell_reason: SellType, + custom_reason: Optional[str] = None) -> bool: """ Executes a limit sell for the given trade and limit :param trade: Trade instance :param limit: limit rate for the sell order - :param sellreason: Reason the sell was triggered + :param sell_reason: Reason the sell was triggered + :param custom_reason: A custom sell reason. Provided only if + sell_reason == SellType.CUSTOM_SELL, :return: True if it succeeds (supported) False (not supported) """ sell_type = 'sell' @@ -1213,7 +1216,7 @@ class FreqtradeBot(LoggingMixin): trade.open_order_id = order['id'] trade.sell_order_status = '' trade.close_rate_requested = limit - trade.sell_reason = sell_reason.value + trade.sell_reason = custom_reason or sell_reason.value # In case of market sell orders the order can be closed immediately if order.get('status', 'unknown') == 'closed': self.update_trade_state(trade, trade.open_order_id, order) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index fb9826a23..57ac70cc1 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -255,7 +255,7 @@ class Backtesting: if sell.sell_flag: trade.close_date = sell_row[DATE_IDX] - trade.sell_reason = sell.sell_type.value + trade.sell_reason = sell.sell_reason or sell.sell_type.value trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60) closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 1a007da15..74e92f389 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -7,7 +7,7 @@ import warnings from abc import ABC, abstractmethod from datetime import datetime, timedelta, timezone from enum import Enum -from typing import Dict, List, NamedTuple, Optional, Tuple +from typing import Dict, List, NamedTuple, Optional, Tuple, Union import arrow from pandas import DataFrame @@ -24,6 +24,7 @@ from freqtrade.wallets import Wallets logger = logging.getLogger(__name__) +CUSTOM_SELL_MAX_LENGTH = 64 class SignalType(Enum): @@ -45,6 +46,7 @@ class SellType(Enum): SELL_SIGNAL = "sell_signal" FORCE_SELL = "force_sell" EMERGENCY_SELL = "emergency_sell" + CUSTOM_SELL = "custom_sell" NONE = "" def __str__(self): @@ -58,6 +60,7 @@ class SellCheckTuple(NamedTuple): """ sell_flag: bool sell_type: SellType + sell_reason: Optional[str] = None class IStrategy(ABC, HyperStrategyMixin): @@ -286,25 +289,28 @@ class IStrategy(ABC, HyperStrategyMixin): return self.stoploss def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, **kwargs) -> bool: + current_profit: float, **kwargs) -> Optional[Union[str, bool]]: """ - Custom sell signal logic indicating that specified position should be sold. Returning True - from this method is equal to setting sell signal on a candle at specified time. - This method is not called when sell signal is set. + Custom sell signal logic indicating that specified position should be sold. Returning a + string or True from this method is equal to setting sell signal on a candle at specified + time. This method is not called when sell signal is set. This method should be overridden to create sell signals that depend on trade parameters. For example you could implement a stoploss relative to candle when trade was opened, or a custom 1:2 risk-reward ROI. + Custom sell reason max length is 64. Exceeding this limit will raise OperationalException. + :param pair: Pair that's currently analyzed :param trade: trade object. :param current_time: datetime object, containing the current datetime :param current_rate: Rate, calculated based on pricing settings in ask_strategy. :param current_profit: Current profit (as ratio), calculated based on current_rate. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. - :return bool: Whether trade should exit now. + :return: To execute sell, return a string with custom sell reason or True. Otherwise return + None or False. """ - return False + return None def informative_pairs(self) -> ListPairsWithTimeframes: """ @@ -552,17 +558,27 @@ class IStrategy(ABC, HyperStrategyMixin): and self.min_roi_reached(trade=trade, current_profit=current_profit, current_time=date)) + sell_signal = SellType.NONE + custom_reason = None if (ask_strategy.get('sell_profit_only', False) and current_profit <= ask_strategy.get('sell_profit_offset', 0)): # sell_profit_only and profit doesn't reach the offset - ignore sell signal - sell_signal = False - elif ask_strategy.get('use_sell_signal', True): - sell = sell or strategy_safe_wrapper(self.custom_sell, default_retval=False)( - trade.pair, trade, date, current_rate, current_profit) - sell_signal = sell and not buy + pass + elif ask_strategy.get('use_sell_signal', True) and not buy: + if sell: + sell_signal = SellType.SELL_SIGNAL + else: + custom_reason = strategy_safe_wrapper(self.custom_sell, default_retval=False)( + trade.pair, trade, date, current_rate, current_profit) + if custom_reason: + sell_signal = SellType.CUSTOM_SELL + if isinstance(custom_reason, bool): + custom_reason = None + elif isinstance(custom_reason, str): + if len(custom_reason) > CUSTOM_SELL_MAX_LENGTH: + raise OperationalException('Custom sell reason returned ' + 'from custom_sell is too long.') # TODO: return here if sell-signal should be favored over ROI - else: - sell_signal = False # Start evaluations # Sequence: @@ -574,10 +590,10 @@ class IStrategy(ABC, HyperStrategyMixin): f"sell_type=SellType.ROI") return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI) - if sell_signal: + if sell_signal != SellType.NONE: logger.debug(f"{trade.pair} - Sell signal received. sell_flag=True, " - f"sell_type=SellType.SELL_SIGNAL") - return SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL) + f"sell_type={sell_signal}, custom_reason={custom_reason}") + return SellCheckTuple(sell_flag=True, sell_type=sell_signal, sell_reason=custom_reason) if stoplossflag.sell_flag: From a90e7956958c6bcb63101f65c91d442ceaf10c83 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Wed, 21 Apr 2021 09:37:16 +0300 Subject: [PATCH 012/241] Warn and trim custom sell reason if it is too long. --- freqtrade/strategy/interface.py | 12 +++++++----- 1 file changed, 7 insertions(+), 5 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 74e92f389..435ac3ed3 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -572,12 +572,14 @@ class IStrategy(ABC, HyperStrategyMixin): trade.pair, trade, date, current_rate, current_profit) if custom_reason: sell_signal = SellType.CUSTOM_SELL - if isinstance(custom_reason, bool): - custom_reason = None - elif isinstance(custom_reason, str): + if isinstance(custom_reason, str): if len(custom_reason) > CUSTOM_SELL_MAX_LENGTH: - raise OperationalException('Custom sell reason returned ' - 'from custom_sell is too long.') + logger.warning(f'Custom sell reason returned from custom_sell is too ' + f'long and was trimmed to {CUSTOM_SELL_MAX_LENGTH} ' + f'characters.') + custom_reason = custom_reason[:CUSTOM_SELL_MAX_LENGTH] + else: + custom_reason = None # TODO: return here if sell-signal should be favored over ROI # Start evaluations From bfad4e82adf1c6413835a8e1e27b8d49f5ae4c5d Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Wed, 21 Apr 2021 10:11:54 +0300 Subject: [PATCH 013/241] Make execute_sell() use SellCheckTuple for sell reason. --- freqtrade/freqtradebot.py | 20 ++++++++++---------- freqtrade/rpc/rpc.py | 5 +++-- freqtrade/strategy/interface.py | 16 +++++++++++----- tests/test_freqtradebot.py | 22 +++++++++++++--------- 4 files changed, 37 insertions(+), 26 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 9cce8c105..7888e64bc 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -28,7 +28,7 @@ from freqtrade.plugins.protectionmanager import ProtectionManager from freqtrade.resolvers import ExchangeResolver, StrategyResolver from freqtrade.rpc import RPCManager, RPCMessageType from freqtrade.state import State -from freqtrade.strategy.interface import IStrategy, SellType +from freqtrade.strategy.interface import IStrategy, SellCheckTuple, SellType from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper from freqtrade.wallets import Wallets @@ -850,7 +850,8 @@ class FreqtradeBot(LoggingMixin): trade.stoploss_order_id = None logger.error(f'Unable to place a stoploss order on exchange. {e}') logger.warning('Selling the trade forcefully') - self.execute_sell(trade, trade.stop_loss, sell_reason=SellType.EMERGENCY_SELL) + self.execute_sell(trade, trade.stop_loss, sell_reason=SellCheckTuple( + sell_flag=True, sell_type=SellType.EMERGENCY_SELL)) except ExchangeError: trade.stoploss_order_id = None @@ -961,7 +962,7 @@ class FreqtradeBot(LoggingMixin): if should_sell.sell_flag: logger.info(f'Executing Sell for {trade.pair}. Reason: {should_sell.sell_type}') - self.execute_sell(trade, sell_rate, should_sell.sell_type, should_sell.sell_reason) + self.execute_sell(trade, sell_rate, should_sell) return True return False @@ -1150,8 +1151,7 @@ class FreqtradeBot(LoggingMixin): raise DependencyException( f"Not enough amount to sell. Trade-amount: {amount}, Wallet: {wallet_amount}") - def execute_sell(self, trade: Trade, limit: float, sell_reason: SellType, - custom_reason: Optional[str] = None) -> bool: + def execute_sell(self, trade: Trade, limit: float, sell_reason: SellCheckTuple) -> bool: """ Executes a limit sell for the given trade and limit :param trade: Trade instance @@ -1162,7 +1162,7 @@ class FreqtradeBot(LoggingMixin): :return: True if it succeeds (supported) False (not supported) """ sell_type = 'sell' - if sell_reason in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS): + if sell_reason.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS): sell_type = 'stoploss' # if stoploss is on exchange and we are on dry_run mode, @@ -1179,10 +1179,10 @@ class FreqtradeBot(LoggingMixin): logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}") order_type = self.strategy.order_types[sell_type] - if sell_reason == SellType.EMERGENCY_SELL: + if sell_reason.sell_type == SellType.EMERGENCY_SELL: # Emergency sells (default to market!) order_type = self.strategy.order_types.get("emergencysell", "market") - if sell_reason == SellType.FORCE_SELL: + if sell_reason.sell_type == SellType.FORCE_SELL: # Force sells (default to the sell_type defined in the strategy, # but we allow this value to be changed) order_type = self.strategy.order_types.get("forcesell", order_type) @@ -1193,7 +1193,7 @@ class FreqtradeBot(LoggingMixin): if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)( pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit, time_in_force=time_in_force, - sell_reason=sell_reason.value): + sell_reason=sell_reason.sell_type.value): logger.info(f"User requested abortion of selling {trade.pair}") return False @@ -1216,7 +1216,7 @@ class FreqtradeBot(LoggingMixin): trade.open_order_id = order['id'] trade.sell_order_status = '' trade.close_rate_requested = limit - trade.sell_reason = custom_reason or sell_reason.value + trade.sell_reason = sell_reason.sell_reason # In case of market sell orders the order can be closed immediately if order.get('status', 'unknown') == 'closed': self.update_trade_state(trade, trade.open_order_id, order) diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py index 4a8907582..957f31b63 100644 --- a/freqtrade/rpc/rpc.py +++ b/freqtrade/rpc/rpc.py @@ -24,7 +24,7 @@ from freqtrade.persistence.models import PairLock from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist from freqtrade.rpc.fiat_convert import CryptoToFiatConverter from freqtrade.state import State -from freqtrade.strategy.interface import SellType +from freqtrade.strategy.interface import SellCheckTuple, SellType logger = logging.getLogger(__name__) @@ -554,7 +554,8 @@ class RPC: if not fully_canceled: # Get current rate and execute sell current_rate = self._freqtrade.get_sell_rate(trade.pair, False) - self._freqtrade.execute_sell(trade, current_rate, SellType.FORCE_SELL) + sell_reason = SellCheckTuple(sell_flag=True, sell_type=SellType.FORCE_SELL) + self._freqtrade.execute_sell(trade, current_rate, sell_reason) # ---- EOF def _exec_forcesell ---- if self._freqtrade.state != State.RUNNING: diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 435ac3ed3..c73574729 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -7,7 +7,7 @@ import warnings from abc import ABC, abstractmethod from datetime import datetime, timedelta, timezone from enum import Enum -from typing import Dict, List, NamedTuple, Optional, Tuple, Union +from typing import Dict, List, Optional, Tuple, Union import arrow from pandas import DataFrame @@ -54,13 +54,18 @@ class SellType(Enum): return self.value -class SellCheckTuple(NamedTuple): +class SellCheckTuple(object): """ NamedTuple for Sell type + reason """ - sell_flag: bool + sell_flag: bool # TODO: Remove? sell_type: SellType - sell_reason: Optional[str] = None + sell_reason: Optional[str] + + def __init__(self, sell_flag: bool, sell_type: SellType, sell_reason: Optional[str] = None): + self.sell_flag = sell_flag + self.sell_type = sell_type + self.sell_reason = sell_reason or sell_type.value class IStrategy(ABC, HyperStrategyMixin): @@ -594,7 +599,8 @@ class IStrategy(ABC, HyperStrategyMixin): if sell_signal != SellType.NONE: logger.debug(f"{trade.pair} - Sell signal received. sell_flag=True, " - f"sell_type={sell_signal}, custom_reason={custom_reason}") + f"sell_type=SellType.{sell_signal.name}" + + (f", custom_reason={custom_reason}" if custom_reason else "")) return SellCheckTuple(sell_flag=True, sell_type=sell_signal, sell_reason=custom_reason) if stoplossflag.sell_flag: diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index ad000515e..aecff95ee 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -2606,14 +2606,16 @@ def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> N fetch_ticker=ticker_sell_up ) # Prevented sell ... - freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], sell_reason=SellType.ROI) + freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)) assert rpc_mock.call_count == 0 assert freqtrade.strategy.confirm_trade_exit.call_count == 1 # Repatch with true freqtrade.strategy.confirm_trade_exit = MagicMock(return_value=True) - freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], sell_reason=SellType.ROI) + freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)) assert freqtrade.strategy.confirm_trade_exit.call_count == 1 assert rpc_mock.call_count == 1 @@ -2665,7 +2667,7 @@ def test_execute_sell_down(default_conf, ticker, fee, ticker_sell_down, mocker) ) freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellType.STOP_LOSS) + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) assert rpc_mock.call_count == 2 last_msg = rpc_mock.call_args_list[-1][0][0] @@ -2722,7 +2724,7 @@ def test_execute_sell_down_stoploss_on_exchange_dry_run(default_conf, ticker, fe trade.stop_loss = 0.00001099 * 0.99 freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellType.STOP_LOSS) + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) assert rpc_mock.call_count == 2 last_msg = rpc_mock.call_args_list[-1][0][0] @@ -2774,7 +2776,7 @@ def test_execute_sell_sloe_cancel_exception(mocker, default_conf, ticker, fee, c trade.stoploss_order_id = "abcd" freqtrade.execute_sell(trade=trade, limit=1234, - sell_reason=SellType.STOP_LOSS) + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) assert sellmock.call_count == 1 assert log_has('Could not cancel stoploss order abcd', caplog) @@ -2824,7 +2826,7 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke ) freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellType.SELL_SIGNAL) + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) trade = Trade.query.first() assert trade @@ -2929,7 +2931,8 @@ def test_execute_sell_market_order(default_conf, ticker, fee, ) freqtrade.config['order_types']['sell'] = 'market' - freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], sell_reason=SellType.ROI) + freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)) assert not trade.is_open assert trade.close_profit == 0.0620716 @@ -2983,8 +2986,9 @@ def test_execute_sell_insufficient_funds_error(default_conf, ticker, fee, fetch_ticker=ticker_sell_up ) + sell_reason = SellCheckTuple(sell_flag=True, sell_type=SellType.ROI) assert not freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellType.ROI) + sell_reason=sell_reason) assert mock_insuf.call_count == 1 @@ -3226,7 +3230,7 @@ def test_locked_pairs(default_conf, ticker, fee, ticker_sell_down, mocker, caplo ) freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellType.STOP_LOSS) + sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) trade.close(ticker_sell_down()['bid']) assert freqtrade.strategy.is_pair_locked(trade.pair) From 961b38636fa2ae7c8f4c9a97e5b90c83ff97c232 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Thu, 22 Apr 2021 09:21:19 +0300 Subject: [PATCH 014/241] Remove explicit sell_flag parameter from SellCheckTuple. --- freqtrade/freqtradebot.py | 2 +- freqtrade/rpc/rpc.py | 2 +- freqtrade/strategy/interface.py | 26 ++++++++++++++------------ tests/test_freqtradebot.py | 24 ++++++++++++------------ tests/test_integration.py | 14 +++++++------- 5 files changed, 35 insertions(+), 33 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 7888e64bc..08c69bb53 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -851,7 +851,7 @@ class FreqtradeBot(LoggingMixin): logger.error(f'Unable to place a stoploss order on exchange. {e}') logger.warning('Selling the trade forcefully') self.execute_sell(trade, trade.stop_loss, sell_reason=SellCheckTuple( - sell_flag=True, sell_type=SellType.EMERGENCY_SELL)) + sell_type=SellType.EMERGENCY_SELL)) except ExchangeError: trade.stoploss_order_id = None diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py index 957f31b63..fd97ad7d4 100644 --- a/freqtrade/rpc/rpc.py +++ b/freqtrade/rpc/rpc.py @@ -554,7 +554,7 @@ class RPC: if not fully_canceled: # Get current rate and execute sell current_rate = self._freqtrade.get_sell_rate(trade.pair, False) - sell_reason = SellCheckTuple(sell_flag=True, sell_type=SellType.FORCE_SELL) + sell_reason = SellCheckTuple(sell_type=SellType.FORCE_SELL) self._freqtrade.execute_sell(trade, current_rate, sell_reason) # ---- EOF def _exec_forcesell ---- diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index c73574729..bc8b3e59f 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -58,15 +58,17 @@ class SellCheckTuple(object): """ NamedTuple for Sell type + reason """ - sell_flag: bool # TODO: Remove? sell_type: SellType sell_reason: Optional[str] - def __init__(self, sell_flag: bool, sell_type: SellType, sell_reason: Optional[str] = None): - self.sell_flag = sell_flag + def __init__(self, sell_type: SellType, sell_reason: Optional[str] = None): self.sell_type = sell_type self.sell_reason = sell_reason or sell_type.value + @property + def sell_flag(self): + return self.sell_type != SellType.NONE + class IStrategy(ABC, HyperStrategyMixin): """ @@ -593,25 +595,25 @@ class IStrategy(ABC, HyperStrategyMixin): # Sell-signal # Stoploss if roi_reached and stoplossflag.sell_type != SellType.STOP_LOSS: - logger.debug(f"{trade.pair} - Required profit reached. sell_flag=True, " + logger.debug(f"{trade.pair} - Required profit reached. " f"sell_type=SellType.ROI") - return SellCheckTuple(sell_flag=True, sell_type=SellType.ROI) + return SellCheckTuple(sell_type=SellType.ROI) if sell_signal != SellType.NONE: - logger.debug(f"{trade.pair} - Sell signal received. sell_flag=True, " + logger.debug(f"{trade.pair} - Sell signal received. " f"sell_type=SellType.{sell_signal.name}" + (f", custom_reason={custom_reason}" if custom_reason else "")) - return SellCheckTuple(sell_flag=True, sell_type=sell_signal, sell_reason=custom_reason) + return SellCheckTuple(sell_type=sell_signal, sell_reason=custom_reason) if stoplossflag.sell_flag: - logger.debug(f"{trade.pair} - Stoploss hit. sell_flag=True, " + logger.debug(f"{trade.pair} - Stoploss hit. " f"sell_type={stoplossflag.sell_type}") return stoplossflag # This one is noisy, commented out... - # logger.debug(f"{trade.pair} - No sell signal. sell_flag=False") - return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE) + # logger.debug(f"{trade.pair} - No sell signal.") + return SellCheckTuple(sell_type=SellType.NONE) def stop_loss_reached(self, current_rate: float, trade: Trade, current_time: datetime, current_profit: float, @@ -675,9 +677,9 @@ class IStrategy(ABC, HyperStrategyMixin): logger.debug(f"{trade.pair} - Trailing stop saved " f"{trade.stop_loss - trade.initial_stop_loss:.6f}") - return SellCheckTuple(sell_flag=True, sell_type=sell_type) + return SellCheckTuple(sell_type=sell_type) - return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE) + return SellCheckTuple(sell_type=SellType.NONE) def min_roi_reached_entry(self, trade_dur: int) -> Tuple[Optional[int], Optional[float]]: """ diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py index aecff95ee..7a2f6a1ed 100644 --- a/tests/test_freqtradebot.py +++ b/tests/test_freqtradebot.py @@ -1973,7 +1973,7 @@ def test_handle_trade_roi(default_conf, ticker, limit_buy_order_open, # if ROI is reached we must sell patch_get_signal(freqtrade, value=(False, True)) assert freqtrade.handle_trade(trade) - assert log_has("ETH/BTC - Required profit reached. sell_flag=True, sell_type=SellType.ROI", + assert log_has("ETH/BTC - Required profit reached. sell_type=SellType.ROI", caplog) @@ -2002,7 +2002,7 @@ def test_handle_trade_use_sell_signal( patch_get_signal(freqtrade, value=(False, True)) assert freqtrade.handle_trade(trade) - assert log_has("ETH/BTC - Sell signal received. sell_flag=True, sell_type=SellType.SELL_SIGNAL", + assert log_has("ETH/BTC - Sell signal received. sell_type=SellType.SELL_SIGNAL", caplog) @@ -2607,7 +2607,7 @@ def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> N ) # Prevented sell ... freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)) + sell_reason=SellCheckTuple(sell_type=SellType.ROI)) assert rpc_mock.call_count == 0 assert freqtrade.strategy.confirm_trade_exit.call_count == 1 @@ -2615,7 +2615,7 @@ def test_execute_sell_up(default_conf, ticker, fee, ticker_sell_up, mocker) -> N freqtrade.strategy.confirm_trade_exit = MagicMock(return_value=True) freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)) + sell_reason=SellCheckTuple(sell_type=SellType.ROI)) assert freqtrade.strategy.confirm_trade_exit.call_count == 1 assert rpc_mock.call_count == 1 @@ -2667,7 +2667,7 @@ def test_execute_sell_down(default_conf, ticker, fee, ticker_sell_down, mocker) ) freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) assert rpc_mock.call_count == 2 last_msg = rpc_mock.call_args_list[-1][0][0] @@ -2724,7 +2724,7 @@ def test_execute_sell_down_stoploss_on_exchange_dry_run(default_conf, ticker, fe trade.stop_loss = 0.00001099 * 0.99 freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) assert rpc_mock.call_count == 2 last_msg = rpc_mock.call_args_list[-1][0][0] @@ -2776,7 +2776,7 @@ def test_execute_sell_sloe_cancel_exception(mocker, default_conf, ticker, fee, c trade.stoploss_order_id = "abcd" freqtrade.execute_sell(trade=trade, limit=1234, - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) assert sellmock.call_count == 1 assert log_has('Could not cancel stoploss order abcd', caplog) @@ -2826,7 +2826,7 @@ def test_execute_sell_with_stoploss_on_exchange(default_conf, ticker, fee, ticke ) freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) trade = Trade.query.first() assert trade @@ -2932,7 +2932,7 @@ def test_execute_sell_market_order(default_conf, ticker, fee, freqtrade.config['order_types']['sell'] = 'market' freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.ROI)) + sell_reason=SellCheckTuple(sell_type=SellType.ROI)) assert not trade.is_open assert trade.close_profit == 0.0620716 @@ -2986,7 +2986,7 @@ def test_execute_sell_insufficient_funds_error(default_conf, ticker, fee, fetch_ticker=ticker_sell_up ) - sell_reason = SellCheckTuple(sell_flag=True, sell_type=SellType.ROI) + sell_reason = SellCheckTuple(sell_type=SellType.ROI) assert not freqtrade.execute_sell(trade=trade, limit=ticker_sell_up()['bid'], sell_reason=sell_reason) assert mock_insuf.call_count == 1 @@ -3081,7 +3081,7 @@ def test_sell_profit_only_enable_loss(default_conf, limit_buy_order, limit_buy_o freqtrade = FreqtradeBot(default_conf) patch_get_signal(freqtrade) freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple( - sell_flag=False, sell_type=SellType.NONE)) + sell_type=SellType.NONE)) freqtrade.enter_positions() trade = Trade.query.first() @@ -3230,7 +3230,7 @@ def test_locked_pairs(default_conf, ticker, fee, ticker_sell_down, mocker, caplo ) freqtrade.execute_sell(trade=trade, limit=ticker_sell_down()['bid'], - sell_reason=SellCheckTuple(sell_flag=True, sell_type=SellType.STOP_LOSS)) + sell_reason=SellCheckTuple(sell_type=SellType.STOP_LOSS)) trade.close(ticker_sell_down()['bid']) assert freqtrade.strategy.is_pair_locked(trade.pair) diff --git a/tests/test_integration.py b/tests/test_integration.py index be0dd1137..217910961 100644 --- a/tests/test_integration.py +++ b/tests/test_integration.py @@ -51,8 +51,8 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, ticker, fee, side_effect=[stoploss_order_closed, stoploss_order_open, stoploss_order_open]) # Sell 3rd trade (not called for the first trade) should_sell_mock = MagicMock(side_effect=[ - SellCheckTuple(sell_flag=False, sell_type=SellType.NONE), - SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL)] + SellCheckTuple(sell_type=SellType.NONE), + SellCheckTuple(sell_type=SellType.SELL_SIGNAL)] ) cancel_order_mock = MagicMock() mocker.patch('freqtrade.exchange.Binance.stoploss', stoploss) @@ -156,11 +156,11 @@ def test_forcebuy_last_unlimited(default_conf, ticker, fee, limit_buy_order, moc _notify_sell=MagicMock(), ) should_sell_mock = MagicMock(side_effect=[ - SellCheckTuple(sell_flag=False, sell_type=SellType.NONE), - SellCheckTuple(sell_flag=True, sell_type=SellType.SELL_SIGNAL), - SellCheckTuple(sell_flag=False, sell_type=SellType.NONE), - SellCheckTuple(sell_flag=False, sell_type=SellType.NONE), - SellCheckTuple(sell_flag=None, sell_type=SellType.NONE)] + SellCheckTuple(sell_type=SellType.NONE), + SellCheckTuple(sell_type=SellType.SELL_SIGNAL), + SellCheckTuple(sell_type=SellType.NONE), + SellCheckTuple(sell_type=SellType.NONE), + SellCheckTuple(sell_type=SellType.NONE)] ) mocker.patch("freqtrade.strategy.interface.IStrategy.should_sell", should_sell_mock) From 595b8735f80df633834a4d8266694cdcb52287b8 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 25 Apr 2021 09:15:56 +0300 Subject: [PATCH 015/241] Add dataframe parameter to custom_stoploss() and custom_sell() methods. --- freqtrade/freqtradebot.py | 13 +++++++------ freqtrade/optimize/backtesting.py | 7 ++++--- freqtrade/strategy/interface.py | 21 ++++++++++++--------- tests/strategy/test_default_strategy.py | 3 ++- tests/strategy/test_interface.py | 4 ++-- 5 files changed, 27 insertions(+), 21 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 08c69bb53..f8c757189 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -11,6 +11,7 @@ from typing import Any, Dict, List, Optional import arrow from cachetools import TTLCache +from pandas import DataFrame from freqtrade import __version__, constants from freqtrade.configuration import validate_config_consistency @@ -783,10 +784,10 @@ class FreqtradeBot(LoggingMixin): config_ask_strategy = self.config.get('ask_strategy', {}) + analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair, + self.strategy.timeframe) if (config_ask_strategy.get('use_sell_signal', True) or config_ask_strategy.get('ignore_roi_if_buy_signal', False)): - analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair, - self.strategy.timeframe) (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df) @@ -813,13 +814,13 @@ class FreqtradeBot(LoggingMixin): # resulting in outdated RPC messages self._sell_rate_cache[trade.pair] = sell_rate - if self._check_and_execute_sell(trade, sell_rate, buy, sell): + if self._check_and_execute_sell(analyzed_df, trade, sell_rate, buy, sell): return True else: logger.debug('checking sell') sell_rate = self.get_sell_rate(trade.pair, True) - if self._check_and_execute_sell(trade, sell_rate, buy, sell): + if self._check_and_execute_sell(analyzed_df, trade, sell_rate, buy, sell): return True logger.debug('Found no sell signal for %s.', trade) @@ -950,13 +951,13 @@ class FreqtradeBot(LoggingMixin): logger.warning(f"Could not create trailing stoploss order " f"for pair {trade.pair}.") - def _check_and_execute_sell(self, trade: Trade, sell_rate: float, + def _check_and_execute_sell(self, dataframe: DataFrame, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool: """ Check and execute sell """ should_sell = self.strategy.should_sell( - trade, sell_rate, datetime.now(timezone.utc), buy, sell, + dataframe, trade, sell_rate, datetime.now(timezone.utc), buy, sell, force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0 ) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 57ac70cc1..559938e9e 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -247,9 +247,10 @@ class Backtesting: else: return sell_row[OPEN_IDX] - def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]: + def _get_sell_trade_entry(self, dataframe: DataFrame, trade: LocalTrade, + sell_row: Tuple) -> Optional[LocalTrade]: - sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore + sell = self.strategy.should_sell(dataframe, trade, sell_row[OPEN_IDX], # type: ignore sell_row[DATE_IDX], sell_row[BUY_IDX], sell_row[SELL_IDX], low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]) @@ -396,7 +397,7 @@ class Backtesting: for trade in open_trades[pair]: # also check the buying candle for sell conditions. - trade_entry = self._get_sell_trade_entry(trade, row) + trade_entry = self._get_sell_trade_entry(processed[pair], trade, row) # Sell occured if trade_entry: # logger.debug(f"{pair} - Backtesting sell {trade}") diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index bc8b3e59f..9a6901712 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -274,7 +274,7 @@ class IStrategy(ABC, HyperStrategyMixin): return True def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, **kwargs) -> float: + current_profit: float, dataframe: DataFrame, **kwargs) -> float: """ Custom stoploss logic, returning the new distance relative to current_rate (as ratio). e.g. returning -0.05 would create a stoploss 5% below current_rate. @@ -296,7 +296,8 @@ class IStrategy(ABC, HyperStrategyMixin): return self.stoploss def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, **kwargs) -> Optional[Union[str, bool]]: + current_profit: float, dataframe: DataFrame, + **kwargs) -> Optional[Union[str, bool]]: """ Custom sell signal logic indicating that specified position should be sold. Returning a string or True from this method is equal to setting sell signal on a candle at specified @@ -534,8 +535,8 @@ class IStrategy(ABC, HyperStrategyMixin): else: return False - def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool, - sell: bool, low: float = None, high: float = None, + def should_sell(self, dataframe: DataFrame, trade: Trade, rate: float, date: datetime, + buy: bool, sell: bool, low: float = None, high: float = None, force_stoploss: float = 0) -> SellCheckTuple: """ This function evaluates if one of the conditions required to trigger a sell @@ -551,8 +552,9 @@ class IStrategy(ABC, HyperStrategyMixin): trade.adjust_min_max_rates(high or current_rate) - stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade, - current_time=date, current_profit=current_profit, + stoplossflag = self.stop_loss_reached(dataframe=dataframe, 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 @@ -576,7 +578,7 @@ class IStrategy(ABC, HyperStrategyMixin): sell_signal = SellType.SELL_SIGNAL else: custom_reason = strategy_safe_wrapper(self.custom_sell, default_retval=False)( - trade.pair, trade, date, current_rate, current_profit) + trade.pair, trade, date, current_rate, current_profit, dataframe) if custom_reason: sell_signal = SellType.CUSTOM_SELL if isinstance(custom_reason, str): @@ -615,7 +617,7 @@ class IStrategy(ABC, HyperStrategyMixin): # logger.debug(f"{trade.pair} - No sell signal.") return SellCheckTuple(sell_type=SellType.NONE) - def stop_loss_reached(self, current_rate: float, trade: Trade, + def stop_loss_reached(self, dataframe: DataFrame, current_rate: float, trade: Trade, current_time: datetime, current_profit: float, force_stoploss: float, high: float = None) -> SellCheckTuple: """ @@ -633,7 +635,8 @@ class IStrategy(ABC, HyperStrategyMixin): )(pair=trade.pair, trade=trade, current_time=current_time, current_rate=current_rate, - current_profit=current_profit) + current_profit=current_profit, + dataframe=dataframe) # Sanity check - error cases will return None if stop_loss_value: # logger.info(f"{trade.pair} {stop_loss_value=} {current_profit=}") diff --git a/tests/strategy/test_default_strategy.py b/tests/strategy/test_default_strategy.py index ec7b3c33d..a8862e9c9 100644 --- a/tests/strategy/test_default_strategy.py +++ b/tests/strategy/test_default_strategy.py @@ -41,4 +41,5 @@ def test_default_strategy(result, fee): rate=20000, time_in_force='gtc', sell_reason='roi') is True assert strategy.custom_stoploss(pair='ETH/BTC', trade=trade, current_time=datetime.now(), - current_rate=20_000, current_profit=0.05) == strategy.stoploss + current_rate=20_000, current_profit=0.05, dataframe=None + ) == strategy.stoploss diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 347d35b19..d2a09e466 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -360,7 +360,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili now = arrow.utcnow().datetime sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit), trade=trade, current_time=now, current_profit=profit, - force_stoploss=0, high=None) + force_stoploss=0, high=None, dataframe=None) assert isinstance(sl_flag, SellCheckTuple) assert sl_flag.sell_type == expected if expected == SellType.NONE: @@ -371,7 +371,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit2), trade=trade, current_time=now, current_profit=profit2, - force_stoploss=0, high=None) + force_stoploss=0, high=None, dataframe=None) assert sl_flag.sell_type == expected2 if expected2 == SellType.NONE: assert sl_flag.sell_flag is False From 004550529ea498fc584668d8b292e2fcab7d37e1 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 25 Apr 2021 09:31:53 +0300 Subject: [PATCH 016/241] Document dataframe parameter in custom_stoploss(). --- docs/strategy-advanced.md | 83 ++++++++++++++------------------------- 1 file changed, 29 insertions(+), 54 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 758d08fca..7648498d3 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -42,33 +42,6 @@ class AwesomeStrategy(IStrategy): *** -### Storing custom information using DatetimeIndex from `dataframe` - -Imagine you need to store an indicator like `ATR` or `RSI` into `custom_info`. To use this in a meaningful way, you will not only need the raw data of the indicator, but probably also need to keep the right timestamps. - -```python -import talib.abstract as ta -class AwesomeStrategy(IStrategy): - # Create custom dictionary - custom_info = {} - - def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame: - # using "ATR" here as example - dataframe['atr'] = ta.ATR(dataframe) - if self.dp.runmode.value in ('backtest', 'hyperopt'): - # add indicator mapped to correct DatetimeIndex to custom_info - self.custom_info[metadata['pair']] = dataframe[['date', 'atr']].set_index('date') - return dataframe -``` - -!!! Warning - The data is not persisted after a bot-restart (or config-reload). Also, the amount of data should be kept smallish (no DataFrames and such), otherwise the bot will start to consume a lot of memory and eventually run out of memory and crash. - -!!! Note - If the data is pair-specific, make sure to use pair as one of the keys in the dictionary. - -See `custom_stoploss` examples below on how to access the saved dataframe columns - ## Custom sell signal It is possible to define custom sell signals. This is very useful when we need to customize sell conditions for each individual trade. @@ -107,7 +80,8 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, **kwargs) -> float: + current_rate: float, current_profit: float, dataframe: Dataframe, + **kwargs) -> float: """ Custom stoploss logic, returning the new distance relative to current_rate (as ratio). e.g. returning -0.05 would create a stoploss 5% below current_rate. @@ -157,7 +131,8 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, **kwargs) -> float: + current_rate: float, current_profit: float, dataframe: DataFrame, + **kwargs) -> float: # Make sure you have the longest interval first - these conditions are evaluated from top to bottom. if current_time - timedelta(minutes=120) > trade.open_date_utc: @@ -183,7 +158,8 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, **kwargs) -> float: + current_rate: float, current_profit: float, dataframe: DataFrame, + **kwargs) -> float: if pair in ('ETH/BTC', 'XRP/BTC'): return -0.10 @@ -209,7 +185,8 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, **kwargs) -> float: + current_rate: float, current_profit: float, dataframe: DataFrame, + **kwargs) -> float: if current_profit < 0.04: return -1 # return a value bigger than the inital stoploss to keep using the inital stoploss @@ -249,7 +226,8 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, **kwargs) -> float: + current_rate: float, current_profit: float, dataframe: DataFrame, + **kwargs) -> float: # evaluate highest to lowest, so that highest possible stop is used if current_profit > 0.40: @@ -266,14 +244,20 @@ class AwesomeStrategy(IStrategy): Imagine you want to use `custom_stoploss()` to use a trailing indicator like e.g. "ATR" -See: "Storing custom information using DatetimeIndex from `dataframe`" example above) on how to store the indicator into `custom_info` - !!! Warning - only use .iat[-1] in live mode, not in backtesting/hyperopt - otherwise you will look into the future + Only use `dataframe` values up until and including `current_time` value. Reading past + `current_time` you will look into the future, which will produce incorrect backtesting results + and throw an exception in dry/live runs. see [Common mistakes when developing strategies](strategy-customization.md#common-mistakes-when-developing-strategies) for more info. +!!! Note + DataFrame is indexed by candle date. During dry/live runs `current_time` and + `trade.open_date_utc` will not match candle dates precisely and using them as indices will throw + an error. Use `date = timeframe_to_prev_date(self.timeframe, date)` to round a date to previous + candle before using it as a `dataframe` index. + ``` python +from freqtrade.exchange import timeframe_to_prev_date from freqtrade.persistence import Trade from freqtrade.state import RunMode @@ -284,28 +268,19 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, **kwargs) -> float: + current_rate: float, current_profit: float, dataframe: DataFrame, + **kwargs) -> float: result = 1 if self.custom_info and pair in self.custom_info and trade: - # using current_time directly (like below) will only work in backtesting. - # so check "runmode" to make sure that it's only used in backtesting/hyperopt - if self.dp and self.dp.runmode.value in ('backtest', 'hyperopt'): - relative_sl = self.custom_info[pair].loc[current_time]['atr'] - # in live / dry-run, it'll be really the current time - else: - # but we can just use the last entry from an already analyzed dataframe instead - dataframe, last_updated = self.dp.get_analyzed_dataframe(pair=pair, - timeframe=self.timeframe) - # WARNING - # only use .iat[-1] in live mode, not in backtesting/hyperopt - # otherwise you will look into the future - # see: https://www.freqtrade.io/en/latest/strategy-customization/#common-mistakes-when-developing-strategies - relative_sl = dataframe['atr'].iat[-1] - - if (relative_sl is not None): + # Using current_time directly would only work in backtesting. Live/dry runs need time to + # be rounded to previous candle to be used as dataframe index. Rounding must also be + # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing. + current_time = timeframe_to_prev_date(self.timeframe, current_time) + current_row = dataframe.loc[current_time] + if 'atr' in current_row: # new stoploss relative to current_rate - new_stoploss = (current_rate-relative_sl)/current_rate + new_stoploss = (current_rate - current_row['atr']) / current_rate # turn into relative negative offset required by `custom_stoploss` return implementation result = new_stoploss - 1 From e58fe7a8cbbb978aa7c7a8ffcec4ebe0e3660414 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 25 Apr 2021 09:45:34 +0300 Subject: [PATCH 017/241] Update custom_sell documentation. --- docs/strategy-advanced.md | 23 +++++++++++++++++++---- 1 file changed, 19 insertions(+), 4 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 7648498d3..59c4a6a35 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -46,16 +46,31 @@ class AwesomeStrategy(IStrategy): It is possible to define custom sell signals. This is very useful when we need to customize sell conditions for each individual trade. -An example of how we can sell trades that were open longer than 1 day: +An example of how we can set stop-loss and take-profit targets in the dataframe and also sell trades that were open longer than 1 day: ``` python class AwesomeStrategy(IStrategy): def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, **kwargs) -> bool: - time_delta = datetime.datetime.utcnow() - trade.open_date_utc - return time_delta.days >= 1 + current_profit: float, dataframe: Dataframe, **kwargs) -> bool: + trade_row = dataframe.loc[timeframe_to_prev_date(trade.open_date_utc)] + + # Sell when price falls below value in stoploss column of taken buy signal. + if 'stop_loss' in trade_row: + if current_rate <= trade_row['stop_loss'] < trade.open_rate: + return 'stop_loss' + + # Sell when price reaches value in take_profit column of taken buy signal. + if 'take_profit' in trade_row: + if trade.open_rate < trade_row['take_profit'] <= current_rate: + return 'take_profit' + + # Sell any positions at a loss if they are helpd for more than two days. + if current_profit < 0 and (current_time.replace(tzinfo=trade.open_date_utc.tzinfo) - trade.open_date_utc).days >= 1: + return 'unclog' ``` +See [Custom stoploss using an indicator from dataframe example](strategy-customization.md#custom-stoploss-using-an-indicator-from-dataframe-example) for explanation on how to use `dataframe` parameter. + ## Custom stoploss The stoploss price can only ever move upwards - if the stoploss value returned from `custom_stoploss` would result in a lower stoploss price than was previously set, it will be ignored. The traditional `stoploss` value serves as an absolute lower level and will be instated as the initial stoploss. From 98f6fce2ecf6decd360d5706d1c6ffca38643b5d Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 25 Apr 2021 09:48:24 +0300 Subject: [PATCH 018/241] Use correct sell reason in case of custom sell reason. --- freqtrade/freqtradebot.py | 2 +- freqtrade/optimize/backtesting.py | 4 ++-- 2 files changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index f8c757189..6dcd920c7 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -1194,7 +1194,7 @@ class FreqtradeBot(LoggingMixin): if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)( pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit, time_in_force=time_in_force, - sell_reason=sell_reason.sell_type.value): + sell_reason=sell_reason.sell_reason): logger.info(f"User requested abortion of selling {trade.pair}") return False diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 559938e9e..88957bafb 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -256,7 +256,7 @@ class Backtesting: if sell.sell_flag: trade.close_date = sell_row[DATE_IDX] - trade.sell_reason = sell.sell_reason or sell.sell_type.value + trade.sell_reason = sell.sell_reason trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60) closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) @@ -266,7 +266,7 @@ class Backtesting: pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount, rate=closerate, time_in_force=time_in_force, - sell_reason=sell.sell_type.value): + sell_reason=sell.sell_reason): return None trade.close(closerate, show_msg=False) From 9c21c75cf5ef34cdd59d340e8e0b1e3f7b504ba0 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 25 Apr 2021 13:12:33 +0300 Subject: [PATCH 019/241] Fix inaccuracy in docs. --- docs/strategy-advanced.md | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 59c4a6a35..f869a3c3a 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -52,8 +52,8 @@ An example of how we can set stop-loss and take-profit targets in the dataframe class AwesomeStrategy(IStrategy): def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, current_profit: float, dataframe: Dataframe, **kwargs) -> bool: - trade_row = dataframe.loc[timeframe_to_prev_date(trade.open_date_utc)] - + trade_row = dataframe.loc[dataframe['date'] == timeframe_to_prev_date(trade.open_date_utc)].squeeze() + # Sell when price falls below value in stoploss column of taken buy signal. if 'stop_loss' in trade_row: if current_rate <= trade_row['stop_loss'] < trade.open_rate: @@ -292,7 +292,7 @@ class AwesomeStrategy(IStrategy): # be rounded to previous candle to be used as dataframe index. Rounding must also be # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing. current_time = timeframe_to_prev_date(self.timeframe, current_time) - current_row = dataframe.loc[current_time] + current_row = dataframe.loc[dataframe['date'] == current_time].squeeze() if 'atr' in current_row: # new stoploss relative to current_rate new_stoploss = (current_rate - current_row['atr']) / current_rate From 31a2285eacaa7ce011a98548809fbe314f4f3c79 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Mon, 26 Apr 2021 10:42:24 +0300 Subject: [PATCH 020/241] Fix mypy complaints. --- freqtrade/strategy/interface.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 9a6901712..503a587ea 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -59,9 +59,9 @@ class SellCheckTuple(object): NamedTuple for Sell type + reason """ sell_type: SellType - sell_reason: Optional[str] + sell_reason: str = '' - def __init__(self, sell_type: SellType, sell_reason: Optional[str] = None): + def __init__(self, sell_type: SellType, sell_reason: str = ''): self.sell_type = sell_type self.sell_reason = sell_reason or sell_type.value @@ -568,7 +568,7 @@ class IStrategy(ABC, HyperStrategyMixin): current_time=date)) sell_signal = SellType.NONE - custom_reason = None + custom_reason = '' if (ask_strategy.get('sell_profit_only', False) and current_profit <= ask_strategy.get('sell_profit_offset', 0)): # sell_profit_only and profit doesn't reach the offset - ignore sell signal From dbf33271b5853d32d4bd952508ce33be2574948c Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 26 Apr 2021 19:27:22 +0200 Subject: [PATCH 021/241] Small doc changes --- docs/strategy-advanced.md | 24 +++++++++++-------- docs/strategy-customization.md | 5 ++-- freqtrade/freqtradebot.py | 2 -- freqtrade/strategy/interface.py | 1 + .../subtemplates/strategy_methods_advanced.j2 | 6 +++-- 5 files changed, 22 insertions(+), 16 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index f869a3c3a..f702b1448 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -49,10 +49,13 @@ It is possible to define custom sell signals. This is very useful when we need t An example of how we can set stop-loss and take-profit targets in the dataframe and also sell trades that were open longer than 1 day: ``` python +from freqtrade.strategy import IStrategy, timeframe_to_prev_date + class AwesomeStrategy(IStrategy): - def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, dataframe: Dataframe, **kwargs) -> bool: - trade_row = dataframe.loc[dataframe['date'] == timeframe_to_prev_date(trade.open_date_utc)].squeeze() + def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float, + current_profit: float, dataframe: DataFrame, **kwargs): + trade_open_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc) + trade_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze() # Sell when price falls below value in stoploss column of taken buy signal. if 'stop_loss' in trade_row: @@ -64,12 +67,12 @@ class AwesomeStrategy(IStrategy): if trade.open_rate < trade_row['take_profit'] <= current_rate: return 'take_profit' - # Sell any positions at a loss if they are helpd for more than two days. + # Sell any positions at a loss if they are held for more than two days. if current_profit < 0 and (current_time.replace(tzinfo=trade.open_date_utc.tzinfo) - trade.open_date_utc).days >= 1: return 'unclog' ``` -See [Custom stoploss using an indicator from dataframe example](strategy-customization.md#custom-stoploss-using-an-indicator-from-dataframe-example) for explanation on how to use `dataframe` parameter. +See [Custom stoploss using an indicator from dataframe example](strategy-customization.md#custom-stoploss-using-an-indicator-from-dataframe-example) for explanation on how to use `dataframe` parameter. ## Custom stoploss @@ -95,7 +98,7 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: Dataframe, + current_rate: float, current_profit: float, dataframe: DataFrame, **kwargs) -> float: """ Custom stoploss logic, returning the new distance relative to current_rate (as ratio). @@ -113,7 +116,7 @@ class AwesomeStrategy(IStrategy): :param current_rate: Rate, calculated based on pricing settings in ask_strategy. :param current_profit: Current profit (as ratio), calculated based on current_rate. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. - :return float: New stoploss value, relative to the currentrate + :return float: New stoploss value, relative to the current rate """ return -0.04 ``` @@ -228,7 +231,6 @@ Instead of continuously trailing behind the current price, this example sets fix * Once profit is > 25% - set stoploss to 15% above open price. * Once profit is > 40% - set stoploss to 25% above open price. - ``` python from datetime import datetime from freqtrade.persistence import Trade @@ -255,6 +257,7 @@ class AwesomeStrategy(IStrategy): # return maximum stoploss value, keeping current stoploss price unchanged return 1 ``` + #### Custom stoploss using an indicator from dataframe example Imagine you want to use `custom_stoploss()` to use a trailing indicator like e.g. "ATR" @@ -266,7 +269,7 @@ Imagine you want to use `custom_stoploss()` to use a trailing indicator like e.g see [Common mistakes when developing strategies](strategy-customization.md#common-mistakes-when-developing-strategies) for more info. !!! Note - DataFrame is indexed by candle date. During dry/live runs `current_time` and + `dataframe` is indexed by candle date. During dry/live runs `current_time` and `trade.open_date_utc` will not match candle dates precisely and using them as indices will throw an error. Use `date = timeframe_to_prev_date(self.timeframe, date)` to round a date to previous candle before using it as a `dataframe` index. @@ -286,8 +289,9 @@ class AwesomeStrategy(IStrategy): current_rate: float, current_profit: float, dataframe: DataFrame, **kwargs) -> float: + # Default return value result = 1 - if self.custom_info and pair in self.custom_info and trade: + if trade: # Using current_time directly would only work in backtesting. Live/dry runs need time to # be rounded to previous candle to be used as dataframe index. Rounding must also be # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing. diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 256b28990..59bfbde48 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -631,9 +631,10 @@ Stoploss values returned from `custom_stoploss` must specify a percentage relati use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, **kwargs) -> float: + current_rate: float, current_profit: float, dataframe: DataFrame, + **kwargs) -> float: - # once the profit has risin above 10%, keep the stoploss at 7% above the open price + # once the profit has risen above 10%, keep the stoploss at 7% above the open price if current_profit > 0.10: return stoploss_from_open(0.07, current_profit) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 6dcd920c7..c2b15d23f 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -1158,8 +1158,6 @@ class FreqtradeBot(LoggingMixin): :param trade: Trade instance :param limit: limit rate for the sell order :param sell_reason: Reason the sell was triggered - :param custom_reason: A custom sell reason. Provided only if - sell_reason == SellType.CUSTOM_SELL, :return: True if it succeeds (supported) False (not supported) """ sell_type = 'sell' diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 503a587ea..5c3264c35 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -290,6 +290,7 @@ class IStrategy(ABC, HyperStrategyMixin): :param current_time: datetime object, containing the current datetime :param current_rate: Rate, calculated based on pricing settings in ask_strategy. :param current_profit: Current profit (as ratio), calculated based on current_rate. + :param dataframe: Analyzed dataframe for this pair. Can contain future data in backtesting. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. :return float: New stoploss value, relative to the currentrate """ diff --git a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 index 53ededa19..c69b52cad 100644 --- a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 +++ b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 @@ -14,8 +14,9 @@ def bot_loop_start(self, **kwargs) -> None: use_custom_stoploss = True -def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float, - current_profit: float, **kwargs) -> float: +def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime', + current_rate: float, current_profit: float, dataframe: DataFrame, + **kwargs) -> float: """ Custom stoploss logic, returning the new distance relative to current_rate (as ratio). e.g. returning -0.05 would create a stoploss 5% below current_rate. @@ -31,6 +32,7 @@ def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime', c :param current_time: datetime object, containing the current datetime :param current_rate: Rate, calculated based on pricing settings in ask_strategy. :param current_profit: Current profit (as ratio), calculated based on current_rate. + :param dataframe: Analyzed dataframe for this pair. Can contain future data in backtesting. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. :return float: New stoploss value, relative to the currentrate """ From 2061162d794fa53eb847dfbf2811282e5825146a Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 26 Apr 2021 19:54:47 +0200 Subject: [PATCH 022/241] Convert trade-opendate to python datetime --- freqtrade/optimize/backtesting.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 88957bafb..b03a459ea 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -255,7 +255,7 @@ class Backtesting: low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]) if sell.sell_flag: - trade.close_date = sell_row[DATE_IDX] + trade.close_date = sell_row[DATE_IDX].to_pydatetime() trade.sell_reason = sell.sell_reason trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60) closerate = self._get_close_rate(sell_row, trade, sell, trade_dur) @@ -294,7 +294,7 @@ class Backtesting: trade = LocalTrade( pair=pair, open_rate=row[OPEN_IDX], - open_date=row[DATE_IDX], + open_date=row[DATE_IDX].to_pydatetime(), stake_amount=stake_amount, amount=round(stake_amount / row[OPEN_IDX], 8), fee_open=self.fee, @@ -316,7 +316,7 @@ class Backtesting: for trade in open_trades[pair]: sell_row = data[pair][-1] - trade.close_date = sell_row[DATE_IDX] + trade.close_date = sell_row[DATE_IDX].to_pydatetime() trade.sell_reason = SellType.FORCE_SELL.value trade.close(sell_row[OPEN_IDX], show_msg=False) LocalTrade.close_bt_trade(trade) From 55faa6a84a6ed7a4fa65781987eb9f05d8de4152 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 26 Apr 2021 20:18:03 +0200 Subject: [PATCH 023/241] safe_wrapper should use kwargs to call methods --- freqtrade/strategy/interface.py | 9 ++++----- 1 file changed, 4 insertions(+), 5 deletions(-) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 5c3264c35..645e70e8a 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -579,7 +579,8 @@ class IStrategy(ABC, HyperStrategyMixin): sell_signal = SellType.SELL_SIGNAL else: custom_reason = strategy_safe_wrapper(self.custom_sell, default_retval=False)( - trade.pair, trade, date, current_rate, current_profit, dataframe) + pair=trade.pair, trade=trade, current_time=date, current_rate=current_rate, + current_profit=current_profit, dataframe=dataframe) if custom_reason: sell_signal = SellType.CUSTOM_SELL if isinstance(custom_reason, str): @@ -598,8 +599,7 @@ class IStrategy(ABC, HyperStrategyMixin): # Sell-signal # Stoploss if roi_reached and stoplossflag.sell_type != SellType.STOP_LOSS: - logger.debug(f"{trade.pair} - Required profit reached. " - f"sell_type=SellType.ROI") + logger.debug(f"{trade.pair} - Required profit reached. sell_type=SellType.ROI") return SellCheckTuple(sell_type=SellType.ROI) if sell_signal != SellType.NONE: @@ -610,8 +610,7 @@ class IStrategy(ABC, HyperStrategyMixin): if stoplossflag.sell_flag: - logger.debug(f"{trade.pair} - Stoploss hit. " - f"sell_type={stoplossflag.sell_type}") + logger.debug(f"{trade.pair} - Stoploss hit. sell_type={stoplossflag.sell_type}") return stoplossflag # This one is noisy, commented out... From cc916ab2e90458a54cdc8d4f247518f904e8fdd6 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 26 Apr 2021 20:26:14 +0200 Subject: [PATCH 024/241] Add test for custom_sell --- tests/strategy/test_interface.py | 44 ++++++++++++++++++++++++++++++++ 1 file changed, 44 insertions(+) diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index d2a09e466..bd81bc80c 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -382,6 +382,50 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili strategy.custom_stoploss = original_stopvalue +def test_custom_sell(default_conf, fee, caplog) -> None: + + default_conf.update({'strategy': 'DefaultStrategy'}) + + strategy = StrategyResolver.load_strategy(default_conf) + trade = Trade( + pair='ETH/BTC', + stake_amount=0.01, + amount=1, + open_date=arrow.utcnow().shift(hours=-1).datetime, + fee_open=fee.return_value, + fee_close=fee.return_value, + exchange='binance', + open_rate=1, + ) + + now = arrow.utcnow().datetime + res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + + assert res.sell_flag is False + assert res.sell_type == SellType.NONE + + strategy.custom_sell = MagicMock(return_value=True) + res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + assert res.sell_flag is True + assert res.sell_type == SellType.CUSTOM_SELL + assert res.sell_reason == 'custom_sell' + + strategy.custom_sell = MagicMock(return_value='hello world') + + res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + assert res.sell_type == SellType.CUSTOM_SELL + assert res.sell_flag is True + assert res.sell_reason == 'hello world' + + caplog.clear() + strategy.custom_sell = MagicMock(return_value='h' * 100) + res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + assert res.sell_type == SellType.CUSTOM_SELL + assert res.sell_flag is True + assert res.sell_reason == 'h' * 64 + assert log_has_re('Custom sell reason returned from custom_sell is too long.*', caplog) + + def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None: caplog.set_level(logging.DEBUG) ind_mock = MagicMock(side_effect=lambda x, meta: x) From 6eb947ae09416acac11c2c4b79f342d24986993b Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 27 Apr 2021 20:25:36 +0200 Subject: [PATCH 025/241] Move static Trade functions to right class --- freqtrade/persistence/models.py | 198 +++++++++++++++++--------------- tests/test_persistence.py | 33 +++++- 2 files changed, 132 insertions(+), 99 deletions(-) diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py index e7fd488c7..afd51366a 100644 --- a/freqtrade/persistence/models.py +++ b/freqtrade/persistence/models.py @@ -567,23 +567,6 @@ class LocalTrade(): else: return None - @staticmethod - def get_trades(trade_filter=None) -> Query: - """ - Helper function to query Trades using filters. - :param trade_filter: Optional filter to apply to trades - Can be either a Filter object, or a List of filters - e.g. `(trade_filter=[Trade.id == trade_id, Trade.is_open.is_(True),])` - e.g. `(trade_filter=Trade.id == trade_id)` - :return: unsorted query object - """ - if trade_filter is not None: - if not isinstance(trade_filter, list): - trade_filter = [trade_filter] - return Trade.query.filter(*trade_filter) - else: - return Trade.query - @staticmethod def get_trades_proxy(*, pair: str = None, is_open: bool = None, open_date: datetime = None, close_date: datetime = None, @@ -636,83 +619,7 @@ class LocalTrade(): """ Query trades from persistence layer """ - return Trade.get_trades(Trade.is_open.is_(True)).all() - - @staticmethod - def get_open_order_trades(): - """ - Returns all open trades - """ - return Trade.get_trades(Trade.open_order_id.isnot(None)).all() - - @staticmethod - def get_open_trades_without_assigned_fees(): - """ - Returns all open trades which don't have open fees set correctly - """ - return Trade.get_trades([Trade.fee_open_currency.is_(None), - Trade.orders.any(), - Trade.is_open.is_(True), - ]).all() - - @staticmethod - def get_sold_trades_without_assigned_fees(): - """ - Returns all closed trades which don't have fees set correctly - """ - return Trade.get_trades([Trade.fee_close_currency.is_(None), - Trade.orders.any(), - Trade.is_open.is_(False), - ]).all() - - @staticmethod - def total_open_trades_stakes() -> float: - """ - Calculates total invested amount in open trades - in stake currency - """ - if Trade.use_db: - total_open_stake_amount = Trade.query.with_entities( - func.sum(Trade.stake_amount)).filter(Trade.is_open.is_(True)).scalar() - else: - total_open_stake_amount = sum( - t.stake_amount for t in Trade.get_trades_proxy(is_open=True)) - return total_open_stake_amount or 0 - - @staticmethod - def get_overall_performance() -> List[Dict[str, Any]]: - """ - Returns List of dicts containing all Trades, including profit and trade count - """ - pair_rates = Trade.query.with_entities( - Trade.pair, - func.sum(Trade.close_profit).label('profit_sum'), - func.count(Trade.pair).label('count') - ).filter(Trade.is_open.is_(False))\ - .group_by(Trade.pair) \ - .order_by(desc('profit_sum')) \ - .all() - return [ - { - 'pair': pair, - 'profit': rate, - 'count': count - } - for pair, rate, count in pair_rates - ] - - @staticmethod - def get_best_pair(): - """ - Get best pair with closed trade. - :returns: Tuple containing (pair, profit_sum) - """ - best_pair = Trade.query.with_entities( - Trade.pair, func.sum(Trade.close_profit).label('profit_sum') - ).filter(Trade.is_open.is_(False)) \ - .group_by(Trade.pair) \ - .order_by(desc('profit_sum')).first() - return best_pair + return Trade.get_trades_proxy(is_open=True) @staticmethod def stoploss_reinitialization(desired_stoploss): @@ -810,7 +717,7 @@ class Trade(_DECL_BASE, LocalTrade): open_date: datetime = None, close_date: datetime = None, ) -> List['LocalTrade']: """ - Helper function to query Trades. + Helper function to query Trades.j Returns a List of trades, filtered on the parameters given. In live mode, converts the filter to a database query and returns all rows In Backtest mode, uses filters on Trade.trades to get the result. @@ -835,6 +742,107 @@ class Trade(_DECL_BASE, LocalTrade): close_date=close_date ) + @staticmethod + def get_trades(trade_filter=None) -> Query: + """ + Helper function to query Trades using filters. + NOTE: Not supported in Backtesting. + :param trade_filter: Optional filter to apply to trades + Can be either a Filter object, or a List of filters + e.g. `(trade_filter=[Trade.id == trade_id, Trade.is_open.is_(True),])` + e.g. `(trade_filter=Trade.id == trade_id)` + :return: unsorted query object + """ + if not Trade.use_db: + raise NotImplementedError('`Trade.get_trades()` not supported in backtesting mode.') + if trade_filter is not None: + if not isinstance(trade_filter, list): + trade_filter = [trade_filter] + return Trade.query.filter(*trade_filter) + else: + return Trade.query + + @staticmethod + def get_open_order_trades(): + """ + Returns all open trades + NOTE: Not supported in Backtesting. + """ + return Trade.get_trades(Trade.open_order_id.isnot(None)).all() + + @staticmethod + def get_open_trades_without_assigned_fees(): + """ + Returns all open trades which don't have open fees set correctly + NOTE: Not supported in Backtesting. + """ + return Trade.get_trades([Trade.fee_open_currency.is_(None), + Trade.orders.any(), + Trade.is_open.is_(True), + ]).all() + + @staticmethod + def get_sold_trades_without_assigned_fees(): + """ + Returns all closed trades which don't have fees set correctly + NOTE: Not supported in Backtesting. + """ + return Trade.get_trades([Trade.fee_close_currency.is_(None), + Trade.orders.any(), + Trade.is_open.is_(False), + ]).all() + + @staticmethod + def total_open_trades_stakes() -> float: + """ + Calculates total invested amount in open trades + in stake currency + """ + if Trade.use_db: + total_open_stake_amount = Trade.query.with_entities( + func.sum(Trade.stake_amount)).filter(Trade.is_open.is_(True)).scalar() + else: + total_open_stake_amount = sum( + t.stake_amount for t in LocalTrade.get_trades_proxy(is_open=True)) + return total_open_stake_amount or 0 + + @staticmethod + def get_overall_performance() -> List[Dict[str, Any]]: + """ + Returns List of dicts containing all Trades, including profit and trade count + NOTE: Not supported in Backtesting. + """ + pair_rates = Trade.query.with_entities( + Trade.pair, + func.sum(Trade.close_profit).label('profit_sum'), + func.count(Trade.pair).label('count') + ).filter(Trade.is_open.is_(False))\ + .group_by(Trade.pair) \ + .order_by(desc('profit_sum')) \ + .all() + return [ + { + 'pair': pair, + 'profit': rate, + 'count': count + } + for pair, rate, count in pair_rates + ] + + @staticmethod + def get_best_pair(): + """ + Get best pair with closed trade. + NOTE: Not supported in Backtesting. + :returns: Tuple containing (pair, profit_sum) + """ + best_pair = Trade.query.with_entities( + Trade.pair, func.sum(Trade.close_profit).label('profit_sum') + ).filter(Trade.is_open.is_(False)) \ + .group_by(Trade.pair) \ + .order_by(desc('profit_sum')).first() + return best_pair + class PairLock(_DECL_BASE): """ diff --git a/tests/test_persistence.py b/tests/test_persistence.py index dad0e275e..8470e12c2 100644 --- a/tests/test_persistence.py +++ b/tests/test_persistence.py @@ -774,11 +774,16 @@ def test_adjust_min_max_rates(fee): @pytest.mark.usefixtures("init_persistence") -def test_get_open(fee): +@pytest.mark.parametrize('use_db', [True, False]) +def test_get_open(fee, use_db): + Trade.use_db = use_db + Trade.reset_trades() - create_mock_trades(fee) + create_mock_trades(fee, use_db) assert len(Trade.get_open_trades()) == 4 + Trade.use_db = True + @pytest.mark.usefixtures("init_persistence") def test_to_json(default_conf, fee): @@ -1083,6 +1088,13 @@ def test_get_trades_proxy(fee, use_db): Trade.use_db = True +def test_get_trades_backtest(): + Trade.use_db = False + with pytest.raises(NotImplementedError, match=r"`Trade.get_trades\(\)` not .*"): + Trade.get_trades([]) + Trade.use_db = True + + @pytest.mark.usefixtures("init_persistence") def test_get_overall_performance(fee): @@ -1216,11 +1228,24 @@ def test_Trade_object_idem(): trade = vars(Trade) localtrade = vars(LocalTrade) + excludes = ( + 'delete', + 'session', + 'query', + 'open_date', + 'get_best_pair', + 'get_overall_performance', + 'total_open_trades_stakes', + 'get_sold_trades_without_assigned_fees', + 'get_open_trades_without_assigned_fees', + 'get_open_order_trades', + 'get_trades', + ) + # Parent (LocalTrade) should have the same attributes for item in trade: # Exclude private attributes and open_date (as it's not assigned a default) - if (not item.startswith('_') - and item not in ('delete', 'session', 'query', 'open_date')): + if (not item.startswith('_') and item not in excludes): assert item in localtrade # Fails if only a column is added without corresponding parent field From 7c8a367442b81c6d0913af47d91089bd88c3534f Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 28 Apr 2021 20:36:06 +0200 Subject: [PATCH 026/241] Update docs to not promote stoploss / take-profit --- docs/strategy-advanced.md | 23 ++++++++++++----------- freqtrade/optimize/backtesting.py | 3 ++- 2 files changed, 14 insertions(+), 12 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index f702b1448..3ef121091 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -44,9 +44,9 @@ class AwesomeStrategy(IStrategy): ## Custom sell signal -It is possible to define custom sell signals. This is very useful when we need to customize sell conditions for each individual trade. +It is possible to define custom sell signals. This is very useful when we need to customize sell conditions for each individual trade, or if you need the trade profit to take the sell decision. -An example of how we can set stop-loss and take-profit targets in the dataframe and also sell trades that were open longer than 1 day: +An example of how we can use different indicators depending on the current profit and also sell trades that were open longer than 1 day: ``` python from freqtrade.strategy import IStrategy, timeframe_to_prev_date @@ -58,21 +58,22 @@ class AwesomeStrategy(IStrategy): trade_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze() # Sell when price falls below value in stoploss column of taken buy signal. - if 'stop_loss' in trade_row: - if current_rate <= trade_row['stop_loss'] < trade.open_rate: - return 'stop_loss' + # above 20% profit, sell when rsi < 80 + if current_profit > 0.2: + if trade_row['rsi'] < 80: + return 'rsi_below_80' - # Sell when price reaches value in take_profit column of taken buy signal. - if 'take_profit' in trade_row: - if trade.open_rate < trade_row['take_profit'] <= current_rate: - return 'take_profit' + # Between 2% and 10%, sell if EMA-long above EMA-short + if 0.02 < current_profit < 0.1: + if trade_row['emalong'] > trade_row['emashort']: + return 'ema_long_below_80' # Sell any positions at a loss if they are held for more than two days. - if current_profit < 0 and (current_time.replace(tzinfo=trade.open_date_utc.tzinfo) - trade.open_date_utc).days >= 1: + if current_profit < 0.0 and (current_time - trade.open_date_utc).days >= 1: return 'unclog' ``` -See [Custom stoploss using an indicator from dataframe example](strategy-customization.md#custom-stoploss-using-an-indicator-from-dataframe-example) for explanation on how to use `dataframe` parameter. +See [Custom stoploss using an indicator from dataframe example](#custom-stoploss-using-an-indicator-from-dataframe-example) for explanation on how to use `dataframe` parameter. ## Custom stoploss diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index b03a459ea..7b62661d3 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -251,7 +251,8 @@ class Backtesting: sell_row: Tuple) -> Optional[LocalTrade]: sell = self.strategy.should_sell(dataframe, trade, sell_row[OPEN_IDX], # type: ignore - sell_row[DATE_IDX], sell_row[BUY_IDX], sell_row[SELL_IDX], + sell_row[DATE_IDX].to_pydatetime(), sell_row[BUY_IDX], + sell_row[SELL_IDX], low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]) if sell.sell_flag: From 3285f6caa35ef555f8956eecd3468eae04c2e9c5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 28 Apr 2021 20:42:15 +0200 Subject: [PATCH 027/241] Improve wording in Note box --- docs/strategy-advanced.md | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 3ef121091..58e658509 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -270,10 +270,10 @@ Imagine you want to use `custom_stoploss()` to use a trailing indicator like e.g see [Common mistakes when developing strategies](strategy-customization.md#common-mistakes-when-developing-strategies) for more info. !!! Note - `dataframe` is indexed by candle date. During dry/live runs `current_time` and - `trade.open_date_utc` will not match candle dates precisely and using them as indices will throw - an error. Use `date = timeframe_to_prev_date(self.timeframe, date)` to round a date to previous - candle before using it as a `dataframe` index. + `dataframe['date']` contains the candle's open date. During dry/live runs `current_time` and + `trade.open_date_utc` will not match the candle date precisely and using them directly will throw + an error. Use `date = timeframe_to_prev_date(self.timeframe, date)` to round a date to the candle's open date + before using it to access `dataframe`. ``` python from freqtrade.exchange import timeframe_to_prev_date From 5bc908870f124f27fe16f890b895da8af970c2f9 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Apr 2021 09:07:47 +0200 Subject: [PATCH 028/241] Fix documentation comment missalignment --- docs/strategy-advanced.md | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 58e658509..49b310303 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -46,7 +46,7 @@ class AwesomeStrategy(IStrategy): It is possible to define custom sell signals. This is very useful when we need to customize sell conditions for each individual trade, or if you need the trade profit to take the sell decision. -An example of how we can use different indicators depending on the current profit and also sell trades that were open longer than 1 day: +An example of how we can use different indicators depending on the current profit and also sell trades that were open longer than one day: ``` python from freqtrade.strategy import IStrategy, timeframe_to_prev_date @@ -68,7 +68,7 @@ class AwesomeStrategy(IStrategy): if trade_row['emalong'] > trade_row['emashort']: return 'ema_long_below_80' - # Sell any positions at a loss if they are held for more than two days. + # Sell any positions at a loss if they are held for more than one day. if current_profit < 0.0 and (current_time - trade.open_date_utc).days >= 1: return 'unclog' ``` From 7cf8c5d6592deddcf40dbaf00a56ec8159c94d17 Mon Sep 17 00:00:00 2001 From: Nial McCallister <48334675+nmcc1212@users.noreply.github.com> Date: Thu, 29 Apr 2021 10:46:00 +0100 Subject: [PATCH 029/241] Docker Quick start grammatical error please install docker-compose should be installed does not make grammatical sense --- docs/docker_quickstart.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/docker_quickstart.md b/docs/docker_quickstart.md index 9096000c1..5f48782d2 100644 --- a/docs/docker_quickstart.md +++ b/docs/docker_quickstart.md @@ -10,7 +10,7 @@ Start by downloading and installing Docker CE for your platform: * [Windows](https://docs.docker.com/docker-for-windows/install/) * [Linux](https://docs.docker.com/install/) -To simplify running freqtrade, please install [`docker-compose`](https://docs.docker.com/compose/install/) should be installed and available to follow the below [docker quick start guide](#docker-quick-start). +To simplify running freqtrade, [`docker-compose`](https://docs.docker.com/compose/install/) should be installed and available to follow the below [docker quick start guide](#docker-quick-start). ## Freqtrade with docker-compose From 83708ae04596f7292a5a4e34a6a8ffd1c8908d33 Mon Sep 17 00:00:00 2001 From: JoeSchr Date: Thu, 29 Apr 2021 12:16:02 +0200 Subject: [PATCH 030/241] Update strategy-advanced.md Remove untrue comment probably left-over from more intricate example --- docs/strategy-advanced.md | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 49b310303..ccd4c2419 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -57,8 +57,7 @@ class AwesomeStrategy(IStrategy): trade_open_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc) trade_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze() - # Sell when price falls below value in stoploss column of taken buy signal. - # above 20% profit, sell when rsi < 80 + # Above 20% profit, sell when rsi < 80 if current_profit > 0.2: if trade_row['rsi'] < 80: return 'rsi_below_80' From cf839e36f331983f74bc0fd1dd3bb6be73a61599 Mon Sep 17 00:00:00 2001 From: JoeSchr Date: Thu, 29 Apr 2021 12:49:51 +0200 Subject: [PATCH 031/241] Add to custom_sell() documentation - Flesh out infos about return type - give quick example at beginning to get reader in right mindset what this does and why it's useful --- docs/strategy-advanced.md | 6 +++++- 1 file changed, 5 insertions(+), 1 deletion(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 49b310303..68b3f201a 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -44,7 +44,11 @@ class AwesomeStrategy(IStrategy): ## Custom sell signal -It is possible to define custom sell signals. This is very useful when we need to customize sell conditions for each individual trade, or if you need the trade profit to take the sell decision. +It is possible to define custom sell signals, indicating that specified position should be sold. This is very useful when we need to customize sell conditions for each individual trade, or if you need the trade profit to take the sell decision. + +For example you could implement a stoploss relative to candle when trade was opened, or a custom 1:2 risk-reward ROI. + +!!! Note Returning a `string` or `True` from this method is equal to setting sell signal on a candle at specified time. This method is not called when sell signal is set. `string` max length is 64 characters. Exceeding this limit will raise `OperationalException`. An example of how we can use different indicators depending on the current profit and also sell trades that were open longer than one day: From f2bd70dfc24e74d56cbc8b42c1610fd8785bc41d Mon Sep 17 00:00:00 2001 From: JoeSchr Date: Thu, 29 Apr 2021 13:07:22 +0200 Subject: [PATCH 032/241] Add sentence about how it differs from custom_stoploss() --- docs/strategy-advanced.md | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 68b3f201a..8023a18ab 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -46,7 +46,9 @@ class AwesomeStrategy(IStrategy): It is possible to define custom sell signals, indicating that specified position should be sold. This is very useful when we need to customize sell conditions for each individual trade, or if you need the trade profit to take the sell decision. -For example you could implement a stoploss relative to candle when trade was opened, or a custom 1:2 risk-reward ROI. +For example you could implement a 1:2 risk-reward ROI with `custom_sell()`. + +You should abstain from using custom_sell() signals in place of stoplosses though. It is a inferior method to using `custom_stoploss()` in this regard - which also allows you to keep the stoploss on exchange. !!! Note Returning a `string` or `True` from this method is equal to setting sell signal on a candle at specified time. This method is not called when sell signal is set. `string` max length is 64 characters. Exceeding this limit will raise `OperationalException`. From 4d1613a43265ea039b5b009335343920fe188063 Mon Sep 17 00:00:00 2001 From: Bernd Zeimetz Date: Sat, 24 Apr 2021 13:26:40 +0200 Subject: [PATCH 033/241] Add chunks function. Implementing a generator to split Lists into chunks. --- freqtrade/misc.py | 13 ++++++++++++- 1 file changed, 12 insertions(+), 1 deletion(-) diff --git a/freqtrade/misc.py b/freqtrade/misc.py index 6508363d6..2e255901e 100644 --- a/freqtrade/misc.py +++ b/freqtrade/misc.py @@ -6,7 +6,7 @@ import logging import re from datetime import datetime from pathlib import Path -from typing import Any +from typing import Any, Iterator, List from typing.io import IO import rapidjson @@ -202,3 +202,14 @@ def render_template_with_fallback(templatefile: str, templatefallbackfile: str, return render_template(templatefile, arguments) except TemplateNotFound: return render_template(templatefallbackfile, arguments) + + +def chunks(lst: List[Any], n: int) -> Iterator[List[Any]]: + """ + Split lst into chunks of the size n. + :param lst: list to split into chunks + :param n: number of max elements per chunk + :return: None + """ + for chunk in range(0, len(lst), n): + yield (lst[chunk:chunk + n]) From 3be7bc509c603bc1f40619d61d12c34def88500c Mon Sep 17 00:00:00 2001 From: Bernd Zeimetz Date: Sat, 24 Apr 2021 13:28:24 +0200 Subject: [PATCH 034/241] Telegram: send locks as chunks of 25. Producing easily readable messages, hopefully always below the message lenght limit --- freqtrade/rpc/telegram.py | 25 +++++++++++++------------ 1 file changed, 13 insertions(+), 12 deletions(-) diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index 3eeedcd12..97a01fc53 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -20,7 +20,7 @@ from telegram.utils.helpers import escape_markdown from freqtrade.__init__ import __version__ from freqtrade.constants import DUST_PER_COIN from freqtrade.exceptions import OperationalException -from freqtrade.misc import round_coin_value +from freqtrade.misc import chunks, round_coin_value from freqtrade.rpc import RPC, RPCException, RPCHandler, RPCMessageType @@ -750,17 +750,18 @@ class Telegram(RPCHandler): Handler for /locks. Returns the currently active locks """ - locks = self._rpc._rpc_locks() - message = tabulate([[ - lock['id'], - lock['pair'], - lock['lock_end_time'], - lock['reason']] for lock in locks['locks']], - headers=['ID', 'Pair', 'Until', 'Reason'], - tablefmt='simple') - message = f"
{escape(message)}
" - logger.debug(message) - self._send_msg(message, parse_mode=ParseMode.HTML) + rpc_locks = self._rpc._rpc_locks() + for locks in chunks(rpc_locks['locks'], 25): + message = tabulate([[ + lock['id'], + lock['pair'], + lock['lock_end_time'], + lock['reason']] for lock in locks], + headers=['ID', 'Pair', 'Until', 'Reason'], + tablefmt='simple') + message = f"
{escape(message)}
" + logger.debug(message) + self._send_msg(message, parse_mode=ParseMode.HTML) @authorized_only def _delete_locks(self, update: Update, context: CallbackContext) -> None: From 6763bd447e040af00bfa9457a5916f70ee108f17 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 30 Apr 2021 07:50:33 +0200 Subject: [PATCH 035/241] Fix link to poweredby image --- README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/README.md b/README.md index 916f9cf17..6fd59b62d 100644 --- a/README.md +++ b/README.md @@ -1,4 +1,4 @@ -# ![freqtrade](docs/assets/freqtrade_poweredby.svg) +# ![freqtrade](https://raw.githubusercontent.com/freqtrade/freqtrade/develop/docs/assets/freqtrade_poweredby.svg) [![Freqtrade CI](https://github.com/freqtrade/freqtrade/workflows/Freqtrade%20CI/badge.svg)](https://github.com/freqtrade/freqtrade/actions/) [![Coverage Status](https://coveralls.io/repos/github/freqtrade/freqtrade/badge.svg?branch=develop&service=github)](https://coveralls.io/github/freqtrade/freqtrade?branch=develop) From f3388ed9aa7ae903844213b0f5ca88fd43f7b91b Mon Sep 17 00:00:00 2001 From: Joe Schr Date: Fri, 30 Apr 2021 14:30:37 +0200 Subject: [PATCH 036/241] fix IStrategy: abstract methods still need to pass through return value otherwise doing something like: ```py dataframe = super().populate_indicators(dataframe, ...) ``` won't work, because `dataframe` becomes `None`. This is needed if one of those methods uses dataframe.copy() instead of just working on reference. e.g. using `merge_informative` in `populate_indicator` in a nested class hierarchy --- freqtrade/strategy/interface.py | 3 +++ 1 file changed, 3 insertions(+) diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 645e70e8a..63dcc75d9 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -161,6 +161,7 @@ class IStrategy(ABC, HyperStrategyMixin): :param metadata: Additional information, like the currently traded pair :return: a Dataframe with all mandatory indicators for the strategies """ + return dataframe @abstractmethod def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: @@ -170,6 +171,7 @@ class IStrategy(ABC, HyperStrategyMixin): :param metadata: Additional information, like the currently traded pair :return: DataFrame with buy column """ + return dataframe @abstractmethod def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame: @@ -179,6 +181,7 @@ class IStrategy(ABC, HyperStrategyMixin): :param metadata: Additional information, like the currently traded pair :return: DataFrame with sell column """ + return dataframe def check_buy_timeout(self, pair: str, trade: Trade, order: dict, **kwargs) -> bool: """ From 856b65206bf61b14662f3761c0dba0df560db36d Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 30 Apr 2021 19:42:41 +0200 Subject: [PATCH 037/241] Reduce log-frequency of AgeFilter closes #4840 --- freqtrade/plugins/pairlist/AgeFilter.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/plugins/pairlist/AgeFilter.py b/freqtrade/plugins/pairlist/AgeFilter.py index 8a5379ca6..837e99f2a 100644 --- a/freqtrade/plugins/pairlist/AgeFilter.py +++ b/freqtrade/plugins/pairlist/AgeFilter.py @@ -71,7 +71,7 @@ class AgeFilter(IPairList): daily_candles = candles[(p, '1d')] if (p, '1d') in candles else None if not self._validate_pair_loc(p, daily_candles): pairlist.remove(p) - logger.info(f"Validated {len(pairlist)} pairs.") + self.log_once(f"Validated {len(pairlist)} pairs.", logger.info) return pairlist def _validate_pair_loc(self, pair: str, daily_candles: Optional[DataFrame]) -> bool: From 42a52ff6694c4595e27df7f3c49accb7ae3448c8 Mon Sep 17 00:00:00 2001 From: Boris Pruessmann Date: Sat, 1 May 2021 14:13:21 +0200 Subject: [PATCH 038/241] Docker support for arm64 --- Dockerfile.aarch64 | 58 +++++++++++++++++++++++++++++++++ build_helpers/install_ta-lib.sh | 5 ++- 2 files changed, 62 insertions(+), 1 deletion(-) create mode 100644 Dockerfile.aarch64 diff --git a/Dockerfile.aarch64 b/Dockerfile.aarch64 new file mode 100644 index 000000000..71c10d949 --- /dev/null +++ b/Dockerfile.aarch64 @@ -0,0 +1,58 @@ +FROM --platform=linux/arm64/v8 python:3.9.4-slim-buster as base + +# Setup env +ENV LANG C.UTF-8 +ENV LC_ALL C.UTF-8 +ENV PYTHONDONTWRITEBYTECODE 1 +ENV PYTHONFAULTHANDLER 1 +ENV PATH=/home/ftuser/.local/bin:$PATH +ENV FT_APP_ENV="docker" + +# Prepare environment +RUN mkdir /freqtrade \ + && apt-get update \ + && apt-get -y install libatlas3-base curl sqlite3 libhdf5-serial-dev sudo \ + && apt-get clean \ + && useradd -u 1000 -G sudo -U -m ftuser \ + && chown ftuser:ftuser /freqtrade \ + # Allow sudoers + && echo "ftuser ALL=(ALL) NOPASSWD: /bin/chown" >> /etc/sudoers + +WORKDIR /freqtrade + +# Install dependencies +FROM base as python-deps +RUN apt-get update \ + && apt-get -y install curl build-essential libssl-dev git libffi-dev libgfortran5 pkg-config cmake gcc \ + && apt-get clean \ + && pip install --upgrade pip + +# Install TA-lib +COPY build_helpers/* /tmp/ +RUN cd /tmp && /tmp/install_ta-lib.sh && rm -r /tmp/*ta-lib* +ENV LD_LIBRARY_PATH /usr/local/lib + +# Install dependencies +COPY --chown=ftuser:ftuser requirements.txt requirements-hyperopt.txt /freqtrade/ +USER ftuser +RUN pip install --user --no-cache-dir numpy \ + && pip install --user --no-cache-dir -r requirements-hyperopt.txt + +# Copy dependencies to runtime-image +FROM base as runtime-image +COPY --from=python-deps /usr/local/lib /usr/local/lib +ENV LD_LIBRARY_PATH /usr/local/lib + +COPY --from=python-deps --chown=ftuser:ftuser /home/ftuser/.local /home/ftuser/.local + +USER ftuser +# Install and execute +COPY --chown=ftuser:ftuser . /freqtrade/ + +RUN pip install -e . --user --no-cache-dir \ + && mkdir /freqtrade/user_data/ \ + && freqtrade install-ui + +ENTRYPOINT ["freqtrade"] +# Default to trade mode +CMD [ "trade" ] diff --git a/build_helpers/install_ta-lib.sh b/build_helpers/install_ta-lib.sh index cb86e5f64..dd87cf105 100755 --- a/build_helpers/install_ta-lib.sh +++ b/build_helpers/install_ta-lib.sh @@ -8,10 +8,13 @@ if [ ! -f "${INSTALL_LOC}/lib/libta_lib.a" ]; then tar zxvf ta-lib-0.4.0-src.tar.gz cd ta-lib \ && sed -i.bak "s|0.00000001|0.000000000000000001 |g" src/ta_func/ta_utility.h \ + && curl 'http://git.savannah.gnu.org/gitweb/?p=config.git;a=blob_plain;f=config.guess;hb=HEAD' -o config.guess \ + && curl 'http://git.savannah.gnu.org/gitweb/?p=config.git;a=blob_plain;f=config.sub;hb=HEAD' -o config.sub \ && ./configure --prefix=${INSTALL_LOC}/ \ - && make \ + && make -j$(nproc) \ && which sudo && sudo make install || make install \ && cd .. else echo "TA-lib already installed, skipping installation" fi +# && sed -i.bak "s|0.00000001|0.000000000000000001 |g" src/ta_func/ta_utility.h \ From e050ea8dfa671fd15cc6a124734ad1dfc9b3f82d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Apr 2021 15:33:03 +0200 Subject: [PATCH 039/241] Don't load parameters for other space --- freqtrade/strategy/hyper.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/freqtrade/strategy/hyper.py b/freqtrade/strategy/hyper.py index 32486136d..1848730dd 100644 --- a/freqtrade/strategy/hyper.py +++ b/freqtrade/strategy/hyper.py @@ -284,7 +284,7 @@ class HyperStrategyMixin(object): if not params: logger.info(f"No params for {space} found, using default values.") - for attr_name, attr in self.enumerate_parameters(): + for attr_name, attr in self.enumerate_parameters(space): attr.hyperopt = hyperopt if params and attr_name in params: if attr.load: From e381df9098faa6c3ef998c3aa96bf31ff8336e3d Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 16:36:35 +0200 Subject: [PATCH 040/241] extract has_space to Hyperopt-Tools --- freqtrade/optimize/hyperopt.py | 44 ++++++++++++---------------- freqtrade/optimize/hyperopt_tools.py | 13 +++++++- tests/optimize/test_hyperopt.py | 6 ++-- 3 files changed, 33 insertions(+), 30 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index d1dabff36..361480329 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -114,7 +114,7 @@ class Hyperopt: self.max_open_trades = 0 self.position_stacking = self.config.get('position_stacking', False) - if self.has_space('sell'): + if HyperoptTools.has_space(self.config, 'sell'): # Make sure use_sell_signal is enabled if 'ask_strategy' not in self.config: self.config['ask_strategy'] = {} @@ -175,18 +175,18 @@ class Hyperopt: """ result: Dict = {} - if self.has_space('buy'): + if HyperoptTools.has_space(self.config, 'buy'): result['buy'] = {p.name: params.get(p.name) for p in self.hyperopt_space('buy')} - if self.has_space('sell'): + if HyperoptTools.has_space(self.config, 'sell'): result['sell'] = {p.name: params.get(p.name) for p in self.hyperopt_space('sell')} - if self.has_space('roi'): + if HyperoptTools.has_space(self.config, 'roi'): result['roi'] = self.custom_hyperopt.generate_roi_table(params) - if self.has_space('stoploss'): + if HyperoptTools.has_space(self.config, 'stoploss'): result['stoploss'] = {p.name: params.get(p.name) for p in self.hyperopt_space('stoploss')} - if self.has_space('trailing'): + if HyperoptTools.has_space(self.config, 'trailing'): result['trailing'] = self.custom_hyperopt.generate_trailing_params(params) return result @@ -208,16 +208,6 @@ class Hyperopt: ) self.hyperopt_table_header = 2 - def has_space(self, space: str) -> bool: - """ - Tell if the space value is contained in the configuration - """ - # The 'trailing' space is not included in the 'default' set of spaces - if space == 'trailing': - return any(s in self.config['spaces'] for s in [space, 'all']) - else: - return any(s in self.config['spaces'] for s in [space, 'all', 'default']) - def hyperopt_space(self, space: Optional[str] = None) -> List[Dimension]: """ Return the dimensions in the hyperoptimization space. @@ -227,23 +217,25 @@ class Hyperopt: """ spaces: List[Dimension] = [] - if space == 'buy' or (space is None and self.has_space('buy')): + if space == 'buy' or (space is None and HyperoptTools.has_space(self.config, 'buy')): logger.debug("Hyperopt has 'buy' space") spaces += self.custom_hyperopt.indicator_space() - if space == 'sell' or (space is None and self.has_space('sell')): + if space == 'sell' or (space is None and HyperoptTools.has_space(self.config, 'sell')): logger.debug("Hyperopt has 'sell' space") spaces += self.custom_hyperopt.sell_indicator_space() - if space == 'roi' or (space is None and self.has_space('roi')): + if space == 'roi' or (space is None and HyperoptTools.has_space(self.config, 'roi')): logger.debug("Hyperopt has 'roi' space") spaces += self.custom_hyperopt.roi_space() - if space == 'stoploss' or (space is None and self.has_space('stoploss')): + if space == 'stoploss' or (space is None + and HyperoptTools.has_space(self.config, 'stoploss')): logger.debug("Hyperopt has 'stoploss' space") spaces += self.custom_hyperopt.stoploss_space() - if space == 'trailing' or (space is None and self.has_space('trailing')): + if space == 'trailing' or (space is None + and HyperoptTools.has_space(self.config, 'trailing')): logger.debug("Hyperopt has 'trailing' space") spaces += self.custom_hyperopt.trailing_space() @@ -257,22 +249,22 @@ class Hyperopt: params_dict = self._get_params_dict(raw_params) params_details = self._get_params_details(params_dict) - if self.has_space('roi'): + if HyperoptTools.has_space(self.config, 'roi'): self.backtesting.strategy.minimal_roi = ( # type: ignore self.custom_hyperopt.generate_roi_table(params_dict)) - if self.has_space('buy'): + if HyperoptTools.has_space(self.config, 'buy'): self.backtesting.strategy.advise_buy = ( # type: ignore self.custom_hyperopt.buy_strategy_generator(params_dict)) - if self.has_space('sell'): + if HyperoptTools.has_space(self.config, 'sell'): self.backtesting.strategy.advise_sell = ( # type: ignore self.custom_hyperopt.sell_strategy_generator(params_dict)) - if self.has_space('stoploss'): + if HyperoptTools.has_space(self.config, 'stoploss'): self.backtesting.strategy.stoploss = params_dict['stoploss'] - if self.has_space('trailing'): + if HyperoptTools.has_space(self.config, 'trailing'): d = self.custom_hyperopt.generate_trailing_params(params_dict) self.backtesting.strategy.trailing_stop = d['trailing_stop'] self.backtesting.strategy.trailing_stop_positive = d['trailing_stop_positive'] diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index d4c347f80..c39e0b943 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -4,7 +4,7 @@ import logging from collections import OrderedDict from pathlib import Path from pprint import pformat -from typing import Dict, List +from typing import Any, Dict, List import rapidjson import tabulate @@ -21,6 +21,17 @@ logger = logging.getLogger(__name__) class HyperoptTools(): + @staticmethod + def has_space(config: Dict[str, Any], space: str) -> bool: + """ + Tell if the space value is contained in the configuration + """ + # The 'trailing' space is not included in the 'default' set of spaces + if space == 'trailing': + return any(s in config['spaces'] for s in [space, 'all']) + else: + return any(s in config['spaces'] for s in [space, 'all', 'default']) + @staticmethod def _read_results(results_file: Path) -> List: """ diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 90ff8a1d0..d125cfca3 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -503,10 +503,10 @@ def test_format_results(hyperopt): (['default', 'buy'], {'buy': True, 'sell': True, 'roi': True, 'stoploss': True, 'trailing': False}), ]) -def test_has_space(hyperopt, spaces, expected_results): +def test_has_space(hyperopt_conf, spaces, expected_results): for s in ['buy', 'sell', 'roi', 'stoploss', 'trailing']: - hyperopt.config.update({'spaces': spaces}) - assert hyperopt.has_space(s) == expected_results[s] + hyperopt_conf.update({'spaces': spaces}) + assert HyperoptTools.has_space(hyperopt_conf, s) == expected_results[s] def test_populate_indicators(hyperopt, testdatadir) -> None: From 555262b6e1f2c28ff03b27dc03452efb17029044 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 16:36:53 +0200 Subject: [PATCH 041/241] Only calculate additional indicators if the space is selected --- freqtrade/strategy/hyper.py | 9 ++++++--- tests/optimize/test_hyperopt.py | 2 +- tests/strategy/test_interface.py | 2 +- 3 files changed, 8 insertions(+), 5 deletions(-) diff --git a/freqtrade/strategy/hyper.py b/freqtrade/strategy/hyper.py index 1848730dd..2714ffb43 100644 --- a/freqtrade/strategy/hyper.py +++ b/freqtrade/strategy/hyper.py @@ -7,6 +7,8 @@ from abc import ABC, abstractmethod from contextlib import suppress from typing import Any, Dict, Iterator, Optional, Sequence, Tuple, Union +from freqtrade.optimize.hyperopt_tools import HyperoptTools + with suppress(ImportError): from skopt.space import Integer, Real, Categorical @@ -26,7 +28,7 @@ class BaseParameter(ABC): category: Optional[str] default: Any value: Any - hyperopt: bool = False + in_space: bool = False def __init__(self, *, default: Any, space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): @@ -131,7 +133,7 @@ class IntParameter(NumericParameter): Returns a List with 1 item (`value`) in "non-hyperopt" mode, to avoid calculating 100ds of indicators. """ - if self.hyperopt: + if self.in_space and self.optimize: # Scikit-optimize ranges are "inclusive", while python's "range" is exclusive return range(self.low, self.high + 1) else: @@ -247,6 +249,7 @@ class HyperStrategyMixin(object): """ Initialize hyperoptable strategy mixin. """ + self.config = config self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT) def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]: @@ -285,7 +288,7 @@ class HyperStrategyMixin(object): logger.info(f"No params for {space} found, using default values.") for attr_name, attr in self.enumerate_parameters(space): - attr.hyperopt = hyperopt + attr.in_space = hyperopt and HyperoptTools.has_space(self.config, space) if params and attr_name in params: if attr.load: attr.value = params[attr_name] diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index d125cfca3..5a7f0f32e 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -1108,7 +1108,7 @@ def test_in_strategy_auto_hyperopt(mocker, hyperopt_conf, tmpdir, fee) -> None: assert isinstance(hyperopt.custom_hyperopt, HyperOptAuto) assert isinstance(hyperopt.backtesting.strategy.buy_rsi, IntParameter) - assert hyperopt.backtesting.strategy.buy_rsi.hyperopt is True + assert hyperopt.backtesting.strategy.buy_rsi.in_space is True assert hyperopt.backtesting.strategy.buy_rsi.value == 35 buy_rsi_range = hyperopt.backtesting.strategy.buy_rsi.range assert isinstance(buy_rsi_range, range) diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index bd81bc80c..4ca514349 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -636,7 +636,7 @@ def test_hyperopt_parameters(): assert len(list(intpar.range)) == 1 # Range contains ONLY the default / value. assert list(intpar.range) == [intpar.value] - intpar.hyperopt = True + intpar.in_space = True assert len(list(intpar.range)) == 6 assert list(intpar.range) == [0, 1, 2, 3, 4, 5] From ca0749dfdd6d2b2291bc366f813e070f33a3560e Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 16:58:14 +0200 Subject: [PATCH 042/241] Update strategy-advanced.md --- docs/strategy-advanced.md | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 8023a18ab..0580b2d39 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -50,7 +50,8 @@ For example you could implement a 1:2 risk-reward ROI with `custom_sell()`. You should abstain from using custom_sell() signals in place of stoplosses though. It is a inferior method to using `custom_stoploss()` in this regard - which also allows you to keep the stoploss on exchange. -!!! Note Returning a `string` or `True` from this method is equal to setting sell signal on a candle at specified time. This method is not called when sell signal is set. `string` max length is 64 characters. Exceeding this limit will raise `OperationalException`. +!!! Note + Returning a `string` or `True` from this method is equal to setting sell signal on a candle at specified time. This method is not called when sell signal is set already, or if sell signals are disabled (`use_sell_signal=False`). `string` max length is 64 characters. Exceeding this limit will cause the message to be truncated to 64 characters. An example of how we can use different indicators depending on the current profit and also sell trades that were open longer than one day: From 0b280a59bc4413e46e4277b2a66e95d3baca3378 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 17:29:53 +0200 Subject: [PATCH 043/241] Support per exchange params for OHLCV endpoint --- freqtrade/exchange/__init__.py | 1 + freqtrade/exchange/exchange.py | 15 +++++---------- freqtrade/exchange/hitbtc.py | 26 ++++++++++++++++++++++++++ 3 files changed, 32 insertions(+), 10 deletions(-) create mode 100644 freqtrade/exchange/hitbtc.py diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py index 889bb49c2..23ba2eb10 100644 --- a/freqtrade/exchange/__init__.py +++ b/freqtrade/exchange/__init__.py @@ -14,5 +14,6 @@ from freqtrade.exchange.exchange import (available_exchanges, ccxt_exchanges, timeframe_to_seconds, validate_exchange, validate_exchanges) from freqtrade.exchange.ftx import Ftx +from freqtrade.exchange.hitbtc import Hitbtc from freqtrade.exchange.kraken import Kraken from freqtrade.exchange.kucoin import Kucoin diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py index 809cdb4e1..6642b946d 100644 --- a/freqtrade/exchange/exchange.py +++ b/freqtrade/exchange/exchange.py @@ -59,6 +59,7 @@ class Exchange: _ft_has_default: Dict = { "stoploss_on_exchange": False, "order_time_in_force": ["gtc"], + "ohlcv_params": {}, "ohlcv_candle_limit": 500, "ohlcv_partial_candle": True, "trades_pagination": "time", # Possible are "time" or "id" @@ -874,17 +875,11 @@ class Exchange: "Fetching pair %s, interval %s, since %s %s...", pair, timeframe, since_ms, s ) - #fixing support for HitBTC #4778 - if self.name== 'HitBTC': - data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe, - since=since_ms, - limit=self.ohlcv_candle_limit(timeframe), - params={"sort": "DESC"} - ) - else: - data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe, + params = self._ft_has.get('ohlcv_params', {}) + data = await self._api_async.fetch_ohlcv(pair, timeframe=timeframe, since=since_ms, - limit=self.ohlcv_candle_limit(timeframe)) + limit=self.ohlcv_candle_limit(timeframe), + params=params) # Some exchanges sort OHLCV in ASC order and others in DESC. # Ex: Bittrex returns the list of OHLCV in ASC order (oldest first, newest last) diff --git a/freqtrade/exchange/hitbtc.py b/freqtrade/exchange/hitbtc.py new file mode 100644 index 000000000..b9d32b56d --- /dev/null +++ b/freqtrade/exchange/hitbtc.py @@ -0,0 +1,26 @@ +""" hitbtx exchange subclass """ +import logging +from typing import Dict + +from freqtrade.exchange import Exchange + + +logger = logging.getLogger(__name__) + + +class Hitbtc(Exchange): + """ + Hitbtc exchange class. Contains adjustments needed for Freqtrade to work + with this exchange. + + Please note that this exchange is not included in the list of exchanges + officially supported by the Freqtrade development team. So some features + may still not work as expected. + """ + + # fetchCurrencies API point requires authentication for Hitbtc, + _ft_has: Dict = { + "ohlcv_candle_limit": 1000, + + "ohlcv_params": {"sort": "DESC"} + } From bdd0184f0bdd9329d9aaada8f7fbf91146fe0d41 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 17:44:43 +0200 Subject: [PATCH 044/241] Small stylistic fixes --- freqtrade/exchange/hitbtc.py | 2 -- 1 file changed, 2 deletions(-) diff --git a/freqtrade/exchange/hitbtc.py b/freqtrade/exchange/hitbtc.py index b9d32b56d..763535263 100644 --- a/freqtrade/exchange/hitbtc.py +++ b/freqtrade/exchange/hitbtc.py @@ -1,4 +1,3 @@ -""" hitbtx exchange subclass """ import logging from typing import Dict @@ -21,6 +20,5 @@ class Hitbtc(Exchange): # fetchCurrencies API point requires authentication for Hitbtc, _ft_has: Dict = { "ohlcv_candle_limit": 1000, - "ohlcv_params": {"sort": "DESC"} } From ac2e1eb3d750ac79dfb692f7fa1c6fce4fda5536 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 08:44:16 +0200 Subject: [PATCH 045/241] Don't import joblib for regular strategies --- freqtrade/optimize/hyperopt_tools.py | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index c39e0b943..a223a68bb 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -9,7 +9,6 @@ from typing import Any, Dict, List import rapidjson import tabulate from colorama import Fore, Style -from joblib import load from pandas import isna, json_normalize from freqtrade.exceptions import OperationalException @@ -37,6 +36,8 @@ class HyperoptTools(): """ Read hyperopt results from file """ + from joblib import load + logger.info("Reading epochs from '%s'", results_file) data = load(results_file) return data From c45204a2c4ef106bde1a37288a6d2f054de9864f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 08:59:21 +0200 Subject: [PATCH 046/241] Fix failing mocks --- tests/optimize/test_hyperopt.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 5a7f0f32e..cd405c52f 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -340,7 +340,7 @@ def test_save_results_saves_epochs(mocker, hyperopt, testdatadir, caplog) -> Non def test_read_results_returns_epochs(mocker, hyperopt, testdatadir, caplog) -> None: epochs = create_results(mocker, hyperopt, testdatadir) - mock_load = mocker.patch('freqtrade.optimize.hyperopt_tools.load', return_value=epochs) + mock_load = mocker.patch('joblib.load', return_value=epochs) results_file = testdatadir / 'optimize' / 'ut_results.pickle' hyperopt_epochs = HyperoptTools._read_results(results_file) assert log_has(f"Reading epochs from '{results_file}'", caplog) @@ -350,7 +350,7 @@ def test_read_results_returns_epochs(mocker, hyperopt, testdatadir, caplog) -> N def test_load_previous_results(mocker, hyperopt, testdatadir, caplog) -> None: epochs = create_results(mocker, hyperopt, testdatadir) - mock_load = mocker.patch('freqtrade.optimize.hyperopt_tools.load', return_value=epochs) + mock_load = mocker.patch('joblib.load', return_value=epochs) mocker.patch.object(Path, 'is_file', MagicMock(return_value=True)) statmock = MagicMock() statmock.st_size = 5 @@ -364,7 +364,7 @@ def test_load_previous_results(mocker, hyperopt, testdatadir, caplog) -> None: mock_load.assert_called_once() del epochs[0]['is_best'] - mock_load = mocker.patch('freqtrade.optimize.hyperopt_tools.load', return_value=epochs) + mock_load = mocker.patch('joblib.load', return_value=epochs) with pytest.raises(OperationalException): HyperoptTools.load_previous_results(results_file) From b125c975c746a6de9f16883906b2892eba7d2dd2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Apr 2021 15:34:15 +0200 Subject: [PATCH 047/241] Rename strategy_comparison method --- freqtrade/optimize/optimize_reports.py | 4 ++-- tests/optimize/test_backtesting.py | 2 +- tests/optimize/test_optimize_reports.py | 4 ++-- 3 files changed, 5 insertions(+), 5 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index a80dc5d31..91ca619be 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -153,7 +153,7 @@ def generate_sell_reason_stats(max_open_trades: int, results: DataFrame) -> List return tabular_data -def generate_strategy_metrics(all_results: Dict) -> List[Dict]: +def generate_strategy_comparison(all_results: Dict) -> List[Dict]: """ Generate summary per strategy :param all_results: Dict of containing results for all strategies @@ -370,7 +370,7 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], 'csum_max': 0 }) - strategy_results = generate_strategy_metrics(all_results=all_results) + strategy_results = generate_strategy_comparison(all_results=all_results) result['strategy_comparison'] = strategy_results diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 00114be5b..39625978b 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -817,7 +817,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): text_table_strategy=strattable_mock, generate_pair_metrics=MagicMock(), generate_sell_reason_stats=sell_reason_mock, - generate_strategy_metrics=strat_summary, + generate_strategy_comparison=strat_summary, generate_daily_stats=MagicMock(), ) patched_configuration_load_config_file(mocker, default_conf) diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 8119c732b..83a555eab 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -14,7 +14,7 @@ from freqtrade.edge import PairInfo from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_daily_stats, generate_edge_table, generate_pair_metrics, generate_sell_reason_stats, - generate_strategy_metrics, store_backtest_stats, + generate_strategy_comparison, store_backtest_stats, text_table_bt_results, text_table_sell_reason, text_table_strategy) from freqtrade.resolvers.strategy_resolver import StrategyResolver @@ -345,7 +345,7 @@ def test_text_table_strategy(default_conf): ' 43.33 | 0:20:00 | 3 | 0 | 0 |' ) - strategy_results = generate_strategy_metrics(all_results=results) + strategy_results = generate_strategy_comparison(all_results=results) assert text_table_strategy(strategy_results, 'BTC') == result_str From 9994fce5778efe937866a8fdc26dc95abe8fdfa7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Apr 2021 15:44:21 +0200 Subject: [PATCH 048/241] Extract generation of report for one strategy to it's own method --- freqtrade/optimize/optimize_reports.py | 257 +++++++++++++------------ 1 file changed, 139 insertions(+), 118 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 91ca619be..682483adb 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -235,6 +235,142 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: } +def generate_strategy_stats(btdata: Dict[str, DataFrame], + strategy: str, + content: Dict[str, Any], + min_date: Arrow, max_date: Arrow, + market_change: float + ) -> Dict[str, Any]: + """ + :param btdata: Backtest data + :param strategy: Strategy name + :param content: Backtest result data in the format: + {'results: results, 'config: config}}. + :param min_date: Backtest start date + :param max_date: Backtest end date + :param market_change: float indicating the market change + :return: Dictionary containing results per strategy and a stratgy summary. + """ + results: Dict[str, DataFrame] = content['results'] + if not isinstance(results, DataFrame): + return + config = content['config'] + max_open_trades = min(config['max_open_trades'], len(btdata.keys())) + starting_balance = config['dry_run_wallet'] + stake_currency = config['stake_currency'] + + pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency, + starting_balance=starting_balance, + results=results, skip_nan=False) + sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades, + results=results) + left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency, + starting_balance=starting_balance, + results=results.loc[results['is_open']], + skip_nan=True) + daily_stats = generate_daily_stats(results) + best_pair = max([pair for pair in pair_results if pair['key'] != 'TOTAL'], + key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None + worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'], + key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None + results['open_timestamp'] = results['open_date'].astype(int64) // 1e6 + results['close_timestamp'] = results['close_date'].astype(int64) // 1e6 + + backtest_days = (max_date - min_date).days + strat_stats = { + 'trades': results.to_dict(orient='records'), + 'locks': [lock.to_json() for lock in content['locks']], + 'best_pair': best_pair, + 'worst_pair': worst_pair, + 'results_per_pair': pair_results, + 'sell_reason_summary': sell_reason_stats, + 'left_open_trades': left_open_results, + 'total_trades': len(results), + 'total_volume': float(results['stake_amount'].sum()), + 'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0, + 'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0, + 'profit_total': results['profit_abs'].sum() / starting_balance, + 'profit_total_abs': results['profit_abs'].sum(), + 'backtest_start': min_date.datetime, + 'backtest_start_ts': min_date.int_timestamp * 1000, + 'backtest_end': max_date.datetime, + 'backtest_end_ts': max_date.int_timestamp * 1000, + 'backtest_days': backtest_days, + + 'backtest_run_start_ts': content['backtest_start_time'], + 'backtest_run_end_ts': content['backtest_end_time'], + + 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0, + 'market_change': market_change, + 'pairlist': list(btdata.keys()), + 'stake_amount': config['stake_amount'], + 'stake_currency': config['stake_currency'], + 'stake_currency_decimals': decimals_per_coin(config['stake_currency']), + 'starting_balance': starting_balance, + 'dry_run_wallet': starting_balance, + 'final_balance': content['final_balance'], + 'max_open_trades': max_open_trades, + 'max_open_trades_setting': (config['max_open_trades'] + if config['max_open_trades'] != float('inf') else -1), + 'timeframe': config['timeframe'], + 'timerange': config.get('timerange', ''), + 'enable_protections': config.get('enable_protections', False), + 'strategy_name': strategy, + # Parameters relevant for backtesting + 'stoploss': config['stoploss'], + 'trailing_stop': config.get('trailing_stop', False), + 'trailing_stop_positive': config.get('trailing_stop_positive'), + 'trailing_stop_positive_offset': config.get('trailing_stop_positive_offset', 0.0), + 'trailing_only_offset_is_reached': config.get('trailing_only_offset_is_reached', False), + 'use_custom_stoploss': config.get('use_custom_stoploss', False), + 'minimal_roi': config['minimal_roi'], + 'use_sell_signal': config['ask_strategy']['use_sell_signal'], + 'sell_profit_only': config['ask_strategy']['sell_profit_only'], + 'sell_profit_offset': config['ask_strategy']['sell_profit_offset'], + 'ignore_roi_if_buy_signal': config['ask_strategy']['ignore_roi_if_buy_signal'], + **daily_stats, + } + + try: + max_drawdown, _, _, _, _ = calculate_max_drawdown( + results, value_col='profit_ratio') + drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown( + results, value_col='profit_abs') + strat_stats.update({ + 'max_drawdown': max_drawdown, + 'max_drawdown_abs': drawdown_abs, + 'drawdown_start': drawdown_start, + 'drawdown_start_ts': drawdown_start.timestamp() * 1000, + 'drawdown_end': drawdown_end, + 'drawdown_end_ts': drawdown_end.timestamp() * 1000, + + 'max_drawdown_low': low_val, + 'max_drawdown_high': high_val, + }) + + csum_min, csum_max = calculate_csum(results, starting_balance) + strat_stats.update({ + 'csum_min': csum_min, + 'csum_max': csum_max + }) + + except ValueError: + strat_stats.update({ + 'max_drawdown': 0.0, + 'max_drawdown_abs': 0.0, + 'max_drawdown_low': 0.0, + 'max_drawdown_high': 0.0, + 'drawdown_start': datetime(1970, 1, 1, tzinfo=timezone.utc), + 'drawdown_start_ts': 0, + 'drawdown_end': datetime(1970, 1, 1, tzinfo=timezone.utc), + 'drawdown_end_ts': 0, + 'csum_min': 0, + 'csum_max': 0 + }) + + return strat_stats + + def generate_backtest_stats(btdata: Dict[str, DataFrame], all_results: Dict[str, Dict[str, Union[DataFrame, Dict]]], min_date: Arrow, max_date: Arrow @@ -245,131 +381,16 @@ def generate_backtest_stats(btdata: Dict[str, DataFrame], { Strategy: {'results: results, 'config: config}}. :param min_date: Backtest start date :param max_date: Backtest end date - :return: - Dictionary containing results per strategy and a stratgy summary. + :return: Dictionary containing results per strategy and a stratgy summary. """ result: Dict[str, Any] = {'strategy': {}} market_change = calculate_market_change(btdata, 'close') for strategy, content in all_results.items(): - results: Dict[str, DataFrame] = content['results'] - if not isinstance(results, DataFrame): - continue - config = content['config'] - max_open_trades = min(config['max_open_trades'], len(btdata.keys())) - starting_balance = config['dry_run_wallet'] - stake_currency = config['stake_currency'] - - pair_results = generate_pair_metrics(btdata, stake_currency=stake_currency, - starting_balance=starting_balance, - results=results, skip_nan=False) - sell_reason_stats = generate_sell_reason_stats(max_open_trades=max_open_trades, - results=results) - left_open_results = generate_pair_metrics(btdata, stake_currency=stake_currency, - starting_balance=starting_balance, - results=results.loc[results['is_open']], - skip_nan=True) - daily_stats = generate_daily_stats(results) - best_pair = max([pair for pair in pair_results if pair['key'] != 'TOTAL'], - key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None - worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'], - key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None - results['open_timestamp'] = results['open_date'].astype(int64) // 1e6 - results['close_timestamp'] = results['close_date'].astype(int64) // 1e6 - - backtest_days = (max_date - min_date).days - strat_stats = { - 'trades': results.to_dict(orient='records'), - 'locks': [lock.to_json() for lock in content['locks']], - 'best_pair': best_pair, - 'worst_pair': worst_pair, - 'results_per_pair': pair_results, - 'sell_reason_summary': sell_reason_stats, - 'left_open_trades': left_open_results, - 'total_trades': len(results), - 'total_volume': float(results['stake_amount'].sum()), - 'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0, - 'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0, - 'profit_total': results['profit_abs'].sum() / starting_balance, - 'profit_total_abs': results['profit_abs'].sum(), - 'backtest_start': min_date.datetime, - 'backtest_start_ts': min_date.int_timestamp * 1000, - 'backtest_end': max_date.datetime, - 'backtest_end_ts': max_date.int_timestamp * 1000, - 'backtest_days': backtest_days, - - 'backtest_run_start_ts': content['backtest_start_time'], - 'backtest_run_end_ts': content['backtest_end_time'], - - 'trades_per_day': round(len(results) / backtest_days, 2) if backtest_days > 0 else 0, - 'market_change': market_change, - 'pairlist': list(btdata.keys()), - 'stake_amount': config['stake_amount'], - 'stake_currency': config['stake_currency'], - 'stake_currency_decimals': decimals_per_coin(config['stake_currency']), - 'starting_balance': starting_balance, - 'dry_run_wallet': starting_balance, - 'final_balance': content['final_balance'], - 'max_open_trades': max_open_trades, - 'max_open_trades_setting': (config['max_open_trades'] - if config['max_open_trades'] != float('inf') else -1), - 'timeframe': config['timeframe'], - 'timerange': config.get('timerange', ''), - 'enable_protections': config.get('enable_protections', False), - 'strategy_name': strategy, - # Parameters relevant for backtesting - 'stoploss': config['stoploss'], - 'trailing_stop': config.get('trailing_stop', False), - 'trailing_stop_positive': config.get('trailing_stop_positive'), - 'trailing_stop_positive_offset': config.get('trailing_stop_positive_offset', 0.0), - 'trailing_only_offset_is_reached': config.get('trailing_only_offset_is_reached', False), - 'use_custom_stoploss': config.get('use_custom_stoploss', False), - 'minimal_roi': config['minimal_roi'], - 'use_sell_signal': config['ask_strategy']['use_sell_signal'], - 'sell_profit_only': config['ask_strategy']['sell_profit_only'], - 'sell_profit_offset': config['ask_strategy']['sell_profit_offset'], - 'ignore_roi_if_buy_signal': config['ask_strategy']['ignore_roi_if_buy_signal'], - **daily_stats, - } + strat_stats = generate_strategy_stats(btdata, strategy, content, + min_date, max_date, market_change=market_change) result['strategy'][strategy] = strat_stats - try: - max_drawdown, _, _, _, _ = calculate_max_drawdown( - results, value_col='profit_ratio') - drawdown_abs, drawdown_start, drawdown_end, high_val, low_val = calculate_max_drawdown( - results, value_col='profit_abs') - strat_stats.update({ - 'max_drawdown': max_drawdown, - 'max_drawdown_abs': drawdown_abs, - 'drawdown_start': drawdown_start, - 'drawdown_start_ts': drawdown_start.timestamp() * 1000, - 'drawdown_end': drawdown_end, - 'drawdown_end_ts': drawdown_end.timestamp() * 1000, - - 'max_drawdown_low': low_val, - 'max_drawdown_high': high_val, - }) - - csum_min, csum_max = calculate_csum(results, starting_balance) - strat_stats.update({ - 'csum_min': csum_min, - 'csum_max': csum_max - }) - - except ValueError: - strat_stats.update({ - 'max_drawdown': 0.0, - 'max_drawdown_abs': 0.0, - 'max_drawdown_low': 0.0, - 'max_drawdown_high': 0.0, - 'drawdown_start': datetime(1970, 1, 1, tzinfo=timezone.utc), - 'drawdown_start_ts': 0, - 'drawdown_end': datetime(1970, 1, 1, tzinfo=timezone.utc), - 'drawdown_end_ts': 0, - 'csum_min': 0, - 'csum_max': 0 - }) - strategy_results = generate_strategy_comparison(all_results=all_results) result['strategy_comparison'] = strategy_results From 545cba7fd833d7e9b400e34661ae44e60e9437f1 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 25 Apr 2021 19:28:32 +0200 Subject: [PATCH 049/241] Refactor optimize_report we should not calculate non-daily statistics in the daily stats method --- freqtrade/optimize/optimize_reports.py | 42 +++++++++++++++++++------ tests/optimize/test_optimize_reports.py | 21 +++++++++++-- 2 files changed, 51 insertions(+), 12 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 682483adb..77259df87 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -194,7 +194,37 @@ def generate_edge_table(results: dict) -> str: floatfmt=floatfmt, tablefmt="orgtbl", stralign="right") # type: ignore +def generate_trading_stats(results: DataFrame) -> Dict[str, Any]: + """ Generate overall trade statistics """ + if len(results) == 0: + return { + 'wins': 0, + 'losses': 0, + 'draws': 0, + 'holding_avg': timedelta(), + 'winner_holding_avg': timedelta(), + 'loser_holding_avg': timedelta(), + } + + winning_trades = results.loc[results['profit_ratio'] > 0] + draw_trades = results.loc[results['profit_ratio'] == 0] + losing_trades = results.loc[results['profit_ratio'] < 0] + + return { + 'wins': len(winning_trades), + 'losses': len(losing_trades), + 'draws': len(draw_trades), + 'holding_avg': (timedelta(minutes=round(results['trade_duration'].mean())) + if not results.empty else timedelta()), + 'winner_holding_avg': (timedelta(minutes=round(winning_trades['trade_duration'].mean())) + if not winning_trades.empty else timedelta()), + 'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean())) + if not losing_trades.empty else timedelta()), + } + + def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: + """ Generate daily statistics """ if len(results) == 0: return { 'backtest_best_day': 0, @@ -204,8 +234,6 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: 'winning_days': 0, 'draw_days': 0, 'losing_days': 0, - 'winner_holding_avg': timedelta(), - 'loser_holding_avg': timedelta(), } daily_profit_rel = results.resample('1d', on='close_date')['profit_ratio'].sum() daily_profit = results.resample('1d', on='close_date')['profit_abs'].sum().round(10) @@ -217,9 +245,6 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: draw_days = sum(daily_profit == 0) losing_days = sum(daily_profit < 0) - winning_trades = results.loc[results['profit_ratio'] > 0] - losing_trades = results.loc[results['profit_ratio'] < 0] - return { 'backtest_best_day': best_rel, 'backtest_worst_day': worst_rel, @@ -228,10 +253,6 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: 'winning_days': winning_days, 'draw_days': draw_days, 'losing_days': losing_days, - 'winner_holding_avg': (timedelta(minutes=round(winning_trades['trade_duration'].mean())) - if not winning_trades.empty else timedelta()), - 'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean())) - if not losing_trades.empty else timedelta()), } @@ -269,6 +290,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], results=results.loc[results['is_open']], skip_nan=True) daily_stats = generate_daily_stats(results) + trade_stats = generate_trading_stats(results) best_pair = max([pair for pair in pair_results if pair['key'] != 'TOTAL'], key=lambda x: x['profit_sum']) if len(pair_results) > 1 else None worst_pair = min([pair for pair in pair_results if pair['key'] != 'TOTAL'], @@ -289,6 +311,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], 'total_volume': float(results['stake_amount'].sum()), 'avg_stake_amount': results['stake_amount'].mean() if len(results) > 0 else 0, 'profit_mean': results['profit_ratio'].mean() if len(results) > 0 else 0, + 'profit_median': results['profit_ratio'].median() if len(results) > 0 else 0, 'profit_total': results['profit_abs'].sum() / starting_balance, 'profit_total_abs': results['profit_abs'].sum(), 'backtest_start': min_date.datetime, @@ -329,6 +352,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], 'sell_profit_offset': config['ask_strategy']['sell_profit_offset'], 'ignore_roi_if_buy_signal': config['ask_strategy']['ignore_roi_if_buy_signal'], **daily_stats, + **trade_stats } try: diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index 83a555eab..b268ebadc 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -14,7 +14,7 @@ from freqtrade.edge import PairInfo from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_daily_stats, generate_edge_table, generate_pair_metrics, generate_sell_reason_stats, - generate_strategy_comparison, store_backtest_stats, + generate_strategy_comparison, generate_trading_stats, store_backtest_stats, text_table_bt_results, text_table_sell_reason, text_table_strategy) from freqtrade.resolvers.strategy_resolver import StrategyResolver @@ -226,8 +226,6 @@ def test_generate_daily_stats(testdatadir): assert res['winning_days'] == 14 assert res['draw_days'] == 4 assert res['losing_days'] == 3 - assert res['winner_holding_avg'] == timedelta(seconds=1440) - assert res['loser_holding_avg'] == timedelta(days=1, seconds=21420) # Select empty dataframe! res = generate_daily_stats(bt_data.loc[bt_data['open_date'] == '2000-01-01', :]) @@ -238,6 +236,23 @@ def test_generate_daily_stats(testdatadir): assert res['losing_days'] == 0 +def test_generate_trading_stats(testdatadir): + filename = testdatadir / "backtest-result_new.json" + bt_data = load_backtest_data(filename) + res = generate_trading_stats(bt_data) + assert isinstance(res, dict) + assert res['winner_holding_avg'] == timedelta(seconds=1440) + assert res['loser_holding_avg'] == timedelta(days=1, seconds=21420) + assert 'wins' in res + assert 'losses' in res + assert 'draws' in res + + # Select empty dataframe! + res = generate_trading_stats(bt_data.loc[bt_data['open_date'] == '2000-01-01', :]) + assert res['wins'] == 0 + assert res['losses'] == 0 + + def test_text_table_sell_reason(): results = pd.DataFrame( From 6aaaad29d7edfb095ca83ab7ad3342663f74e7cb Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 28 Apr 2021 22:33:58 +0200 Subject: [PATCH 050/241] Use backtesting output for hyperopt results --- freqtrade/optimize/hyperopt.py | 68 ++++++++++++++-------------- freqtrade/optimize/hyperopt_tools.py | 41 +++++++++++------ 2 files changed, 61 insertions(+), 48 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 361480329..468dfd873 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -8,7 +8,7 @@ import locale import logging import random import warnings -from datetime import datetime +from datetime import datetime, timezone from math import ceil from operator import itemgetter from pathlib import Path @@ -30,6 +30,8 @@ from freqtrade.optimize.hyperopt_auto import HyperOptAuto from freqtrade.optimize.hyperopt_interface import IHyperOpt # noqa: F401 from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F401 from freqtrade.optimize.hyperopt_tools import HyperoptTools +from freqtrade.optimize.optimize_reports import generate_strategy_stats +from freqtrade.persistence.pairlock_middleware import PairLocks from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver, HyperOptResolver from freqtrade.strategy import IStrategy @@ -79,9 +81,8 @@ class Hyperopt: self.calculate_loss = self.custom_hyperoptloss.hyperopt_loss_function time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S") strategy = str(self.config['strategy']) - self.results_file = (self.config['user_data_dir'] / - 'hyperopt_results' / - f'strategy_{strategy}_hyperopt_results_{time_now}.pickle') + self.results_file: Path = (self.config['user_data_dir'] / 'hyperopt_results' / + f'strategy_{strategy}_hyperopt_results_{time_now}.pickle') self.data_pickle_file = (self.config['user_data_dir'] / 'hyperopt_results' / 'hyperopt_tickerdata.pkl') self.total_epochs = config.get('epochs', 0) @@ -246,6 +247,7 @@ class Hyperopt: Used Optimize function. Called once per epoch to optimize whatever is configured. Keep this function as optimized as possible! """ + backtest_start_time = datetime.now(timezone.utc) params_dict = self._get_params_dict(raw_params) params_details = self._get_params_details(params_dict) @@ -284,19 +286,31 @@ class Hyperopt: max_open_trades=self.max_open_trades, position_stacking=self.position_stacking, enable_protections=self.config.get('enable_protections', False), - ) - return self._get_results_dict(backtesting_results, min_date, max_date, + backtest_end_time = datetime.now(timezone.utc) + + bt_result = { + 'results': backtesting_results, + 'config': self.backtesting.strategy.config, + 'locks': PairLocks.get_all_locks(), + 'final_balance': self.backtesting.wallets.get_total( + self.backtesting.strategy.config['stake_currency']), + 'backtest_start_time': int(backtest_start_time.timestamp()), + 'backtest_end_time': int(backtest_end_time.timestamp()), + } + return self._get_results_dict(bt_result, min_date, max_date, params_dict, params_details, processed=processed) def _get_results_dict(self, backtesting_results, min_date, max_date, params_dict, params_details, processed: Dict[str, DataFrame]): - results_metrics = self._calculate_results_metrics(backtesting_results) - results_explanation = self._format_results_explanation_string(results_metrics) - trade_count = results_metrics['trade_count'] - total_profit = results_metrics['total_profit'] + strat_stats = generate_strategy_stats(processed, '', backtesting_results, + min_date, max_date, market_change=0) + results_explanation = self._format_results_explanation_string(strat_stats) + + trade_count = strat_stats['total_trades'] + total_profit = strat_stats['profit_total'] # If this evaluation contains too short amount of trades to be # interesting -- consider it as 'bad' (assigned max. loss value) @@ -304,48 +318,32 @@ class Hyperopt: # path. We do not want to optimize 'hodl' strategies. loss: float = MAX_LOSS if trade_count >= self.config['hyperopt_min_trades']: - loss = self.calculate_loss(results=backtesting_results, trade_count=trade_count, + loss = self.calculate_loss(results=backtesting_results['results'], + trade_count=trade_count, min_date=min_date.datetime, max_date=max_date.datetime, config=self.config, processed=processed) return { 'loss': loss, 'params_dict': params_dict, 'params_details': params_details, - 'results_metrics': results_metrics, + 'results_metrics': strat_stats, 'results_explanation': results_explanation, 'total_profit': total_profit, } - def _calculate_results_metrics(self, backtesting_results: DataFrame) -> Dict: - wins = len(backtesting_results[backtesting_results['profit_ratio'] > 0]) - draws = len(backtesting_results[backtesting_results['profit_ratio'] == 0]) - losses = len(backtesting_results[backtesting_results['profit_ratio'] < 0]) - return { - 'trade_count': len(backtesting_results.index), - 'wins': wins, - 'draws': draws, - 'losses': losses, - 'winsdrawslosses': f"{wins:>4} {draws:>4} {losses:>4}", - 'avg_profit': backtesting_results['profit_ratio'].mean() * 100.0, - 'median_profit': backtesting_results['profit_ratio'].median() * 100.0, - 'total_profit': backtesting_results['profit_abs'].sum(), - 'profit': backtesting_results['profit_ratio'].sum() * 100.0, - 'duration': backtesting_results['trade_duration'].mean(), - } - def _format_results_explanation_string(self, results_metrics: Dict) -> str: """ Return the formatted results explanation in a string """ stake_cur = self.config['stake_currency'] - return (f"{results_metrics['trade_count']:6d} trades. " + return (f"{results_metrics['total_trades']:6d} trades. " f"{results_metrics['wins']}/{results_metrics['draws']}" f"/{results_metrics['losses']} Wins/Draws/Losses. " - f"Avg profit {results_metrics['avg_profit']: 6.2f}%. " - f"Median profit {results_metrics['median_profit']: 6.2f}%. " - f"Total profit {results_metrics['total_profit']: 11.8f} {stake_cur} " - f"({results_metrics['profit']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). " - f"Avg duration {results_metrics['duration']:5.1f} min." + f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. " + f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. " + f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_cur} " + f"({results_metrics['profit_total']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). " + f"Avg duration {results_metrics['holding_avg']} min." ).encode(locale.getpreferredencoding(), 'replace').decode('utf-8') def get_optimizer(self, dimensions: List[Dimension], cpu_count) -> Optimizer: diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index a223a68bb..1635c0588 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -12,7 +12,7 @@ from colorama import Fore, Style from pandas import isna, json_normalize from freqtrade.exceptions import OperationalException -from freqtrade.misc import round_dict +from freqtrade.misc import round_coin_value, round_dict logger = logging.getLogger(__name__) @@ -169,11 +169,24 @@ class HyperoptTools(): # Ensure compatibility with older versions of hyperopt results trials['results_metrics.winsdrawslosses'] = 'N/A' - trials = trials[['Best', 'current_epoch', 'results_metrics.trade_count', - 'results_metrics.winsdrawslosses', - 'results_metrics.avg_profit', 'results_metrics.total_profit', - 'results_metrics.profit', 'results_metrics.duration', - 'loss', 'is_initial_point', 'is_best']] + if 'results_metrics.total_trades' in trials: + # New mode, using backtest result for metrics + trials['results_metrics.winsdrawslosses'] = trials.apply( + lambda x: f"{x['results_metrics.wins']} {x['results_metrics.draws']:>4} " + f"{x['results_metrics.losses']:>4}", axis=1) + trials = trials[['Best', 'current_epoch', 'results_metrics.total_trades', + 'results_metrics.winsdrawslosses', + 'results_metrics.profit_mean', 'results_metrics.profit_total_abs', + 'results_metrics.profit_total', 'results_metrics.holding_avg', + 'loss', 'is_initial_point', 'is_best']] + else: + # Legacy mode + trials = trials[['Best', 'current_epoch', 'results_metrics.trade_count', + 'results_metrics.winsdrawslosses', + 'results_metrics.avg_profit', 'results_metrics.total_profit', + 'results_metrics.profit', 'results_metrics.duration', + 'loss', 'is_initial_point', 'is_best']] + trials.columns = ['Best', 'Epoch', 'Trades', ' Win Draw Loss', 'Avg profit', 'Total profit', 'Profit', 'Avg duration', 'Objective', 'is_initial_point', 'is_best'] @@ -188,21 +201,23 @@ class HyperoptTools(): lambda x: '{}/{}'.format(str(x).rjust(len(str(total_epochs)), ' '), total_epochs) ) trials['Avg profit'] = trials['Avg profit'].apply( - lambda x: '{:,.2f}%'.format(x).rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ') + lambda x: f'{x:,.2f}%'.rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ') ) trials['Avg duration'] = trials['Avg duration'].apply( - lambda x: '{:,.1f} m'.format(x).rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ') + lambda x: f'{x:,.1f} m'.rjust(7, ' ') if isinstance(x, float) else f"{x}" + if not isna(x) else "--".rjust(7, ' ') ) trials['Objective'] = trials['Objective'].apply( - lambda x: '{:,.5f}'.format(x).rjust(8, ' ') if x != 100000 else "N/A".rjust(8, ' ') + lambda x: f'{x:,.5f}'.rjust(8, ' ') if x != 100000 else "N/A".rjust(8, ' ') ) + stake_currency = config['stake_currency'] trials['Profit'] = trials.apply( - lambda x: '{:,.8f} {} {}'.format( - x['Total profit'], config['stake_currency'], + lambda x: '{} {}'.format( + round_coin_value(x['Total profit'], stake_currency), '({:,.2f}%)'.format(x['Profit']).rjust(10, ' ') - ).rjust(25+len(config['stake_currency'])) - if x['Total profit'] != 0.0 else '--'.rjust(25+len(config['stake_currency'])), + ).rjust(25+len(stake_currency)) + if x['Total profit'] != 0.0 else '--'.rjust(25+len(stake_currency)), axis=1 ) trials = trials.drop(columns=['Total profit']) From 852f12534746e886f46227f1c610efe9786b5d0f Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Apr 2021 20:17:13 +0200 Subject: [PATCH 051/241] Fix tests --- tests/optimize/test_hyperopt.py | 128 +++++++++++++----------- tests/optimize/test_optimize_reports.py | 3 +- 2 files changed, 73 insertions(+), 58 deletions(-) diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index cd405c52f..1b1aaebad 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -5,7 +5,7 @@ import re from datetime import datetime from pathlib import Path from typing import Dict, List -from unittest.mock import MagicMock +from unittest.mock import ANY, MagicMock import pandas as pd import pytest @@ -18,10 +18,12 @@ from freqtrade.exceptions import OperationalException from freqtrade.optimize.hyperopt import Hyperopt from freqtrade.optimize.hyperopt_auto import HyperOptAuto from freqtrade.optimize.hyperopt_tools import HyperoptTools +from freqtrade.optimize.optimize_reports import generate_strategy_stats from freqtrade.optimize.space import SKDecimal from freqtrade.resolvers.hyperopt_resolver import HyperOptResolver from freqtrade.state import RunMode from freqtrade.strategy.hyper import IntParameter +from freqtrade.strategy.interface import SellType from tests.conftest import (get_args, log_has, log_has_re, patch_exchange, patched_configuration_load_config_file) @@ -433,18 +435,41 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None: assert hasattr(hyperopt, "position_stacking") -def test_format_results(hyperopt): - # Test with BTC as stake_currency - trades = [ - ('ETH/BTC', 2, 2, 123), - ('LTC/BTC', 1, 1, 123), - ('XPR/BTC', -1, -2, -246) - ] - labels = ['currency', 'profit_ratio', 'profit_abs', 'trade_duration'] - df = pd.DataFrame.from_records(trades, columns=labels) - results_metrics = hyperopt._calculate_results_metrics(df) +def test_hyperopt_format_results(hyperopt): + + bt_result = { + 'results': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", + "UNITTEST/BTC", "UNITTEST/BTC"], + "profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780], + "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], + "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, + Arrow(2017, 11, 14, 21, 36, 00).datetime, + Arrow(2017, 11, 14, 22, 12, 00).datetime, + Arrow(2017, 11, 14, 22, 44, 00).datetime], + "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, + Arrow(2017, 11, 14, 22, 10, 00).datetime, + Arrow(2017, 11, 14, 22, 43, 00).datetime, + Arrow(2017, 11, 14, 22, 58, 00).datetime], + "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], + "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], + "trade_duration": [123, 34, 31, 14], + "is_open": [False, False, False, True], + "stake_amount": [0.01, 0.01, 0.01, 0.01], + "sell_reason": [SellType.ROI, SellType.STOP_LOSS, + SellType.ROI, SellType.FORCE_SELL] + }), + 'config': hyperopt.config, + 'locks': [], + 'final_balance': 0.02, + 'backtest_start_time': 1619718665, + 'backtest_end_time': 1619718665, + } + results_metrics = generate_strategy_stats({'XRP/BTC': None}, '', bt_result, + Arrow(2017, 11, 14, 19, 32, 00), + Arrow(2017, 12, 14, 19, 32, 00), market_change=0) + results_explanation = hyperopt._format_results_explanation_string(results_metrics) - total_profit = results_metrics['total_profit'] + total_profit = results_metrics['profit_total_abs'] results = { 'loss': 0.0, @@ -458,21 +483,9 @@ def test_format_results(hyperopt): } result = HyperoptTools._format_explanation_string(results, 1) - assert result.find(' 66.67%') - assert result.find('Total profit 1.00000000 BTC') - assert result.find('2.0000Σ %') - - # Test with EUR as stake_currency - trades = [ - ('ETH/EUR', 2, 2, 123), - ('LTC/EUR', 1, 1, 123), - ('XPR/EUR', -1, -2, -246) - ] - df = pd.DataFrame.from_records(trades, columns=labels) - results_metrics = hyperopt._calculate_results_metrics(df) - results['total_profit'] = results_metrics['total_profit'] - result = HyperoptTools._format_explanation_string(results, 1) - assert result.find('Total profit 1.00000000 EUR') + assert ' 0.71%' in result + assert 'Total profit 0.00003100 BTC' in result + assert '0:50:00 min' in result @pytest.mark.parametrize("spaces, expected_results", [ @@ -577,22 +590,32 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: 'hyperopt_min_trades': 1, }) - trades = [ - ('TRX/BTC', 0.023117, 0.000233, 100) - ] - labels = ['currency', 'profit_ratio', 'profit_abs', 'trade_duration'] - backtest_result = pd.DataFrame.from_records(trades, columns=labels) + backtest_result = pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", + "UNITTEST/BTC", "UNITTEST/BTC"], + "profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780], + "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], + "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, + Arrow(2017, 11, 14, 21, 36, 00).datetime, + Arrow(2017, 11, 14, 22, 12, 00).datetime, + Arrow(2017, 11, 14, 22, 44, 00).datetime], + "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, + Arrow(2017, 11, 14, 22, 10, 00).datetime, + Arrow(2017, 11, 14, 22, 43, 00).datetime, + Arrow(2017, 11, 14, 22, 58, 00).datetime], + "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], + "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], + "trade_duration": [123, 34, 31, 14], + "is_open": [False, False, False, True], + "stake_amount": [0.01, 0.01, 0.01, 0.01], + "sell_reason": [SellType.ROI, SellType.STOP_LOSS, + SellType.ROI, SellType.FORCE_SELL] + }) - mocker.patch( - 'freqtrade.optimize.hyperopt.Backtesting.backtest', - MagicMock(return_value=backtest_result) - ) - mocker.patch( - 'freqtrade.optimize.hyperopt.get_timerange', - MagicMock(return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13))) - ) + mocker.patch('freqtrade.optimize.hyperopt.Backtesting.backtest', return_value=backtest_result) + mocker.patch('freqtrade.optimize.hyperopt.get_timerange', + return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13))) patch_exchange(mocker) - mocker.patch('freqtrade.optimize.hyperopt.load', MagicMock()) + mocker.patch('freqtrade.optimize.hyperopt.load', return_value={'XRP/BTC': None}) optimizer_param = { 'adx-value': 0, @@ -626,11 +649,11 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: 'trailing_only_offset_is_reached': False, } response_expected = { - 'loss': 1.9840569076926293, - 'results_explanation': (' 1 trades. 1/0/0 Wins/Draws/Losses. ' - 'Avg profit 2.31%. Median profit 2.31%. Total profit ' - '0.00023300 BTC ( 2.31\N{GREEK CAPITAL LETTER SIGMA}%). ' - 'Avg duration 100.0 min.' + 'loss': 1.9147239021396234, + 'results_explanation': (' 4 trades. 4/0/0 Wins/Draws/Losses. ' + 'Avg profit 0.77%. Median profit 0.71%. Total profit ' + '0.00003100 BTC ( 0.00\N{GREEK CAPITAL LETTER SIGMA}%). ' + 'Avg duration 0:50:00 min.' ).encode(locale.getpreferredencoding(), 'replace').decode('utf-8'), 'params_details': {'buy': {'adx-enabled': False, 'adx-value': 0, @@ -660,17 +683,8 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: 'trailing_stop_positive': 0.02, 'trailing_stop_positive_offset': 0.07}}, 'params_dict': optimizer_param, - 'results_metrics': {'avg_profit': 2.3117, - 'draws': 0, - 'duration': 100.0, - 'losses': 0, - 'winsdrawslosses': ' 1 0 0', - 'median_profit': 2.3117, - 'profit': 2.3117, - 'total_profit': 0.000233, - 'trade_count': 1, - 'wins': 1}, - 'total_profit': 0.00023300 + 'results_metrics': ANY, + 'total_profit': 3.1e-08 } hyperopt = Hyperopt(hyperopt_conf) diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py index b268ebadc..fb4624ca3 100644 --- a/tests/optimize/test_optimize_reports.py +++ b/tests/optimize/test_optimize_reports.py @@ -14,7 +14,8 @@ from freqtrade.edge import PairInfo from freqtrade.optimize.optimize_reports import (generate_backtest_stats, generate_daily_stats, generate_edge_table, generate_pair_metrics, generate_sell_reason_stats, - generate_strategy_comparison, generate_trading_stats, store_backtest_stats, + generate_strategy_comparison, + generate_trading_stats, store_backtest_stats, text_table_bt_results, text_table_sell_reason, text_table_strategy) from freqtrade.resolvers.strategy_resolver import StrategyResolver From e2e1d34828faa71936c61cf729535e2071918fdc Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 29 Apr 2021 20:20:26 +0200 Subject: [PATCH 052/241] Extract stake_currency param from hyperopt-explanationstring --- freqtrade/optimize/hyperopt.py | 8 ++++---- tests/optimize/test_hyperopt.py | 2 +- 2 files changed, 5 insertions(+), 5 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 468dfd873..9b3a22236 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -307,7 +307,8 @@ class Hyperopt: strat_stats = generate_strategy_stats(processed, '', backtesting_results, min_date, max_date, market_change=0) - results_explanation = self._format_results_explanation_string(strat_stats) + results_explanation = self._format_results_explanation_string( + strat_stats, self.config['stake_currency']) trade_count = strat_stats['total_trades'] total_profit = strat_stats['profit_total'] @@ -331,17 +332,16 @@ class Hyperopt: 'total_profit': total_profit, } - def _format_results_explanation_string(self, results_metrics: Dict) -> str: + def _format_results_explanation_string(self, results_metrics: Dict, stake_currency: str) -> str: """ Return the formatted results explanation in a string """ - stake_cur = self.config['stake_currency'] return (f"{results_metrics['total_trades']:6d} trades. " f"{results_metrics['wins']}/{results_metrics['draws']}" f"/{results_metrics['losses']} Wins/Draws/Losses. " f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. " f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. " - f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_cur} " + f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_currency} " f"({results_metrics['profit_total']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). " f"Avg duration {results_metrics['holding_avg']} min." ).encode(locale.getpreferredencoding(), 'replace').decode('utf-8') diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 1b1aaebad..a80f3dced 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -468,7 +468,7 @@ def test_hyperopt_format_results(hyperopt): Arrow(2017, 11, 14, 19, 32, 00), Arrow(2017, 12, 14, 19, 32, 00), market_change=0) - results_explanation = hyperopt._format_results_explanation_string(results_metrics) + results_explanation = hyperopt._format_results_explanation_string(results_metrics, 'BTC') total_profit = results_metrics['profit_total_abs'] results = { From f2e182002d9990f344faf537f30bee9ec9078914 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 30 Apr 2021 07:31:57 +0200 Subject: [PATCH 053/241] Simplify calling backtesting by returning the proper result --- freqtrade/optimize/backtesting.py | 20 +++-- freqtrade/optimize/hyperopt.py | 16 ++-- freqtrade/optimize/optimize_reports.py | 2 +- tests/optimize/test_backtesting.py | 111 +++++++++++++++---------- 4 files changed, 83 insertions(+), 66 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 7b62661d3..54e7b806f 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -330,7 +330,7 @@ class Backtesting: def backtest(self, processed: Dict, start_date: datetime, end_date: datetime, max_open_trades: int = 0, position_stacking: bool = False, - enable_protections: bool = False) -> DataFrame: + enable_protections: bool = False) -> Dict[str, Any]: """ Implement backtesting functionality @@ -417,7 +417,13 @@ class Backtesting: trades += self.handle_left_open(open_trades, data=data) self.wallets.update() - return trade_list_to_dataframe(trades) + results = trade_list_to_dataframe(trades) + return { + 'results': results, + 'config': self.strategy.config, + 'locks': PairLocks.get_all_locks(), + 'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']), + } def backtest_one_strategy(self, strat: IStrategy, data: Dict[str, Any], timerange: TimeRange): logger.info("Running backtesting for Strategy %s", strat.get_strategy_name()) @@ -457,14 +463,12 @@ class Backtesting: enable_protections=self.config.get('enable_protections', False), ) backtest_end_time = datetime.now(timezone.utc) - self.all_results[self.strategy.get_strategy_name()] = { - 'results': results, - 'config': self.strategy.config, - 'locks': PairLocks.get_all_locks(), - 'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']), + results.update({ 'backtest_start_time': int(backtest_start_time.timestamp()), 'backtest_end_time': int(backtest_end_time.timestamp()), - } + }) + self.all_results[self.strategy.get_strategy_name()] = results + return min_date, max_date def start(self) -> None: diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 9b3a22236..229b35dd5 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -31,7 +31,6 @@ from freqtrade.optimize.hyperopt_interface import IHyperOpt # noqa: F401 from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F401 from freqtrade.optimize.hyperopt_tools import HyperoptTools from freqtrade.optimize.optimize_reports import generate_strategy_stats -from freqtrade.persistence.pairlock_middleware import PairLocks from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver, HyperOptResolver from freqtrade.strategy import IStrategy @@ -279,7 +278,7 @@ class Hyperopt: min_date, max_date = get_timerange(processed) - backtesting_results = self.backtesting.backtest( + bt_results = self.backtesting.backtest( processed=processed, start_date=min_date.datetime, end_date=max_date.datetime, @@ -288,17 +287,12 @@ class Hyperopt: enable_protections=self.config.get('enable_protections', False), ) backtest_end_time = datetime.now(timezone.utc) - - bt_result = { - 'results': backtesting_results, - 'config': self.backtesting.strategy.config, - 'locks': PairLocks.get_all_locks(), - 'final_balance': self.backtesting.wallets.get_total( - self.backtesting.strategy.config['stake_currency']), + bt_results.update({ 'backtest_start_time': int(backtest_start_time.timestamp()), 'backtest_end_time': int(backtest_end_time.timestamp()), - } - return self._get_results_dict(bt_result, min_date, max_date, + }) + + return self._get_results_dict(bt_results, min_date, max_date, params_dict, params_details, processed=processed) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 77259df87..ef5426c9a 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -274,7 +274,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], """ results: Dict[str, DataFrame] = content['results'] if not isinstance(results, DataFrame): - return + return {} config = content['config'] max_open_trades = min(config['max_open_trades'], len(btdata.keys())) starting_balance = config['dry_run_wallet'] diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 39625978b..e09f02c66 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -514,13 +514,14 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None: timerange=timerange) processed = backtesting.strategy.ohlcvdata_to_dataframe(data) min_date, max_date = get_timerange(processed) - results = backtesting.backtest( + result = backtesting.backtest( processed=processed, start_date=min_date, end_date=max_date, max_open_trades=10, position_stacking=False, ) + results = result['results'] assert not results.empty assert len(results) == 2 @@ -583,8 +584,8 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None max_open_trades=1, position_stacking=False, ) - assert not results.empty - assert len(results) == 1 + assert not results['results'].empty + assert len(results['results']) == 1 def test_processed(default_conf, mocker, testdatadir) -> None: @@ -623,7 +624,7 @@ def test_backtest_pricecontours_protections(default_conf, fee, mocker, testdatad # While buy-signals are unrealistic, running backtesting # over and over again should not cause different results for [contour, numres] in tests: - assert len(simple_backtest(default_conf, contour, mocker, testdatadir)) == numres + assert len(simple_backtest(default_conf, contour, mocker, testdatadir)['results']) == numres @pytest.mark.parametrize('protections,contour,expected', [ @@ -648,7 +649,7 @@ def test_backtest_pricecontours(default_conf, fee, mocker, testdatadir, mocker.patch('freqtrade.exchange.Exchange.get_fee', fee) # While buy-signals are unrealistic, running backtesting # over and over again should not cause different results - assert len(simple_backtest(default_conf, contour, mocker, testdatadir)) == expected + assert len(simple_backtest(default_conf, contour, mocker, testdatadir)['results']) == expected def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir): @@ -662,8 +663,8 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir): backtesting = Backtesting(default_conf) backtesting.strategy.advise_buy = fun # Override backtesting.strategy.advise_sell = fun # Override - results = backtesting.backtest(**backtest_conf) - assert results.empty + result = backtesting.backtest(**backtest_conf) + assert result['results'].empty def test_backtest_only_sell(mocker, default_conf, testdatadir): @@ -677,8 +678,8 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir): backtesting = Backtesting(default_conf) backtesting.strategy.advise_buy = fun # Override backtesting.strategy.advise_sell = fun # Override - results = backtesting.backtest(**backtest_conf) - assert results.empty + result = backtesting.backtest(**backtest_conf) + assert result['results'].empty def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir): @@ -690,10 +691,11 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir): backtesting = Backtesting(default_conf) backtesting.strategy.advise_buy = _trend_alternate # Override backtesting.strategy.advise_sell = _trend_alternate # Override - results = backtesting.backtest(**backtest_conf) + result = backtesting.backtest(**backtest_conf) # 200 candles in backtest data # won't buy on first (shifted by 1) # 100 buys signals + results = result['results'] assert len(results) == 100 # One trade was force-closed at the end assert len(results.loc[results['is_open']]) == 0 @@ -745,9 +747,9 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir) results = backtesting.backtest(**backtest_conf) # Make sure we have parallel trades - assert len(evaluate_result_multi(results, '5m', 2)) > 0 + assert len(evaluate_result_multi(results['results'], '5m', 2)) > 0 # make sure we don't have trades with more than configured max_open_trades - assert len(evaluate_result_multi(results, '5m', 3)) == 0 + assert len(evaluate_result_multi(results['results'], '5m', 3)) == 0 backtest_conf = { 'processed': processed, @@ -757,7 +759,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir) 'position_stacking': False, } results = backtesting.backtest(**backtest_conf) - assert len(evaluate_result_multi(results, '5m', 1)) == 0 + assert len(evaluate_result_multi(results['results'], '5m', 1)) == 0 def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): @@ -803,7 +805,12 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): patch_exchange(mocker) - backtestmock = MagicMock(return_value=pd.DataFrame(columns=BT_DATA_COLUMNS)) + backtestmock = MagicMock(return_value={ + 'results': pd.DataFrame(columns=BT_DATA_COLUMNS), + 'config': default_conf, + 'locks': [], + 'final_balance': 1000, + }) mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['UNITTEST/BTC'])) mocker.patch('freqtrade.optimize.backtesting.Backtesting.backtest', backtestmock) @@ -867,39 +874,51 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdatadir, capsys): patch_exchange(mocker) + result1 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'], + 'profit_ratio': [0.0, 0.0], + 'profit_abs': [0.0, 0.0], + 'open_date': pd.to_datetime(['2018-01-29 18:40:00', + '2018-01-30 03:30:00', ], utc=True + ), + 'close_date': pd.to_datetime(['2018-01-29 20:45:00', + '2018-01-30 05:35:00', ], utc=True), + 'trade_duration': [235, 40], + 'is_open': [False, False], + 'stake_amount': [0.01, 0.01], + 'open_rate': [0.104445, 0.10302485], + 'close_rate': [0.104969, 0.103541], + 'sell_reason': [SellType.ROI, SellType.ROI] + }) + result2 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'], + 'profit_ratio': [0.03, 0.01, 0.1], + 'profit_abs': [0.01, 0.02, 0.2], + 'open_date': pd.to_datetime(['2018-01-29 18:40:00', + '2018-01-30 03:30:00', + '2018-01-30 05:30:00'], utc=True + ), + 'close_date': pd.to_datetime(['2018-01-29 20:45:00', + '2018-01-30 05:35:00', + '2018-01-30 08:30:00'], utc=True), + 'trade_duration': [47, 40, 20], + 'is_open': [False, False, False], + 'stake_amount': [0.01, 0.01, 0.01], + 'open_rate': [0.104445, 0.10302485, 0.122541], + 'close_rate': [0.104969, 0.103541, 0.123541], + 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] + }) backtestmock = MagicMock(side_effect=[ - pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'], - 'profit_ratio': [0.0, 0.0], - 'profit_abs': [0.0, 0.0], - 'open_date': pd.to_datetime(['2018-01-29 18:40:00', - '2018-01-30 03:30:00', ], utc=True - ), - 'close_date': pd.to_datetime(['2018-01-29 20:45:00', - '2018-01-30 05:35:00', ], utc=True), - 'trade_duration': [235, 40], - 'is_open': [False, False], - 'stake_amount': [0.01, 0.01], - 'open_rate': [0.104445, 0.10302485], - 'close_rate': [0.104969, 0.103541], - 'sell_reason': [SellType.ROI, SellType.ROI] - }), - pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC', 'ETH/BTC'], - 'profit_ratio': [0.03, 0.01, 0.1], - 'profit_abs': [0.01, 0.02, 0.2], - 'open_date': pd.to_datetime(['2018-01-29 18:40:00', - '2018-01-30 03:30:00', - '2018-01-30 05:30:00'], utc=True - ), - 'close_date': pd.to_datetime(['2018-01-29 20:45:00', - '2018-01-30 05:35:00', - '2018-01-30 08:30:00'], utc=True), - 'trade_duration': [47, 40, 20], - 'is_open': [False, False, False], - 'stake_amount': [0.01, 0.01, 0.01], - 'open_rate': [0.104445, 0.10302485, 0.122541], - 'close_rate': [0.104969, 0.103541, 0.123541], - 'sell_reason': [SellType.ROI, SellType.ROI, SellType.STOP_LOSS] - }), + { + 'results': result1, + 'config': default_conf, + 'locks': [], + 'final_balance': 1000, + }, + { + 'results': result2, + 'config': default_conf, + 'locks': [], + 'final_balance': 1000, + } ]) mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist', PropertyMock(return_value=['UNITTEST/BTC'])) From 4c00d4496de63939443f5787625e5dfa6632bcb5 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 30 Apr 2021 07:40:07 +0200 Subject: [PATCH 054/241] Update tests to reflect new backtest returns --- tests/optimize/test_backtest_detail.py | 3 +- tests/optimize/test_backtesting.py | 13 +++++++- tests/optimize/test_hyperopt.py | 45 ++++++++++++++------------ 3 files changed, 39 insertions(+), 22 deletions(-) diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index 3655b941d..7da7709c6 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -501,13 +501,14 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None: # Dummy data as we mock the analyze functions data_processed = {pair: frame.copy()} min_date, max_date = get_timerange({pair: frame}) - results = backtesting.backtest( + result = backtesting.backtest( processed=data_processed, start_date=min_date, end_date=max_date, max_open_trades=10, ) + results = result['results'] assert len(results) == len(data.trades) assert round(results["profit_ratio"].sum(), 3) == round(data.profit_perc, 3) diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index e09f02c66..5dfc9dbc3 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -804,6 +804,12 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): @pytest.mark.filterwarnings("ignore:deprecated") def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): + default_conf['ask_strategy'].update({ + "use_sell_signal": True, + "sell_profit_only": False, + "sell_profit_offset": 0.0, + "ignore_roi_if_buy_signal": False, + }) patch_exchange(mocker) backtestmock = MagicMock(return_value={ 'results': pd.DataFrame(columns=BT_DATA_COLUMNS), @@ -872,7 +878,12 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): @pytest.mark.filterwarnings("ignore:deprecated") def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdatadir, capsys): - + default_conf['ask_strategy'].update({ + "use_sell_signal": True, + "sell_profit_only": False, + "sell_profit_offset": 0.0, + "ignore_roi_if_buy_signal": False, + }) patch_exchange(mocker) result1 = pd.DataFrame({'pair': ['XRP/BTC', 'LTC/BTC'], 'profit_ratio': [0.0, 0.0], diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index a80f3dced..c65e90237 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -590,26 +590,31 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: 'hyperopt_min_trades': 1, }) - backtest_result = pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", - "UNITTEST/BTC", "UNITTEST/BTC"], - "profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780], - "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], - "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, - Arrow(2017, 11, 14, 21, 36, 00).datetime, - Arrow(2017, 11, 14, 22, 12, 00).datetime, - Arrow(2017, 11, 14, 22, 44, 00).datetime], - "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, - Arrow(2017, 11, 14, 22, 10, 00).datetime, - Arrow(2017, 11, 14, 22, 43, 00).datetime, - Arrow(2017, 11, 14, 22, 58, 00).datetime], - "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], - "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], - "trade_duration": [123, 34, 31, 14], - "is_open": [False, False, False, True], - "stake_amount": [0.01, 0.01, 0.01, 0.01], - "sell_reason": [SellType.ROI, SellType.STOP_LOSS, - SellType.ROI, SellType.FORCE_SELL] - }) + backtest_result = { + 'results': pd.DataFrame({"pair": ["UNITTEST/BTC", "UNITTEST/BTC", + "UNITTEST/BTC", "UNITTEST/BTC"], + "profit_ratio": [0.003312, 0.010801, 0.013803, 0.002780], + "profit_abs": [0.000003, 0.000011, 0.000014, 0.000003], + "open_date": [Arrow(2017, 11, 14, 19, 32, 00).datetime, + Arrow(2017, 11, 14, 21, 36, 00).datetime, + Arrow(2017, 11, 14, 22, 12, 00).datetime, + Arrow(2017, 11, 14, 22, 44, 00).datetime], + "close_date": [Arrow(2017, 11, 14, 21, 35, 00).datetime, + Arrow(2017, 11, 14, 22, 10, 00).datetime, + Arrow(2017, 11, 14, 22, 43, 00).datetime, + Arrow(2017, 11, 14, 22, 58, 00).datetime], + "open_rate": [0.002543, 0.003003, 0.003089, 0.003214], + "close_rate": [0.002546, 0.003014, 0.003103, 0.003217], + "trade_duration": [123, 34, 31, 14], + "is_open": [False, False, False, True], + "stake_amount": [0.01, 0.01, 0.01, 0.01], + "sell_reason": [SellType.ROI, SellType.STOP_LOSS, + SellType.ROI, SellType.FORCE_SELL] + }), + 'config': hyperopt_conf, + 'locks': [], + 'final_balance': 1000, + } mocker.patch('freqtrade.optimize.hyperopt.Backtesting.backtest', return_value=backtest_result) mocker.patch('freqtrade.optimize.hyperopt.get_timerange', From 97478abb9da71fbff2223cfddd8ca03765618834 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 09:05:46 +0200 Subject: [PATCH 055/241] Move format explanation string to HyperoptTools --- freqtrade/optimize/hyperopt.py | 17 +---------------- freqtrade/optimize/hyperopt_tools.py | 16 ++++++++++++++++ tests/optimize/test_hyperopt.py | 2 +- 3 files changed, 18 insertions(+), 17 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 229b35dd5..b69e0781a 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -4,7 +4,6 @@ This module contains the hyperopt logic """ -import locale import logging import random import warnings @@ -301,7 +300,7 @@ class Hyperopt: strat_stats = generate_strategy_stats(processed, '', backtesting_results, min_date, max_date, market_change=0) - results_explanation = self._format_results_explanation_string( + results_explanation = HyperoptTools.format_results_explanation_string( strat_stats, self.config['stake_currency']) trade_count = strat_stats['total_trades'] @@ -326,20 +325,6 @@ class Hyperopt: 'total_profit': total_profit, } - def _format_results_explanation_string(self, results_metrics: Dict, stake_currency: str) -> str: - """ - Return the formatted results explanation in a string - """ - return (f"{results_metrics['total_trades']:6d} trades. " - f"{results_metrics['wins']}/{results_metrics['draws']}" - f"/{results_metrics['losses']} Wins/Draws/Losses. " - f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. " - f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. " - f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_currency} " - f"({results_metrics['profit_total']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). " - f"Avg duration {results_metrics['holding_avg']} min." - ).encode(locale.getpreferredencoding(), 'replace').decode('utf-8') - def get_optimizer(self, dimensions: List[Dimension], cpu_count) -> Optimizer: return Optimizer( dimensions, diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index 1635c0588..98df32c36 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -1,5 +1,6 @@ import io +import locale import logging from collections import OrderedDict from pathlib import Path @@ -145,6 +146,21 @@ class HyperoptTools(): def is_best_loss(results, current_best_loss: float) -> bool: return results['loss'] < current_best_loss + @staticmethod + def format_results_explanation_string(results_metrics: Dict, stake_currency: str) -> str: + """ + Return the formatted results explanation in a string + """ + return (f"{results_metrics['total_trades']:6d} trades. " + f"{results_metrics['wins']}/{results_metrics['draws']}" + f"/{results_metrics['losses']} Wins/Draws/Losses. " + f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. " + f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. " + f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_currency} " + f"({results_metrics['profit_total']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). " + f"Avg duration {results_metrics['holding_avg']} min." + ).encode(locale.getpreferredencoding(), 'replace').decode('utf-8') + @staticmethod def _format_explanation_string(results, total_epochs) -> str: return (("*" if results['is_initial_point'] else " ") + diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index c65e90237..142fc5728 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -468,7 +468,7 @@ def test_hyperopt_format_results(hyperopt): Arrow(2017, 11, 14, 19, 32, 00), Arrow(2017, 12, 14, 19, 32, 00), market_change=0) - results_explanation = hyperopt._format_results_explanation_string(results_metrics, 'BTC') + results_explanation = HyperoptTools.format_results_explanation_string(results_metrics, 'BTC') total_profit = results_metrics['profit_total_abs'] results = { From 420e75af65303d2962c37edb5a3bbd987b0f54b0 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 11:24:32 +0200 Subject: [PATCH 056/241] Extract show_backtest_result for one strategy --- freqtrade/optimize/optimize_reports.py | 60 ++++++++++++++------------ 1 file changed, 33 insertions(+), 27 deletions(-) diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index ef5426c9a..9a60c7c4b 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -567,37 +567,43 @@ def text_table_add_metrics(strat_results: Dict) -> str: return message +def show_backtest_result(strategy: str, results: Dict[str, Any], stake_currency: str): + """ + Print results for one strategy + """ + # Print results + print(f"Result for strategy {strategy}") + table = text_table_bt_results(results['results_per_pair'], stake_currency=stake_currency) + if isinstance(table, str): + print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '=')) + print(table) + + table = text_table_sell_reason(sell_reason_stats=results['sell_reason_summary'], + stake_currency=stake_currency) + if isinstance(table, str) and len(table) > 0: + print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '=')) + print(table) + + table = text_table_bt_results(results['left_open_trades'], stake_currency=stake_currency) + if isinstance(table, str) and len(table) > 0: + print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) + print(table) + + table = text_table_add_metrics(results) + if isinstance(table, str) and len(table) > 0: + print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '=')) + print(table) + + if isinstance(table, str) and len(table) > 0: + print('=' * len(table.splitlines()[0])) + print() + + def show_backtest_results(config: Dict, backtest_stats: Dict): stake_currency = config['stake_currency'] for strategy, results in backtest_stats['strategy'].items(): - - # Print results - print(f"Result for strategy {strategy}") - table = text_table_bt_results(results['results_per_pair'], stake_currency=stake_currency) - if isinstance(table, str): - print(' BACKTESTING REPORT '.center(len(table.splitlines()[0]), '=')) - print(table) - - table = text_table_sell_reason(sell_reason_stats=results['sell_reason_summary'], - stake_currency=stake_currency) - if isinstance(table, str) and len(table) > 0: - print(' SELL REASON STATS '.center(len(table.splitlines()[0]), '=')) - print(table) - - table = text_table_bt_results(results['left_open_trades'], stake_currency=stake_currency) - if isinstance(table, str) and len(table) > 0: - print(' LEFT OPEN TRADES REPORT '.center(len(table.splitlines()[0]), '=')) - print(table) - - table = text_table_add_metrics(results) - if isinstance(table, str) and len(table) > 0: - print(' SUMMARY METRICS '.center(len(table.splitlines()[0]), '=')) - print(table) - - if isinstance(table, str) and len(table) > 0: - print('=' * len(table.splitlines()[0])) - print() + show_backtest_result(strategy, results, stake_currency) if len(backtest_stats['strategy']) > 1: # Print Strategy summary table From 881cba336a10e69741ab9a4c704f24b568f8b927 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 13:32:34 +0200 Subject: [PATCH 057/241] Show backtesting result in hyperopt-show --- freqtrade/commands/hyperopt_commands.py | 7 +++++++ freqtrade/optimize/hyperopt.py | 6 ++++-- 2 files changed, 11 insertions(+), 2 deletions(-) diff --git a/freqtrade/commands/hyperopt_commands.py b/freqtrade/commands/hyperopt_commands.py index 268e3eeef..322729547 100755 --- a/freqtrade/commands/hyperopt_commands.py +++ b/freqtrade/commands/hyperopt_commands.py @@ -7,6 +7,7 @@ from colorama import init as colorama_init from freqtrade.configuration import setup_utils_configuration from freqtrade.data.btanalysis import get_latest_hyperopt_file from freqtrade.exceptions import OperationalException +from freqtrade.optimize.optimize_reports import show_backtest_result from freqtrade.state import RunMode @@ -125,6 +126,12 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None: if epochs: val = epochs[n] + + metrics = val['results_metrics'] + if 'strategy_name' in metrics: + show_backtest_result(metrics['strategy_name'], metrics, + metrics['stake_currency']) + HyperoptTools.print_epoch_details(val, total_epochs, print_json, no_header, header_str="Epoch details") diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index b69e0781a..861d1872f 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -298,8 +298,10 @@ class Hyperopt: def _get_results_dict(self, backtesting_results, min_date, max_date, params_dict, params_details, processed: Dict[str, DataFrame]): - strat_stats = generate_strategy_stats(processed, '', backtesting_results, - min_date, max_date, market_change=0) + strat_stats = generate_strategy_stats( + processed, self.backtesting.strategy.get_strategy_name(), + backtesting_results, min_date, max_date, market_change=0 + ) results_explanation = HyperoptTools.format_results_explanation_string( strat_stats, self.config['stake_currency']) From ecdfb6e5ed68bcec6f91e2b3b8dcf8f13603aa20 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 13:32:53 +0200 Subject: [PATCH 058/241] Fix output of % for new format --- freqtrade/optimize/hyperopt_tools.py | 10 ++++++---- 1 file changed, 6 insertions(+), 4 deletions(-) diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index 98df32c36..0fdd07d83 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -157,7 +157,7 @@ class HyperoptTools(): f"Avg profit {results_metrics['profit_mean'] * 100: 6.2f}%. " f"Median profit {results_metrics['profit_median'] * 100: 6.2f}%. " f"Total profit {results_metrics['profit_total_abs']: 11.8f} {stake_currency} " - f"({results_metrics['profit_total']: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). " + f"({results_metrics['profit_total'] * 100: 7.2f}\N{GREEK CAPITAL LETTER SIGMA}%). " f"Avg duration {results_metrics['holding_avg']} min." ).encode(locale.getpreferredencoding(), 'replace').decode('utf-8') @@ -184,8 +184,10 @@ class HyperoptTools(): if 'results_metrics.winsdrawslosses' not in trials.columns: # Ensure compatibility with older versions of hyperopt results trials['results_metrics.winsdrawslosses'] = 'N/A' + legacy_mode = True if 'results_metrics.total_trades' in trials: + legacy_mode = False # New mode, using backtest result for metrics trials['results_metrics.winsdrawslosses'] = trials.apply( lambda x: f"{x['results_metrics.wins']} {x['results_metrics.draws']:>4} " @@ -212,12 +214,12 @@ class HyperoptTools(): trials.loc[trials['is_initial_point'] & trials['is_best'], 'Best'] = '* Best' trials.loc[trials['Total profit'] > 0, 'is_profit'] = True trials['Trades'] = trials['Trades'].astype(str) - + perc_multi = 1 if legacy_mode else 100 trials['Epoch'] = trials['Epoch'].apply( lambda x: '{}/{}'.format(str(x).rjust(len(str(total_epochs)), ' '), total_epochs) ) trials['Avg profit'] = trials['Avg profit'].apply( - lambda x: f'{x:,.2f}%'.rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ') + lambda x: f'{x * perc_multi:,.2f}%'.rjust(7, ' ') if not isna(x) else "--".rjust(7, ' ') ) trials['Avg duration'] = trials['Avg duration'].apply( lambda x: f'{x:,.1f} m'.rjust(7, ' ') if isinstance(x, float) else f"{x}" @@ -231,7 +233,7 @@ class HyperoptTools(): trials['Profit'] = trials.apply( lambda x: '{} {}'.format( round_coin_value(x['Total profit'], stake_currency), - '({:,.2f}%)'.format(x['Profit']).rjust(10, ' ') + '({:,.2f}%)'.format(x['Profit'] * perc_multi).rjust(10, ' ') ).rjust(25+len(stake_currency)) if x['Total profit'] != 0.0 else '--'.rjust(25+len(stake_currency)), axis=1 From ced5cc7ce21f5e79196bb3865baff1908c2e936f Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 1 May 2021 13:33:12 +0200 Subject: [PATCH 059/241] Don't recalculate min/max date - they won't change between epochs --- freqtrade/optimize/hyperopt.py | 16 +++++++--------- tests/optimize/test_hyperopt.py | 2 ++ 2 files changed, 9 insertions(+), 9 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 861d1872f..d6c5cbf93 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -275,12 +275,10 @@ class Hyperopt: processed = load(self.data_pickle_file) - min_date, max_date = get_timerange(processed) - bt_results = self.backtesting.backtest( processed=processed, - start_date=min_date.datetime, - end_date=max_date.datetime, + start_date=self.min_date.datetime, + end_date=self.max_date.datetime, max_open_trades=self.max_open_trades, position_stacking=self.position_stacking, enable_protections=self.config.get('enable_protections', False), @@ -291,7 +289,7 @@ class Hyperopt: 'backtest_end_time': int(backtest_end_time.timestamp()), }) - return self._get_results_dict(bt_results, min_date, max_date, + return self._get_results_dict(bt_results, self.min_date, self.max_date, params_dict, params_details, processed=processed) @@ -357,11 +355,11 @@ class Hyperopt: for pair, df in preprocessed.items(): preprocessed[pair] = trim_dataframe(df, timerange, startup_candles=self.backtesting.required_startup) - min_date, max_date = get_timerange(preprocessed) + self.min_date, self.max_date = get_timerange(preprocessed) - logger.info(f'Hyperopting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' - f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' - f'({(max_date - min_date).days} days)..') + logger.info(f'Hyperopting with data from {self.min_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'up to {self.max_date.strftime(DATETIME_PRINT_FORMAT)} ' + f'({(self.max_date - self.min_date).days} days)..') dump(preprocessed, self.data_pickle_file) diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 142fc5728..554f525a8 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -693,6 +693,8 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: } hyperopt = Hyperopt(hyperopt_conf) + hyperopt.min_date = Arrow(2017, 12, 10) + hyperopt.max_date = Arrow(2017, 12, 13) hyperopt.dimensions = hyperopt.hyperopt_space() generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values())) assert generate_optimizer_value == response_expected From 46f0f6603990194b2c5dd1195b0fdb01975ef914 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 09:35:10 +0200 Subject: [PATCH 060/241] Keep dimensions stored in hyperopt class There is no point in regenerating them and it will cause some overhead as all space classes will be recreated for every epoch. --- freqtrade/optimize/hyperopt.py | 63 ++++++++++++++++----------------- tests/optimize/test_hyperopt.py | 3 +- 2 files changed, 33 insertions(+), 33 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index d6c5cbf93..4e32c2ecb 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -65,6 +65,13 @@ class Hyperopt: custom_hyperopt: IHyperOpt def __init__(self, config: Dict[str, Any]) -> None: + self.buy_space: List[Dimension] = [] + self.sell_space: List[Dimension] = [] + self.roi_space: List[Dimension] = [] + self.stoploss_space: List[Dimension] = [] + self.trailing_space: List[Dimension] = [] + self.dimensions: List[Dimension] = [] + self.config = config self.backtesting = Backtesting(self.config) @@ -139,9 +146,7 @@ class Hyperopt: logger.info(f"Removing `{p}`.") p.unlink() - def _get_params_dict(self, raw_params: List[Any]) -> Dict: - - dimensions: List[Dimension] = self.dimensions + def _get_params_dict(self, dimensions: List[Dimension], raw_params: List[Any]) -> Dict: # Ensure the number of dimensions match # the number of parameters in the list. @@ -175,16 +180,13 @@ class Hyperopt: result: Dict = {} if HyperoptTools.has_space(self.config, 'buy'): - result['buy'] = {p.name: params.get(p.name) - for p in self.hyperopt_space('buy')} + result['buy'] = {p.name: params.get(p.name) for p in self.buy_space} if HyperoptTools.has_space(self.config, 'sell'): - result['sell'] = {p.name: params.get(p.name) - for p in self.hyperopt_space('sell')} + result['sell'] = {p.name: params.get(p.name) for p in self.sell_space} if HyperoptTools.has_space(self.config, 'roi'): result['roi'] = self.custom_hyperopt.generate_roi_table(params) if HyperoptTools.has_space(self.config, 'stoploss'): - result['stoploss'] = {p.name: params.get(p.name) - for p in self.hyperopt_space('stoploss')} + result['stoploss'] = {p.name: params.get(p.name) for p in self.stoploss_space} if HyperoptTools.has_space(self.config, 'trailing'): result['trailing'] = self.custom_hyperopt.generate_trailing_params(params) @@ -207,38 +209,32 @@ class Hyperopt: ) self.hyperopt_table_header = 2 - def hyperopt_space(self, space: Optional[str] = None) -> List[Dimension]: + def init_spaces(self): """ - Return the dimensions in the hyperoptimization space. - :param space: Defines hyperspace to return dimensions for. - If None, then the self.has_space() will be used to return dimensions - for all hyperspaces used. + Assign the dimensions in the hyperoptimization space. """ - spaces: List[Dimension] = [] - if space == 'buy' or (space is None and HyperoptTools.has_space(self.config, 'buy')): + if HyperoptTools.has_space(self.config, 'buy'): logger.debug("Hyperopt has 'buy' space") - spaces += self.custom_hyperopt.indicator_space() + self.buy_space = self.custom_hyperopt.indicator_space() - if space == 'sell' or (space is None and HyperoptTools.has_space(self.config, 'sell')): + if HyperoptTools.has_space(self.config, 'sell'): logger.debug("Hyperopt has 'sell' space") - spaces += self.custom_hyperopt.sell_indicator_space() + self.sell_space = self.custom_hyperopt.sell_indicator_space() - if space == 'roi' or (space is None and HyperoptTools.has_space(self.config, 'roi')): + if HyperoptTools.has_space(self.config, 'roi'): logger.debug("Hyperopt has 'roi' space") - spaces += self.custom_hyperopt.roi_space() + self.roi_space = self.custom_hyperopt.roi_space() - if space == 'stoploss' or (space is None - and HyperoptTools.has_space(self.config, 'stoploss')): + if HyperoptTools.has_space(self.config, 'stoploss'): logger.debug("Hyperopt has 'stoploss' space") - spaces += self.custom_hyperopt.stoploss_space() + self.stoploss_space = self.custom_hyperopt.stoploss_space() - if space == 'trailing' or (space is None - and HyperoptTools.has_space(self.config, 'trailing')): + if HyperoptTools.has_space(self.config, 'trailing'): logger.debug("Hyperopt has 'trailing' space") - spaces += self.custom_hyperopt.trailing_space() - - return spaces + self.trailing_space = self.custom_hyperopt.trailing_space() + self.dimensions = (self.buy_space + self.sell_space + self.roi_space + + self.stoploss_space + self.trailing_space) def generate_optimizer(self, raw_params: List[Any], iteration=None) -> Dict: """ @@ -246,9 +242,10 @@ class Hyperopt: Keep this function as optimized as possible! """ backtest_start_time = datetime.now(timezone.utc) - params_dict = self._get_params_dict(raw_params) + params_dict = self._get_params_dict(self.dimensions, raw_params) params_details = self._get_params_details(params_dict) + # Apply parameters if HyperoptTools.has_space(self.config, 'roi'): self.backtesting.strategy.minimal_roi = ( # type: ignore self.custom_hyperopt.generate_roi_table(params_dict)) @@ -294,7 +291,8 @@ class Hyperopt: processed=processed) def _get_results_dict(self, backtesting_results, min_date, max_date, - params_dict, params_details, processed: Dict[str, DataFrame]): + params_dict, params_details, processed: Dict[str, DataFrame] + ) -> Dict[str, Any]: strat_stats = generate_strategy_stats( processed, self.backtesting.strategy.get_strategy_name(), @@ -347,6 +345,8 @@ class Hyperopt: self.random_state = self._set_random_state(self.config.get('hyperopt_random_state', None)) logger.info(f"Using optimizer random state: {self.random_state}") self.hyperopt_table_header = -1 + # Initialize spaces ... + self.init_spaces() data, timerange = self.backtesting.load_bt_data() logger.info("Dataload complete. Calculating indicators") preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data) @@ -377,7 +377,6 @@ class Hyperopt: config_jobs = self.config.get('hyperopt_jobs', -1) logger.info(f'Number of parallel jobs set as: {config_jobs}') - self.dimensions: List[Dimension] = self.hyperopt_space() self.opt = self.get_optimizer(self.dimensions, config_jobs) if self.print_colorized: diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 554f525a8..82bb4fdd2 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -695,7 +695,8 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: hyperopt = Hyperopt(hyperopt_conf) hyperopt.min_date = Arrow(2017, 12, 10) hyperopt.max_date = Arrow(2017, 12, 13) - hyperopt.dimensions = hyperopt.hyperopt_space() + hyperopt.init_spaces() + hyperopt.dimensions = hyperopt.dimensions generate_optimizer_value = hyperopt.generate_optimizer(list(optimizer_param.values())) assert generate_optimizer_value == response_expected From 6b6270db132ebb41dc334aaf8076588c3f368efa Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 10:37:54 +0200 Subject: [PATCH 061/241] Add hint about "sell_profit_only" to docs --- docs/strategy-advanced.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 7fa889dd1..eb322df9d 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -51,7 +51,7 @@ For example you could implement a 1:2 risk-reward ROI with `custom_sell()`. You should abstain from using custom_sell() signals in place of stoplosses though. It is a inferior method to using `custom_stoploss()` in this regard - which also allows you to keep the stoploss on exchange. !!! Note - Returning a `string` or `True` from this method is equal to setting sell signal on a candle at specified time. This method is not called when sell signal is set already, or if sell signals are disabled (`use_sell_signal=False`). `string` max length is 64 characters. Exceeding this limit will cause the message to be truncated to 64 characters. + Returning a `string` or `True` from this method is equal to setting sell signal on a candle at specified time. This method is not called when sell signal is set already, or if sell signals are disabled (`use_sell_signal=False` or `sell_profit_only=True` while profit is below `sell_profit_offset`). `string` max length is 64 characters. Exceeding this limit will cause the message to be truncated to 64 characters. An example of how we can use different indicators depending on the current profit and also sell trades that were open longer than one day: From 9049d6b779c39a697e755e5e69c48c3eb1994d48 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 10:45:21 +0200 Subject: [PATCH 062/241] Reformat hyper to cache parameters --- freqtrade/strategy/hyper.py | 43 +++++++++++++++++++++++++++++--- tests/strategy/test_interface.py | 2 +- 2 files changed, 40 insertions(+), 5 deletions(-) diff --git a/freqtrade/strategy/hyper.py b/freqtrade/strategy/hyper.py index 2714ffb43..7dee47d87 100644 --- a/freqtrade/strategy/hyper.py +++ b/freqtrade/strategy/hyper.py @@ -5,7 +5,7 @@ This module defines a base class for auto-hyperoptable strategies. import logging from abc import ABC, abstractmethod from contextlib import suppress -from typing import Any, Dict, Iterator, Optional, Sequence, Tuple, Union +from typing import Any, Dict, Iterator, List, Optional, Sequence, Tuple, Union from freqtrade.optimize.hyperopt_tools import HyperoptTools @@ -29,6 +29,7 @@ class BaseParameter(ABC): default: Any value: Any in_space: bool = False + name: str def __init__(self, *, default: Any, space: Optional[str] = None, optimize: bool = True, load: bool = True, **kwargs): @@ -250,6 +251,9 @@ class HyperStrategyMixin(object): Initialize hyperoptable strategy mixin. """ self.config = config + self.ft_buy_params: List[BaseParameter] = [] + self.ft_sell_params: List[BaseParameter] = [] + self._load_hyper_params(config.get('runmode') == RunMode.HYPEROPT) def enumerate_parameters(self, category: str = None) -> Iterator[Tuple[str, BaseParameter]]: @@ -260,15 +264,26 @@ class HyperStrategyMixin(object): """ if category not in ('buy', 'sell', None): raise OperationalException('Category must be one of: "buy", "sell", None.') + + if category is None: + params = self.ft_buy_params + self.ft_sell_params + else: + params = getattr(self, f"ft_{category}_params") + + for par in params: + yield par.name, par + + def _detect_parameters(self, category: str) -> Iterator[Tuple[str, BaseParameter]]: + """ Detect all parameters for 'category' """ for attr_name in dir(self): if not attr_name.startswith('__'): # Ignore internals, not strictly necessary. attr = getattr(self, attr_name) if issubclass(attr.__class__, BaseParameter): - if (category and attr_name.startswith(category + '_') + if (attr_name.startswith(category + '_') and attr.category is not None and attr.category != category): raise OperationalException( f'Inconclusive parameter name {attr_name}, category: {attr.category}.') - if (category is None or category == attr.category or + if (category == attr.category or (attr_name.startswith(category + '_') and attr.category is None)): yield attr_name, attr @@ -286,9 +301,16 @@ class HyperStrategyMixin(object): """ if not params: logger.info(f"No params for {space} found, using default values.") + param_container: List[BaseParameter] = getattr(self, f"ft_{space}_params") - for attr_name, attr in self.enumerate_parameters(space): + for attr_name, attr in self._detect_parameters(space): + attr.name = attr_name attr.in_space = hyperopt and HyperoptTools.has_space(self.config, space) + if not attr.category: + attr.category = space + + param_container.append(attr) + if params and attr_name in params: if attr.load: attr.value = params[attr_name] @@ -298,3 +320,16 @@ class HyperStrategyMixin(object): f'Default value "{attr.value}" used.') else: logger.info(f'Strategy Parameter(default): {attr_name} = {attr.value}') + + def get_params_dict(self): + """ + Returns list of Parameters that are not part of the current optimize job + """ + params = { + 'buy': {}, + 'sell': {} + } + for name, p in self.enumerate_parameters(): + if not p.optimize or not p.in_space: + params[p.category][name] = p.value + return params diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 4ca514349..a241d7f43 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -671,4 +671,4 @@ def test_auto_hyperopt_interface(default_conf): strategy.sell_rsi = IntParameter([0, 10], default=5, space='buy') with pytest.raises(OperationalException, match=r"Inconclusive parameter.*"): - [x for x in strategy.enumerate_parameters('sell')] + [x for x in strategy._detect_parameters('sell')] From 8ee0b0d8e85228cdade883066edef1d29af2a0c9 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 10:46:04 +0200 Subject: [PATCH 063/241] Store not optimized parameters (if applicable) --- freqtrade/optimize/hyperopt.py | 3 +++ 1 file changed, 3 insertions(+) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 4e32c2ecb..ec3c6f385 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -301,6 +301,8 @@ class Hyperopt: results_explanation = HyperoptTools.format_results_explanation_string( strat_stats, self.config['stake_currency']) + not_optimized = self.backtesting.strategy.get_params_dict() + trade_count = strat_stats['total_trades'] total_profit = strat_stats['profit_total'] @@ -318,6 +320,7 @@ class Hyperopt: 'loss': loss, 'params_dict': params_dict, 'params_details': params_details, + 'params_not_optimized': not_optimized, 'results_metrics': strat_stats, 'results_explanation': results_explanation, 'total_profit': total_profit, From d069ad43d83eae4215409e68fd3cc8626fb32983 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 11:01:26 +0200 Subject: [PATCH 064/241] Small reformatting in hyperopt --- freqtrade/optimize/hyperopt.py | 6 +++--- tests/optimize/test_hyperopt.py | 1 + 2 files changed, 4 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index ec3c6f385..639e9fb93 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -243,7 +243,6 @@ class Hyperopt: """ backtest_start_time = datetime.now(timezone.utc) params_dict = self._get_params_dict(self.dimensions, raw_params) - params_details = self._get_params_details(params_dict) # Apply parameters if HyperoptTools.has_space(self.config, 'roi'): @@ -287,12 +286,13 @@ class Hyperopt: }) return self._get_results_dict(bt_results, self.min_date, self.max_date, - params_dict, params_details, + params_dict, processed=processed) def _get_results_dict(self, backtesting_results, min_date, max_date, - params_dict, params_details, processed: Dict[str, DataFrame] + params_dict, processed: Dict[str, DataFrame] ) -> Dict[str, Any]: + params_details = self._get_params_details(params_dict) strat_stats = generate_strategy_stats( processed, self.backtesting.strategy.get_strategy_name(), diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 82bb4fdd2..774dd35a4 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -688,6 +688,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None: 'trailing_stop_positive': 0.02, 'trailing_stop_positive_offset': 0.07}}, 'params_dict': optimizer_param, + 'params_not_optimized': {'buy': {}, 'sell': {}}, 'results_metrics': ANY, 'total_profit': 3.1e-08 } From 287b43e999b89da122e052014b2b0fd53297de7c Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 11:30:53 +0200 Subject: [PATCH 065/241] Output strategy results including non-optimized parameters --- freqtrade/optimize/hyperopt_tools.py | 54 +++++++++++++++++++--------- 1 file changed, 38 insertions(+), 16 deletions(-) diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index 0fdd07d83..724f451c5 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -4,7 +4,6 @@ import locale import logging from collections import OrderedDict from pathlib import Path -from pprint import pformat from typing import Any, Dict, List import rapidjson @@ -66,6 +65,7 @@ class HyperoptTools(): Display details of the hyperopt result """ params = results.get('params_details', {}) + non_optimized = results.get('params_not_optimized', {}) # Default header string if header_str is None: @@ -82,8 +82,10 @@ class HyperoptTools(): print(rapidjson.dumps(result_dict, default=str, number_mode=rapidjson.NM_NATIVE)) else: - HyperoptTools._params_pretty_print(params, 'buy', "Buy hyperspace params:") - HyperoptTools._params_pretty_print(params, 'sell', "Sell hyperspace params:") + HyperoptTools._params_pretty_print(params, 'buy', "Buy hyperspace params:", + non_optimized) + HyperoptTools._params_pretty_print(params, 'sell', "Sell hyperspace params:", + non_optimized) HyperoptTools._params_pretty_print(params, 'roi', "ROI table:") HyperoptTools._params_pretty_print(params, 'stoploss', "Stoploss:") HyperoptTools._params_pretty_print(params, 'trailing', "Trailing stop:") @@ -109,12 +111,12 @@ class HyperoptTools(): result_dict.update(space_params) @staticmethod - def _params_pretty_print(params, space: str, header: str) -> None: - if space in params: + def _params_pretty_print(params, space: str, header: str, non_optimized={}) -> None: + if space in params or space in non_optimized: space_params = HyperoptTools._space_params(params, space, 5) - params_result = f"\n# {header}\n" + result = f"\n# {header}\n" if space == 'stoploss': - params_result += f"stoploss = {space_params.get('stoploss')}" + result += f"stoploss = {space_params.get('stoploss')}" elif space == 'roi': # TODO: get rid of OrderedDict when support for python 3.6 will be # dropped (dicts keep the order as the language feature) @@ -123,24 +125,44 @@ class HyperoptTools(): (str(k), v) for k, v in space_params.items() ), default=str, indent=4, number_mode=rapidjson.NM_NATIVE) - params_result += f"minimal_roi = {minimal_roi_result}" + result += f"minimal_roi = {minimal_roi_result}" elif space == 'trailing': for k, v in space_params.items(): - params_result += f'{k} = {v}\n' + result += f'{k} = {v}\n' else: - params_result += f"{space}_params = {pformat(space_params, indent=4)}" - params_result = params_result.replace("}", "\n}").replace("{", "{\n ") + no_params = HyperoptTools._space_params(non_optimized, space, 5) - params_result = params_result.replace("\n", "\n ") - print(params_result) + result += f"{space}_params = {HyperoptTools._pprint(space_params, no_params)}" + + result = result.replace("\n", "\n ") + print(result) @staticmethod def _space_params(params, space: str, r: int = None) -> Dict: - d = params[space] - # Round floats to `r` digits after the decimal point if requested - return round_dict(d, r) if r else d + d = params.get(space) + if d: + # Round floats to `r` digits after the decimal point if requested + return round_dict(d, r) if r else d + return {} + + @staticmethod + def _pprint(params, non_optimized, indent: int = 4): + """ + Pretty-print hyperopt results (based on 2 dicts - with add. comment) + """ + p = params.copy() + p.update(non_optimized) + result = '{\n' + + for k, param in p.items(): + result += " " * indent + f'"{k}": {param},' + if k in non_optimized: + result += " # value loaded from strategy" + result += "\n" + result += '}' + return result @staticmethod def is_best_loss(results, current_best_loss: float) -> bool: From 4fc37f15d106855b1bc945d33b2ce5119ea8f9fe Mon Sep 17 00:00:00 2001 From: youpas Date: Sun, 2 May 2021 11:41:26 +0200 Subject: [PATCH 066/241] Fixed syntax error in the example Removed extra comma in the "Full example of Pairlist Handlers" section. --- docs/includes/pairlists.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index 85d157e75..2cd6feca0 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -204,7 +204,7 @@ The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, { "method": "VolumePairList", "number_assets": 20, - "sort_key": "quoteVolume", + "sort_key": "quoteVolume" }, {"method": "AgeFilter", "min_days_listed": 10}, {"method": "PrecisionFilter"}, From b71d8505965624a308d6576a52892a6d7d17494f Mon Sep 17 00:00:00 2001 From: youpas Date: Sun, 2 May 2021 11:47:02 +0200 Subject: [PATCH 067/241] Fixed anchor link for PriceFilter --- docs/includes/pairlists.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md index 85d157e75..d653303f6 100644 --- a/docs/includes/pairlists.md +++ b/docs/includes/pairlists.md @@ -193,7 +193,7 @@ If the volatility over the last 10 days is not in the range of 0.05-0.50, remove ### Full example of Pairlist Handlers -The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, sorting pairs by `quoteVolume` and applies [`PrecisionFilter`](#precisionfilter) and [`PriceFilter`](#price-filter), filtering all assets where 1 price unit is > 1%. Then the [`SpreadFilter`](#spreadfilter) and [`VolatilityFilter`](#volatilityfilter) is applied and pairs are finally shuffled with the random seed set to some predefined value. +The below example blacklists `BNB/BTC`, uses `VolumePairList` with `20` assets, sorting pairs by `quoteVolume` and applies [`PrecisionFilter`](#precisionfilter) and [`PriceFilter`](#pricefilter), filtering all assets where 1 price unit is > 1%. Then the [`SpreadFilter`](#spreadfilter) and [`VolatilityFilter`](#volatilityfilter) is applied and pairs are finally shuffled with the random seed set to some predefined value. ```json "exchange": { From 99e1ef9b4a427b28953b35ae273f448bc60ef6be Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 19:21:26 +0200 Subject: [PATCH 068/241] Fix docs typo for CategoryParameter closes #4852 --- docs/hyperopt.md | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/docs/hyperopt.md b/docs/hyperopt.md index b3fdc699b..5f1f9bffa 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -251,9 +251,9 @@ We continue to define hyperoptable parameters: class MyAwesomeStrategy(IStrategy): buy_adx = IntParameter(20, 40, default=30) buy_rsi = IntParameter(20, 40, default=30) - buy_adx_enabled = CategoricalParameter([True, False]), - buy_rsi_enabled = CategoricalParameter([True, False]), - buy_trigger = CategoricalParameter(['bb_lower', 'macd_cross_signal']), + buy_adx_enabled = CategoricalParameter([True, False]) + buy_rsi_enabled = CategoricalParameter([True, False]) + buy_trigger = CategoricalParameter(['bb_lower', 'macd_cross_signal']) ``` Above definition says: I have five parameters I want to randomly combine to find the best combination. From ef9dd0676cf0de365967d4e0108162957dc100bc Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 20:06:47 +0200 Subject: [PATCH 069/241] Rename hyperoptresult fixture to avoid naming collision --- tests/commands/test_commands.py | 8 ++++---- tests/conftest.py | 2 +- 2 files changed, 5 insertions(+), 5 deletions(-) diff --git a/tests/commands/test_commands.py b/tests/commands/test_commands.py index d86bced5d..9195a1a92 100644 --- a/tests/commands/test_commands.py +++ b/tests/commands/test_commands.py @@ -918,10 +918,10 @@ def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): captured.out) -def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results): +def test_hyperopt_list(mocker, capsys, caplog, saved_hyperopt_results): mocker.patch( 'freqtrade.optimize.hyperopt_tools.HyperoptTools.load_previous_results', - MagicMock(return_value=hyperopt_results) + MagicMock(return_value=saved_hyperopt_results) ) args = [ @@ -1150,10 +1150,10 @@ def test_hyperopt_list(mocker, capsys, caplog, hyperopt_results): f.unlink() -def test_hyperopt_show(mocker, capsys, hyperopt_results): +def test_hyperopt_show(mocker, capsys, saved_hyperopt_results): mocker.patch( 'freqtrade.optimize.hyperopt_tools.HyperoptTools.load_previous_results', - MagicMock(return_value=hyperopt_results) + MagicMock(return_value=saved_hyperopt_results) ) args = [ diff --git a/tests/conftest.py b/tests/conftest.py index 788586134..ffb09cc60 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -1778,7 +1778,7 @@ def open_trade(): @pytest.fixture -def hyperopt_results(): +def saved_hyperopt_results(): return [ { 'loss': 0.4366182531161519, From 303895b33e3a0931dd4dc26c687157a5fa080a9e Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 20:07:22 +0200 Subject: [PATCH 070/241] Add support for filters to new hyperopt-results --- freqtrade/commands/hyperopt_commands.py | 71 ++++++++++++++++++------- 1 file changed, 51 insertions(+), 20 deletions(-) diff --git a/freqtrade/commands/hyperopt_commands.py b/freqtrade/commands/hyperopt_commands.py index 322729547..cf3bc3005 100755 --- a/freqtrade/commands/hyperopt_commands.py +++ b/freqtrade/commands/hyperopt_commands.py @@ -139,11 +139,13 @@ def start_hyperopt_show(args: Dict[str, Any]) -> None: def hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List: """ Filter our items from the list of hyperopt results + TODO: after 2021.5 remove all "legacy" mode queries. """ if filteroptions['only_best']: epochs = [x for x in epochs if x['is_best']] if filteroptions['only_profitable']: - epochs = [x for x in epochs if x['results_metrics']['profit'] > 0] + epochs = [x for x in epochs if x['results_metrics'].get( + 'profit', x['results_metrics'].get('profit_total', 0)) > 0] epochs = _hyperopt_filter_epochs_trade_count(epochs, filteroptions) @@ -160,34 +162,55 @@ def hyperopt_filter_epochs(epochs: List, filteroptions: dict) -> List: return epochs +def _hyperopt_filter_epochs_trade(epochs: List, trade_count: int): + """ + Filter epochs with trade-counts > trades + """ + return [ + x for x in epochs + if x['results_metrics'].get( + 'trade_count', x['results_metrics'].get('total_trades', 0) + ) > trade_count + ] + + def _hyperopt_filter_epochs_trade_count(epochs: List, filteroptions: dict) -> List: if filteroptions['filter_min_trades'] > 0: - epochs = [ - x for x in epochs - if x['results_metrics']['trade_count'] > filteroptions['filter_min_trades'] - ] + epochs = _hyperopt_filter_epochs_trade(epochs, filteroptions['filter_min_trades']) + if filteroptions['filter_max_trades'] > 0: epochs = [ x for x in epochs - if x['results_metrics']['trade_count'] < filteroptions['filter_max_trades'] + if x['results_metrics'].get( + 'trade_count', x['results_metrics'].get('total_trades') + ) < filteroptions['filter_max_trades'] ] return epochs def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List: + def get_duration_value(x): + # Duration in minutes ... + if 'duration' in x['results_metrics']: + return x['results_metrics']['duration'] + else: + # New mode + avg = x['results_metrics']['holding_avg'] + return avg.total_seconds() // 60 + if filteroptions['filter_min_avg_time'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [ x for x in epochs - if x['results_metrics']['duration'] > filteroptions['filter_min_avg_time'] + if get_duration_value(x) > filteroptions['filter_min_avg_time'] ] if filteroptions['filter_max_avg_time'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [ x for x in epochs - if x['results_metrics']['duration'] < filteroptions['filter_max_avg_time'] + if get_duration_value(x) < filteroptions['filter_max_avg_time'] ] return epochs @@ -196,28 +219,36 @@ def _hyperopt_filter_epochs_duration(epochs: List, filteroptions: dict) -> List: def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: if filteroptions['filter_min_avg_profit'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [ x for x in epochs - if x['results_metrics']['avg_profit'] > filteroptions['filter_min_avg_profit'] + if x['results_metrics'].get( + 'avg_profit', x['results_metrics'].get('profit_mean', 0) + ) > filteroptions['filter_min_avg_profit'] ] if filteroptions['filter_max_avg_profit'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [ x for x in epochs - if x['results_metrics']['avg_profit'] < filteroptions['filter_max_avg_profit'] + if x['results_metrics'].get( + 'avg_profit', x['results_metrics'].get('profit_mean', 0) + ) < filteroptions['filter_max_avg_profit'] ] if filteroptions['filter_min_total_profit'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [ x for x in epochs - if x['results_metrics']['profit'] > filteroptions['filter_min_total_profit'] + if x['results_metrics'].get( + 'profit', x['results_metrics'].get('profit_total', 0) + ) > filteroptions['filter_min_total_profit'] ] if filteroptions['filter_max_total_profit'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [ x for x in epochs - if x['results_metrics']['profit'] < filteroptions['filter_max_total_profit'] + if x['results_metrics'].get( + 'profit', x['results_metrics'].get('profit_total', 0) + ) < filteroptions['filter_max_total_profit'] ] return epochs @@ -225,11 +256,11 @@ def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: def _hyperopt_filter_epochs_objective(epochs: List, filteroptions: dict) -> List: if filteroptions['filter_min_objective'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [x for x in epochs if x['loss'] < filteroptions['filter_min_objective']] if filteroptions['filter_max_objective'] is not None: - epochs = [x for x in epochs if x['results_metrics']['trade_count'] > 0] + epochs = _hyperopt_filter_epochs_trade(epochs, 0) epochs = [x for x in epochs if x['loss'] > filteroptions['filter_max_objective']] From fc110ea418719661052616378adb882463e3ff0a Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 20:41:45 +0200 Subject: [PATCH 071/241] Support csv export for new and old versions --- freqtrade/commands/hyperopt_commands.py | 8 +- freqtrade/optimize/hyperopt_tools.py | 33 ++++-- tests/conftest.py | 137 +++++++++++++++++++++++- 3 files changed, 162 insertions(+), 16 deletions(-) diff --git a/freqtrade/commands/hyperopt_commands.py b/freqtrade/commands/hyperopt_commands.py index cf3bc3005..e072e12cb 100755 --- a/freqtrade/commands/hyperopt_commands.py +++ b/freqtrade/commands/hyperopt_commands.py @@ -223,7 +223,7 @@ def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: epochs = [ x for x in epochs if x['results_metrics'].get( - 'avg_profit', x['results_metrics'].get('profit_mean', 0) + 'avg_profit', x['results_metrics'].get('profit_mean', 0) * 100 ) > filteroptions['filter_min_avg_profit'] ] if filteroptions['filter_max_avg_profit'] is not None: @@ -231,7 +231,7 @@ def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: epochs = [ x for x in epochs if x['results_metrics'].get( - 'avg_profit', x['results_metrics'].get('profit_mean', 0) + 'avg_profit', x['results_metrics'].get('profit_mean', 0) * 100 ) < filteroptions['filter_max_avg_profit'] ] if filteroptions['filter_min_total_profit'] is not None: @@ -239,7 +239,7 @@ def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: epochs = [ x for x in epochs if x['results_metrics'].get( - 'profit', x['results_metrics'].get('profit_total', 0) + 'profit', x['results_metrics'].get('profit_total_abs', 0) ) > filteroptions['filter_min_total_profit'] ] if filteroptions['filter_max_total_profit'] is not None: @@ -247,7 +247,7 @@ def _hyperopt_filter_epochs_profit(epochs: List, filteroptions: dict) -> List: epochs = [ x for x in epochs if x['results_metrics'].get( - 'profit', x['results_metrics'].get('profit_total', 0) + 'profit', x['results_metrics'].get('profit_total_abs', 0) ) < filteroptions['filter_max_total_profit'] ] return epochs diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index 724f451c5..ee3366a4e 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -318,11 +318,21 @@ class HyperoptTools(): trials['Best'] = '' trials['Stake currency'] = config['stake_currency'] - base_metrics = ['Best', 'current_epoch', 'results_metrics.trade_count', - 'results_metrics.avg_profit', 'results_metrics.median_profit', - 'results_metrics.total_profit', - 'Stake currency', 'results_metrics.profit', 'results_metrics.duration', - 'loss', 'is_initial_point', 'is_best'] + if 'results_metrics.total_trades' in trials: + base_metrics = ['Best', 'current_epoch', 'results_metrics.total_trades', + 'results_metrics.profit_mean', 'results_metrics.profit_median', + 'results_metrics.profit_total', + 'Stake currency', + 'results_metrics.profit_total_abs', 'results_metrics.holding_avg', + 'loss', 'is_initial_point', 'is_best'] + perc_multi = 100 + else: + perc_multi = 1 + base_metrics = ['Best', 'current_epoch', 'results_metrics.trade_count', + 'results_metrics.avg_profit', 'results_metrics.median_profit', + 'results_metrics.total_profit', + 'Stake currency', 'results_metrics.profit', 'results_metrics.duration', + 'loss', 'is_initial_point', 'is_best'] param_metrics = [("params_dict."+param) for param in results[0]['params_dict'].keys()] trials = trials[base_metrics + param_metrics] @@ -339,21 +349,24 @@ class HyperoptTools(): trials.loc[trials['Total profit'] > 0, 'is_profit'] = True trials['Epoch'] = trials['Epoch'].astype(str) trials['Trades'] = trials['Trades'].astype(str) + trials['Median profit'] = trials['Median profit'] * perc_multi trials['Total profit'] = trials['Total profit'].apply( - lambda x: '{:,.8f}'.format(x) if x != 0.0 else "" + lambda x: f'{x:,.8f}' if x != 0.0 else "" ) trials['Profit'] = trials['Profit'].apply( - lambda x: '{:,.2f}'.format(x) if not isna(x) else "" + lambda x: f'{x:,.2f}' if not isna(x) else "" ) trials['Avg profit'] = trials['Avg profit'].apply( - lambda x: '{:,.2f}%'.format(x) if not isna(x) else "" + lambda x: f'{x * perc_multi:,.2f}%' if not isna(x) else "" ) trials['Avg duration'] = trials['Avg duration'].apply( - lambda x: '{:,.1f} m'.format(x) if not isna(x) else "" + lambda x: f'{x:,.1f} m' if isinstance( + x, float) else f"{x.total_seconds() // 60:,.1f} m" + if not isna(x) else "" ) trials['Objective'] = trials['Objective'].apply( - lambda x: '{:,.5f}'.format(x) if x != 100000 else "" + lambda x: f'{x:,.5f}' if x != 100000 else "" ) trials = trials.drop(columns=['is_initial_point', 'is_best', 'is_profit']) diff --git a/tests/conftest.py b/tests/conftest.py index ffb09cc60..83a34359a 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -3,7 +3,7 @@ import json import logging import re from copy import deepcopy -from datetime import datetime +from datetime import datetime, timedelta from functools import reduce from pathlib import Path from unittest.mock import MagicMock, Mock, PropertyMock @@ -1778,7 +1778,7 @@ def open_trade(): @pytest.fixture -def saved_hyperopt_results(): +def saved_hyperopt_results_legacy(): return [ { 'loss': 0.4366182531161519, @@ -1907,3 +1907,136 @@ def saved_hyperopt_results(): 'is_best': False } ] + + +@pytest.fixture +def saved_hyperopt_results(): + return [ + { + 'loss': 0.4366182531161519, + 'params_dict': { + 'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1190, 'roi_t2': 541, 'roi_t3': 408, 'roi_p1': 0.026035863879169705, 'roi_p2': 0.12508730043628782, 'roi_p3': 0.27766427921605896, 'stoploss': -0.2562930402099556}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 15, 'fastd-value': 20, 'adx-value': 25, 'rsi-value': 28, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 88, 'sell-fastd-value': 97, 'sell-adx-value': 51, 'sell-rsi-value': 67, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4287874435315165, 408: 0.15112316431545753, 949: 0.026035863879169705, 2139: 0}, 'stoploss': {'stoploss': -0.2562930402099556}}, # noqa: E501 + 'results_metrics': {'total_trades': 2, 'wins': 0, 'draws': 0, 'losses': 2, 'profit_mean': -0.01254995, 'profit_median': -0.012222, 'profit_total': -0.00125625, 'profit_total_abs': -2.50999, 'holding_avg': timedelta(minutes=3930.0)}, # noqa: E501 + 'results_explanation': ' 2 trades. Avg profit -1.25%. Total profit -0.00125625 BTC ( -2.51Σ%). Avg duration 3930.0 min.', # noqa: E501 + 'total_profit': -0.00125625, + 'current_epoch': 1, + 'is_initial_point': True, + 'is_best': True + }, { + 'loss': 20.0, + 'params_dict': { + 'mfi-value': 17, 'fastd-value': 38, 'adx-value': 48, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 96, 'sell-fastd-value': 68, 'sell-adx-value': 63, 'sell-rsi-value': 81, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 334, 'roi_t2': 683, 'roi_t3': 140, 'roi_p1': 0.06403981740598495, 'roi_p2': 0.055519840060645045, 'roi_p3': 0.3253712811342459, 'stoploss': -0.338070047333259}, # noqa: E501 + 'params_details': { + 'buy': {'mfi-value': 17, 'fastd-value': 38, 'adx-value': 48, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, # noqa: E501 + 'sell': {'sell-mfi-value': 96, 'sell-fastd-value': 68, 'sell-adx-value': 63, 'sell-rsi-value': 81, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, # noqa: E501 + 'roi': {0: 0.4449309386008759, 140: 0.11955965746663, 823: 0.06403981740598495, 1157: 0}, # noqa: E501 + 'stoploss': {'stoploss': -0.338070047333259}}, + 'results_metrics': {'total_trades': 1, 'wins': 0, 'draws': 0, 'losses': 1, 'profit_mean': 0.012357, 'profit_median': -0.012222, 'profit_total': 6.185e-05, 'profit_total_abs': 0.12357, 'holding_avg': timedelta(minutes=1200.0)}, # noqa: E501 + 'results_explanation': ' 1 trades. Avg profit 0.12%. Total profit 0.00006185 BTC ( 0.12Σ%). Avg duration 1200.0 min.', # noqa: E501 + 'total_profit': 6.185e-05, + 'current_epoch': 2, + 'is_initial_point': True, + 'is_best': False + }, { + 'loss': 14.241196856510731, + 'params_dict': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 889, 'roi_t2': 533, 'roi_t3': 263, 'roi_p1': 0.04759065393663096, 'roi_p2': 0.1488819964638463, 'roi_p3': 0.4102801822104605, 'stoploss': -0.05394588767607611}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 25, 'fastd-value': 16, 'adx-value': 29, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 98, 'sell-fastd-value': 72, 'sell-adx-value': 51, 'sell-rsi-value': 82, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.6067528326109377, 263: 0.19647265040047726, 796: 0.04759065393663096, 1685: 0}, 'stoploss': {'stoploss': -0.05394588767607611}}, # noqa: E501 + 'results_metrics': {'total_trades': 621, 'wins': 320, 'draws': 0, 'losses': 301, 'profit_mean': -0.043883302093397747, 'profit_median': -0.012222, 'profit_total': -0.13639474, 'profit_total_abs': -272.515306, 'holding_avg': timedelta(minutes=1691.207729468599)}, # noqa: E501 + 'results_explanation': ' 621 trades. Avg profit -0.44%. Total profit -0.13639474 BTC (-272.52Σ%). Avg duration 1691.2 min.', # noqa: E501 + 'total_profit': -0.13639474, + 'current_epoch': 3, + 'is_initial_point': True, + 'is_best': False + }, { + 'loss': 100000, + 'params_dict': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1402, 'roi_t2': 676, 'roi_t3': 215, 'roi_p1': 0.06264755784937427, 'roi_p2': 0.14258587851894644, 'roi_p3': 0.20671291201040828, 'stoploss': -0.11818343570194478}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 13, 'fastd-value': 35, 'adx-value': 39, 'rsi-value': 29, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 54, 'sell-adx-value': 63, 'sell-rsi-value': 93, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.411946348378729, 215: 0.2052334363683207, 891: 0.06264755784937427, 2293: 0}, 'stoploss': {'stoploss': -0.11818343570194478}}, # noqa: E501 + 'results_metrics': {'total_trades': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit': 0.0, 'holding_avg': timedelta()}, # noqa: E501 + 'results_explanation': ' 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.', # noqa: E501 + 'total_profit': 0, 'current_epoch': 4, 'is_initial_point': True, 'is_best': False + }, { + 'loss': 0.22195522184191518, + 'params_dict': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 1269, 'roi_t2': 601, 'roi_t3': 444, 'roi_p1': 0.07280999507931168, 'roi_p2': 0.08946698095898986, 'roi_p3': 0.1454876733325284, 'stoploss': -0.18181041180901014}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 17, 'fastd-value': 21, 'adx-value': 38, 'rsi-value': 33, 'mfi-enabled': True, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 82, 'sell-adx-value': 78, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.3077646493708299, 444: 0.16227697603830155, 1045: 0.07280999507931168, 2314: 0}, 'stoploss': {'stoploss': -0.18181041180901014}}, # noqa: E501 + 'results_metrics': {'total_trades': 14, 'wins': 6, 'draws': 0, 'losses': 8, 'profit_mean': -0.003539515, 'profit_median': -0.012222, 'profit_total': -0.002480140000000001, 'profit_total_abs': -4.955321, 'holding_avg': timedelta(minutes=3402.8571428571427)}, # noqa: E501 + 'results_explanation': ' 14 trades. Avg profit -0.35%. Total profit -0.00248014 BTC ( -4.96Σ%). Avg duration 3402.9 min.', # noqa: E501 + 'total_profit': -0.002480140000000001, + 'current_epoch': 5, + 'is_initial_point': True, + 'is_best': True + }, { + 'loss': 0.545315889154162, + 'params_dict': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower', 'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 319, 'roi_t2': 556, 'roi_t3': 216, 'roi_p1': 0.06251955472249589, 'roi_p2': 0.11659519602202795, 'roi_p3': 0.0953744132197762, 'stoploss': -0.024551752215582423}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 43, 'adx-value': 46, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 87, 'sell-fastd-value': 65, 'sell-adx-value': 94, 'sell-rsi-value': 63, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.2744891639643, 216: 0.17911475074452382, 772: 0.06251955472249589, 1091: 0}, 'stoploss': {'stoploss': -0.024551752215582423}}, # noqa: E501 + 'results_metrics': {'total_trades': 39, 'wins': 20, 'draws': 0, 'losses': 19, 'profit_mean': -0.0021400679487179478, 'profit_median': -0.012222, 'profit_total': -0.0041773, 'profit_total_abs': -8.346264999999997, 'holding_avg': timedelta(minutes=636.9230769230769)}, # noqa: E501 + 'results_explanation': ' 39 trades. Avg profit -0.21%. Total profit -0.00417730 BTC ( -8.35Σ%). Avg duration 636.9 min.', # noqa: E501 + 'total_profit': -0.0041773, + 'current_epoch': 6, + 'is_initial_point': True, + 'is_best': False + }, { + 'loss': 4.713497421432944, + 'params_dict': {'mfi-value': 13, 'fastd-value': 41, 'adx-value': 21, 'rsi-value': 29, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower', 'sell-mfi-value': 99, 'sell-fastd-value': 60, 'sell-adx-value': 81, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 771, 'roi_t2': 620, 'roi_t3': 145, 'roi_p1': 0.0586919200378493, 'roi_p2': 0.04984118697312542, 'roi_p3': 0.37521058680247044, 'stoploss': -0.14613268022709905}, # noqa: E501 + 'params_details': { + 'buy': {'mfi-value': 13, 'fastd-value': 41, 'adx-value': 21, 'rsi-value': 29, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 99, 'sell-fastd-value': 60, 'sell-adx-value': 81, 'sell-rsi-value': 69, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': False, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.4837436938134452, 145: 0.10853310701097472, 765: 0.0586919200378493, 1536: 0}, # noqa: E501 + 'stoploss': {'stoploss': -0.14613268022709905}}, # noqa: E501 + 'results_metrics': {'total_trades': 318, 'wins': 100, 'draws': 0, 'losses': 218, 'profit_mean': -0.0039833954716981146, 'profit_median': -0.012222, 'profit_total': -0.06339929, 'profit_total_abs': -126.67197600000004, 'holding_avg': timedelta(minutes=3140.377358490566)}, # noqa: E501 + 'results_explanation': ' 318 trades. Avg profit -0.40%. Total profit -0.06339929 BTC (-126.67Σ%). Avg duration 3140.4 min.', # noqa: E501 + 'total_profit': -0.06339929, + 'current_epoch': 7, + 'is_initial_point': True, + 'is_best': False + }, { + 'loss': 20.0, # noqa: E501 + 'params_dict': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal', 'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 1149, 'roi_t2': 375, 'roi_t3': 289, 'roi_p1': 0.05571820757172588, 'roi_p2': 0.0606240398618907, 'roi_p3': 0.1729012220156157, 'stoploss': -0.1588514289110401}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 24, 'fastd-value': 43, 'adx-value': 33, 'rsi-value': 20, 'mfi-enabled': False, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': True, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 89, 'sell-fastd-value': 74, 'sell-adx-value': 70, 'sell-rsi-value': 70, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': False, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.2892434694492323, 289: 0.11634224743361658, 664: 0.05571820757172588, 1813: 0}, 'stoploss': {'stoploss': -0.1588514289110401}}, # noqa: E501 + 'results_metrics': {'total_trades': 1, 'wins': 0, 'draws': 1, 'losses': 0, 'profit_mean': 0.0, 'profit_median': 0.0, 'profit_total': 0.0, 'profit_total_abs': 0.0, 'holding_avg': timedelta(minutes=5340.0)}, # noqa: E501 + 'results_explanation': ' 1 trades. Avg profit 0.00%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration 5340.0 min.', # noqa: E501 + 'total_profit': 0.0, + 'current_epoch': 8, + 'is_initial_point': True, + 'is_best': False + }, { + 'loss': 2.4731817780991223, + 'params_dict': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1012, 'roi_t2': 584, 'roi_t3': 422, 'roi_p1': 0.036764323603472565, 'roi_p2': 0.10335480573205287, 'roi_p3': 0.10322347377503042, 'stoploss': -0.2780610808108503}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 22, 'fastd-value': 20, 'adx-value': 29, 'rsi-value': 40, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 65, 'sell-adx-value': 81, 'sell-rsi-value': 64, 'sell-mfi-enabled': True, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.2433426031105559, 422: 0.14011912933552545, 1006: 0.036764323603472565, 2018: 0}, 'stoploss': {'stoploss': -0.2780610808108503}}, # noqa: E501 + 'results_metrics': {'total_trades': 229, 'wins': 150, 'draws': 0, 'losses': 79, 'profit_mean': -0.0038433433624454144, 'profit_median': -0.012222, 'profit_total': -0.044050070000000004, 'profit_total_abs': -88.01256299999999, 'holding_avg': timedelta(minutes=6505.676855895196)}, # noqa: E501 + 'results_explanation': ' 229 trades. Avg profit -0.38%. Total profit -0.04405007 BTC ( -88.01Σ%). Avg duration 6505.7 min.', # noqa: E501 + 'total_profit': -0.044050070000000004, # noqa: E501 + 'current_epoch': 9, + 'is_initial_point': True, + 'is_best': False + }, { + 'loss': -0.2604606005845212, # noqa: E501 + 'params_dict': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal', 'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal', 'roi_t1': 792, 'roi_t2': 464, 'roi_t3': 215, 'roi_p1': 0.04594053535385903, 'roi_p2': 0.09623192684243963, 'roi_p3': 0.04428219070850663, 'stoploss': -0.16992287161634415}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 23, 'fastd-value': 24, 'adx-value': 22, 'rsi-value': 24, 'mfi-enabled': False, 'fastd-enabled': False, 'adx-enabled': False, 'rsi-enabled': True, 'trigger': 'macd_cross_signal'}, 'sell': {'sell-mfi-value': 97, 'sell-fastd-value': 70, 'sell-adx-value': 64, 'sell-rsi-value': 80, 'sell-mfi-enabled': False, 'sell-fastd-enabled': True, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-sar_reversal'}, 'roi': {0: 0.18645465290480528, 215: 0.14217246219629864, 679: 0.04594053535385903, 1471: 0}, 'stoploss': {'stoploss': -0.16992287161634415}}, # noqa: E501 + 'results_metrics': {'total_trades': 4, 'wins': 0, 'draws': 0, 'losses': 4, 'profit_mean': 0.001080385, 'profit_median': -0.012222, 'profit_total': 0.00021629, 'profit_total_abs': 0.432154, 'holding_avg': timedelta(minutes=2850.0)}, # noqa: E501 + 'results_explanation': ' 4 trades. Avg profit 0.11%. Total profit 0.00021629 BTC ( 0.43Σ%). Avg duration 2850.0 min.', # noqa: E501 + 'total_profit': 0.00021629, + 'current_epoch': 10, + 'is_initial_point': True, + 'is_best': True + }, { + 'loss': 4.876465945994304, # noqa: E501 + 'params_dict': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower', 'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal', 'roi_t1': 579, 'roi_t2': 614, 'roi_t3': 273, 'roi_p1': 0.05307643172744114, 'roi_p2': 0.1352282078262871, 'roi_p3': 0.1913307406325751, 'stoploss': -0.25728526022513887}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 20, 'fastd-value': 32, 'adx-value': 49, 'rsi-value': 23, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': False, 'rsi-enabled': False, 'trigger': 'bb_lower'}, 'sell': {'sell-mfi-value': 75, 'sell-fastd-value': 56, 'sell-adx-value': 61, 'sell-rsi-value': 62, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-macd_cross_signal'}, 'roi': {0: 0.3796353801863034, 273: 0.18830463955372825, 887: 0.05307643172744114, 1466: 0}, 'stoploss': {'stoploss': -0.25728526022513887}}, # noqa: E501 + # New Hyperopt mode! + 'results_metrics': {'total_trades': 117, 'wins': 67, 'draws': 0, 'losses': 50, 'profit_mean': -0.012698609145299145, 'profit_median': -0.012222, 'profit_total': -0.07436117, 'profit_total_abs': -148.573727, 'holding_avg': timedelta(minutes=4282.5641025641025)}, # noqa: E501 + 'results_explanation': ' 117 trades. Avg profit -1.27%. Total profit -0.07436117 BTC (-148.57Σ%). Avg duration 4282.6 min.', # noqa: E501 + 'total_profit': -0.07436117, + 'current_epoch': 11, + 'is_initial_point': True, + 'is_best': False + }, { + 'loss': 100000, + 'params_dict': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal', 'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper', 'roi_t1': 1156, 'roi_t2': 581, 'roi_t3': 408, 'roi_p1': 0.06860454019988212, 'roi_p2': 0.12473718444931989, 'roi_p3': 0.2896360635226823, 'stoploss': -0.30889015124682806}, # noqa: E501 + 'params_details': {'buy': {'mfi-value': 10, 'fastd-value': 36, 'adx-value': 31, 'rsi-value': 22, 'mfi-enabled': True, 'fastd-enabled': True, 'adx-enabled': True, 'rsi-enabled': False, 'trigger': 'sar_reversal'}, 'sell': {'sell-mfi-value': 80, 'sell-fastd-value': 71, 'sell-adx-value': 60, 'sell-rsi-value': 85, 'sell-mfi-enabled': False, 'sell-fastd-enabled': False, 'sell-adx-enabled': True, 'sell-rsi-enabled': True, 'sell-trigger': 'sell-bb_upper'}, 'roi': {0: 0.4829777881718843, 408: 0.19334172464920202, 989: 0.06860454019988212, 2145: 0}, 'stoploss': {'stoploss': -0.30889015124682806}}, # noqa: E501 + 'results_metrics': {'total_trades': 0, 'wins': 0, 'draws': 0, 'losses': 0, 'profit_mean': None, 'profit_median': None, 'profit_total': 0, 'profit_total_abs': 0.0, 'holding_avg': timedelta()}, # noqa: E501 + 'results_explanation': ' 0 trades. Avg profit nan%. Total profit 0.00000000 BTC ( 0.00Σ%). Avg duration nan min.', # noqa: E501 + 'total_profit': 0, + 'current_epoch': 12, + 'is_initial_point': True, + 'is_best': False + } + ] From 6d7096dc665a7ffb0818ab31bba180e983307238 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sun, 2 May 2021 20:42:01 +0200 Subject: [PATCH 072/241] Use both old and new fixtures for test --- tests/commands/test_commands.py | 459 ++++++++++++++++---------------- 1 file changed, 230 insertions(+), 229 deletions(-) diff --git a/tests/commands/test_commands.py b/tests/commands/test_commands.py index 9195a1a92..60e6d2ea8 100644 --- a/tests/commands/test_commands.py +++ b/tests/commands/test_commands.py @@ -918,236 +918,237 @@ def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): captured.out) -def test_hyperopt_list(mocker, capsys, caplog, saved_hyperopt_results): - mocker.patch( - 'freqtrade.optimize.hyperopt_tools.HyperoptTools.load_previous_results', - MagicMock(return_value=saved_hyperopt_results) - ) +def test_hyperopt_list(mocker, capsys, caplog, saved_hyperopt_results, saved_hyperopt_results_legacy): + for _ in (saved_hyperopt_results, saved_hyperopt_results_legacy): + mocker.patch( + 'freqtrade.optimize.hyperopt_tools.HyperoptTools.load_previous_results', + MagicMock(return_value=saved_hyperopt_results_legacy) + ) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", - " 6/12", " 7/12", " 8/12", " 9/12", " 10/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--best", - "--no-details", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 5/12", " 10/12"]) - assert all(x not in captured.out - for x in [" 2/12", " 3/12", " 4/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-color", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 10/12", "Best result:", "Buy hyperspace params", - "Sell hyperspace params", "ROI table", "Stoploss"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--min-trades", "20", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 3/12", " 6/12", " 7/12", " 9/12", " 11/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 4/12", " 5/12", " 8/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - "--max-trades", "20", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - "--min-avg-profit", "0.11", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 10/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--max-avg-profit", "0.10", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", - " 11/12"]) - assert all(x not in captured.out - for x in [" 2/12", " 4/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--min-total-profit", "0.4", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--max-total-profit", "0.4", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12"]) - assert all(x not in captured.out - for x in [" 4/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--min-objective", "0.1", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--max-objective", "0.1", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", - " 9/12", " 11/12"]) - assert all(x not in captured.out - for x in [" 4/12", " 10/12", " 12/12"]) - args = [ - "hyperopt-list", - "--profitable", - "--no-details", - "--no-color", - "--min-avg-time", "2000", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 10/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", - " 8/12", " 9/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--max-avg-time", "1500", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - assert all(x in captured.out - for x in [" 2/12", " 6/12"]) - assert all(x not in captured.out - for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 7/12", " 8/12" - " 9/12", " 10/12", " 11/12", " 12/12"]) - args = [ - "hyperopt-list", - "--no-details", - "--no-color", - "--export-csv", "test_file.csv", - ] - pargs = get_args(args) - pargs['config'] = None - start_hyperopt_list(pargs) - captured = capsys.readouterr() - log_has("CSV file created: test_file.csv", caplog) - f = Path("test_file.csv") - assert 'Best,1,2,-1.25%,-1.2222,-0.00125625,,-2.51,"3,930.0 m",0.43662' in f.read_text() - assert f.is_file() - f.unlink() + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", + " 6/12", " 7/12", " 8/12", " 9/12", " 10/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--best", + "--no-details", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 5/12", " 10/12"]) + assert all(x not in captured.out + for x in [" 2/12", " 3/12", " 4/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-color", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 10/12", "Best result:", "Buy hyperspace params", + "Sell hyperspace params", "ROI table", "Stoploss"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--min-trades", "20", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 3/12", " 6/12", " 7/12", " 9/12", " 11/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 4/12", " 5/12", " 8/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + "--max-trades", "20", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + "--min-avg-profit", "0.11", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 10/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--max-avg-profit", "0.10", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", " 9/12", + " 11/12"]) + assert all(x not in captured.out + for x in [" 2/12", " 4/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--min-total-profit", "0.4", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--max-total-profit", "0.4", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12"]) + assert all(x not in captured.out + for x in [" 4/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--min-objective", "0.1", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--max-objective", "0.1", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 5/12", " 6/12", " 7/12", " 8/12", + " 9/12", " 11/12"]) + assert all(x not in captured.out + for x in [" 4/12", " 10/12", " 12/12"]) + args = [ + "hyperopt-list", + "--profitable", + "--no-details", + "--no-color", + "--min-avg-time", "2000", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 10/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 2/12", " 3/12", " 4/12", " 5/12", " 6/12", " 7/12", + " 8/12", " 9/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--max-avg-time", "1500", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + assert all(x in captured.out + for x in [" 2/12", " 6/12"]) + assert all(x not in captured.out + for x in [" 1/12", " 3/12", " 4/12", " 5/12", " 7/12", " 8/12" + " 9/12", " 10/12", " 11/12", " 12/12"]) + args = [ + "hyperopt-list", + "--no-details", + "--no-color", + "--export-csv", "test_file.csv", + ] + pargs = get_args(args) + pargs['config'] = None + start_hyperopt_list(pargs) + captured = capsys.readouterr() + log_has("CSV file created: test_file.csv", caplog) + f = Path("test_file.csv") + assert 'Best,1,2,-1.25%,-1.2222,-0.00125625,,-2.51,"3,930.0 m",0.43662' in f.read_text() + assert f.is_file() + f.unlink() def test_hyperopt_show(mocker, capsys, saved_hyperopt_results): From da574e4e69b9afa6f76484bd09738dde2bd97ee7 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 3 May 2021 06:30:41 +0200 Subject: [PATCH 073/241] Small style fixes --- freqtrade/optimize/hyperopt_tools.py | 3 +-- tests/commands/test_commands.py | 3 ++- 2 files changed, 3 insertions(+), 3 deletions(-) diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index ee3366a4e..f655582c4 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -362,8 +362,7 @@ class HyperoptTools(): ) trials['Avg duration'] = trials['Avg duration'].apply( lambda x: f'{x:,.1f} m' if isinstance( - x, float) else f"{x.total_seconds() // 60:,.1f} m" - if not isna(x) else "" + x, float) else f"{x.total_seconds() // 60:,.1f} m" if not isna(x) else "" ) trials['Objective'] = trials['Objective'].apply( lambda x: f'{x:,.5f}' if x != 100000 else "" diff --git a/tests/commands/test_commands.py b/tests/commands/test_commands.py index 60e6d2ea8..4d3937d87 100644 --- a/tests/commands/test_commands.py +++ b/tests/commands/test_commands.py @@ -918,7 +918,8 @@ def test_start_test_pairlist(mocker, caplog, tickers, default_conf, capsys): captured.out) -def test_hyperopt_list(mocker, capsys, caplog, saved_hyperopt_results, saved_hyperopt_results_legacy): +def test_hyperopt_list(mocker, capsys, caplog, saved_hyperopt_results, + saved_hyperopt_results_legacy): for _ in (saved_hyperopt_results, saved_hyperopt_results_legacy): mocker.patch( 'freqtrade.optimize.hyperopt_tools.HyperoptTools.load_previous_results', From 8364343cd63853eaa878dd4621778ee1669a918e Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 05:26:08 +0000 Subject: [PATCH 074/241] Bump scikit-learn from 0.24.1 to 0.24.2 Bumps [scikit-learn](https://github.com/scikit-learn/scikit-learn) from 0.24.1 to 0.24.2. - [Release notes](https://github.com/scikit-learn/scikit-learn/releases) - [Commits](https://github.com/scikit-learn/scikit-learn/compare/0.24.1...0.24.2) Signed-off-by: dependabot[bot] --- requirements-hyperopt.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements-hyperopt.txt b/requirements-hyperopt.txt index 79ad722e2..5e7e9d9d2 100644 --- a/requirements-hyperopt.txt +++ b/requirements-hyperopt.txt @@ -3,7 +3,7 @@ # Required for hyperopt scipy==1.6.3 -scikit-learn==0.24.1 +scikit-learn==0.24.2 scikit-optimize==0.8.1 filelock==3.0.12 joblib==1.0.1 From 8ed15fb7ccb298130393af64ce10be1d96bfb39b Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 05:26:18 +0000 Subject: [PATCH 075/241] Bump sqlalchemy from 1.4.11 to 1.4.12 Bumps [sqlalchemy](https://github.com/sqlalchemy/sqlalchemy) from 1.4.11 to 1.4.12. - [Release notes](https://github.com/sqlalchemy/sqlalchemy/releases) - [Changelog](https://github.com/sqlalchemy/sqlalchemy/blob/master/CHANGES) - [Commits](https://github.com/sqlalchemy/sqlalchemy/commits) Signed-off-by: dependabot[bot] --- requirements.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements.txt b/requirements.txt index 94f1739a1..6b537f5e8 100644 --- a/requirements.txt +++ b/requirements.txt @@ -5,7 +5,7 @@ ccxt==1.48.76 # Pin cryptography for now due to rust build errors with piwheels cryptography==3.4.7 aiohttp==3.7.4.post0 -SQLAlchemy==1.4.11 +SQLAlchemy==1.4.12 python-telegram-bot==13.4.1 arrow==1.0.3 cachetools==4.2.1 From 37227170b36bee2e13d062c93736ceb559795eda Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 05:26:30 +0000 Subject: [PATCH 076/241] Bump pyjwt from 2.0.1 to 2.1.0 Bumps [pyjwt](https://github.com/jpadilla/pyjwt) from 2.0.1 to 2.1.0. - [Release notes](https://github.com/jpadilla/pyjwt/releases) - [Changelog](https://github.com/jpadilla/pyjwt/blob/master/CHANGELOG.rst) - [Commits](https://github.com/jpadilla/pyjwt/compare/2.0.1...2.1.0) Signed-off-by: dependabot[bot] --- requirements.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements.txt b/requirements.txt index 94f1739a1..04a3c4ad8 100644 --- a/requirements.txt +++ b/requirements.txt @@ -33,7 +33,7 @@ sdnotify==0.3.2 # API Server fastapi==0.63.0 uvicorn==0.13.4 -pyjwt==2.0.1 +pyjwt==2.1.0 aiofiles==0.6.0 # Support for colorized terminal output From cea207026aab9753e8378c3da94e8491ce3feb3e Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 05:26:39 +0000 Subject: [PATCH 077/241] Bump technical from 1.2.2 to 1.3.0 Bumps [technical](https://github.com/freqtrade/technical) from 1.2.2 to 1.3.0. - [Release notes](https://github.com/freqtrade/technical/releases) - [Commits](https://github.com/freqtrade/technical/compare/1.2.2...1.3.0) Signed-off-by: dependabot[bot] --- requirements.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements.txt b/requirements.txt index 94f1739a1..6dcefcd2e 100644 --- a/requirements.txt +++ b/requirements.txt @@ -14,7 +14,7 @@ urllib3==1.26.4 wrapt==1.12.1 jsonschema==3.2.0 TA-Lib==0.4.19 -technical==1.2.2 +technical==1.3.0 tabulate==0.8.9 pycoingecko==2.0.0 jinja2==2.11.3 From a63d9e9515c2855c310b5fcceebcf8e11e64ea3b Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 05:27:17 +0000 Subject: [PATCH 078/241] Bump arrow from 1.0.3 to 1.1.0 Bumps [arrow](https://github.com/arrow-py/arrow) from 1.0.3 to 1.1.0. - [Release notes](https://github.com/arrow-py/arrow/releases) - [Changelog](https://github.com/arrow-py/arrow/blob/master/CHANGELOG.rst) - [Commits](https://github.com/arrow-py/arrow/compare/1.0.3...1.1.0) Signed-off-by: dependabot[bot] --- requirements.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements.txt b/requirements.txt index 94f1739a1..86a39c513 100644 --- a/requirements.txt +++ b/requirements.txt @@ -7,7 +7,7 @@ cryptography==3.4.7 aiohttp==3.7.4.post0 SQLAlchemy==1.4.11 python-telegram-bot==13.4.1 -arrow==1.0.3 +arrow==1.1.0 cachetools==4.2.1 requests==2.25.1 urllib3==1.26.4 From f138cca7975cd2cdfb6f539ba828fe04c47c0a67 Mon Sep 17 00:00:00 2001 From: Matthias Date: Mon, 3 May 2021 08:33:06 +0200 Subject: [PATCH 079/241] Be explicit with space assignment in documentation --- docs/hyperopt.md | 14 +++++++++----- 1 file changed, 9 insertions(+), 5 deletions(-) diff --git a/docs/hyperopt.md b/docs/hyperopt.md index 5f1f9bffa..d8f4a8071 100644 --- a/docs/hyperopt.md +++ b/docs/hyperopt.md @@ -249,11 +249,11 @@ We continue to define hyperoptable parameters: ```python class MyAwesomeStrategy(IStrategy): - buy_adx = IntParameter(20, 40, default=30) - buy_rsi = IntParameter(20, 40, default=30) - buy_adx_enabled = CategoricalParameter([True, False]) - buy_rsi_enabled = CategoricalParameter([True, False]) - buy_trigger = CategoricalParameter(['bb_lower', 'macd_cross_signal']) + buy_adx = IntParameter(20, 40, default=30, space="buy") + buy_rsi = IntParameter(20, 40, default=30, space="buy") + buy_adx_enabled = CategoricalParameter([True, False], space="buy") + buy_rsi_enabled = CategoricalParameter([True, False], space="buy") + buy_trigger = CategoricalParameter(['bb_lower', 'macd_cross_signal'], space="buy") ``` Above definition says: I have five parameters I want to randomly combine to find the best combination. @@ -262,6 +262,10 @@ Then we have three category variables. First two are either `True` or `False`. We use these to either enable or disable the ADX and RSI guards. The last one we call `trigger` and use it to decide which buy trigger we want to use. +!!! Note "Parameter space assignment" + Parameters must either be assigned to a variable named `buy_*` or `sell_*` - or contain `space='buy'` | `space='sell'` to be assigned to a space correctly. + If no parameter is available for a space, you'll receive the error that no space was found when running hyperopt. + So let's write the buy strategy using these values: ```python From 82a08bd7def9d1661a3804c32960abe630d1626f Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 10:16:58 +0000 Subject: [PATCH 080/241] Bump python-telegram-bot from 13.4.1 to 13.5 Bumps [python-telegram-bot](https://github.com/python-telegram-bot/python-telegram-bot) from 13.4.1 to 13.5. - [Release notes](https://github.com/python-telegram-bot/python-telegram-bot/releases) - [Changelog](https://github.com/python-telegram-bot/python-telegram-bot/blob/master/CHANGES.rst) - [Commits](https://github.com/python-telegram-bot/python-telegram-bot/compare/v13.4.1...v13.5) Signed-off-by: dependabot[bot] --- requirements.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements.txt b/requirements.txt index 91d760c9e..d4fe5bdd2 100644 --- a/requirements.txt +++ b/requirements.txt @@ -6,7 +6,7 @@ ccxt==1.48.76 cryptography==3.4.7 aiohttp==3.7.4.post0 SQLAlchemy==1.4.12 -python-telegram-bot==13.4.1 +python-telegram-bot==13.5 arrow==1.1.0 cachetools==4.2.1 requests==2.25.1 From 2d8982426711e8a11a256c00121bccca34dfa664 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 10:21:49 +0000 Subject: [PATCH 081/241] Bump cachetools from 4.2.1 to 4.2.2 Bumps [cachetools](https://github.com/tkem/cachetools) from 4.2.1 to 4.2.2. - [Release notes](https://github.com/tkem/cachetools/releases) - [Changelog](https://github.com/tkem/cachetools/blob/master/CHANGELOG.rst) - [Commits](https://github.com/tkem/cachetools/compare/v4.2.1...v4.2.2) Signed-off-by: dependabot[bot] --- requirements.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements.txt b/requirements.txt index 91d760c9e..08e13525d 100644 --- a/requirements.txt +++ b/requirements.txt @@ -8,7 +8,7 @@ aiohttp==3.7.4.post0 SQLAlchemy==1.4.12 python-telegram-bot==13.4.1 arrow==1.1.0 -cachetools==4.2.1 +cachetools==4.2.2 requests==2.25.1 urllib3==1.26.4 wrapt==1.12.1 From 860379bc58262f69735aceb018850476abcf0db1 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Mon, 3 May 2021 10:23:52 +0000 Subject: [PATCH 082/241] Bump ccxt from 1.48.76 to 1.49.30 Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.48.76 to 1.49.30. - [Release notes](https://github.com/ccxt/ccxt/releases) - [Changelog](https://github.com/ccxt/ccxt/blob/master/doc/exchanges-by-country.rst) - [Commits](https://github.com/ccxt/ccxt/compare/1.48.76...1.49.30) Signed-off-by: dependabot[bot] --- requirements.txt | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/requirements.txt b/requirements.txt index 91d760c9e..d4f89be5f 100644 --- a/requirements.txt +++ b/requirements.txt @@ -1,7 +1,7 @@ numpy==1.20.2 pandas==1.2.4 -ccxt==1.48.76 +ccxt==1.49.30 # Pin cryptography for now due to rust build errors with piwheels cryptography==3.4.7 aiohttp==3.7.4.post0 From da47f4e1a46a4c4982f3b1e67f39eb30516c9c59 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 5 May 2021 06:47:26 +0200 Subject: [PATCH 083/241] Fix Kraken balance update error closes #4873 --- freqtrade/exchange/kraken.py | 2 ++ tests/exchange/test_kraken.py | 3 ++- 2 files changed, 4 insertions(+), 1 deletion(-) diff --git a/freqtrade/exchange/kraken.py b/freqtrade/exchange/kraken.py index 786f1b592..6f1fa409a 100644 --- a/freqtrade/exchange/kraken.py +++ b/freqtrade/exchange/kraken.py @@ -53,6 +53,8 @@ class Kraken(Exchange): # x["side"], x["amount"], ) for x in orders] for bal in balances: + if not isinstance(balances[bal], dict): + continue balances[bal]['used'] = sum(order[1] for order in order_list if order[0] == bal) balances[bal]['free'] = balances[bal]['total'] - balances[bal]['used'] diff --git a/tests/exchange/test_kraken.py b/tests/exchange/test_kraken.py index 97f428e2f..ed22cde92 100644 --- a/tests/exchange/test_kraken.py +++ b/tests/exchange/test_kraken.py @@ -90,6 +90,7 @@ def test_get_balances_prod(default_conf, mocker): '3ST': balance_item.copy(), '4ST': balance_item.copy(), 'EUR': balance_item.copy(), + 'timestamp': 123123 }) kraken_open_orders = [{'symbol': '1ST/EUR', 'type': 'limit', @@ -138,7 +139,7 @@ def test_get_balances_prod(default_conf, mocker): default_conf['dry_run'] = False exchange = get_patched_exchange(mocker, default_conf, api_mock, id="kraken") balances = exchange.get_balances() - assert len(balances) == 5 + assert len(balances) == 6 assert balances['1ST']['free'] == 9.0 assert balances['1ST']['total'] == 10.0 From f55ce04fa6a8aa41cdfc66c0c3cfcd1cd5adde46 Mon Sep 17 00:00:00 2001 From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com> Date: Wed, 5 May 2021 05:14:42 +0000 Subject: [PATCH 084/241] Bump python from 3.9.4-slim-buster to 3.9.5-slim-buster Bumps python from 3.9.4-slim-buster to 3.9.5-slim-buster. Signed-off-by: dependabot[bot] --- Dockerfile | 2 +- Dockerfile.armhf | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/Dockerfile b/Dockerfile index 128d0e19c..7d5afac9c 100644 --- a/Dockerfile +++ b/Dockerfile @@ -1,4 +1,4 @@ -FROM python:3.9.4-slim-buster as base +FROM python:3.9.5-slim-buster as base # Setup env ENV LANG C.UTF-8 diff --git a/Dockerfile.armhf b/Dockerfile.armhf index 2b3bca042..9b825d126 100644 --- a/Dockerfile.armhf +++ b/Dockerfile.armhf @@ -1,4 +1,4 @@ -FROM --platform=linux/arm/v7 python:3.7.10-slim-buster as base +FROM --platform=linux/arm/v7 python:3.9.5-slim-buster as base # Setup env ENV LANG C.UTF-8 From 947ad856c066961da956ebc2682c0b12a4a6a765 Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 5 May 2021 08:12:28 +0200 Subject: [PATCH 085/241] Update Dockerfile.armhf --- Dockerfile.armhf | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/Dockerfile.armhf b/Dockerfile.armhf index 9b825d126..2b3bca042 100644 --- a/Dockerfile.armhf +++ b/Dockerfile.armhf @@ -1,4 +1,4 @@ -FROM --platform=linux/arm/v7 python:3.9.5-slim-buster as base +FROM --platform=linux/arm/v7 python:3.7.10-slim-buster as base # Setup env ENV LANG C.UTF-8 From 431cb5313f7c191b70e895faf4c422db310654f2 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 4 May 2021 07:37:21 +0200 Subject: [PATCH 086/241] Support informative pairs in edge positioning --- freqtrade/edge/edge_positioning.py | 34 ++++++++++++++++++++++++++---- 1 file changed, 30 insertions(+), 4 deletions(-) diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index 334aabfab..721e22262 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -1,6 +1,8 @@ # pragma pylint: disable=W0603 """ Edge positioning package """ import logging +from collections import defaultdict +from copy import deepcopy from typing import Any, Dict, List, NamedTuple import arrow @@ -12,8 +14,10 @@ from freqtrade.configuration import TimeRange from freqtrade.constants import DATETIME_PRINT_FORMAT, UNLIMITED_STAKE_AMOUNT from freqtrade.data.history import get_timerange, load_data, refresh_data from freqtrade.exceptions import OperationalException +from freqtrade.exchange.exchange import timeframe_to_seconds from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist -from freqtrade.strategy.interface import SellType +from freqtrade.state import RunMode +from freqtrade.strategy.interface import IStrategy, SellType logger = logging.getLogger(__name__) @@ -45,7 +49,7 @@ class Edge: self.config = config self.exchange = exchange - self.strategy = strategy + self.strategy: IStrategy = strategy self.edge_config = self.config.get('edge', {}) self._cached_pairs: Dict[str, Any] = {} # Keeps a list of pairs @@ -102,14 +106,33 @@ class Edge: logger.info('Using local backtesting data (using whitelist in given config) ...') if self._refresh_pairs: + timerange_startup = deepcopy(self._timerange) + timerange_startup.subtract_start(timeframe_to_seconds( + self.strategy.timeframe) * self.strategy.startup_candle_count) refresh_data( datadir=self.config['datadir'], pairs=pairs, exchange=self.exchange, timeframe=self.strategy.timeframe, - timerange=self._timerange, + timerange=timerange_startup, data_format=self.config.get('dataformat_ohlcv', 'json'), ) + # Download informative pairs too + res = defaultdict(list) + for p, t in self.strategy.informative_pairs(): + res[t].append(p) + for timeframe, inf_pairs in res.items(): + timerange_startup = deepcopy(self._timerange) + timerange_startup.subtract_start(timeframe_to_seconds( + timeframe) * self.strategy.startup_candle_count) + refresh_data( + datadir=self.config['datadir'], + pairs=inf_pairs, + exchange=self.exchange, + timeframe=timeframe, + timerange=timerange_startup, + data_format=self.config.get('dataformat_ohlcv', 'json'), + ) data = load_data( datadir=self.config['datadir'], @@ -125,8 +148,11 @@ class Edge: self._cached_pairs = {} logger.critical("No data found. Edge is stopped ...") return False - + # Fake run-mode to Edge + prior_rm = self.config['runmode'] + self.config['runmode'] = RunMode.EDGE preprocessed = self.strategy.ohlcvdata_to_dataframe(data) + self.config['runmode'] = prior_rm # Print timeframe min_date, max_date = get_timerange(preprocessed) From a710b7dc01296e2b3330da0cf845bfbf3f62f6e9 Mon Sep 17 00:00:00 2001 From: Matthias Date: Tue, 4 May 2021 07:46:30 +0200 Subject: [PATCH 087/241] Update tests to match new behaviour --- tests/conftest.py | 2 ++ tests/edge/test_edge.py | 2 ++ 2 files changed, 4 insertions(+) diff --git a/tests/conftest.py b/tests/conftest.py index 83a34359a..ef2bd0613 100644 --- a/tests/conftest.py +++ b/tests/conftest.py @@ -21,6 +21,7 @@ from freqtrade.exchange import Exchange from freqtrade.freqtradebot import FreqtradeBot from freqtrade.persistence import LocalTrade, Trade, init_db from freqtrade.resolvers import ExchangeResolver +from freqtrade.state import RunMode from freqtrade.worker import Worker from tests.conftest_trades import (mock_trade_1, mock_trade_2, mock_trade_3, mock_trade_4, mock_trade_5, mock_trade_6) @@ -1677,6 +1678,7 @@ def buy_order_fee(): @pytest.fixture(scope="function") def edge_conf(default_conf): conf = deepcopy(default_conf) + conf['runmode'] = RunMode.DRY_RUN conf['max_open_trades'] = -1 conf['tradable_balance_ratio'] = 0.5 conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT diff --git a/tests/edge/test_edge.py b/tests/edge/test_edge.py index 25e0da5e2..c4620e1c7 100644 --- a/tests/edge/test_edge.py +++ b/tests/edge/test_edge.py @@ -344,6 +344,8 @@ def test_edge_process_no_trades(mocker, edge_conf, caplog): def test_edge_process_no_pairs(mocker, edge_conf, caplog): edge_conf['exchange']['pair_whitelist'] = [] + mocker.patch('freqtrade.freqtradebot.validate_config_consistency') + freqtrade = get_patched_freqtradebot(mocker, edge_conf) fee_mock = mocker.patch('freqtrade.exchange.Exchange.get_fee', return_value=0.001) mocker.patch('freqtrade.edge.edge_positioning.refresh_data') From 4f529fe4246bd339bed059619c1dd57e850d857b Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 6 May 2021 19:34:10 +0200 Subject: [PATCH 088/241] Don't use Arrow to get min/max backtest dates --- freqtrade/configuration/timerange.py | 7 ++++--- freqtrade/data/history/history_utils.py | 4 ++-- freqtrade/optimize/backtesting.py | 4 ++-- freqtrade/optimize/hyperopt.py | 6 +++--- freqtrade/optimize/optimize_reports.py | 13 ++++++------- 5 files changed, 17 insertions(+), 17 deletions(-) diff --git a/freqtrade/configuration/timerange.py b/freqtrade/configuration/timerange.py index 6072e296c..6979c8cd1 100644 --- a/freqtrade/configuration/timerange.py +++ b/freqtrade/configuration/timerange.py @@ -3,6 +3,7 @@ This module contains the argument manager class """ import logging import re +from datetime import datetime from typing import Optional import arrow @@ -43,7 +44,7 @@ class TimeRange: self.startts = self.startts - seconds def adjust_start_if_necessary(self, timeframe_secs: int, startup_candles: int, - min_date: arrow.Arrow) -> None: + min_date: datetime) -> None: """ Adjust startts by candles. Applies only if no startup-candles have been available. @@ -54,11 +55,11 @@ class TimeRange: :return: None (Modifies the object in place) """ if (not self.starttype or (startup_candles - and min_date.int_timestamp >= self.startts)): + and min_date.timestamp() >= self.startts)): # If no startts was defined, or backtest-data starts at the defined backtest-date logger.warning("Moving start-date by %s candles to account for startup time.", startup_candles) - self.startts = (min_date.int_timestamp + timeframe_secs * startup_candles) + self.startts = int(min_date.timestamp() + timeframe_secs * startup_candles) self.starttype = 'date' @staticmethod diff --git a/freqtrade/data/history/history_utils.py b/freqtrade/data/history/history_utils.py index 58965abe0..32c7ce7f9 100644 --- a/freqtrade/data/history/history_utils.py +++ b/freqtrade/data/history/history_utils.py @@ -367,7 +367,7 @@ def convert_trades_to_ohlcv(pairs: List[str], timeframes: List[str], logger.exception(f'Could not convert {pair} to OHLCV.') -def get_timerange(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow]: +def get_timerange(data: Dict[str, DataFrame]) -> Tuple[datetime, datetime]: """ Get the maximum common timerange for the given backtest data. @@ -375,7 +375,7 @@ def get_timerange(data: Dict[str, DataFrame]) -> Tuple[arrow.Arrow, arrow.Arrow] :return: tuple containing min_date, max_date """ timeranges = [ - (arrow.get(frame['date'].min()), arrow.get(frame['date'].max())) + (frame['date'].min().to_pydatetime(), frame['date'].max().to_pydatetime()) for frame in data.values() ] return (min(timeranges, key=operator.itemgetter(0))[0], diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 54e7b806f..76d76dd26 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -456,8 +456,8 @@ class Backtesting: # Execute backtest and store results results = self.backtest( processed=preprocessed, - start_date=min_date.datetime, - end_date=max_date.datetime, + start_date=min_date, + end_date=max_date, max_open_trades=max_open_trades, position_stacking=self.config.get('position_stacking', False), enable_protections=self.config.get('enable_protections', False), diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 639e9fb93..e0a6d50a0 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -273,8 +273,8 @@ class Hyperopt: bt_results = self.backtesting.backtest( processed=processed, - start_date=self.min_date.datetime, - end_date=self.max_date.datetime, + start_date=self.min_date, + end_date=self.max_date, max_open_trades=self.max_open_trades, position_stacking=self.position_stacking, enable_protections=self.config.get('enable_protections', False), @@ -314,7 +314,7 @@ class Hyperopt: if trade_count >= self.config['hyperopt_min_trades']: loss = self.calculate_loss(results=backtesting_results['results'], trade_count=trade_count, - min_date=min_date.datetime, max_date=max_date.datetime, + min_date=min_date, max_date=max_date, config=self.config, processed=processed) return { 'loss': loss, diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py index 9a60c7c4b..170e19ecc 100644 --- a/freqtrade/optimize/optimize_reports.py +++ b/freqtrade/optimize/optimize_reports.py @@ -3,7 +3,6 @@ from datetime import datetime, timedelta, timezone from pathlib import Path from typing import Any, Dict, List, Union -from arrow import Arrow from numpy import int64 from pandas import DataFrame from tabulate import tabulate @@ -259,7 +258,7 @@ def generate_daily_stats(results: DataFrame) -> Dict[str, Any]: def generate_strategy_stats(btdata: Dict[str, DataFrame], strategy: str, content: Dict[str, Any], - min_date: Arrow, max_date: Arrow, + min_date: datetime, max_date: datetime, market_change: float ) -> Dict[str, Any]: """ @@ -314,10 +313,10 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], 'profit_median': results['profit_ratio'].median() if len(results) > 0 else 0, 'profit_total': results['profit_abs'].sum() / starting_balance, 'profit_total_abs': results['profit_abs'].sum(), - 'backtest_start': min_date.datetime, - 'backtest_start_ts': min_date.int_timestamp * 1000, - 'backtest_end': max_date.datetime, - 'backtest_end_ts': max_date.int_timestamp * 1000, + 'backtest_start': min_date, + 'backtest_start_ts': int(min_date.timestamp() * 1000), + 'backtest_end': max_date, + 'backtest_end_ts': int(max_date.timestamp() * 1000), 'backtest_days': backtest_days, 'backtest_run_start_ts': content['backtest_start_time'], @@ -397,7 +396,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame], def generate_backtest_stats(btdata: Dict[str, DataFrame], all_results: Dict[str, Dict[str, Union[DataFrame, Dict]]], - min_date: Arrow, max_date: Arrow + min_date: datetime, max_date: datetime ) -> Dict[str, Any]: """ :param btdata: Backtest data From 554f5f14b6a42366026a043d48f3790a6d3cc570 Mon Sep 17 00:00:00 2001 From: Matthias Date: Thu, 6 May 2021 20:49:48 +0200 Subject: [PATCH 089/241] Raise exception if no data is left --- freqtrade/optimize/backtesting.py | 10 ++++++---- tests/optimize/test_backtesting.py | 14 +++++++------- 2 files changed, 13 insertions(+), 11 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 76d76dd26..899da03e4 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -9,7 +9,7 @@ from copy import deepcopy from datetime import datetime, timedelta, timezone from typing import Any, Dict, List, Optional, Tuple -from pandas import DataFrame +from pandas import DataFrame, NaT from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency from freqtrade.constants import DATETIME_PRINT_FORMAT @@ -159,7 +159,7 @@ class Backtesting: logger.info(f'Loading data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' - f'({(max_date - min_date).days} days)..') + f'({(max_date - min_date).days} days).') # Adjust startts forward if not enough data is available timerange.adjust_start_if_necessary(timeframe_to_seconds(self.timeframe), @@ -449,10 +449,12 @@ class Backtesting: preprocessed[pair] = trim_dataframe(df, timerange, startup_candles=self.required_startup) min_date, max_date = history.get_timerange(preprocessed) - + if min_date is NaT or max_date is NaT: + raise OperationalException( + "No data left after adjusting for startup candles. ") logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} ' f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} ' - f'({(max_date - min_date).days} days)..') + f'({(max_date - min_date).days} days).') # Execute backtest and store results results = self.backtest( processed=preprocessed, diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py index 5dfc9dbc3..2ebea564b 100644 --- a/tests/optimize/test_backtesting.py +++ b/tests/optimize/test_backtesting.py @@ -366,7 +366,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None: # check the logs, that will contain the backtest result exists = [ 'Backtesting with data from 2017-11-14 21:17:00 ' - 'up to 2017-11-14 22:59:00 (0 days)..' + 'up to 2017-11-14 22:59:00 (0 days).' ] for line in exists: assert log_has(line, caplog) @@ -791,9 +791,9 @@ def test_backtest_start_timerange(default_conf, mocker, caplog, testdatadir): 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Loading data from 2017-11-14 20:57:00 ' - 'up to 2017-11-14 22:58:00 (0 days)..', + 'up to 2017-11-14 22:58:00 (0 days).', 'Backtesting with data from 2017-11-14 21:17:00 ' - 'up to 2017-11-14 22:58:00 (0 days)..', + 'up to 2017-11-14 22:58:00 (0 days).', 'Parameter --enable-position-stacking detected ...' ] @@ -864,9 +864,9 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir): 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Loading data from 2017-11-14 20:57:00 ' - 'up to 2017-11-14 22:58:00 (0 days)..', + 'up to 2017-11-14 22:58:00 (0 days).', 'Backtesting with data from 2017-11-14 21:17:00 ' - 'up to 2017-11-14 22:58:00 (0 days)..', + 'up to 2017-11-14 22:58:00 (0 days).', 'Parameter --enable-position-stacking detected ...', 'Running backtesting for Strategy DefaultStrategy', 'Running backtesting for Strategy TestStrategyLegacy', @@ -960,9 +960,9 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat 'Parameter --timerange detected: 1510694220-1510700340 ...', f'Using data directory: {testdatadir} ...', 'Loading data from 2017-11-14 20:57:00 ' - 'up to 2017-11-14 22:58:00 (0 days)..', + 'up to 2017-11-14 22:58:00 (0 days).', 'Backtesting with data from 2017-11-14 21:17:00 ' - 'up to 2017-11-14 22:58:00 (0 days)..', + 'up to 2017-11-14 22:58:00 (0 days).', 'Parameter --enable-position-stacking detected ...', 'Running backtesting for Strategy DefaultStrategy', 'Running backtesting for Strategy TestStrategyLegacy', From 513be11fd98f86bc2eeda74ca42251f9b3521969 Mon Sep 17 00:00:00 2001 From: Matthias Date: Fri, 7 May 2021 20:23:11 +0200 Subject: [PATCH 090/241] Fix hyperopt output closes #4892 --- freqtrade/optimize/hyperopt_tools.py | 3 ++- tests/optimize/test_hyperopt.py | 14 ++++++++++++++ 2 files changed, 16 insertions(+), 1 deletion(-) diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py index f655582c4..8d6098257 100644 --- a/freqtrade/optimize/hyperopt_tools.py +++ b/freqtrade/optimize/hyperopt_tools.py @@ -157,7 +157,8 @@ class HyperoptTools(): result = '{\n' for k, param in p.items(): - result += " " * indent + f'"{k}": {param},' + result += " " * indent + f'"{k}": ' + result += f'"{param}",' if isinstance(param, str) else f'{param},' if k in non_optimized: result += " # value loaded from strategy" result += "\n" diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py index 774dd35a4..16b647df9 100644 --- a/tests/optimize/test_hyperopt.py +++ b/tests/optimize/test_hyperopt.py @@ -1156,3 +1156,17 @@ def test_SKDecimal(): assert space.transform([2.0]) == [200] assert space.transform([1.0]) == [100] assert space.transform([1.5, 1.6]) == [150, 160] + + +def test___pprint(): + params = {'buy_std': 1.2, 'buy_rsi': 31, 'buy_enable': True, 'buy_what': 'asdf'} + non_params = {'buy_notoptimied': 55} + + x = HyperoptTools._pprint(params, non_params) + assert x == """{ + "buy_std": 1.2, + "buy_rsi": 31, + "buy_enable": True, + "buy_what": "asdf", + "buy_notoptimied": 55, # value loaded from strategy +}""" From d34da3f981496068928d85f6378be6b10b6678b5 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 2 May 2021 12:17:59 +0300 Subject: [PATCH 091/241] Revert "Add dataframe parameter to custom_stoploss() and custom_sell() methods." This reverts commit 595b8735f80df633834a4d8266694cdcb52287b8. # Conflicts: # freqtrade/optimize/backtesting.py # freqtrade/strategy/interface.py --- freqtrade/freqtradebot.py | 13 ++++++------- freqtrade/optimize/backtesting.py | 7 +++---- freqtrade/strategy/interface.py | 21 +++++++++------------ tests/strategy/test_default_strategy.py | 3 +-- tests/strategy/test_interface.py | 4 ++-- 5 files changed, 21 insertions(+), 27 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index c2b15d23f..09a5ea746 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -11,7 +11,6 @@ from typing import Any, Dict, List, Optional import arrow from cachetools import TTLCache -from pandas import DataFrame from freqtrade import __version__, constants from freqtrade.configuration import validate_config_consistency @@ -784,10 +783,10 @@ class FreqtradeBot(LoggingMixin): config_ask_strategy = self.config.get('ask_strategy', {}) - analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair, - self.strategy.timeframe) if (config_ask_strategy.get('use_sell_signal', True) or config_ask_strategy.get('ignore_roi_if_buy_signal', False)): + analyzed_df, _ = self.dataprovider.get_analyzed_dataframe(trade.pair, + self.strategy.timeframe) (buy, sell) = self.strategy.get_signal(trade.pair, self.strategy.timeframe, analyzed_df) @@ -814,13 +813,13 @@ class FreqtradeBot(LoggingMixin): # resulting in outdated RPC messages self._sell_rate_cache[trade.pair] = sell_rate - if self._check_and_execute_sell(analyzed_df, trade, sell_rate, buy, sell): + if self._check_and_execute_sell(trade, sell_rate, buy, sell): return True else: logger.debug('checking sell') sell_rate = self.get_sell_rate(trade.pair, True) - if self._check_and_execute_sell(analyzed_df, trade, sell_rate, buy, sell): + if self._check_and_execute_sell(trade, sell_rate, buy, sell): return True logger.debug('Found no sell signal for %s.', trade) @@ -951,13 +950,13 @@ class FreqtradeBot(LoggingMixin): logger.warning(f"Could not create trailing stoploss order " f"for pair {trade.pair}.") - def _check_and_execute_sell(self, dataframe: DataFrame, trade: Trade, sell_rate: float, + def _check_and_execute_sell(self, trade: Trade, sell_rate: float, buy: bool, sell: bool) -> bool: """ Check and execute sell """ should_sell = self.strategy.should_sell( - dataframe, trade, sell_rate, datetime.now(timezone.utc), buy, sell, + trade, sell_rate, datetime.now(timezone.utc), buy, sell, force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0 ) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 899da03e4..80d816985 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -247,10 +247,9 @@ class Backtesting: else: return sell_row[OPEN_IDX] - def _get_sell_trade_entry(self, dataframe: DataFrame, trade: LocalTrade, - sell_row: Tuple) -> Optional[LocalTrade]: + def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]: - sell = self.strategy.should_sell(dataframe, trade, sell_row[OPEN_IDX], # type: ignore + sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX], # type: ignore sell_row[DATE_IDX].to_pydatetime(), sell_row[BUY_IDX], sell_row[SELL_IDX], low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]) @@ -398,7 +397,7 @@ class Backtesting: for trade in open_trades[pair]: # also check the buying candle for sell conditions. - trade_entry = self._get_sell_trade_entry(processed[pair], trade, row) + trade_entry = self._get_sell_trade_entry(trade, row) # Sell occured if trade_entry: # logger.debug(f"{pair} - Backtesting sell {trade}") diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 63dcc75d9..c483e6afb 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -277,7 +277,7 @@ class IStrategy(ABC, HyperStrategyMixin): return True def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, dataframe: DataFrame, **kwargs) -> float: + current_profit: float, **kwargs) -> float: """ Custom stoploss logic, returning the new distance relative to current_rate (as ratio). e.g. returning -0.05 would create a stoploss 5% below current_rate. @@ -300,8 +300,7 @@ class IStrategy(ABC, HyperStrategyMixin): return self.stoploss def custom_sell(self, pair: str, trade: Trade, current_time: datetime, current_rate: float, - current_profit: float, dataframe: DataFrame, - **kwargs) -> Optional[Union[str, bool]]: + current_profit: float, **kwargs) -> Optional[Union[str, bool]]: """ Custom sell signal logic indicating that specified position should be sold. Returning a string or True from this method is equal to setting sell signal on a candle at specified @@ -539,8 +538,8 @@ class IStrategy(ABC, HyperStrategyMixin): else: return False - def should_sell(self, dataframe: DataFrame, trade: Trade, rate: float, date: datetime, - buy: bool, sell: bool, low: float = None, high: float = None, + def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool, + sell: bool, low: float = None, high: float = None, force_stoploss: float = 0) -> SellCheckTuple: """ This function evaluates if one of the conditions required to trigger a sell @@ -556,9 +555,8 @@ class IStrategy(ABC, HyperStrategyMixin): trade.adjust_min_max_rates(high or current_rate) - stoplossflag = self.stop_loss_reached(dataframe=dataframe, current_rate=current_rate, - trade=trade, current_time=date, - current_profit=current_profit, + 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 @@ -583,7 +581,7 @@ class IStrategy(ABC, HyperStrategyMixin): else: custom_reason = strategy_safe_wrapper(self.custom_sell, default_retval=False)( pair=trade.pair, trade=trade, current_time=date, current_rate=current_rate, - current_profit=current_profit, dataframe=dataframe) + current_profit=current_profit) if custom_reason: sell_signal = SellType.CUSTOM_SELL if isinstance(custom_reason, str): @@ -620,7 +618,7 @@ class IStrategy(ABC, HyperStrategyMixin): # logger.debug(f"{trade.pair} - No sell signal.") return SellCheckTuple(sell_type=SellType.NONE) - def stop_loss_reached(self, dataframe: DataFrame, current_rate: float, trade: Trade, + def stop_loss_reached(self, current_rate: float, trade: Trade, current_time: datetime, current_profit: float, force_stoploss: float, high: float = None) -> SellCheckTuple: """ @@ -638,8 +636,7 @@ class IStrategy(ABC, HyperStrategyMixin): )(pair=trade.pair, trade=trade, current_time=current_time, current_rate=current_rate, - current_profit=current_profit, - dataframe=dataframe) + current_profit=current_profit) # Sanity check - error cases will return None if stop_loss_value: # logger.info(f"{trade.pair} {stop_loss_value=} {current_profit=}") diff --git a/tests/strategy/test_default_strategy.py b/tests/strategy/test_default_strategy.py index a8862e9c9..ec7b3c33d 100644 --- a/tests/strategy/test_default_strategy.py +++ b/tests/strategy/test_default_strategy.py @@ -41,5 +41,4 @@ def test_default_strategy(result, fee): rate=20000, time_in_force='gtc', sell_reason='roi') is True assert strategy.custom_stoploss(pair='ETH/BTC', trade=trade, current_time=datetime.now(), - current_rate=20_000, current_profit=0.05, dataframe=None - ) == strategy.stoploss + current_rate=20_000, current_profit=0.05) == strategy.stoploss diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index a241d7f43..182dde335 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -360,7 +360,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili now = arrow.utcnow().datetime sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit), trade=trade, current_time=now, current_profit=profit, - force_stoploss=0, high=None, dataframe=None) + force_stoploss=0, high=None) assert isinstance(sl_flag, SellCheckTuple) assert sl_flag.sell_type == expected if expected == SellType.NONE: @@ -371,7 +371,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit2), trade=trade, current_time=now, current_profit=profit2, - force_stoploss=0, high=None, dataframe=None) + force_stoploss=0, high=None) assert sl_flag.sell_type == expected2 if expected2 == SellType.NONE: assert sl_flag.sell_flag is False From dc6e702fecc0c7480b9c5291e290362d8527247b Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 2 May 2021 12:20:25 +0300 Subject: [PATCH 092/241] Pass current_time to confirm_trade_entry/confirm_trade_exit. --- freqtrade/freqtradebot.py | 6 +++--- freqtrade/strategy/interface.py | 7 +++++-- tests/strategy/test_default_strategy.py | 6 ++++-- 3 files changed, 12 insertions(+), 7 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index 09a5ea746..d2e6ed417 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -552,7 +552,7 @@ class FreqtradeBot(LoggingMixin): if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)( pair=pair, order_type=order_type, amount=amount, rate=buy_limit_requested, - time_in_force=time_in_force): + time_in_force=time_in_force, current_time=datetime.utcnow()): logger.info(f"User requested abortion of buying {pair}") return False amount = self.exchange.amount_to_precision(pair, amount) @@ -1190,8 +1190,8 @@ class FreqtradeBot(LoggingMixin): if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)( pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit, - time_in_force=time_in_force, - sell_reason=sell_reason.sell_reason): + time_in_force=time_in_force, sell_reason=sell_reason.sell_reason, + current_time=datetime.utcnow()): logger.info(f"User requested abortion of selling {trade.pair}") return False diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index c483e6afb..66adc36ec 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -229,7 +229,7 @@ class IStrategy(ABC, HyperStrategyMixin): pass def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float, - time_in_force: str, **kwargs) -> bool: + time_in_force: str, current_time: datetime, **kwargs) -> bool: """ Called right before placing a buy order. Timing for this function is critical, so avoid doing heavy computations or @@ -244,6 +244,7 @@ class IStrategy(ABC, HyperStrategyMixin): :param amount: Amount in target (quote) currency that's going to be traded. :param rate: Rate that's going to be used when using limit orders :param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled). + :param current_time: datetime object, containing the current datetime :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. :return bool: When True is returned, then the buy-order is placed on the exchange. False aborts the process @@ -251,7 +252,8 @@ class IStrategy(ABC, HyperStrategyMixin): return True def confirm_trade_exit(self, pair: str, trade: Trade, order_type: str, amount: float, - rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool: + rate: float, time_in_force: str, sell_reason: str, + current_time: datetime, **kwargs) -> bool: """ Called right before placing a regular sell order. Timing for this function is critical, so avoid doing heavy computations or @@ -270,6 +272,7 @@ class IStrategy(ABC, HyperStrategyMixin): :param sell_reason: Sell reason. Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss', 'sell_signal', 'force_sell', 'emergency_sell'] + :param current_time: datetime object, containing the current datetime :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. :return bool: When True is returned, then the sell-order is placed on the exchange. False aborts the process diff --git a/tests/strategy/test_default_strategy.py b/tests/strategy/test_default_strategy.py index ec7b3c33d..92ac9f63a 100644 --- a/tests/strategy/test_default_strategy.py +++ b/tests/strategy/test_default_strategy.py @@ -36,9 +36,11 @@ def test_default_strategy(result, fee): ) assert strategy.confirm_trade_entry(pair='ETH/BTC', order_type='limit', amount=0.1, - rate=20000, time_in_force='gtc') is True + rate=20000, time_in_force='gtc', + current_time=datetime.utcnow()) is True assert strategy.confirm_trade_exit(pair='ETH/BTC', trade=trade, order_type='limit', amount=0.1, - rate=20000, time_in_force='gtc', sell_reason='roi') is True + rate=20000, time_in_force='gtc', sell_reason='roi', + current_time=datetime.utcnow()) is True assert strategy.custom_stoploss(pair='ETH/BTC', trade=trade, current_time=datetime.now(), current_rate=20_000, current_profit=0.05) == strategy.stoploss From cdfa6adbe55af690c7e7eb007a53f8a566ec0f84 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 2 May 2021 12:20:54 +0300 Subject: [PATCH 093/241] Store pair datafrmes in dataprovider for backtesting. --- freqtrade/data/dataprovider.py | 3 +++ freqtrade/optimize/backtesting.py | 16 +++++++++++----- tests/strategy/test_interface.py | 8 ++++---- 3 files changed, 18 insertions(+), 9 deletions(-) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index b4dea0743..6cc32157e 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -173,3 +173,6 @@ class DataProvider: return self._pairlists.whitelist.copy() else: raise OperationalException("Dataprovider was not initialized with a pairlist provider.") + + def clear_cache(self): + self.__cached_pairs = {} diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 80d816985..73ad4e774 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -64,8 +64,8 @@ class Backtesting: self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) - dataprovider = DataProvider(self.config, self.exchange) - IStrategy.dp = dataprovider + self.dataprovider = DataProvider(self.config, self.exchange) + IStrategy.dp = self.dataprovider if self.config.get('strategy_list', None): for strat in list(self.config['strategy_list']): @@ -96,7 +96,7 @@ class Backtesting: "PrecisionFilter not allowed for backtesting multiple strategies." ) - dataprovider.add_pairlisthandler(self.pairlists) + self.dataprovider.add_pairlisthandler(self.pairlists) self.pairlists.refresh_pairlist() if len(self.pairlists.whitelist) == 0: @@ -176,6 +176,7 @@ class Backtesting: Trade.use_db = False PairLocks.reset_locks() Trade.reset_trades() + self.dataprovider.clear_cache() def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]: """ @@ -266,7 +267,8 @@ class Backtesting: pair=trade.pair, trade=trade, order_type='limit', amount=trade.amount, rate=closerate, time_in_force=time_in_force, - sell_reason=sell.sell_reason): + sell_reason=sell.sell_reason, + current_time=sell_row[DATE_IDX].to_pydatetime()): return None trade.close(closerate, show_msg=False) @@ -286,7 +288,7 @@ class Backtesting: # Confirm trade entry: if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)( pair=pair, order_type=order_type, amount=stake_amount, rate=row[OPEN_IDX], - time_in_force=time_in_force): + time_in_force=time_in_force, current_time=row[DATE_IDX].to_pydatetime()): return None if stake_amount and (not min_stake_amount or stake_amount > min_stake_amount): @@ -348,6 +350,10 @@ class Backtesting: trades: List[LocalTrade] = [] self.prepare_backtest(enable_protections) + # Update dataprovider cache + for pair, dataframe in processed.items(): + self.dataprovider._set_cached_df(pair, self.timeframe, dataframe) + # Use dict of lists with data for performance # (looping lists is a lot faster than pandas DataFrames) data: Dict = self._get_ohlcv_as_lists(processed) diff --git a/tests/strategy/test_interface.py b/tests/strategy/test_interface.py index 182dde335..ded396779 100644 --- a/tests/strategy/test_interface.py +++ b/tests/strategy/test_interface.py @@ -399,27 +399,27 @@ def test_custom_sell(default_conf, fee, caplog) -> None: ) now = arrow.utcnow().datetime - res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + res = strategy.should_sell(trade, 1, now, False, False, None, None, 0) assert res.sell_flag is False assert res.sell_type == SellType.NONE strategy.custom_sell = MagicMock(return_value=True) - res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + res = strategy.should_sell(trade, 1, now, False, False, None, None, 0) assert res.sell_flag is True assert res.sell_type == SellType.CUSTOM_SELL assert res.sell_reason == 'custom_sell' strategy.custom_sell = MagicMock(return_value='hello world') - res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + res = strategy.should_sell(trade, 1, now, False, False, None, None, 0) assert res.sell_type == SellType.CUSTOM_SELL assert res.sell_flag is True assert res.sell_reason == 'hello world' caplog.clear() strategy.custom_sell = MagicMock(return_value='h' * 100) - res = strategy.should_sell(None, trade, 1, now, False, False, None, None, 0) + res = strategy.should_sell(trade, 1, now, False, False, None, None, 0) assert res.sell_type == SellType.CUSTOM_SELL assert res.sell_flag is True assert res.sell_reason == 'h' * 64 From 6af4de8fe86f66746a312144a9964cbbcc5ebb43 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 2 May 2021 12:25:43 +0300 Subject: [PATCH 094/241] Remove dataframe parameter from docs. --- docs/strategy-advanced.md | 22 +++++++++------------- docs/strategy-customization.md | 3 +-- freqtrade/strategy/interface.py | 1 - 3 files changed, 10 insertions(+), 16 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index eb322df9d..383b2a1a9 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -60,7 +60,8 @@ from freqtrade.strategy import IStrategy, timeframe_to_prev_date class AwesomeStrategy(IStrategy): def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float, - current_profit: float, dataframe: DataFrame, **kwargs): + current_profit: float, **kwargs): + dataframe = self.dp.get_analyzed_dataframe(pair, self.timeframe) trade_open_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc) trade_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze() @@ -105,8 +106,7 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: DataFrame, - **kwargs) -> float: + current_rate: float, current_profit: float, **kwargs) -> float: """ Custom stoploss logic, returning the new distance relative to current_rate (as ratio). e.g. returning -0.05 would create a stoploss 5% below current_rate. @@ -156,8 +156,7 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: DataFrame, - **kwargs) -> float: + current_rate: float, current_profit: float, **kwargs) -> float: # Make sure you have the longest interval first - these conditions are evaluated from top to bottom. if current_time - timedelta(minutes=120) > trade.open_date_utc: @@ -183,8 +182,7 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: DataFrame, - **kwargs) -> float: + current_rate: float, current_profit: float, **kwargs) -> float: if pair in ('ETH/BTC', 'XRP/BTC'): return -0.10 @@ -210,8 +208,7 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: DataFrame, - **kwargs) -> float: + current_rate: float, current_profit: float, **kwargs) -> float: if current_profit < 0.04: return -1 # return a value bigger than the inital stoploss to keep using the inital stoploss @@ -250,8 +247,7 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: DataFrame, - **kwargs) -> float: + current_rate: float, current_profit: float, **kwargs) -> float: # evaluate highest to lowest, so that highest possible stop is used if current_profit > 0.40: @@ -293,8 +289,7 @@ class AwesomeStrategy(IStrategy): use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: DataFrame, - **kwargs) -> float: + current_rate: float, current_profit: float, **kwargs) -> float: # Default return value result = 1 @@ -302,6 +297,7 @@ class AwesomeStrategy(IStrategy): # Using current_time directly would only work in backtesting. Live/dry runs need time to # be rounded to previous candle to be used as dataframe index. Rounding must also be # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing. + dataframe = self.dp.get_analyzed_dataframe(pair, self.timeframe) current_time = timeframe_to_prev_date(self.timeframe, current_time) current_row = dataframe.loc[dataframe['date'] == current_time].squeeze() if 'atr' in current_row: diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md index 59bfbde48..6c62c1e86 100644 --- a/docs/strategy-customization.md +++ b/docs/strategy-customization.md @@ -631,8 +631,7 @@ Stoploss values returned from `custom_stoploss` must specify a percentage relati use_custom_stoploss = True def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, - current_rate: float, current_profit: float, dataframe: DataFrame, - **kwargs) -> float: + current_rate: float, current_profit: float, **kwargs) -> float: # once the profit has risen above 10%, keep the stoploss at 7% above the open price if current_profit > 0.10: diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py index 66adc36ec..7483abf6d 100644 --- a/freqtrade/strategy/interface.py +++ b/freqtrade/strategy/interface.py @@ -296,7 +296,6 @@ class IStrategy(ABC, HyperStrategyMixin): :param current_time: datetime object, containing the current datetime :param current_rate: Rate, calculated based on pricing settings in ask_strategy. :param current_profit: Current profit (as ratio), calculated based on current_rate. - :param dataframe: Analyzed dataframe for this pair. Can contain future data in backtesting. :param **kwargs: Ensure to keep this here so updates to this won't break your strategy. :return float: New stoploss value, relative to the currentrate """ From 6fb4d83ab3f2cb7b4402223b073ccb0a868fcb76 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sun, 2 May 2021 16:35:06 +0300 Subject: [PATCH 095/241] Fix dataprovider in hyperopt. --- freqtrade/optimize/backtesting.py | 1 + freqtrade/optimize/hyperopt.py | 2 -- 2 files changed, 1 insertion(+), 2 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 73ad4e774..6d8b329bb 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -353,6 +353,7 @@ class Backtesting: # Update dataprovider cache for pair, dataframe in processed.items(): self.dataprovider._set_cached_df(pair, self.timeframe, dataframe) + self.strategy.dp = self.dataprovider # Use dict of lists with data for performance # (looping lists is a lot faster than pandas DataFrames) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index e0a6d50a0..5e3d01047 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -372,8 +372,6 @@ class Hyperopt: self.backtesting.exchange._api_async = None # type: ignore # self.backtesting.exchange = None # type: ignore self.backtesting.pairlists = None # type: ignore - self.backtesting.strategy.dp = None # type: ignore - IStrategy.dp = None # type: ignore cpus = cpu_count() logger.info(f"Found {cpus} CPU cores. Let's make them scream!") From 9b4f6b41a2ade4d1857fa0a6ed223967a965b26f Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Mon, 3 May 2021 09:18:38 +0300 Subject: [PATCH 096/241] Use correct datetime. --- freqtrade/freqtradebot.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py index d2e6ed417..b3379a462 100644 --- a/freqtrade/freqtradebot.py +++ b/freqtrade/freqtradebot.py @@ -552,7 +552,7 @@ class FreqtradeBot(LoggingMixin): if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)( pair=pair, order_type=order_type, amount=amount, rate=buy_limit_requested, - time_in_force=time_in_force, current_time=datetime.utcnow()): + time_in_force=time_in_force, current_time=datetime.now(timezone.utc)): logger.info(f"User requested abortion of buying {pair}") return False amount = self.exchange.amount_to_precision(pair, amount) @@ -1191,7 +1191,7 @@ class FreqtradeBot(LoggingMixin): if not strategy_safe_wrapper(self.strategy.confirm_trade_exit, default_retval=True)( pair=trade.pair, trade=trade, order_type=order_type, amount=amount, rate=limit, time_in_force=time_in_force, sell_reason=sell_reason.sell_reason, - current_time=datetime.utcnow()): + current_time=datetime.now(timezone.utc)): logger.info(f"User requested abortion of selling {trade.pair}") return False From d344194b360bd453c4c6ea673a2724ef72b0e8ad Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Mon, 3 May 2021 09:47:58 +0300 Subject: [PATCH 097/241] Fix dataprovider in hyperopt. --- freqtrade/data/dataprovider.py | 141 +++++++++++++++++------------- freqtrade/optimize/backtesting.py | 4 +- 2 files changed, 79 insertions(+), 66 deletions(-) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index 6cc32157e..731815572 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -45,40 +45,6 @@ class DataProvider: """ self._pairlists = pairlists - def refresh(self, - pairlist: ListPairsWithTimeframes, - helping_pairs: ListPairsWithTimeframes = None) -> None: - """ - Refresh data, called with each cycle - """ - if helping_pairs: - self._exchange.refresh_latest_ohlcv(pairlist + helping_pairs) - else: - self._exchange.refresh_latest_ohlcv(pairlist) - - @property - def available_pairs(self) -> ListPairsWithTimeframes: - """ - Return a list of tuples containing (pair, timeframe) for which data is currently cached. - Should be whitelist + open trades. - """ - return list(self._exchange._klines.keys()) - - def ohlcv(self, pair: str, timeframe: str = None, copy: bool = True) -> DataFrame: - """ - Get candle (OHLCV) data for the given pair as DataFrame - Please use the `available_pairs` method to verify which pairs are currently cached. - :param pair: pair to get the data for - :param timeframe: Timeframe to get data for - :param copy: copy dataframe before returning if True. - Use False only for read-only operations (where the dataframe is not modified) - """ - if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE): - return self._exchange.klines((pair, timeframe or self._config['timeframe']), - copy=copy) - else: - return DataFrame() - def historic_ohlcv(self, pair: str, timeframe: str = None) -> DataFrame: """ Get stored historical candle (OHLCV) data @@ -123,35 +89,6 @@ class DataProvider: return (DataFrame(), datetime.fromtimestamp(0, tz=timezone.utc)) - def market(self, pair: str) -> Optional[Dict[str, Any]]: - """ - Return market data for the pair - :param pair: Pair to get the data for - :return: Market data dict from ccxt or None if market info is not available for the pair - """ - return self._exchange.markets.get(pair) - - def ticker(self, pair: str): - """ - Return last ticker data from exchange - :param pair: Pair to get the data for - :return: Ticker dict from exchange or empty dict if ticker is not available for the pair - """ - try: - return self._exchange.fetch_ticker(pair) - except ExchangeError: - return {} - - def orderbook(self, pair: str, maximum: int) -> Dict[str, List]: - """ - Fetch latest l2 orderbook data - Warning: Does a network request - so use with common sense. - :param pair: pair to get the data for - :param maximum: Maximum number of orderbook entries to query - :return: dict including bids/asks with a total of `maximum` entries. - """ - return self._exchange.fetch_l2_order_book(pair, maximum) - @property def runmode(self) -> RunMode: """ @@ -175,4 +112,82 @@ class DataProvider: raise OperationalException("Dataprovider was not initialized with a pairlist provider.") def clear_cache(self): + """ + Clear pair dataframe cache. + """ self.__cached_pairs = {} + + # Exchange functions + + def refresh(self, + pairlist: ListPairsWithTimeframes, + helping_pairs: ListPairsWithTimeframes = None) -> None: + """ + Refresh data, called with each cycle + """ + if self._exchange is None: + raise OperationalException('Exchange is not available to DataProvider.') + if helping_pairs: + self._exchange.refresh_latest_ohlcv(pairlist + helping_pairs) + else: + self._exchange.refresh_latest_ohlcv(pairlist) + + @property + def available_pairs(self) -> ListPairsWithTimeframes: + """ + Return a list of tuples containing (pair, timeframe) for which data is currently cached. + Should be whitelist + open trades. + """ + if self._exchange is None: + raise OperationalException('Exchange is not available to DataProvider.') + return list(self._exchange._klines.keys()) + + def ohlcv(self, pair: str, timeframe: str = None, copy: bool = True) -> DataFrame: + """ + Get candle (OHLCV) data for the given pair as DataFrame + Please use the `available_pairs` method to verify which pairs are currently cached. + :param pair: pair to get the data for + :param timeframe: Timeframe to get data for + :param copy: copy dataframe before returning if True. + Use False only for read-only operations (where the dataframe is not modified) + """ + if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE): + return self._exchange.klines((pair, timeframe or self._config['timeframe']), + copy=copy) + else: + return DataFrame() + + def market(self, pair: str) -> Optional[Dict[str, Any]]: + """ + Return market data for the pair + :param pair: Pair to get the data for + :return: Market data dict from ccxt or None if market info is not available for the pair + """ + if self._exchange is None: + raise OperationalException('Exchange is not available to DataProvider.') + return self._exchange.markets.get(pair) + + def ticker(self, pair: str): + """ + Return last ticker data from exchange + :param pair: Pair to get the data for + :return: Ticker dict from exchange or empty dict if ticker is not available for the pair + """ + if self._exchange is None: + raise OperationalException('Exchange is not available to DataProvider.') + try: + return self._exchange.fetch_ticker(pair) + except ExchangeError: + return {} + + def orderbook(self, pair: str, maximum: int) -> Dict[str, List]: + """ + Fetch latest l2 orderbook data + Warning: Does a network request - so use with common sense. + :param pair: pair to get the data for + :param maximum: Maximum number of orderbook entries to query + :return: dict including bids/asks with a total of `maximum` entries. + """ + if self._exchange is None: + raise OperationalException('Exchange is not available to DataProvider.') + return self._exchange.fetch_l2_order_book(pair, maximum) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 6d8b329bb..d3e0afe7b 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -63,9 +63,7 @@ class Backtesting: self.all_results: Dict[str, Dict] = {} self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) - self.dataprovider = DataProvider(self.config, self.exchange) - IStrategy.dp = self.dataprovider if self.config.get('strategy_list', None): for strat in list(self.config['strategy_list']): @@ -132,6 +130,7 @@ class Backtesting: Load strategy into backtesting """ self.strategy: IStrategy = strategy + strategy.dp = self.dataprovider # Set stoploss_on_exchange to false for backtesting, # since a "perfect" stoploss-sell is assumed anyway # And the regular "stoploss" function would not apply to that case @@ -353,7 +352,6 @@ class Backtesting: # Update dataprovider cache for pair, dataframe in processed.items(): self.dataprovider._set_cached_df(pair, self.timeframe, dataframe) - self.strategy.dp = self.dataprovider # Use dict of lists with data for performance # (looping lists is a lot faster than pandas DataFrames) From 4b6cd69c81e1a3442941ec03c57f26260e57812d Mon Sep 17 00:00:00 2001 From: Matthias Date: Wed, 5 May 2021 20:08:31 +0200 Subject: [PATCH 098/241] Add test for no-exchange dataprovider --- freqtrade/data/dataprovider.py | 14 +++++++++----- freqtrade/optimize/hyperopt.py | 1 - tests/data/test_dataprovider.py | 21 +++++++++++++++++++++ 3 files changed, 30 insertions(+), 6 deletions(-) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index 731815572..aad50e404 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -19,6 +19,8 @@ from freqtrade.state import RunMode logger = logging.getLogger(__name__) +NO_EXCHANGE_EXCEPTION = 'Exchange is not available to DataProvider.' + class DataProvider: @@ -126,7 +128,7 @@ class DataProvider: Refresh data, called with each cycle """ if self._exchange is None: - raise OperationalException('Exchange is not available to DataProvider.') + raise OperationalException(NO_EXCHANGE_EXCEPTION) if helping_pairs: self._exchange.refresh_latest_ohlcv(pairlist + helping_pairs) else: @@ -139,7 +141,7 @@ class DataProvider: Should be whitelist + open trades. """ if self._exchange is None: - raise OperationalException('Exchange is not available to DataProvider.') + raise OperationalException(NO_EXCHANGE_EXCEPTION) return list(self._exchange._klines.keys()) def ohlcv(self, pair: str, timeframe: str = None, copy: bool = True) -> DataFrame: @@ -151,6 +153,8 @@ class DataProvider: :param copy: copy dataframe before returning if True. Use False only for read-only operations (where the dataframe is not modified) """ + if self._exchange is None: + raise OperationalException(NO_EXCHANGE_EXCEPTION) if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE): return self._exchange.klines((pair, timeframe or self._config['timeframe']), copy=copy) @@ -164,7 +168,7 @@ class DataProvider: :return: Market data dict from ccxt or None if market info is not available for the pair """ if self._exchange is None: - raise OperationalException('Exchange is not available to DataProvider.') + raise OperationalException(NO_EXCHANGE_EXCEPTION) return self._exchange.markets.get(pair) def ticker(self, pair: str): @@ -174,7 +178,7 @@ class DataProvider: :return: Ticker dict from exchange or empty dict if ticker is not available for the pair """ if self._exchange is None: - raise OperationalException('Exchange is not available to DataProvider.') + raise OperationalException(NO_EXCHANGE_EXCEPTION) try: return self._exchange.fetch_ticker(pair) except ExchangeError: @@ -189,5 +193,5 @@ class DataProvider: :return: dict including bids/asks with a total of `maximum` entries. """ if self._exchange is None: - raise OperationalException('Exchange is not available to DataProvider.') + raise OperationalException(NO_EXCHANGE_EXCEPTION) return self._exchange.fetch_l2_order_book(pair, maximum) diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py index 5e3d01047..5ccf02d01 100644 --- a/freqtrade/optimize/hyperopt.py +++ b/freqtrade/optimize/hyperopt.py @@ -31,7 +31,6 @@ from freqtrade.optimize.hyperopt_loss_interface import IHyperOptLoss # noqa: F4 from freqtrade.optimize.hyperopt_tools import HyperoptTools from freqtrade.optimize.optimize_reports import generate_strategy_stats from freqtrade.resolvers.hyperopt_resolver import HyperOptLossResolver, HyperOptResolver -from freqtrade.strategy import IStrategy # Suppress scikit-learn FutureWarnings from skopt diff --git a/tests/data/test_dataprovider.py b/tests/data/test_dataprovider.py index 6b33fa7f2..c3b210d9d 100644 --- a/tests/data/test_dataprovider.py +++ b/tests/data/test_dataprovider.py @@ -246,3 +246,24 @@ def test_get_analyzed_dataframe(mocker, default_conf, ohlcv_history): assert dataframe.empty assert isinstance(time, datetime) assert time == datetime(1970, 1, 1, tzinfo=timezone.utc) + + +def test_no_exchange_mode(default_conf): + dp = DataProvider(default_conf, None) + + message = "Exchange is not available to DataProvider." + + with pytest.raises(OperationalException, match=message): + dp.refresh([()]) + + with pytest.raises(OperationalException, match=message): + dp.ohlcv('XRP/USDT', '5m') + + with pytest.raises(OperationalException, match=message): + dp.market('XRP/USDT') + + with pytest.raises(OperationalException, match=message): + dp.ticker('XRP/USDT') + + with pytest.raises(OperationalException, match=message): + dp.orderbook('XRP/USDT', 20) From 1b01ad6f8588d4bd145f05ec6137b30e60b6b352 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Fri, 7 May 2021 17:27:48 +0300 Subject: [PATCH 099/241] Make exchange parameter optional and do not use it as parameter in backtesting. --- freqtrade/data/dataprovider.py | 2 +- freqtrade/optimize/backtesting.py | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index aad50e404..727768ebb 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -24,7 +24,7 @@ NO_EXCHANGE_EXCEPTION = 'Exchange is not available to DataProvider.' class DataProvider: - def __init__(self, config: dict, exchange: Exchange, pairlists=None) -> None: + def __init__(self, config: dict, exchange: Optional[Exchange], pairlists=None) -> None: self._config = config self._exchange = exchange self._pairlists = pairlists diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index d3e0afe7b..150baa9bc 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -63,7 +63,7 @@ class Backtesting: self.all_results: Dict[str, Dict] = {} self.exchange = ExchangeResolver.load_exchange(self.config['exchange']['name'], self.config) - self.dataprovider = DataProvider(self.config, self.exchange) + self.dataprovider = DataProvider(self.config, None) if self.config.get('strategy_list', None): for strat in list(self.config['strategy_list']): From f1eb6535452fb1598b9999b59ae2e5167ce074f7 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Fri, 7 May 2021 17:28:06 +0300 Subject: [PATCH 100/241] Fix strategy protections not being loaded in backtesting. --- freqtrade/optimize/backtesting.py | 8 ++++++-- 1 file changed, 6 insertions(+), 2 deletions(-) diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 150baa9bc..80eb34c30 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -110,8 +110,6 @@ class Backtesting: PairLocks.timeframe = self.config['timeframe'] PairLocks.use_db = False PairLocks.reset_locks() - if self.config.get('enable_protections', False): - self.protections = ProtectionManager(self.config) self.wallets = Wallets(self.config, self.exchange, log=False) @@ -135,6 +133,12 @@ class Backtesting: # since a "perfect" stoploss-sell is assumed anyway # And the regular "stoploss" function would not apply to that case self.strategy.order_types['stoploss_on_exchange'] = False + if self.config.get('enable_protections', False): + conf = self.config + if hasattr(strategy, 'protections'): + conf = deepcopy(conf) + conf['protections'] = strategy.protections + self.protections = ProtectionManager(conf) def load_bt_data(self) -> Tuple[Dict[str, DataFrame], TimeRange]: """ From 70189b19920bfaf705196fa3e0da72d89967ac43 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 8 May 2021 17:24:41 +0200 Subject: [PATCH 101/241] Move dockerfile and document M1 image existance --- .../Dockerfile.aarch64 | 0 docs/docker_quickstart.md | 26 +++++++++++++++++++ 2 files changed, 26 insertions(+) rename Dockerfile.aarch64 => docker/Dockerfile.aarch64 (100%) diff --git a/Dockerfile.aarch64 b/docker/Dockerfile.aarch64 similarity index 100% rename from Dockerfile.aarch64 rename to docker/Dockerfile.aarch64 diff --git a/docs/docker_quickstart.md b/docs/docker_quickstart.md index 5f48782d2..8d8582609 100644 --- a/docs/docker_quickstart.md +++ b/docs/docker_quickstart.md @@ -48,6 +48,8 @@ Create a new directory and place the [docker-compose file](https://raw.githubuse # Download the docker-compose file from the repository curl https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml -o docker-compose.yml + # Edit the compose file to use an image named `*_pi` (stable_pi or develop_pi) + # Pull the freqtrade image docker-compose pull @@ -65,6 +67,30 @@ Create a new directory and place the [docker-compose file](https://raw.githubuse # image: freqtradeorg/freqtrade:develop_pi ``` +=== "ARM64 (Mac M1)" + Make sure that your docker installation is running in native mode + + ``` bash + mkdir ft_userdata + cd ft_userdata/ + # Download the docker-compose file from the repository + curl https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml -o docker-compose.yml + + # Edit the compose file, uncomment the "build" step and use "./docker/Dockerfile.aarch64" + # Also, change the image name to something of your liking + + # Build the freqtrade image (this may take a while) + docker-compose build + + # Create user directory structure + docker-compose run --rm freqtrade create-userdir --userdir user_data + + # Create configuration - Requires answering interactive questions + docker-compose run --rm freqtrade new-config --config user_data/config.json + ``` + !!! Warning + You should not use the default image name - this can result in conflicting names between local and dockerhub and should therefore be avoided. + The above snippet creates a new directory called `ft_userdata`, downloads the latest compose file and pulls the freqtrade image. The last 2 steps in the snippet create the directory with `user_data`, as well as (interactively) the default configuration based on your selections. From 8d8c782bd039780f8563e8edf7f735501c9013ab Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 8 May 2021 16:06:19 +0300 Subject: [PATCH 102/241] Slice dataframe in backtesting, preventing access to rows past current time. --- freqtrade/data/dataprovider.py | 21 ++++++++++++++++++--- freqtrade/optimize/backtesting.py | 8 ++++++-- 2 files changed, 24 insertions(+), 5 deletions(-) diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py index 727768ebb..a5d059e4a 100644 --- a/freqtrade/data/dataprovider.py +++ b/freqtrade/data/dataprovider.py @@ -20,6 +20,7 @@ from freqtrade.state import RunMode logger = logging.getLogger(__name__) NO_EXCHANGE_EXCEPTION = 'Exchange is not available to DataProvider.' +MAX_DATAFRAME_CANDLES = 1000 class DataProvider: @@ -29,6 +30,14 @@ class DataProvider: self._exchange = exchange self._pairlists = pairlists self.__cached_pairs: Dict[PairWithTimeframe, Tuple[DataFrame, datetime]] = {} + self.__slice_index = None + + def _set_dataframe_max_index(self, limit_index: int): + """ + Limit analyzed dataframe to max specified index. + :param limit_index: dataframe index. + """ + self.__slice_index = limit_index def _set_cached_df(self, pair: str, timeframe: str, dataframe: DataFrame) -> None: """ @@ -85,10 +94,16 @@ class DataProvider: combination. Returns empty dataframe and Epoch 0 (1970-01-01) if no dataframe was cached. """ - if (pair, timeframe) in self.__cached_pairs: - return self.__cached_pairs[(pair, timeframe)] + pair_key = (pair, timeframe) + if pair_key in self.__cached_pairs: + if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE): + df, date = self.__cached_pairs[pair_key] + else: + max_index = self.__slice_index + df, date = self.__cached_pairs[pair_key] + df = df.iloc[max(0, max_index - MAX_DATAFRAME_CANDLES):max_index] + return df, date else: - return (DataFrame(), datetime.fromtimestamp(0, tz=timezone.utc)) @property diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 80eb34c30..f7c984047 100644 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -373,8 +373,9 @@ class Backtesting: open_trade_count_start = open_trade_count for i, pair in enumerate(data): + row_index = indexes[pair] try: - row = data[pair][indexes[pair]] + row = data[pair][row_index] except IndexError: # missing Data for one pair at the end. # Warnings for this are shown during data loading @@ -383,7 +384,10 @@ class Backtesting: # Waits until the time-counter reaches the start of the data for this pair. if row[DATE_IDX] > tmp: continue - indexes[pair] += 1 + + row_index += 1 + self.dataprovider._set_dataframe_max_index(row_index) # noqa + indexes[pair] = row_index # without positionstacking, we can only have one open trade per pair. # max_open_trades must be respected From 17b9e898d2a234b9c1861192af21618ca63442a1 Mon Sep 17 00:00:00 2001 From: Rokas Kupstys Date: Sat, 8 May 2021 16:56:59 +0300 Subject: [PATCH 103/241] Update docs displaying how to get last available and trade-open candles. --- docs/strategy-advanced.md | 23 ++++++++++++----------- 1 file changed, 12 insertions(+), 11 deletions(-) diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md index 383b2a1a9..ceadf0ab0 100644 --- a/docs/strategy-advanced.md +++ b/docs/strategy-advanced.md @@ -265,12 +265,6 @@ class AwesomeStrategy(IStrategy): Imagine you want to use `custom_stoploss()` to use a trailing indicator like e.g. "ATR" -!!! Warning - Only use `dataframe` values up until and including `current_time` value. Reading past - `current_time` you will look into the future, which will produce incorrect backtesting results - and throw an exception in dry/live runs. - see [Common mistakes when developing strategies](strategy-customization.md#common-mistakes-when-developing-strategies) for more info. - !!! Note `dataframe['date']` contains the candle's open date. During dry/live runs `current_time` and `trade.open_date_utc` will not match the candle date precisely and using them directly will throw @@ -290,7 +284,6 @@ class AwesomeStrategy(IStrategy): def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime, current_rate: float, current_profit: float, **kwargs) -> float: - # Default return value result = 1 if trade: @@ -298,11 +291,19 @@ class AwesomeStrategy(IStrategy): # be rounded to previous candle to be used as dataframe index. Rounding must also be # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing. dataframe = self.dp.get_analyzed_dataframe(pair, self.timeframe) - current_time = timeframe_to_prev_date(self.timeframe, current_time) - current_row = dataframe.loc[dataframe['date'] == current_time].squeeze() - if 'atr' in current_row: + current_candle = dataframe.loc[-1].squeeze() + if 'atr' in current_candle: # new stoploss relative to current_rate - new_stoploss = (current_rate - current_row['atr']) / current_rate + new_stoploss = (current_rate - current_candle['atr']) / current_rate + + # Round trade date to it's candle time. + trade_date = timeframe_to_prev_date(trade.open_date_utc) + trade_candle = dataframe.loc[dataframe['date'] == trade_date] + # Just opened trades do not have their candle complete yet therefore trade_candle may be None + if trade_candle is not None: + trade_candle = trade_candle.squeeze() + trade_stoploss = (current_rate - trade_candle['atr']) / current_rate + new_stoploss = max(new_stoploss, trade_stoploss) # turn into relative negative offset required by `custom_stoploss` return implementation result = new_stoploss - 1 From 2157923aeedb9c7e5d8ab386812843e99aa43e19 Mon Sep 17 00:00:00 2001 From: Matthias Date: Sat, 8 May 2021 19:43:31 +0200 Subject: [PATCH 104/241] have edge send multiple messages if necessary closes #4519 --- freqtrade/edge/edge_positioning.py | 2 +- freqtrade/rpc/telegram.py | 14 +++++++++++--- tests/rpc/test_rpc_telegram.py | 9 +++++++++ 3 files changed, 21 insertions(+), 4 deletions(-) diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py index 721e22262..0449d6ebe 100644 --- a/freqtrade/edge/edge_positioning.py +++ b/freqtrade/edge/edge_positioning.py @@ -240,7 +240,7 @@ class Edge: return self._final_pairs - def accepted_pairs(self) -> list: + def accepted_pairs(self) -> List[Dict[str, Any]]: """ return a list of accepted pairs along with their winrate, expectancy and stoploss """ diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py index 97a01fc53..c619559de 100644 --- a/freqtrade/rpc/telegram.py +++ b/freqtrade/rpc/telegram.py @@ -861,9 +861,17 @@ class Telegram(RPCHandler): """ try: edge_pairs = self._rpc._rpc_edge() - edge_pairs_tab = tabulate(edge_pairs, headers='keys', tablefmt='simple') - message = f'Edge only validated following pairs:\n
{edge_pairs_tab}
' - self._send_msg(message, parse_mode=ParseMode.HTML) + if not edge_pairs: + message = 'Edge only validated following pairs:' + self._send_msg(message, parse_mode=ParseMode.HTML) + + for chunk in chunks(edge_pairs, 25): + edge_pairs_tab = tabulate(chunk, headers='keys', tablefmt='simple') + message = (f'Edge only validated following pairs:\n' + f'
{edge_pairs_tab}
') + + self._send_msg(message, parse_mode=ParseMode.HTML) + except RPCException as e: self._send_msg(str(e)) diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py index 6a36c12a7..6d42a6845 100644 --- a/tests/rpc/test_rpc_telegram.py +++ b/tests/rpc/test_rpc_telegram.py @@ -1102,6 +1102,15 @@ def test_edge_enabled(edge_conf, update, mocker) -> None: assert 'Edge only validated following pairs:\n
' in msg_mock.call_args_list[0][0][0]
     assert 'Pair      Winrate    Expectancy    Stoploss' in msg_mock.call_args_list[0][0][0]
 
+    msg_mock.reset_mock()
+
+    mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
+        return_value={}))
+    telegram._edge(update=update, context=MagicMock())
+    assert msg_mock.call_count == 1
+    assert 'Edge only validated following pairs:' in msg_mock.call_args_list[0][0][0]
+    assert 'Winrate' not in msg_mock.call_args_list[0][0][0]
+
 
 def test_telegram_trades(mocker, update, default_conf, fee):
 

From 92186d89a2fcbbb03eaf789ccf52238b9b934936 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 9 May 2021 09:56:36 +0200
Subject: [PATCH 105/241] Add some changes to strategytemplate

---
 freqtrade/data/dataprovider.py                           | 9 ++++++---
 freqtrade/optimize/backtesting.py                        | 2 +-
 .../templates/subtemplates/strategy_methods_advanced.j2  | 7 +++++--
 3 files changed, 12 insertions(+), 6 deletions(-)

diff --git a/freqtrade/data/dataprovider.py b/freqtrade/data/dataprovider.py
index a5d059e4a..1a86eece5 100644
--- a/freqtrade/data/dataprovider.py
+++ b/freqtrade/data/dataprovider.py
@@ -30,7 +30,7 @@ class DataProvider:
         self._exchange = exchange
         self._pairlists = pairlists
         self.__cached_pairs: Dict[PairWithTimeframe, Tuple[DataFrame, datetime]] = {}
-        self.__slice_index = None
+        self.__slice_index: Optional[int] = None
 
     def _set_dataframe_max_index(self, limit_index: int):
         """
@@ -88,6 +88,8 @@ class DataProvider:
 
     def get_analyzed_dataframe(self, pair: str, timeframe: str) -> Tuple[DataFrame, datetime]:
         """
+        Retrieve the analyzed dataframe. Returns the full dataframe in trade mode (live / dry),
+        and the last 1000 candles (up to the time evaluated at this moment) in all other modes.
         :param pair: pair to get the data for
         :param timeframe: timeframe to get data for
         :return: Tuple of (Analyzed Dataframe, lastrefreshed) for the requested pair / timeframe
@@ -99,9 +101,10 @@ class DataProvider:
             if self.runmode in (RunMode.DRY_RUN, RunMode.LIVE):
                 df, date = self.__cached_pairs[pair_key]
             else:
-                max_index = self.__slice_index
                 df, date = self.__cached_pairs[pair_key]
-                df = df.iloc[max(0, max_index - MAX_DATAFRAME_CANDLES):max_index]
+                if self.__slice_index is not None:
+                    max_index = self.__slice_index
+                    df = df.iloc[max(0, max_index - MAX_DATAFRAME_CANDLES):max_index]
             return df, date
         else:
             return (DataFrame(), datetime.fromtimestamp(0, tz=timezone.utc))
diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index f7c984047..e057d8189 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -386,7 +386,7 @@ class Backtesting:
                     continue
 
                 row_index += 1
-                self.dataprovider._set_dataframe_max_index(row_index)   # noqa
+                self.dataprovider._set_dataframe_max_index(row_index)
                 indexes[pair] = row_index
 
                 # without positionstacking, we can only have one open trade per pair.
diff --git a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2 b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2
index c69b52cad..2a9ac0690 100644
--- a/freqtrade/templates/subtemplates/strategy_methods_advanced.j2
+++ b/freqtrade/templates/subtemplates/strategy_methods_advanced.j2
@@ -39,7 +39,7 @@ def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime',
     return self.stoploss
 
 def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
-                        time_in_force: str, **kwargs) -> bool:
+                        time_in_force: str, current_time: 'datetime', **kwargs) -> bool:
     """
     Called right before placing a buy order.
     Timing for this function is critical, so avoid doing heavy computations or
@@ -54,6 +54,7 @@ def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: f
     :param amount: Amount in target (quote) currency that's going to be traded.
     :param rate: Rate that's going to be used when using limit orders
     :param time_in_force: Time in force. Defaults to GTC (Good-til-cancelled).
+    :param current_time: datetime object, containing the current datetime
     :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
     :return bool: When True is returned, then the buy-order is placed on the exchange.
         False aborts the process
@@ -61,7 +62,8 @@ def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: f
     return True
 
 def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount: float,
-                       rate: float, time_in_force: str, sell_reason: str, **kwargs) -> bool:
+                       rate: float, time_in_force: str, sell_reason: str,
+                       current_time: 'datetime', **kwargs) -> bool:
     """
     Called right before placing a regular sell order.
     Timing for this function is critical, so avoid doing heavy computations or
@@ -80,6 +82,7 @@ def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount:
     :param sell_reason: Sell reason.
         Can be any of ['roi', 'stop_loss', 'stoploss_on_exchange', 'trailing_stop_loss',
                         'sell_signal', 'force_sell', 'emergency_sell']
+    :param current_time: datetime object, containing the current datetime
     :param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
     :return bool: When True is returned, then the sell-order is placed on the exchange.
         False aborts the process

From 00e93dad024c2e1be045d4d66cbba3d52928e081 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 9 May 2021 10:04:56 +0200
Subject: [PATCH 106/241] Fix mistake in the docs

---
 docs/strategy-advanced.md | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index ceadf0ab0..e52beec3b 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -61,7 +61,7 @@ from freqtrade.strategy import IStrategy, timeframe_to_prev_date
 class AwesomeStrategy(IStrategy):
     def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
                     current_profit: float, **kwargs):
-        dataframe = self.dp.get_analyzed_dataframe(pair, self.timeframe)
+        dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
         trade_open_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc)
         trade_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze()
 
@@ -290,7 +290,7 @@ class AwesomeStrategy(IStrategy):
             # Using current_time directly would only work in backtesting. Live/dry runs need time to
             # be rounded to previous candle to be used as dataframe index. Rounding must also be 
             # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing.
-            dataframe = self.dp.get_analyzed_dataframe(pair, self.timeframe)
+            dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
             current_candle = dataframe.loc[-1].squeeze()
             if 'atr' in current_candle:
                 # new stoploss relative to current_rate

From 0a0e7ce5f502cdf1e9797daed7d162167075a2c2 Mon Sep 17 00:00:00 2001
From: Boris Pruessmann 
Date: Sun, 9 May 2021 14:28:54 +0200
Subject: [PATCH 107/241] Documentation for running arm64 builds

---
 docs/docker_quickstart.md | 24 ++++++++++++++----------
 1 file changed, 14 insertions(+), 10 deletions(-)

diff --git a/docs/docker_quickstart.md b/docs/docker_quickstart.md
index 8d8582609..ce6d0b503 100644
--- a/docs/docker_quickstart.md
+++ b/docs/docker_quickstart.md
@@ -67,29 +67,33 @@ Create a new directory and place the [docker-compose file](https://raw.githubuse
         # image: freqtradeorg/freqtrade:develop_pi
         ```
 
-=== "ARM64 (Mac M1)"
-    Make sure that your docker installation is running in native mode
+=== "ARM 64 Systenms (Jetson Nano, Mac M1, Raspberry Pi 4 8GB)"
+    In case of a Mac M1, make sure that your docker installation is running in native mode
 
     ``` bash
     mkdir ft_userdata
     cd ft_userdata/
+
+    # arm64 images are not yer provided via Docker Hub and need to be build locally first. Depending on the device,
+    # this may take a few minutes (Apple M1) or up to two hours (Raspberry Pi)
+    git clone  https://github.com/freqtrade/freqtrade.git
+    docker build -f ./freqtrade/docker/Dockerfile.aarch64 -t freqtradeorg/freqtrade:develop_arm64 freqtrade
+
     # Download the docker-compose file from the repository
     curl https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml -o docker-compose.yml
 
-    # Edit the compose file, uncomment the "build" step and use "./docker/Dockerfile.aarch64"
-    # Also, change the image name to something of your liking
-
-    # Build the freqtrade image (this may take a while)
-    docker-compose build
-
     # Create user directory structure
     docker-compose run --rm freqtrade create-userdir --userdir user_data
 
     # Create configuration - Requires answering interactive questions
     docker-compose run --rm freqtrade new-config --config user_data/config.json
     ```
-    !!! Warning
-        You should not use the default image name - this can result in conflicting names between local and dockerhub and should therefore be avoided.
+
+    !!! Note "Change your docker Image"
+        You have to change the docker image in the docker-compose file for your arm64 build to work properly.
+        ``` yml
+        image: freqtradeorg/freqtrade:develop_arm64
+        ```
 
 The above snippet creates a new directory called `ft_userdata`, downloads the latest compose file and pulls the freqtrade image.
 The last 2 steps in the snippet create the directory with `user_data`, as well as (interactively) the default configuration based on your selections.

From f2add44253f62fe67f10d5cb3c30dd10b649f82c Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Boris=20Pr=C3=BC=C3=9Fmann?=
 
Date: Sun, 9 May 2021 17:27:30 +0200
Subject: [PATCH 108/241] Update docs/docker_quickstart.md

Co-authored-by: Matthias 
---
 docs/docker_quickstart.md | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/docker_quickstart.md b/docs/docker_quickstart.md
index ce6d0b503..51386a4e3 100644
--- a/docs/docker_quickstart.md
+++ b/docs/docker_quickstart.md
@@ -74,7 +74,7 @@ Create a new directory and place the [docker-compose file](https://raw.githubuse
     mkdir ft_userdata
     cd ft_userdata/
 
-    # arm64 images are not yer provided via Docker Hub and need to be build locally first. Depending on the device,
+    # arm64 images are not yet provided via Docker Hub and need to be build locally first. Depending on the device,
     # this may take a few minutes (Apple M1) or up to two hours (Raspberry Pi)
     git clone  https://github.com/freqtrade/freqtrade.git
     docker build -f ./freqtrade/docker/Dockerfile.aarch64 -t freqtradeorg/freqtrade:develop_arm64 freqtrade

From 1c408c04041830cac86969bec0d026afa9717870 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 9 May 2021 19:47:37 +0200
Subject: [PATCH 109/241] Add small tests for backtest mode

---
 tests/data/test_dataprovider.py | 22 ++++++++++++++++++++++
 1 file changed, 22 insertions(+)

diff --git a/tests/data/test_dataprovider.py b/tests/data/test_dataprovider.py
index c3b210d9d..b87258c64 100644
--- a/tests/data/test_dataprovider.py
+++ b/tests/data/test_dataprovider.py
@@ -247,6 +247,25 @@ def test_get_analyzed_dataframe(mocker, default_conf, ohlcv_history):
     assert isinstance(time, datetime)
     assert time == datetime(1970, 1, 1, tzinfo=timezone.utc)
 
+    # Test backtest mode
+    default_conf["runmode"] = RunMode.BACKTEST
+    dp._set_dataframe_max_index(1)
+    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
+
+    assert len(dataframe) == 1
+
+    dp._set_dataframe_max_index(2)
+    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
+    assert len(dataframe) == 2
+
+    dp._set_dataframe_max_index(3)
+    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
+    assert len(dataframe) == 3
+
+    dp._set_dataframe_max_index(500)
+    dataframe, time = dp.get_analyzed_dataframe("XRP/BTC", timeframe)
+    assert len(dataframe) == len(ohlcv_history)
+
 
 def test_no_exchange_mode(default_conf):
     dp = DataProvider(default_conf, None)
@@ -267,3 +286,6 @@ def test_no_exchange_mode(default_conf):
 
     with pytest.raises(OperationalException, match=message):
         dp.orderbook('XRP/USDT', 20)
+
+    with pytest.raises(OperationalException, match=message):
+        dp.available_pairs()

From d495ea36932011babb3dcafeaa1795a5e986f71c Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 9 May 2021 19:53:41 +0200
Subject: [PATCH 110/241] Update docs about availability of get_analyzed

---
 docs/strategy-customization.md | 4 ----
 1 file changed, 4 deletions(-)

diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md
index 6c62c1e86..49456c047 100644
--- a/docs/strategy-customization.md
+++ b/docs/strategy-customization.md
@@ -422,10 +422,6 @@ if self.dp:
     Returns an empty dataframe if the requested pair was not cached.
     This should not happen when using whitelisted pairs.
 
-
-!!! Warning "Warning about backtesting"
-    This method will return an empty dataframe during backtesting.
-
 ### *orderbook(pair, maximum)*
 
 ``` python

From a7bd051f6b2aac583a7448d8fe514fea817eb3b2 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 05:26:26 +0000
Subject: [PATCH 111/241] Bump mkdocs-material from 7.1.3 to 7.1.4

Bumps [mkdocs-material](https://github.com/squidfunk/mkdocs-material) from 7.1.3 to 7.1.4.
- [Release notes](https://github.com/squidfunk/mkdocs-material/releases)
- [Changelog](https://github.com/squidfunk/mkdocs-material/blob/master/docs/changelog.md)
- [Commits](https://github.com/squidfunk/mkdocs-material/compare/7.1.3...7.1.4)

Signed-off-by: dependabot[bot] 
---
 docs/requirements-docs.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt
index a431b1702..88f336cb1 100644
--- a/docs/requirements-docs.txt
+++ b/docs/requirements-docs.txt
@@ -1,3 +1,3 @@
-mkdocs-material==7.1.3
+mkdocs-material==7.1.4
 mdx_truly_sane_lists==1.2
 pymdown-extensions==8.1.1

From a7cd8fc578372cae26fc257c6cfcd10998d84eb4 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 05:26:36 +0000
Subject: [PATCH 112/241] Bump sqlalchemy from 1.4.12 to 1.4.14

Bumps [sqlalchemy](https://github.com/sqlalchemy/sqlalchemy) from 1.4.12 to 1.4.14.
- [Release notes](https://github.com/sqlalchemy/sqlalchemy/releases)
- [Changelog](https://github.com/sqlalchemy/sqlalchemy/blob/master/CHANGES)
- [Commits](https://github.com/sqlalchemy/sqlalchemy/commits)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 49e1758df..f0676fdea 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -5,7 +5,7 @@ ccxt==1.49.30
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==3.4.7
 aiohttp==3.7.4.post0
-SQLAlchemy==1.4.12
+SQLAlchemy==1.4.14
 python-telegram-bot==13.5
 arrow==1.1.0
 cachetools==4.2.2

From 0a82e2b06143d37fde8ba002800f0d7c9a16907b Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 05:26:52 +0000
Subject: [PATCH 113/241] Bump pytest from 6.2.3 to 6.2.4

Bumps [pytest](https://github.com/pytest-dev/pytest) from 6.2.3 to 6.2.4.
- [Release notes](https://github.com/pytest-dev/pytest/releases)
- [Changelog](https://github.com/pytest-dev/pytest/blob/main/CHANGELOG.rst)
- [Commits](https://github.com/pytest-dev/pytest/compare/6.2.3...6.2.4)

Signed-off-by: dependabot[bot] 
---
 requirements-dev.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements-dev.txt b/requirements-dev.txt
index adf5a81c3..2b2314f85 100644
--- a/requirements-dev.txt
+++ b/requirements-dev.txt
@@ -8,7 +8,7 @@ flake8==3.9.1
 flake8-type-annotations==0.1.0
 flake8-tidy-imports==4.2.1
 mypy==0.812
-pytest==6.2.3
+pytest==6.2.4
 pytest-asyncio==0.15.1
 pytest-cov==2.11.1
 pytest-mock==3.6.0

From 6eb47b0aebf786ed533b991d56a586f135ffc3da Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 05:27:03 +0000
Subject: [PATCH 114/241] Bump flake8 from 3.9.1 to 3.9.2

Bumps [flake8](https://gitlab.com/pycqa/flake8) from 3.9.1 to 3.9.2.
- [Release notes](https://gitlab.com/pycqa/flake8/tags)
- [Commits](https://gitlab.com/pycqa/flake8/compare/3.9.1...3.9.2)

Signed-off-by: dependabot[bot] 
---
 requirements-dev.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements-dev.txt b/requirements-dev.txt
index adf5a81c3..ca297371f 100644
--- a/requirements-dev.txt
+++ b/requirements-dev.txt
@@ -4,7 +4,7 @@
 -r requirements-hyperopt.txt
 
 coveralls==3.0.1
-flake8==3.9.1
+flake8==3.9.2
 flake8-type-annotations==0.1.0
 flake8-tidy-imports==4.2.1
 mypy==0.812

From 5ecd86ed5694721fedddd93fd923311593b302e5 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 05:27:11 +0000
Subject: [PATCH 115/241] Bump pymdown-extensions from 8.1.1 to 8.2

Bumps [pymdown-extensions](https://github.com/facelessuser/pymdown-extensions) from 8.1.1 to 8.2.
- [Release notes](https://github.com/facelessuser/pymdown-extensions/releases)
- [Commits](https://github.com/facelessuser/pymdown-extensions/compare/8.1.1...8.2)

Signed-off-by: dependabot[bot] 
---
 docs/requirements-docs.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt
index a431b1702..70b33287e 100644
--- a/docs/requirements-docs.txt
+++ b/docs/requirements-docs.txt
@@ -1,3 +1,3 @@
 mkdocs-material==7.1.3
 mdx_truly_sane_lists==1.2
-pymdown-extensions==8.1.1
+pymdown-extensions==8.2

From 93268ba16d5aba78518ca6ce2f21227f4e6c7a63 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 05:27:22 +0000
Subject: [PATCH 116/241] Bump pytest-mock from 3.6.0 to 3.6.1

Bumps [pytest-mock](https://github.com/pytest-dev/pytest-mock) from 3.6.0 to 3.6.1.
- [Release notes](https://github.com/pytest-dev/pytest-mock/releases)
- [Changelog](https://github.com/pytest-dev/pytest-mock/blob/main/CHANGELOG.rst)
- [Commits](https://github.com/pytest-dev/pytest-mock/compare/v3.6.0...v3.6.1)

Signed-off-by: dependabot[bot] 
---
 requirements-dev.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements-dev.txt b/requirements-dev.txt
index adf5a81c3..dfb28dc05 100644
--- a/requirements-dev.txt
+++ b/requirements-dev.txt
@@ -11,7 +11,7 @@ mypy==0.812
 pytest==6.2.3
 pytest-asyncio==0.15.1
 pytest-cov==2.11.1
-pytest-mock==3.6.0
+pytest-mock==3.6.1
 pytest-random-order==1.0.4
 isort==5.8.0
 

From 43c7382d24aba1381dde7776fc67f724f61316a5 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 05:27:36 +0000
Subject: [PATCH 117/241] Bump fastapi from 0.63.0 to 0.64.0

Bumps [fastapi](https://github.com/tiangolo/fastapi) from 0.63.0 to 0.64.0.
- [Release notes](https://github.com/tiangolo/fastapi/releases)
- [Commits](https://github.com/tiangolo/fastapi/compare/0.63.0...0.64.0)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 49e1758df..7d72a63da 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -31,7 +31,7 @@ python-rapidjson==1.0
 sdnotify==0.3.2
 
 # API Server
-fastapi==0.63.0
+fastapi==0.64.0
 uvicorn==0.13.4
 pyjwt==2.1.0
 aiofiles==0.6.0

From 8e6a95e11b57c4060955bd4091972de40e766a50 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 May 2021 10:50:05 +0000
Subject: [PATCH 118/241] Bump ccxt from 1.49.30 to 1.49.73

Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.49.30 to 1.49.73.
- [Release notes](https://github.com/ccxt/ccxt/releases)
- [Changelog](https://github.com/ccxt/ccxt/blob/master/doc/exchanges-by-country.rst)
- [Commits](https://github.com/ccxt/ccxt/compare/1.49.30...1.49.73)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 281bf4574..3c50fa586 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -1,7 +1,7 @@
 numpy==1.20.2
 pandas==1.2.4
 
-ccxt==1.49.30
+ccxt==1.49.73
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==3.4.7
 aiohttp==3.7.4.post0

From 3d6b3f1d6aa39fe46b8d684d8be76d8986866293 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 10 May 2021 15:08:28 +0200
Subject: [PATCH 119/241] Add Issue config.yml

---
 .github/ISSUE_TEMPLATE/config.yml | 6 ++++++
 1 file changed, 6 insertions(+)
 create mode 100644 .github/ISSUE_TEMPLATE/config.yml

diff --git a/.github/ISSUE_TEMPLATE/config.yml b/.github/ISSUE_TEMPLATE/config.yml
new file mode 100644
index 000000000..7591c1fb0
--- /dev/null
+++ b/.github/ISSUE_TEMPLATE/config.yml
@@ -0,0 +1,6 @@
+---
+blank_issues_enabled: false
+contact_links:
+  - name: Discord Server
+    url: https://discord.gg/MA9v74M
+    about: Ask a question or get community support from our Discord server

From 425d97719abbf04747508e1c7d1f4e8b62578451 Mon Sep 17 00:00:00 2001
From: Robert Davey 
Date: Mon, 10 May 2021 19:42:37 +0100
Subject: [PATCH 120/241] Update strategy-advanced.md

Update custom_sell() example to comment that the current trade row is at trade open as written. Change "abstain" to something clearer for non-fluent English speakers.
---
 docs/strategy-advanced.md | 10 ++++++----
 1 file changed, 6 insertions(+), 4 deletions(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index e52beec3b..7285b24af 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -48,7 +48,7 @@ It is possible to define custom sell signals, indicating that specified position
 
 For example you could implement a 1:2 risk-reward ROI with `custom_sell()`.
 
-You should abstain from using custom_sell() signals in place of stoplosses though. It is a inferior method to using `custom_stoploss()` in this regard - which also allows you to keep the stoploss on exchange.
+Using custom_sell() signals in place of stoplosses though *is not recommended*. It is a inferior method to using `custom_stoploss()` in this regard - which also allows you to keep the stoploss on exchange.
 
 !!! Note
     Returning a `string` or `True` from this method is equal to setting sell signal on a candle at specified time. This method is not called when sell signal is set already, or if sell signals are disabled (`use_sell_signal=False` or `sell_profit_only=True` while profit is below `sell_profit_offset`). `string` max length is 64 characters. Exceeding this limit will cause the message to be truncated to 64 characters.
@@ -62,17 +62,19 @@ class AwesomeStrategy(IStrategy):
     def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
                     current_profit: float, **kwargs):
         dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
+        
+        # Get the row at trade open
         trade_open_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc)
-        trade_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze()
+        trade_open_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze()
 
         # Above 20% profit, sell when rsi < 80
         if current_profit > 0.2:
-            if trade_row['rsi'] < 80:
+            if trade_open_row['rsi'] < 80:
                 return 'rsi_below_80'
 
         # Between 2% and 10%, sell if EMA-long above EMA-short
         if 0.02 < current_profit < 0.1:
-            if trade_row['emalong'] > trade_row['emashort']:
+            if trade_open_row['emalong'] > trade_open_row['emashort']:
                 return 'ema_long_below_80'
 
         # Sell any positions at a loss if they are held for more than one day.

From bcab44560ab3b49edade5cb5ed7c9fcc72e47fc4 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 11 May 2021 06:23:21 +0200
Subject: [PATCH 121/241] Fix doc typo

---
 docs/strategy-advanced.md | 7 ++++++-
 1 file changed, 6 insertions(+), 1 deletion(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index 7285b24af..ada7a99be 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -293,7 +293,7 @@ class AwesomeStrategy(IStrategy):
             # be rounded to previous candle to be used as dataframe index. Rounding must also be 
             # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing.
             dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
-            current_candle = dataframe.loc[-1].squeeze()
+            current_candle = dataframe.iloc[-1].squeeze()
             if 'atr' in current_candle:
                 # new stoploss relative to current_rate
                 new_stoploss = (current_rate - current_candle['atr']) / current_rate
@@ -312,6 +312,11 @@ class AwesomeStrategy(IStrategy):
         return result
 ```
 
+!!! Warning "Using .iloc[-1]"
+    You can use `.iloc[-1]` here because `get_analyzed_dataframe()` only returns candles that backtesting is allowed to see.
+    This will not work in `populate_*` methods, so make sure to not use `.iloc[]` in that area.
+    Also, this will only work starting with version 2021.5.
+
 ---
 
 ## Custom order timeout rules

From e53bbec285a9056e09942bec92dc719ba98ec99e Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Wed, 12 May 2021 00:13:13 +0700
Subject: [PATCH 122/241] remove duplicate python3-pip

---
 docs/installation.md | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/installation.md b/docs/installation.md
index d2661f88f..18f5f4d68 100644
--- a/docs/installation.md
+++ b/docs/installation.md
@@ -60,7 +60,7 @@ OS Specific steps are listed first, the [Common](#common) section below is neces
     sudo apt-get update
 
     # install packages
-    sudo apt install -y python3-pip python3-venv python3-pandas python3-pip git
+    sudo apt install -y python3-pip python3-venv python3-pandas git
     ```
 
 === "RaspberryPi/Raspbian"

From 7398ea88e0008787add66c83978040c6c1fa89af Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 11 May 2021 20:30:37 +0200
Subject: [PATCH 123/241] Change optimize_reports to convert dates to string
 earlier

---
 freqtrade/optimize/optimize_reports.py  | 16 ++++++++--------
 tests/optimize/test_optimize_reports.py | 10 +++++-----
 2 files changed, 13 insertions(+), 13 deletions(-)

diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index 170e19ecc..2be3c3e62 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -313,9 +313,9 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
         'profit_median': results['profit_ratio'].median() if len(results) > 0 else 0,
         'profit_total': results['profit_abs'].sum() / starting_balance,
         'profit_total_abs': results['profit_abs'].sum(),
-        'backtest_start': min_date,
+        'backtest_start': min_date.strftime(DATETIME_PRINT_FORMAT),
         'backtest_start_ts': int(min_date.timestamp() * 1000),
-        'backtest_end': max_date,
+        'backtest_end': max_date.strftime(DATETIME_PRINT_FORMAT),
         'backtest_end_ts': int(max_date.timestamp() * 1000),
         'backtest_days': backtest_days,
 
@@ -362,9 +362,9 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
         strat_stats.update({
             'max_drawdown': max_drawdown,
             'max_drawdown_abs': drawdown_abs,
-            'drawdown_start': drawdown_start,
+            'drawdown_start': drawdown_start.strftime(DATETIME_PRINT_FORMAT),
             'drawdown_start_ts': drawdown_start.timestamp() * 1000,
-            'drawdown_end': drawdown_end,
+            'drawdown_end': drawdown_end.strftime(DATETIME_PRINT_FORMAT),
             'drawdown_end_ts': drawdown_end.timestamp() * 1000,
 
             'max_drawdown_low': low_val,
@@ -497,8 +497,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
         best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio'])
         worst_trade = min(strat_results['trades'], key=lambda x: x['profit_ratio'])
         metrics = [
-            ('Backtesting from', strat_results['backtest_start'].strftime(DATETIME_PRINT_FORMAT)),
-            ('Backtesting to', strat_results['backtest_end'].strftime(DATETIME_PRINT_FORMAT)),
+            ('Backtesting from', strat_results['backtest_start']),
+            ('Backtesting to', strat_results['backtest_end']),
             ('Max open trades', strat_results['max_open_trades']),
             ('', ''),  # Empty line to improve readability
             ('Total trades', strat_results['total_trades']),
@@ -546,8 +546,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                                strat_results['stake_currency'])),
             ('Drawdown low', round_coin_value(strat_results['max_drawdown_low'],
                                               strat_results['stake_currency'])),
-            ('Drawdown Start', strat_results['drawdown_start'].strftime(DATETIME_PRINT_FORMAT)),
-            ('Drawdown End', strat_results['drawdown_end'].strftime(DATETIME_PRINT_FORMAT)),
+            ('Drawdown Start', strat_results['drawdown_start']),
+            ('Drawdown End', strat_results['drawdown_end']),
             ('Market change', f"{round(strat_results['market_change'] * 100, 2)}%"),
         ]
 
diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py
index fb4624ca3..48ba416c0 100644
--- a/tests/optimize/test_optimize_reports.py
+++ b/tests/optimize/test_optimize_reports.py
@@ -7,7 +7,7 @@ import pytest
 from arrow import Arrow
 
 from freqtrade.configuration import TimeRange
-from freqtrade.constants import LAST_BT_RESULT_FN
+from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN
 from freqtrade.data import history
 from freqtrade.data.btanalysis import get_latest_backtest_filename, load_backtest_data
 from freqtrade.edge import PairInfo
@@ -97,8 +97,8 @@ def test_generate_backtest_stats(default_conf, testdatadir):
     assert 'DefStrat' in stats['strategy']
     assert 'strategy_comparison' in stats
     strat_stats = stats['strategy']['DefStrat']
-    assert strat_stats['backtest_start'] == min_date.datetime
-    assert strat_stats['backtest_end'] == max_date.datetime
+    assert strat_stats['backtest_start'] == min_date.strftime(DATETIME_PRINT_FORMAT)
+    assert strat_stats['backtest_end'] == max_date.strftime(DATETIME_PRINT_FORMAT)
     assert strat_stats['total_trades'] == len(results['DefStrat']['results'])
     # Above sample had no loosing trade
     assert strat_stats['max_drawdown'] == 0.0
@@ -141,8 +141,8 @@ def test_generate_backtest_stats(default_conf, testdatadir):
     strat_stats = stats['strategy']['DefStrat']
 
     assert strat_stats['max_drawdown'] == 0.013803
-    assert strat_stats['drawdown_start'] == datetime(2017, 11, 14, 22, 10, tzinfo=timezone.utc)
-    assert strat_stats['drawdown_end'] == datetime(2017, 11, 14, 22, 43, tzinfo=timezone.utc)
+    assert strat_stats['drawdown_start'] == '2017-11-14 22:10:00'
+    assert strat_stats['drawdown_end'] == '2017-11-14 22:43:00'
     assert strat_stats['drawdown_end_ts'] == 1510699380000
     assert strat_stats['drawdown_start_ts'] == 1510697400000
     assert strat_stats['pairlist'] == ['UNITTEST/BTC']

From 06bf1aa274be48f5c1d847349c34aa62fa1cdc67 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Wed, 12 May 2021 05:58:25 +0200
Subject: [PATCH 124/241] Store epochs as json per line

---
 freqtrade/optimize/hyperopt.py  | 50 ++++++++++++++--------------
 tests/optimize/test_hyperopt.py | 59 ++++++++++++++++++---------------
 2 files changed, 57 insertions(+), 52 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 5ccf02d01..c14b62b9d 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -5,15 +5,16 @@ This module contains the hyperopt logic
 """
 
 import logging
+import os
 import random
 import warnings
 from datetime import datetime, timezone
 from math import ceil
-from operator import itemgetter
 from pathlib import Path
 from typing import Any, Dict, List, Optional
 
 import progressbar
+import rapidjson
 from colorama import Fore, Style
 from colorama import init as colorama_init
 from joblib import Parallel, cpu_count, delayed, dump, load, wrap_non_picklable_objects
@@ -86,7 +87,7 @@ class Hyperopt:
         time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
         strategy = str(self.config['strategy'])
         self.results_file: Path = (self.config['user_data_dir'] / 'hyperopt_results' /
-                                   f'strategy_{strategy}_hyperopt_results_{time_now}.pickle')
+                                   f'strategy_{strategy}_hyperopt_results_{time_now}.fthypt')
         self.data_pickle_file = (self.config['user_data_dir'] /
                                  'hyperopt_results' / 'hyperopt_tickerdata.pkl')
         self.total_epochs = config.get('epochs', 0)
@@ -96,9 +97,7 @@ class Hyperopt:
         self.clean_hyperopt()
 
         self.num_epochs_saved = 0
-
-        # Previous evaluations
-        self.epochs: List = []
+        self.current_best_epoch: Optional[Dict[str, Any]] = None
 
         # Populate functions here (hasattr is slow so should not be run during "regular" operations)
         if hasattr(self.custom_hyperopt, 'populate_indicators'):
@@ -156,21 +155,24 @@ class Hyperopt:
         # and the values are taken from the list of parameters.
         return {d.name: v for d, v in zip(dimensions, raw_params)}
 
-    def _save_results(self) -> None:
+    def _save_result(self, epoch: Dict) -> None:
         """
         Save hyperopt results to file
+        Store one line per epoch.
+        While not a valid json object - this allows appending easily.
+        :param epoch: result dictionary for this epoch.
         """
-        num_epochs = len(self.epochs)
-        if num_epochs > self.num_epochs_saved:
-            logger.debug(f"Saving {num_epochs} {plural(num_epochs, 'epoch')}.")
-            dump(self.epochs, self.results_file)
-            self.num_epochs_saved = num_epochs
-            logger.debug(f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
-                         f"saved to '{self.results_file}'.")
-            # Store hyperopt filename
-            latest_filename = Path.joinpath(self.results_file.parent, LAST_BT_RESULT_FN)
-            file_dump_json(latest_filename, {'latest_hyperopt': str(self.results_file.name)},
-                           log=False)
+        with self.results_file.open('a') as f:
+            rapidjson.dump(epoch, f, default=str, number_mode=rapidjson.NM_NATIVE)
+            f.write(os.linesep)
+
+        self.num_epochs_saved += 1
+        logger.debug(f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
+                     f"saved to '{self.results_file}'.")
+        # Store hyperopt filename
+        latest_filename = Path.joinpath(self.results_file.parent, LAST_BT_RESULT_FN)
+        file_dump_json(latest_filename, {'latest_hyperopt': str(self.results_file.name)},
+                       log=False)
 
     def _get_params_details(self, params: Dict) -> Dict:
         """
@@ -442,25 +444,21 @@ class Hyperopt:
 
                             if is_best:
                                 self.current_best_loss = val['loss']
-                            self.epochs.append(val)
+                                self.current_best_epoch = val
 
-                            # Save results after each best epoch and every 100 epochs
-                            if is_best or current % 100 == 0:
-                                self._save_results()
+                            self._save_result(val)
 
                             pbar.update(current)
 
         except KeyboardInterrupt:
             print('User interrupted..')
 
-        self._save_results()
         logger.info(f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "
                     f"saved to '{self.results_file}'.")
 
-        if self.epochs:
-            sorted_epochs = sorted(self.epochs, key=itemgetter('loss'))
-            best_epoch = sorted_epochs[0]
-            HyperoptTools.print_epoch_details(best_epoch, self.total_epochs, self.print_json)
+        if self.current_best_epoch:
+            HyperoptTools.print_epoch_details(self.current_best_epoch, self.total_epochs,
+                                              self.print_json)
         else:
             # This is printed when Ctrl+C is pressed quickly, before first epochs have
             # a chance to be evaluated.
diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py
index 16b647df9..f9a9dba85 100644
--- a/tests/optimize/test_hyperopt.py
+++ b/tests/optimize/test_hyperopt.py
@@ -386,7 +386,8 @@ def test_roi_table_generation(hyperopt) -> None:
 
 
 def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
-    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
+    dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
     mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
 
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
@@ -425,9 +426,9 @@ def test_start_calls_optimizer(mocker, hyperopt_conf, capsys) -> None:
 
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
-    assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
-    assert dumper.call_count == 2
+    # Should be called for historical candle data
+    assert dumper.call_count == 1
+    assert dumper2.call_count == 1
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")
@@ -714,7 +715,8 @@ def test_clean_hyperopt(mocker, hyperopt_conf, caplog):
 
 
 def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
-    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
+    dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
     mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
 
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
@@ -765,13 +767,14 @@ def test_print_json_spaces_all(mocker, hyperopt_conf, capsys) -> None:
         ':{},"stoploss":null,"trailing_stop":null}'
     )
     assert result_str in out  # noqa: E501
-    assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
-    assert dumper.call_count == 2
+    # Should be called for historical candle data
+    assert dumper.call_count == 1
+    assert dumper2.call_count == 1
 
 
 def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None:
-    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
+    dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
     mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
                  MagicMock(return_value=(MagicMock(), None)))
@@ -813,13 +816,14 @@ def test_print_json_spaces_default(mocker, hyperopt_conf, capsys) -> None:
 
     out, err = capsys.readouterr()
     assert '{"params":{"mfi-value":null,"sell-mfi-value":null},"minimal_roi":{},"stoploss":null}' in out  # noqa: E501
-    assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
-    assert dumper.call_count == 2
+    # Should be called for historical candle data
+    assert dumper.call_count == 1
+    assert dumper2.call_count == 1
 
 
 def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
-    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
+    dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
     mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
                  MagicMock(return_value=(MagicMock(), None)))
@@ -860,13 +864,14 @@ def test_print_json_spaces_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
 
     out, err = capsys.readouterr()
     assert '{"minimal_roi":{},"stoploss":null}' in out
-    assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
-    assert dumper.call_count == 2
+
+    assert dumper.call_count == 1
+    assert dumper2.call_count == 1
 
 
 def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> None:
-    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
+    dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
     mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
                  MagicMock(return_value=(MagicMock(), None)))
@@ -908,9 +913,9 @@ def test_simplified_interface_roi_stoploss(mocker, hyperopt_conf, capsys) -> Non
 
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
-    assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
-    assert dumper.call_count == 2
+    assert dumper.call_count == 1
+    assert dumper2.call_count == 1
+
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")
@@ -946,7 +951,8 @@ def test_simplified_interface_all_failed(mocker, hyperopt_conf) -> None:
 
 
 def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
-    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
+    dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
     mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
                  MagicMock(return_value=(MagicMock(), None)))
@@ -989,8 +995,8 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
-    assert dumper.call_count == 2
+    assert dumper.call_count == 1
+    assert dumper2.call_count == 1
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")
@@ -999,7 +1005,8 @@ def test_simplified_interface_buy(mocker, hyperopt_conf, capsys) -> None:
 
 
 def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
-    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump', MagicMock())
+    dumper = mocker.patch('freqtrade.optimize.hyperopt.dump')
+    dumper2 = mocker.patch('freqtrade.optimize.hyperopt.Hyperopt._save_result')
     mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
     mocker.patch('freqtrade.optimize.backtesting.Backtesting.load_bt_data',
                  MagicMock(return_value=(MagicMock(), None)))
@@ -1042,8 +1049,8 @@ def test_simplified_interface_sell(mocker, hyperopt_conf, capsys) -> None:
     out, err = capsys.readouterr()
     assert 'Best result:\n\n*    1/1: foo result Objective: 1.00000\n' in out
     assert dumper.called
-    # Should be called twice, once for historical candle data, once to save evaluations
-    assert dumper.call_count == 2
+    assert dumper.call_count == 1
+    assert dumper2.call_count == 1
     assert hasattr(hyperopt.backtesting.strategy, "advise_sell")
     assert hasattr(hyperopt.backtesting.strategy, "advise_buy")
     assert hasattr(hyperopt, "max_open_trades")

From 3cbe40875de2e984bd01e42ae8905fe5e7b5a7e5 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Wed, 12 May 2021 06:06:30 +0200
Subject: [PATCH 125/241] read hyperopt results from pickle or json

---
 freqtrade/optimize/hyperopt_tools.py | 25 ++++++++++++++++++++-----
 1 file changed, 20 insertions(+), 5 deletions(-)

diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py
index 8d6098257..665c393b3 100644
--- a/freqtrade/optimize/hyperopt_tools.py
+++ b/freqtrade/optimize/hyperopt_tools.py
@@ -31,15 +31,27 @@ class HyperoptTools():
         else:
             return any(s in config['spaces'] for s in [space, 'all', 'default'])
 
+    @staticmethod
+    def _read_results_pickle(results_file: Path) -> List:
+        """
+        Read hyperopt results from pickle file
+        LEGACY method - new files are written as json and cannot be read with this method.
+        """
+        from joblib import load
+
+        logger.info(f"Reading pickled epochs from '{results_file}'")
+        data = load(results_file)
+        return data
+
     @staticmethod
     def _read_results(results_file: Path) -> List:
         """
         Read hyperopt results from file
         """
-        from joblib import load
-
-        logger.info("Reading epochs from '%s'", results_file)
-        data = load(results_file)
+        import rapidjson
+        logger.info(f"Reading epochs from '{results_file}'")
+        with results_file.open('r') as f:
+            data = [rapidjson.loads(line) for line in f]
         return data
 
     @staticmethod
@@ -49,7 +61,10 @@ class HyperoptTools():
         """
         epochs: List = []
         if results_file.is_file() and results_file.stat().st_size > 0:
-            epochs = HyperoptTools._read_results(results_file)
+            if results_file.suffix == '.pickle':
+                epochs = HyperoptTools._read_results_pickle(results_file)
+            else:
+                epochs = HyperoptTools._read_results(results_file)
             # Detection of some old format, without 'is_best' field saved
             if epochs[0].get('is_best') is None:
                 raise OperationalException(

From ad4c51b3c5a36a089699931a05c566407a874bed Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Wed, 12 May 2021 09:30:35 +0300
Subject: [PATCH 126/241] * Added "Dataframe access" section showcasing how to
 obtain dataframe and use it to get last-available and trade-open candles. *
 Fix custom_sell() example to use rsi from last-available instead of
 trade-open candle, add a pointer to "Dataframe access" section for more info.
 * Simplify "Custom stoploss using an indicator from dataframe example"
 greatly, add a pointer to "Dataframe access" section for more info.

---
 docs/strategy-advanced.md | 100 +++++++++++++++++++++-----------------
 1 file changed, 55 insertions(+), 45 deletions(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index ada7a99be..0fd2b3c41 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -40,6 +40,41 @@ class AwesomeStrategy(IStrategy):
 !!! Note
     If the data is pair-specific, make sure to use pair as one of the keys in the dictionary.
 
+
+## Dataframe access
+
+You may access dataframe in various strategy functions by querying it from dataprovider.
+
+``` python
+from freqtrade.exchange import timeframe_to_prev_date
+
+class AwesomeStrategy(IStrategy):
+    def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount: float,
+                           rate: float, time_in_force: str, sell_reason: str,
+                           current_time: 'datetime', **kwargs) -> bool:
+        # Obtain pair dataframe.
+        dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
+
+        # Obtain last available candle. Do not use current_time to look up latest candle, because 
+        # current_time points to curret incomplete candle whose data is not available.
+        last_candle = dataframe.iloc[-1].squeeze()
+        # <...>
+
+        # In dry/live runs trade open date will not match candle open date therefore it must be 
+        # rounded.
+        trade_date = timeframe_to_prev_date(trade.open_date_utc)
+        # Look up trade candle.
+        trade_candle = dataframe.loc[dataframe['date'] == trade_date]
+        # trade_candle may be None for trades that just opened as it is stil lincomplete.
+        if trade_candle is not None:
+            # <...>
+```
+
+!!! Warning "Using .iloc[-1]"
+    You can use `.iloc[-1]` here because `get_analyzed_dataframe()` only returns candles that backtesting is allowed to see.
+    This will not work in `populate_*` methods, so make sure to not use `.iloc[]` in that area.
+    Also, this will only work starting with version 2021.5.
+
 ***
 
 ## Custom sell signal
@@ -62,19 +97,16 @@ class AwesomeStrategy(IStrategy):
     def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
                     current_profit: float, **kwargs):
         dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
-        
-        # Get the row at trade open
-        trade_open_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc)
-        trade_open_row = dataframe.loc[dataframe['date'] == trade_open_date].squeeze()
+        last_candle = dataframe.iloc[-1].squeeze()
 
         # Above 20% profit, sell when rsi < 80
         if current_profit > 0.2:
-            if trade_open_row['rsi'] < 80:
+            if last_candle['rsi'] < 80:
                 return 'rsi_below_80'
 
         # Between 2% and 10%, sell if EMA-long above EMA-short
         if 0.02 < current_profit < 0.1:
-            if trade_open_row['emalong'] > trade_open_row['emashort']:
+            if last_candle['emalong'] > last_candle['emashort']:
                 return 'ema_long_below_80'
 
         # Sell any positions at a loss if they are held for more than one day.
@@ -82,7 +114,7 @@ class AwesomeStrategy(IStrategy):
             return 'unclog'
 ```
 
-See [Custom stoploss using an indicator from dataframe example](#custom-stoploss-using-an-indicator-from-dataframe-example) for explanation on how to use `dataframe` parameter.
+See [Dataframe access](#dataframe-access) for more information about dataframe use in strategy callbacks.
 
 ## Custom stoploss
 
@@ -265,57 +297,35 @@ class AwesomeStrategy(IStrategy):
 
 #### Custom stoploss using an indicator from dataframe example
 
-Imagine you want to use `custom_stoploss()` to use a trailing indicator like e.g. "ATR"
-
-!!! Note
-    `dataframe['date']` contains the candle's open date. During dry/live runs `current_time` and
-    `trade.open_date_utc` will not match the candle date precisely and using them directly will throw
-    an error. Use `date = timeframe_to_prev_date(self.timeframe, date)` to round a date to the candle's open date
-    before using it to access `dataframe`.
+Absolute stoploss value may be derived from indicators stored in dataframe. Example uses parabolic SAR below the price as stoploss.
 
 ``` python
-from freqtrade.exchange import timeframe_to_prev_date
-from freqtrade.persistence import Trade
-from freqtrade.state import RunMode
-
 class AwesomeStrategy(IStrategy):
 
-    # ... populate_* methods
+    def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
+        # <...>
+        dataframe['sar'] = ta.SAR(dataframe)
 
     use_custom_stoploss = True
 
     def custom_stoploss(self, pair: str, trade: 'Trade', current_time: datetime,
                         current_rate: float, current_profit: float, **kwargs) -> float:
-        # Default return value
-        result = 1
-        if trade:
-            # Using current_time directly would only work in backtesting. Live/dry runs need time to
-            # be rounded to previous candle to be used as dataframe index. Rounding must also be 
-            # applied to `trade.open_date(_utc)` if it is used for `dataframe` indexing.
-            dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
-            current_candle = dataframe.iloc[-1].squeeze()
-            if 'atr' in current_candle:
-                # new stoploss relative to current_rate
-                new_stoploss = (current_rate - current_candle['atr']) / current_rate
 
-                # Round trade date to it's candle time.
-                trade_date = timeframe_to_prev_date(trade.open_date_utc)
-                trade_candle = dataframe.loc[dataframe['date'] == trade_date]
-                # Just opened trades do not have their candle complete yet therefore trade_candle may be None
-                if trade_candle is not None:
-                    trade_candle = trade_candle.squeeze()
-                    trade_stoploss = (current_rate - trade_candle['atr']) / current_rate
-                    new_stoploss = max(new_stoploss, trade_stoploss)
-                # turn into relative negative offset required by `custom_stoploss` return implementation
-                result = new_stoploss - 1
+        dataframe, _ = self.dp.get_analyzed_dataframe(pair, self.timeframe)
+        last_candle = dataframe.iloc[-1].squeeze()
 
-        return result
+        # Use parabolic sar as absolute stoploss price
+        stoploss_price = last_candle['sar']
+
+        # Convert absolute price to percentage relative to current_rate
+        if stoploss_price < current_rate:
+            return (stoploss_price / current_rate) - 1
+
+        # return maximum stoploss value, keeping current stoploss price unchanged
+        return 1
 ```
 
-!!! Warning "Using .iloc[-1]"
-    You can use `.iloc[-1]` here because `get_analyzed_dataframe()` only returns candles that backtesting is allowed to see.
-    This will not work in `populate_*` methods, so make sure to not use `.iloc[]` in that area.
-    Also, this will only work starting with version 2021.5.
+See [Dataframe access](#dataframe-access) for more information about dataframe use in strategy callbacks.
 
 ---
 

From 9bb6ba086bdeffe3b676cb0e0bf0e720b514fe8e Mon Sep 17 00:00:00 2001
From: Rokas Kupstys <19151258+rokups@users.noreply.github.com>
Date: Wed, 12 May 2021 17:15:38 +0300
Subject: [PATCH 127/241] Update docs/strategy-advanced.md

Co-authored-by: Matthias 
---
 docs/strategy-advanced.md | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index 0fd2b3c41..d533d81cd 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -65,7 +65,7 @@ class AwesomeStrategy(IStrategy):
         trade_date = timeframe_to_prev_date(trade.open_date_utc)
         # Look up trade candle.
         trade_candle = dataframe.loc[dataframe['date'] == trade_date]
-        # trade_candle may be None for trades that just opened as it is stil lincomplete.
+        # trade_candle may be None for trades that just opened as it is still incomplete.
         if trade_candle is not None:
             # <...>
 ```

From 5f5597b93fb43b8ed46bf1d1d2a88e4f3acf0b6a Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Wed, 12 May 2021 06:32:55 +0200
Subject: [PATCH 128/241] Better test hyperopt writing and reading

---
 tests/optimize/test_hyperopt.py               |  85 +++++++-----------
 tests/optimize/test_optimize_reports.py       |   2 +-
 .../hyperopt_results_SampleStrategy.pickle    | Bin 0 -> 7436 bytes
 tests/testdata/strategy_SampleStrategy.fthypt |   5 ++
 4 files changed, 38 insertions(+), 54 deletions(-)
 create mode 100644 tests/testdata/hyperopt_results_SampleStrategy.pickle
 create mode 100644 tests/testdata/strategy_SampleStrategy.fthypt

diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py
index f9a9dba85..a0c475efb 100644
--- a/tests/optimize/test_hyperopt.py
+++ b/tests/optimize/test_hyperopt.py
@@ -31,23 +31,7 @@ from .hyperopts.default_hyperopt import DefaultHyperOpt
 
 
 # Functions for recurrent object patching
-def create_results(mocker, hyperopt, testdatadir) -> List[Dict]:
-    """
-    When creating results, mock the hyperopt so that *by default*
-      - we don't create any pickle'd files in the filesystem
-      - we might have a pickle'd file so make sure that we return
-        false when looking for it
-    """
-    hyperopt.results_file = testdatadir / 'optimize/ut_results.pickle'
-
-    mocker.patch.object(Path, "is_file", MagicMock(return_value=False))
-    stat_mock = MagicMock()
-    stat_mock.st_size = 1
-    mocker.patch.object(Path, "stat", MagicMock(return_value=stat_mock))
-
-    mocker.patch.object(Path, "unlink", MagicMock(return_value=True))
-    mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None)
-    mocker.patch('freqtrade.optimize.hyperopt.file_dump_json')
+def create_results() -> List[Dict]:
 
     return [{'loss': 1, 'result': 'foo', 'params': {}, 'is_best': True}]
 
@@ -321,54 +305,49 @@ def test_no_log_if_loss_does_not_improve(hyperopt, caplog) -> None:
     assert caplog.record_tuples == []
 
 
-def test_save_results_saves_epochs(mocker, hyperopt, testdatadir, caplog) -> None:
-    epochs = create_results(mocker, hyperopt, testdatadir)
-    mock_dump = mocker.patch('freqtrade.optimize.hyperopt.dump', return_value=None)
-    mock_dump_json = mocker.patch('freqtrade.optimize.hyperopt.file_dump_json', return_value=None)
-    results_file = testdatadir / 'optimize' / 'ut_results.pickle'
+def test_save_results_saves_epochs(mocker, hyperopt, tmpdir, caplog) -> None:
+    # Test writing to temp dir and reading again
+    epochs = create_results()
+    hyperopt.results_file = Path(tmpdir / 'ut_results.fthypt')
 
     caplog.set_level(logging.DEBUG)
 
-    hyperopt.epochs = epochs
-    hyperopt._save_results()
-    assert log_has(f"1 epoch saved to '{results_file}'.", caplog)
-    mock_dump.assert_called_once()
-    mock_dump_json.assert_called_once()
+    for epoch in epochs:
+        hyperopt._save_result(epoch)
+    assert log_has(f"1 epoch saved to '{hyperopt.results_file}'.", caplog)
 
-    hyperopt.epochs = epochs + epochs
-    hyperopt._save_results()
-    assert log_has(f"2 epochs saved to '{results_file}'.", caplog)
+    hyperopt._save_result(epochs[0])
+    assert log_has(f"2 epochs saved to '{hyperopt.results_file}'.", caplog)
+
+    hyperopt_epochs = HyperoptTools.load_previous_results(hyperopt.results_file)
+    assert len(hyperopt_epochs) == 2
 
 
-def test_read_results_returns_epochs(mocker, hyperopt, testdatadir, caplog) -> None:
-    epochs = create_results(mocker, hyperopt, testdatadir)
-    mock_load = mocker.patch('joblib.load', return_value=epochs)
-    results_file = testdatadir / 'optimize' / 'ut_results.pickle'
-    hyperopt_epochs = HyperoptTools._read_results(results_file)
-    assert log_has(f"Reading epochs from '{results_file}'", caplog)
-    assert hyperopt_epochs == epochs
-    mock_load.assert_called_once()
+def test_load_previous_results(testdatadir, caplog) -> None:
 
-
-def test_load_previous_results(mocker, hyperopt, testdatadir, caplog) -> None:
-    epochs = create_results(mocker, hyperopt, testdatadir)
-    mock_load = mocker.patch('joblib.load', return_value=epochs)
-    mocker.patch.object(Path, 'is_file', MagicMock(return_value=True))
-    statmock = MagicMock()
-    statmock.st_size = 5
-    # mocker.patch.object(Path, 'stat', MagicMock(return_value=statmock))
-
-    results_file = testdatadir / 'optimize' / 'ut_results.pickle'
+    results_file = testdatadir / 'hyperopt_results_SampleStrategy.pickle'
 
     hyperopt_epochs = HyperoptTools.load_previous_results(results_file)
 
-    assert hyperopt_epochs == epochs
-    mock_load.assert_called_once()
+    assert len(hyperopt_epochs) == 5
+    assert log_has_re(r"Reading pickled epochs from .*", caplog)
 
-    del epochs[0]['is_best']
-    mock_load = mocker.patch('joblib.load', return_value=epochs)
+    caplog.clear()
 
-    with pytest.raises(OperationalException):
+    # Modern version
+    results_file = testdatadir / 'strategy_SampleStrategy.fthypt'
+
+    hyperopt_epochs = HyperoptTools.load_previous_results(results_file)
+
+    assert len(hyperopt_epochs) == 5
+    assert log_has_re(r"Reading epochs from .*", caplog)
+
+
+def test_load_previous_results2(mocker, testdatadir, caplog) -> None:
+    mocker.patch('freqtrade.optimize.hyperopt_tools.HyperoptTools._read_results_pickle',
+                 return_value=[{'asdf': '222'}])
+    results_file = testdatadir / 'hyperopt_results_SampleStrategy.pickle'
+    with pytest.raises(OperationalException, match=r"The file .* incompatible.*"):
         HyperoptTools.load_previous_results(results_file)
 
 
diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py
index 48ba416c0..1afa5c59c 100644
--- a/tests/optimize/test_optimize_reports.py
+++ b/tests/optimize/test_optimize_reports.py
@@ -1,5 +1,5 @@
 import re
-from datetime import datetime, timedelta, timezone
+from datetime import timedelta
 from pathlib import Path
 
 import pandas as pd
diff --git a/tests/testdata/hyperopt_results_SampleStrategy.pickle b/tests/testdata/hyperopt_results_SampleStrategy.pickle
new file mode 100644
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diff --git a/tests/testdata/strategy_SampleStrategy.fthypt b/tests/testdata/strategy_SampleStrategy.fthypt
new file mode 100644
index 000000000..6dc2b9ab1
--- /dev/null
+++ b/tests/testdata/strategy_SampleStrategy.fthypt
@@ -0,0 +1,5 @@
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05:40:00+00:00","open_rate":5.4970000000000004e-05,"close_rate":5.535614149523332e-05,"fee_open":0.0035,"fee_close":0.0035,"trade_duration":210,"profit_ratio":0.0,"profit_abs":0.0,"sell_reason":"roi","initial_stop_loss_abs":5.183671e-05,"initial_stop_loss_ratio":-0.057,"stop_loss_abs":5.183671e-05,"stop_loss_ratio":-0.057,"min_rate":5.472000000000001e-05,"max_rate":5.556e-05,"is_open":false,"open_timestamp":1517019000000.0,"close_timestamp":1517031600000.0}],"locks":[],"best_pair":{"key":"TRX/BTC","trades":1,"profit_mean":0.03986049,"profit_mean_pct":3.986049,"profit_sum":0.03986049,"profit_sum_pct":3.99,"profit_total_abs":0.002,"profit_total":2e-06,"profit_total_pct":0.0,"duration_avg":"0:35:00","wins":1,"draws":0,"losses":0},"worst_pair":{"key":"ADA/BTC","trades":4,"profit_mean":-0.015894495,"profit_mean_pct":-1.5894495000000002,"profit_sum":-0.06357798,"profit_sum_pct":-6.36,"profit_total_abs":-0.00319003,"profit_total":-3.19003e-06,"profit_total_pct":-0.0,"duration_avg":"3:46:00","wins":0,"draws":3,"losses":1},"results_per_pair":[{"key":"TRX/BTC","trades":1,"profit_mean":0.03986049,"profit_mean_pct":3.986049,"profit_sum":0.03986049,"profit_sum_pct":3.99,"profit_total_abs":0.002,"profit_total":2e-06,"profit_total_pct":0.0,"duration_avg":"0:35:00","wins":1,"draws":0,"losses":0},{"key":"ETH/BTC","trades":2,"profit_mean":0.008337855,"profit_mean_pct":0.8337855,"profit_sum":0.01667571,"profit_sum_pct":1.67,"profit_total_abs":0.0008367,"profit_total":8.367e-07,"profit_total_pct":0.0,"duration_avg":"2:00:00","wins":1,"draws":1,"losses":0},{"key":"ETC/BTC","trades":3,"profit_mean":0.0031163500000000004,"profit_mean_pct":0.31163500000000005,"profit_sum":0.009349050000000001,"profit_sum_pct":0.93,"profit_total_abs":0.00046909,"profit_total":4.6909000000000003e-07,"profit_total_pct":0.0,"duration_avg":"2:17:00","wins":2,"draws":1,"losses":0},{"key":"LTC/BTC","trades":0,"profit_mean":0.0,"profit_mean_pct":0.0,"profit_sum":0.0,"profit_sum_pct":0.0,"profit_total_abs":0.0,"profit_total":0.0,"profit_total_pct":0.0,"duration_avg":"0:00","wins":0,"draws":0,"losses":0},{"key":"XLM/BTC","trades":1,"profit_mean":0.0,"profit_mean_pct":0.0,"profit_sum":0.0,"profit_sum_pct":0.0,"profit_total_abs":0.0,"profit_total":0.0,"profit_total_pct":0.0,"duration_avg":"7:05:00","wins":0,"draws":1,"losses":0},{"key":"ADA/BTC","trades":4,"profit_mean":-0.015894495,"profit_mean_pct":-1.5894495000000002,"profit_sum":-0.06357798,"profit_sum_pct":-6.36,"profit_total_abs":-0.00319003,"profit_total":-3.19003e-06,"profit_total_pct":-0.0,"duration_avg":"3:46:00","wins":0,"draws":3,"losses":1},{"key":"TOTAL","trades":11,"profit_mean":0.00020975181818181756,"profit_mean_pct":0.020975181818181757,"profit_sum":0.002307269999999993,"profit_sum_pct":0.23,"profit_total_abs":0.00011576000000000034,"profit_total":1.1576000000000034e-07,"profit_total_pct":0.0,"duration_avg":"3:03:00","wins":4,"draws":6,"losses":1}],"sell_reason_summary":[{"sell_reason":"roi","trades":10,"wins":4,"draws":6,"losses":0,"profit_mean":0.0065885250000000005,"profit_mean_pct":0.66,"profit_sum":0.06588525,"profit_sum_pct":6.59,"profit_total_abs":0.0033057900000000003,"profit_total":0.021961750000000002,"profit_total_pct":2.2},{"sell_reason":"stop_loss","trades":1,"wins":0,"draws":0,"losses":1,"profit_mean":-0.06357798,"profit_mean_pct":-6.36,"profit_sum":-0.06357798,"profit_sum_pct":-6.36,"profit_total_abs":-0.00319003,"profit_total":-0.021192660000000002,"profit_total_pct":-2.12}],"left_open_trades":[{"key":"TOTAL","trades":0,"profit_mean":0.0,"profit_mean_pct":0.0,"profit_sum":0.0,"profit_sum_pct":0.0,"profit_total_abs":0.0,"profit_total":0.0,"profit_total_pct":0.0,"duration_avg":"0:00","wins":0,"draws":0,"losses":0}],"total_trades":11,"total_volume":0.55,"avg_stake_amount":0.05,"profit_mean":0.00020975181818181756,"profit_median":0.0,"profit_total":1.1576000000000034e-07,"profit_total_abs":0.00011576000000000034,"backtest_start":"2018-01-10 07:25:00","backtest_start_ts":1515569100000,"backtest_end":"2018-01-30 04:45:00","backtest_end_ts":1517287500000,"backtest_days":19,"backtest_run_start_ts":1620793107,"backtest_run_end_ts":1620793108,"trades_per_day":0.58,"market_change":0,"pairlist":["ETH/BTC","LTC/BTC","ETC/BTC","XLM/BTC","TRX/BTC","ADA/BTC"],"stake_amount":0.05,"stake_currency":"BTC","stake_currency_decimals":8,"starting_balance":1000,"dry_run_wallet":1000,"final_balance":1000.00011576,"max_open_trades":3,"max_open_trades_setting":3,"timeframe":"5m","timerange":"","enable_protections":false,"strategy_name":"SampleStrategy","stoploss":-0.1,"trailing_stop":false,"trailing_stop_positive":null,"trailing_stop_positive_offset":0.0,"trailing_only_offset_is_reached":false,"use_custom_stoploss":false,"minimal_roi":{"60":0.01,"30":0.02,"0":0.04},"use_sell_signal":true,"sell_profit_only":false,"sell_profit_offset":0.0,"ignore_roi_if_buy_signal":false,"backtest_best_day":0.03986049,"backtest_worst_day":-0.06357798,"backtest_best_day_abs":0.002,"backtest_worst_day_abs":-0.00319003,"winning_days":4,"draw_days":13,"losing_days":1,"wins":4,"losses":1,"draws":6,"holding_avg":"3:03:00","winner_holding_avg":"1:39:00","loser_holding_avg":"3:40:00","max_drawdown":0.06357798,"max_drawdown_abs":0.00319003,"drawdown_start":"2018-01-10 21:15:00","drawdown_start_ts":1515618900000.0,"drawdown_end":"2018-01-13 15:10:00","drawdown_end_ts":1515856200000.0,"max_drawdown_low":-0.00235333,"max_drawdown_high":0.0008367,"csum_min":999.99764667,"csum_max":1000.0008367},"results_explanation":"    11 trades. 4/6/1 Wins/Draws/Losses. Avg profit   0.02%. Median profit   0.00%. Total profit  0.00011576 BTC (   0.00\u03A3%). Avg duration 3:03:00 min.","total_profit":1.1576000000000034e-07,"current_epoch":5,"is_initial_point":true,"is_best":false}

From 24a1d5a96f09cfeb4ad5105bc98ac4c976f0cb30 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Wed, 12 May 2021 19:04:32 +0200
Subject: [PATCH 129/241] Change default hyperopt-name to be shorter

---
 freqtrade/optimize/hyperopt.py       | 2 +-
 freqtrade/optimize/hyperopt_tools.py | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index c14b62b9d..422879451 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -87,7 +87,7 @@ class Hyperopt:
         time_now = datetime.now().strftime("%Y-%m-%d_%H-%M-%S")
         strategy = str(self.config['strategy'])
         self.results_file: Path = (self.config['user_data_dir'] / 'hyperopt_results' /
-                                   f'strategy_{strategy}_hyperopt_results_{time_now}.fthypt')
+                                   f'strategy_{strategy}_{time_now}.fthypt')
         self.data_pickle_file = (self.config['user_data_dir'] /
                                  'hyperopt_results' / 'hyperopt_tickerdata.pkl')
         self.total_epochs = config.get('epochs', 0)
diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py
index 665c393b3..49e70913f 100644
--- a/freqtrade/optimize/hyperopt_tools.py
+++ b/freqtrade/optimize/hyperopt_tools.py
@@ -182,7 +182,7 @@ class HyperoptTools():
 
     @staticmethod
     def is_best_loss(results, current_best_loss: float) -> bool:
-        return results['loss'] < current_best_loss
+        return bool(results['loss'] < current_best_loss)
 
     @staticmethod
     def format_results_explanation_string(results_metrics: Dict, stake_currency: str) -> str:

From 5e66d37d57927e1275a751ca5a4c78938040b4a0 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Wed, 12 May 2021 20:07:45 +0200
Subject: [PATCH 130/241] Slightly modify docker instructions for arm64

---
 docs/docker_quickstart.md | 26 ++++++++++++++++----------
 1 file changed, 16 insertions(+), 10 deletions(-)

diff --git a/docs/docker_quickstart.md b/docs/docker_quickstart.md
index 51386a4e3..3a85aa885 100644
--- a/docs/docker_quickstart.md
+++ b/docs/docker_quickstart.md
@@ -67,21 +67,24 @@ Create a new directory and place the [docker-compose file](https://raw.githubuse
         # image: freqtradeorg/freqtrade:develop_pi
         ```
 
-=== "ARM 64 Systenms (Jetson Nano, Mac M1, Raspberry Pi 4 8GB)"
+=== "ARM 64 Systenms (Mac M1, Raspberry Pi 4, Jetson Nano)"
     In case of a Mac M1, make sure that your docker installation is running in native mode
+    Arm64 images are not yet provided via Docker Hub and need to be build locally first.
+    Depending on the device, this may take a few minutes (Apple M1) or multiple hours (Raspberry Pi)
 
     ``` bash
-    mkdir ft_userdata
-    cd ft_userdata/
-
-    # arm64 images are not yet provided via Docker Hub and need to be build locally first. Depending on the device,
-    # this may take a few minutes (Apple M1) or up to two hours (Raspberry Pi)
+    # Clone Freqtrade repository
     git clone  https://github.com/freqtrade/freqtrade.git
-    docker build -f ./freqtrade/docker/Dockerfile.aarch64 -t freqtradeorg/freqtrade:develop_arm64 freqtrade
+    cd freqtrade
+    # Optionally switch to the stable version
+    git checkout stable   
 
-    # Download the docker-compose file from the repository
-    curl https://raw.githubusercontent.com/freqtrade/freqtrade/stable/docker-compose.yml -o docker-compose.yml
+    # Modify your docker-compose file to enable building and change the image name 
+    # (see the Note Box below for necessary changes)
 
+    # Build image
+    docker-compose build
+    
     # Create user directory structure
     docker-compose run --rm freqtrade create-userdir --userdir user_data
 
@@ -92,7 +95,10 @@ Create a new directory and place the [docker-compose file](https://raw.githubuse
     !!! Note "Change your docker Image"
         You have to change the docker image in the docker-compose file for your arm64 build to work properly.
         ``` yml
-        image: freqtradeorg/freqtrade:develop_arm64
+        image: freqtradeorg/freqtrade:custom_arm64
+        build:
+          context: .
+          dockerfile: "./docker/Dockerfile.aarch64"
         ```
 
 The above snippet creates a new directory called `ft_userdata`, downloads the latest compose file and pulls the freqtrade image.

From 1055862bc0d691196c564e405a142ef258b03486 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Wed, 12 May 2021 21:15:01 +0200
Subject: [PATCH 131/241] Extract data-load + dump from hyperopt

(Reduces memory-usage as the dataframes go out of scope)
---
 freqtrade/optimize/hyperopt.py | 16 ++++++++++------
 1 file changed, 10 insertions(+), 6 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 422879451..534da34fc 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -345,12 +345,7 @@ class Hyperopt:
     def _set_random_state(self, random_state: Optional[int]) -> int:
         return random_state or random.randint(1, 2**16 - 1)
 
-    def start(self) -> None:
-        self.random_state = self._set_random_state(self.config.get('hyperopt_random_state', None))
-        logger.info(f"Using optimizer random state: {self.random_state}")
-        self.hyperopt_table_header = -1
-        # Initialize spaces ...
-        self.init_spaces()
+    def prepare_hyperopt_data(self) -> None:
         data, timerange = self.backtesting.load_bt_data()
         logger.info("Dataload complete. Calculating indicators")
         preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data)
@@ -367,6 +362,15 @@ class Hyperopt:
 
         dump(preprocessed, self.data_pickle_file)
 
+    def start(self) -> None:
+        self.random_state = self._set_random_state(self.config.get('hyperopt_random_state', None))
+        logger.info(f"Using optimizer random state: {self.random_state}")
+        self.hyperopt_table_header = -1
+        # Initialize spaces ...
+        self.init_spaces()
+
+        self.prepare_hyperopt_data()
+
         # We don't need exchange instance anymore while running hyperopt
         self.backtesting.exchange.close()
         self.backtesting.exchange._api = None  # type: ignore

From ecee42f5615b87560b54b19049dd0662bb80eec9 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Thu, 13 May 2021 20:13:04 +0200
Subject: [PATCH 132/241] Read pickle file in mmap mode

---
 freqtrade/optimize/hyperopt.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 534da34fc..4f8c0ea8b 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -270,7 +270,7 @@ class Hyperopt:
             self.backtesting.strategy.trailing_only_offset_is_reached = \
                 d['trailing_only_offset_is_reached']
 
-        processed = load(self.data_pickle_file)
+        processed = load(self.data_pickle_file, mmap_mode='r+')
 
         bt_results = self.backtesting.backtest(
             processed=processed,

From 09756e300799ff8e6115ba6ac2d358c211d5835d Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 14 May 2021 06:36:18 +0200
Subject: [PATCH 133/241] Subplots should always be included in responses

---
 freqtrade/rpc/api_server/api_schemas.py | 2 +-
 freqtrade/rpc/rpc.py                    | 4 +++-
 tests/rpc/test_rpc_apiserver.py         | 8 ++++++++
 3 files changed, 12 insertions(+), 2 deletions(-)

diff --git a/freqtrade/rpc/api_server/api_schemas.py b/freqtrade/rpc/api_server/api_schemas.py
index e582f6aa8..c324f8828 100644
--- a/freqtrade/rpc/api_server/api_schemas.py
+++ b/freqtrade/rpc/api_server/api_schemas.py
@@ -268,7 +268,7 @@ class DeleteTrade(BaseModel):
 
 class PlotConfig_(BaseModel):
     main_plot: Dict[str, Any]
-    subplots: Optional[Dict[str, Any]]
+    subplots: Dict[str, Any]
 
 
 class PlotConfig(BaseModel):
diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py
index fd97ad7d4..d7564bc65 100644
--- a/freqtrade/rpc/rpc.py
+++ b/freqtrade/rpc/rpc.py
@@ -845,5 +845,7 @@ class RPC:
                                               df_analyzed, arrow.Arrow.utcnow().datetime)
 
     def _rpc_plot_config(self) -> Dict[str, Any]:
-
+        if (self._freqtrade.strategy.plot_config and
+                'subplots' not in self._freqtrade.strategy.plot_config):
+            self._freqtrade.strategy.plot_config['subplots'] = {}
         return self._freqtrade.strategy.plot_config
diff --git a/tests/rpc/test_rpc_apiserver.py b/tests/rpc/test_rpc_apiserver.py
index 69d312e65..fc0dee14b 100644
--- a/tests/rpc/test_rpc_apiserver.py
+++ b/tests/rpc/test_rpc_apiserver.py
@@ -1142,6 +1142,14 @@ def test_api_plot_config(botclient):
     assert_response(rc)
     assert rc.json() == ftbot.strategy.plot_config
     assert isinstance(rc.json()['main_plot'], dict)
+    assert isinstance(rc.json()['subplots'], dict)
+
+    ftbot.strategy.plot_config = {'main_plot': {'sma': {}}}
+    rc = client_get(client, f"{BASE_URI}/plot_config")
+    assert_response(rc)
+
+    assert isinstance(rc.json()['main_plot'], dict)
+    assert isinstance(rc.json()['subplots'], dict)
 
 
 def test_api_strategies(botclient):

From 4bc018a4568c2dbd200875cba61fdd1534004190 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 14 May 2021 07:18:10 +0200
Subject: [PATCH 134/241] Change rate back to "open" for custom_sell

closes #4920
---
 freqtrade/strategy/interface.py | 4 ++++
 1 file changed, 4 insertions(+)

diff --git a/freqtrade/strategy/interface.py b/freqtrade/strategy/interface.py
index 7483abf6d..e2cde52eb 100644
--- a/freqtrade/strategy/interface.py
+++ b/freqtrade/strategy/interface.py
@@ -573,6 +573,10 @@ class IStrategy(ABC, HyperStrategyMixin):
 
         sell_signal = SellType.NONE
         custom_reason = ''
+        # use provided rate in backtesting, not high/low.
+        current_rate = rate
+        current_profit = trade.calc_profit_ratio(current_rate)
+
         if (ask_strategy.get('sell_profit_only', False)
                 and current_profit <= ask_strategy.get('sell_profit_offset', 0)):
             # sell_profit_only and profit doesn't reach the offset - ignore sell signal

From 09b6923e5042983a348aee55547e830d9f6927f8 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 14 May 2021 07:22:51 +0200
Subject: [PATCH 135/241] Use "choose" link for new issues

---
 README.md | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/README.md b/README.md
index 6fd59b62d..ab9597a77 100644
--- a/README.md
+++ b/README.md
@@ -154,7 +154,7 @@ You can also join our [Slack channel](https://join.slack.com/t/highfrequencybot/
 If you discover a bug in the bot, please
 [search our issue tracker](https://github.com/freqtrade/freqtrade/issues?q=is%3Aissue)
 first. If it hasn't been reported, please
-[create a new issue](https://github.com/freqtrade/freqtrade/issues/new) and
+[create a new issue](https://github.com/freqtrade/freqtrade/issues/new/choose) and
 ensure you follow the template guide so that our team can assist you as
 quickly as possible.
 
@@ -163,7 +163,7 @@ quickly as possible.
 Have you a great idea to improve the bot you want to share? Please,
 first search if this feature was not [already discussed](https://github.com/freqtrade/freqtrade/labels/enhancement).
 If it hasn't been requested, please
-[create a new request](https://github.com/freqtrade/freqtrade/issues/new)
+[create a new request](https://github.com/freqtrade/freqtrade/issues/new/choose)
 and ensure you follow the template guide so that it does not get lost
 in the bug reports.
 

From 330fb538a9890100acbdba59a637fde616467e92 Mon Sep 17 00:00:00 2001
From: Rokas Kupstys <19151258+rokups@users.noreply.github.com>
Date: Fri, 14 May 2021 10:43:48 +0300
Subject: [PATCH 136/241] Couple tweaks for docs.

---
 docs/strategy-advanced.md | 4 +---
 1 file changed, 1 insertion(+), 3 deletions(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index d533d81cd..417218bc3 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -62,7 +62,7 @@ class AwesomeStrategy(IStrategy):
 
         # In dry/live runs trade open date will not match candle open date therefore it must be 
         # rounded.
-        trade_date = timeframe_to_prev_date(trade.open_date_utc)
+        trade_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc)
         # Look up trade candle.
         trade_candle = dataframe.loc[dataframe['date'] == trade_date]
         # trade_candle may be None for trades that just opened as it is still incomplete.
@@ -91,8 +91,6 @@ Using custom_sell() signals in place of stoplosses though *is not recommended*.
 An example of how we can use different indicators depending on the current profit and also sell trades that were open longer than one day:
 
 ``` python
-from freqtrade.strategy import IStrategy, timeframe_to_prev_date
-
 class AwesomeStrategy(IStrategy):
     def custom_sell(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
                     current_profit: float, **kwargs):

From 5e73195b304de01f92ee841468c9d419f877f93a Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 15 May 2021 07:01:32 +0200
Subject: [PATCH 137/241] Use linux lineseperator at all times

---
 freqtrade/optimize/hyperopt.py | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 4f8c0ea8b..3d156cccd 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -5,7 +5,6 @@ This module contains the hyperopt logic
 """
 
 import logging
-import os
 import random
 import warnings
 from datetime import datetime, timezone
@@ -164,7 +163,7 @@ class Hyperopt:
         """
         with self.results_file.open('a') as f:
             rapidjson.dump(epoch, f, default=str, number_mode=rapidjson.NM_NATIVE)
-            f.write(os.linesep)
+            f.write("\n")
 
         self.num_epochs_saved += 1
         logger.debug(f"{self.num_epochs_saved} {plural(self.num_epochs_saved, 'epoch')} "

From 0ace35bf3d2dc9071093b830f56944fe5f5e207f Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 15 May 2021 08:14:50 +0200
Subject: [PATCH 138/241] Fix unreferenced error

---
 freqtrade/rpc/rpc.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py
index d7564bc65..2c54d743e 100644
--- a/freqtrade/rpc/rpc.py
+++ b/freqtrade/rpc/rpc.py
@@ -178,7 +178,7 @@ class RPC:
                     current_rate = trade.close_rate
                 current_profit = trade.calc_profit_ratio(current_rate)
                 current_profit_abs = trade.calc_profit(current_rate)
-
+                current_profit_fiat: Optional[float] = None
                 # Calculate fiat profit
                 if self._fiat_converter:
                     current_profit_fiat = self._fiat_converter.convert_amount(

From 2eac23a15f7c3b1d032fa19bd233da0840fcbf30 Mon Sep 17 00:00:00 2001
From: Brook Miles 
Date: Sat, 15 May 2021 15:38:51 +0900
Subject: [PATCH 139/241] if stoploss price is above the candle high, set it to
 candle open instead.  this can occur if stoploss had previously been reached
 but the sell was prevented by `confirm_trade_exit`

---
 freqtrade/optimize/backtesting.py | 6 ++++++
 1 file changed, 6 insertions(+)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index e057d8189..689fb9516 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -218,6 +218,12 @@ class Backtesting:
         """
         # Special handling if high or low hit STOP_LOSS or ROI
         if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
+            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]
+
             # Set close_rate to stoploss
             return trade.stop_loss
         elif sell.sell_type == (SellType.ROI):

From e1447f955cc1ce0b90439175b935eb7a65a33148 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 15 May 2021 10:50:00 +0200
Subject: [PATCH 140/241] /locks should always respond, even if there's no
 locks

closes #4942
---
 freqtrade/rpc/telegram.py      | 3 +++
 tests/rpc/test_rpc_telegram.py | 5 +++++
 2 files changed, 8 insertions(+)

diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index c619559de..8aa96f7b1 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -751,6 +751,9 @@ class Telegram(RPCHandler):
         Returns the currently active locks
         """
         rpc_locks = self._rpc._rpc_locks()
+        if not rpc_locks['locks']:
+            self._send_msg('No active locks.', parse_mode=ParseMode.HTML)
+
         for locks in chunks(rpc_locks['locks'], 25):
             message = tabulate([[
                 lock['id'],
diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py
index 6d42a6845..37b5045f8 100644
--- a/tests/rpc/test_rpc_telegram.py
+++ b/tests/rpc/test_rpc_telegram.py
@@ -969,6 +969,11 @@ def test_telegram_lock_handle(default_conf, update, ticker, fee, mocker) -> None
     )
     telegram, freqtradebot, msg_mock = get_telegram_testobject(mocker, default_conf)
     patch_get_signal(freqtradebot, (True, False))
+    telegram._locks(update=update, context=MagicMock())
+    assert msg_mock.call_count == 1
+    assert 'No active locks.' in msg_mock.call_args_list[0][0][0]
+
+    msg_mock.reset_mock()
 
     PairLocks.lock_pair('ETH/BTC', arrow.utcnow().shift(minutes=4).datetime, 'randreason')
     PairLocks.lock_pair('XRP/BTC', arrow.utcnow().shift(minutes=20).datetime, 'deadbeef')

From 29fed37df3e92de97cc9a0a75651207fd37c9c3a Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Thu, 13 May 2021 09:47:28 +0300
Subject: [PATCH 141/241] Fix exception when few pairs with no data do not
 result in aborting backtest.

Exception is triggered by backtesting 20210301-20210501 range with BAKE/USDT pair (binance). Pair data starts on 2021-04-30 12:00:00 and after adjusting for startup candles pair dataframe is empty.

Solution: Since there are other pairs with enough data - skip pairs with no data and issue a warning.

Exception:
```
Traceback (most recent call last):
  File "/home/rk/src/freqtrade/freqtrade/main.py", line 37, in main
    return_code = args['func'](args)
  File "/home/rk/src/freqtrade/freqtrade/commands/optimize_commands.py", line 53, in start_backtesting
    backtesting.start()
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 502, in start
    min_date, max_date = self.backtest_one_strategy(strat, data, timerange)
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 474, in backtest_one_strategy
    results = self.backtest(
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 365, in backtest
    data: Dict = self._get_ohlcv_as_lists(processed)
  File "/home/rk/src/freqtrade/freqtrade/optimize/backtesting.py", line 199, in _get_ohlcv_as_lists
    pair_data.loc[:, 'buy'] = 0  # cleanup from previous run
  File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 692, in __setitem__
    iloc._setitem_with_indexer(indexer, value, self.name)
  File "/home/rk/src/freqtrade/venv/lib/python3.9/site-packages/pandas/core/indexing.py", line 1587, in _setitem_with_indexer
    raise ValueError(
ValueError: cannot set a frame with no defined index and a scalar
```
---
 freqtrade/optimize/backtesting.py | 22 +++++++++++++++-------
 1 file changed, 15 insertions(+), 7 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index e057d8189..450b88f3b 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -9,7 +9,7 @@ from copy import deepcopy
 from datetime import datetime, timedelta, timezone
 from typing import Any, Dict, List, Optional, Tuple
 
-from pandas import DataFrame, NaT
+from pandas import DataFrame
 
 from freqtrade.configuration import TimeRange, remove_credentials, validate_config_consistency
 from freqtrade.constants import DATETIME_PRINT_FORMAT
@@ -457,13 +457,21 @@ class Backtesting:
         preprocessed = self.strategy.ohlcvdata_to_dataframe(data)
 
         # Trim startup period from analyzed dataframe
-        for pair, df in preprocessed.items():
-            preprocessed[pair] = trim_dataframe(df, timerange,
-                                                startup_candles=self.required_startup)
-        min_date, max_date = history.get_timerange(preprocessed)
-        if min_date is NaT or max_date is NaT:
+        for pair in list(preprocessed):
+            df = preprocessed[pair]
+            df = trim_dataframe(df, timerange, startup_candles=self.required_startup)
+            if len(df) > 0:
+                preprocessed[pair] = df
+            else:
+                logger.warning(f'{pair} has no data left after adjusting for startup candles, '
+                               f'skipping.')
+                del preprocessed[pair]
+
+        if not preprocessed:
             raise OperationalException(
-                "No data left after adjusting for startup candles. ")
+                "No data left after adjusting for startup candles.")
+
+        min_date, max_date = history.get_timerange(preprocessed)
         logger.info(f'Backtesting with data from {min_date.strftime(DATETIME_PRINT_FORMAT)} '
                     f'up to {max_date.strftime(DATETIME_PRINT_FORMAT)} '
                     f'({(max_date - min_date).days} days).')

From 2d5f465f1b4646f23244692abf0c719cc3ba1cb5 Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Thu, 13 May 2021 11:49:12 +0300
Subject: [PATCH 142/241] Fix protections being loaded multiple times for first
 strategy when backtesting.

---
 freqtrade/optimize/backtesting.py      |  2 --
 freqtrade/optimize/hyperopt.py         |  1 +
 tests/optimize/test_backtest_detail.py |  1 +
 tests/optimize/test_backtesting.py     | 16 ++++++++++++++++
 4 files changed, 18 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 450b88f3b..f05a0d88b 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -115,8 +115,6 @@ class Backtesting:
 
         # Get maximum required startup period
         self.required_startup = max([strat.startup_candle_count for strat in self.strategylist])
-        # Load one (first) strategy
-        self._set_strategy(self.strategylist[0])
 
     def __del__(self):
         LoggingMixin.show_output = True
diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 5ccf02d01..5ba242bd1 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -79,6 +79,7 @@ class Hyperopt:
             self.custom_hyperopt = HyperOptAuto(self.config)
         else:
             self.custom_hyperopt = HyperOptResolver.load_hyperopt(self.config)
+        self.backtesting._set_strategy(self.backtesting.strategylist[0])
         self.custom_hyperopt.strategy = self.backtesting.strategy
 
         self.custom_hyperoptloss = HyperOptLossResolver.load_hyperoptloss(self.config)
diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py
index 7da7709c6..ca2baaf33 100644
--- a/tests/optimize/test_backtest_detail.py
+++ b/tests/optimize/test_backtest_detail.py
@@ -493,6 +493,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
     patch_exchange(mocker)
     frame = _build_backtest_dataframe(data.data)
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     backtesting.strategy.advise_buy = lambda a, m: frame
     backtesting.strategy.advise_sell = lambda a, m: frame
     caplog.set_level(logging.DEBUG)
diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 2ebea564b..03a65b159 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -83,6 +83,7 @@ def simple_backtest(config, contour, mocker, testdatadir) -> None:
     patch_exchange(mocker)
     config['timeframe'] = '1m'
     backtesting = Backtesting(config)
+    backtesting._set_strategy(backtesting.strategylist[0])
 
     data = load_data_test(contour, testdatadir)
     processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
@@ -106,6 +107,7 @@ def _make_backtest_conf(mocker, datadir, conf=None, pair='UNITTEST/BTC'):
     data = trim_dictlist(data, -201)
     patch_exchange(mocker)
     backtesting = Backtesting(conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
     min_date, max_date = get_timerange(processed)
     return {
@@ -285,6 +287,7 @@ def test_backtesting_init(mocker, default_conf, order_types) -> None:
     patch_exchange(mocker)
     get_fee = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     assert backtesting.config == default_conf
     assert backtesting.timeframe == '5m'
     assert callable(backtesting.strategy.ohlcvdata_to_dataframe)
@@ -315,11 +318,13 @@ def test_data_with_fee(default_conf, mocker, testdatadir) -> None:
 
     fee_mock = mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.5))
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     assert backtesting.fee == 0.1234
     assert fee_mock.call_count == 0
 
     default_conf['fee'] = 0.0
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     assert backtesting.fee == 0.0
     assert fee_mock.call_count == 0
 
@@ -330,6 +335,7 @@ def test_data_to_dataframe_bt(default_conf, mocker, testdatadir) -> None:
     data = history.load_data(testdatadir, '1m', ['UNITTEST/BTC'], timerange=timerange,
                              fill_up_missing=True)
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     processed = backtesting.strategy.ohlcvdata_to_dataframe(data)
     assert len(processed['UNITTEST/BTC']) == 102
 
@@ -361,6 +367,7 @@ def test_backtesting_start(default_conf, mocker, testdatadir, caplog) -> None:
     default_conf['timerange'] = '-1510694220'
 
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     backtesting.strategy.bot_loop_start = MagicMock()
     backtesting.start()
     # check the logs, that will contain the backtest result
@@ -393,6 +400,7 @@ def test_backtesting_start_no_data(default_conf, mocker, caplog, testdatadir) ->
     default_conf['timerange'] = '20180101-20180102'
 
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     with pytest.raises(OperationalException, match='No data found. Terminating.'):
         backtesting.start()
 
@@ -465,6 +473,7 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
     default_conf['stake_amount'] = 'unlimited'
     default_conf['max_open_trades'] = 2
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     pair = 'UNITTEST/BTC'
     row = [
         pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
@@ -508,6 +517,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
     patch_exchange(mocker)
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     pair = 'UNITTEST/BTC'
     timerange = TimeRange('date', None, 1517227800, 0)
     data = history.load_data(datadir=testdatadir, timeframe='5m', pairs=['UNITTEST/BTC'],
@@ -570,6 +580,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
     mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
     patch_exchange(mocker)
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
 
     # Run a backtesting for an exiting 1min timeframe
     timerange = TimeRange.parse_timerange('1510688220-1510700340')
@@ -591,6 +602,7 @@ def test_backtest_1min_timeframe(default_conf, fee, mocker, testdatadir) -> None
 def test_processed(default_conf, mocker, testdatadir) -> None:
     patch_exchange(mocker)
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
 
     dict_of_tickerrows = load_data_test('raise', testdatadir)
     dataframes = backtesting.strategy.ohlcvdata_to_dataframe(dict_of_tickerrows)
@@ -661,6 +673,7 @@ def test_backtest_clash_buy_sell(mocker, default_conf, testdatadir):
 
     backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     backtesting.strategy.advise_buy = fun  # Override
     backtesting.strategy.advise_sell = fun  # Override
     result = backtesting.backtest(**backtest_conf)
@@ -676,6 +689,7 @@ def test_backtest_only_sell(mocker, default_conf, testdatadir):
 
     backtest_conf = _make_backtest_conf(mocker, conf=default_conf, datadir=testdatadir)
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     backtesting.strategy.advise_buy = fun  # Override
     backtesting.strategy.advise_sell = fun  # Override
     result = backtesting.backtest(**backtest_conf)
@@ -689,6 +703,7 @@ def test_backtest_alternate_buy_sell(default_conf, fee, mocker, testdatadir):
                                         pair='UNITTEST/BTC', datadir=testdatadir)
     default_conf['timeframe'] = '1m'
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     backtesting.strategy.advise_buy = _trend_alternate  # Override
     backtesting.strategy.advise_sell = _trend_alternate  # Override
     result = backtesting.backtest(**backtest_conf)
@@ -731,6 +746,7 @@ def test_backtest_multi_pair(default_conf, fee, mocker, tres, pair, testdatadir)
     default_conf['timeframe'] = '5m'
 
     backtesting = Backtesting(default_conf)
+    backtesting._set_strategy(backtesting.strategylist[0])
     backtesting.strategy.advise_buy = _trend_alternate_hold  # Override
     backtesting.strategy.advise_sell = _trend_alternate_hold  # Override
 

From 88da1f109b3563a0f3c59d643be9c67de8ed0b89 Mon Sep 17 00:00:00 2001
From: Brook Miles 
Date: Sat, 15 May 2021 20:15:19 +0900
Subject: [PATCH 143/241] fix #4412 download-data does not stop downloading at
 the specified TIMERANGE end date

---
 freqtrade/data/history/history_utils.py | 11 ++++++++---
 1 file changed, 8 insertions(+), 3 deletions(-)

diff --git a/freqtrade/data/history/history_utils.py b/freqtrade/data/history/history_utils.py
index 32c7ce7f9..383913f66 100644
--- a/freqtrade/data/history/history_utils.py
+++ b/freqtrade/data/history/history_utils.py
@@ -265,9 +265,13 @@ def _download_trades_history(exchange: Exchange,
     """
     try:
 
-        since = timerange.startts * 1000 if \
-            (timerange and timerange.starttype == 'date') else int(arrow.utcnow().shift(
-                days=-new_pairs_days).float_timestamp) * 1000
+        until = None
+        if (timerange and timerange.starttype == 'date'):
+          since = timerange.startts * 1000
+          if timerange.stoptype == 'date':
+            until = timerange.stopts * 1000
+        else:
+          since = int(arrow.utcnow().shift(days=-new_pairs_days).float_timestamp) * 1000
 
         trades = data_handler.trades_load(pair)
 
@@ -295,6 +299,7 @@ def _download_trades_history(exchange: Exchange,
         # Default since_ms to 30 days if nothing is given
         new_trades = exchange.get_historic_trades(pair=pair,
                                                   since=since,
+                                                  until=until,
                                                   from_id=from_id,
                                                   )
         trades.extend(new_trades[1])

From db17b1a851f749afc0335a8579e0dc1df19c47ce Mon Sep 17 00:00:00 2001
From: Brook Miles 
Date: Sat, 15 May 2021 20:20:36 +0900
Subject: [PATCH 144/241] fix indentation

---
 freqtrade/data/history/history_utils.py | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

diff --git a/freqtrade/data/history/history_utils.py b/freqtrade/data/history/history_utils.py
index 383913f66..86e9f75e6 100644
--- a/freqtrade/data/history/history_utils.py
+++ b/freqtrade/data/history/history_utils.py
@@ -267,11 +267,11 @@ def _download_trades_history(exchange: Exchange,
 
         until = None
         if (timerange and timerange.starttype == 'date'):
-          since = timerange.startts * 1000
-          if timerange.stoptype == 'date':
-            until = timerange.stopts * 1000
+            since = timerange.startts * 1000
+            if timerange.stoptype == 'date':
+                until = timerange.stopts * 1000
         else:
-          since = int(arrow.utcnow().shift(days=-new_pairs_days).float_timestamp) * 1000
+            since = int(arrow.utcnow().shift(days=-new_pairs_days).float_timestamp) * 1000
 
         trades = data_handler.trades_load(pair)
 

From 8e987784984c60a50857efd08e8ae57566da432e Mon Sep 17 00:00:00 2001
From: JoeSchr 
Date: Sat, 15 May 2021 15:21:21 +0200
Subject: [PATCH 145/241] Update installation.md

Fix typo
---
 docs/installation.md | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/installation.md b/docs/installation.md
index 18f5f4d68..c19965a18 100644
--- a/docs/installation.md
+++ b/docs/installation.md
@@ -269,7 +269,7 @@ git clone https://github.com/freqtrade/freqtrade.git
 cd freqtrade      
 ```
 
-#### Freqtrade instal: Conda Environment
+#### Freqtrade install: Conda Environment
 
 Prepare conda-freqtrade environment, using file `environment.yml`, which exist in main freqtrade directory
 

From 2ecb42a63971908901facc9823198082c976a3ce Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 15 May 2021 15:52:02 +0200
Subject: [PATCH 146/241] Improve rest-api doc config samples

---
 docs/rest-api.md | 10 ++++++++--
 1 file changed, 8 insertions(+), 2 deletions(-)

diff --git a/docs/rest-api.md b/docs/rest-api.md
index a0029a44c..b9b2b29be 100644
--- a/docs/rest-api.md
+++ b/docs/rest-api.md
@@ -71,7 +71,10 @@ If you run your bot using docker, you'll need to have the bot listen to incoming
     "api_server": {
         "enabled": true,
         "listen_ip_address": "0.0.0.0",
-        "listen_port": 8080
+        "listen_port": 8080,
+        "username": "Freqtrader",
+        "password": "SuperSecret1!",
+        //...
     },
 ```
 
@@ -106,7 +109,10 @@ By default, the script assumes `127.0.0.1` (localhost) and port `8080` to be use
     "api_server": {
         "enabled": true,
         "listen_ip_address": "0.0.0.0",
-        "listen_port": 8080
+        "listen_port": 8080,
+        "username": "Freqtrader",
+        "password": "SuperSecret1!",
+        //...
     }
 }
 ```

From 6b2a38ccfb9aa3802e6ecc0061d6ee7f09110784 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 15 May 2021 19:39:46 +0200
Subject: [PATCH 147/241] Add absolute Profit to apiserver

---
 freqtrade/persistence/models.py         | 8 +++++---
 freqtrade/rpc/api_server/api_schemas.py | 1 +
 tests/rpc/test_rpc_apiserver.py         | 9 ++++++---
 3 files changed, 12 insertions(+), 6 deletions(-)

diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py
index afd51366a..8d2c9d1d3 100644
--- a/freqtrade/persistence/models.py
+++ b/freqtrade/persistence/models.py
@@ -815,18 +815,20 @@ class Trade(_DECL_BASE, LocalTrade):
         pair_rates = Trade.query.with_entities(
             Trade.pair,
             func.sum(Trade.close_profit).label('profit_sum'),
+            func.sum(Trade.close_profit_abs).label('profit_sum_abs'),
             func.count(Trade.pair).label('count')
         ).filter(Trade.is_open.is_(False))\
             .group_by(Trade.pair) \
-            .order_by(desc('profit_sum')) \
+            .order_by(desc('profit_sum_abs')) \
             .all()
         return [
             {
                 'pair': pair,
-                'profit': rate,
+                'profit': profit,
+                'profit_abs': profit_abs,
                 'count': count
             }
-            for pair, rate, count in pair_rates
+            for pair, profit, profit_abs, count in pair_rates
         ]
 
     @staticmethod
diff --git a/freqtrade/rpc/api_server/api_schemas.py b/freqtrade/rpc/api_server/api_schemas.py
index c324f8828..4d06d3ecf 100644
--- a/freqtrade/rpc/api_server/api_schemas.py
+++ b/freqtrade/rpc/api_server/api_schemas.py
@@ -57,6 +57,7 @@ class Count(BaseModel):
 class PerformanceEntry(BaseModel):
     pair: str
     profit: float
+    profit_abs: float
     count: int
 
 
diff --git a/tests/rpc/test_rpc_apiserver.py b/tests/rpc/test_rpc_apiserver.py
index fc0dee14b..1a66b2e81 100644
--- a/tests/rpc/test_rpc_apiserver.py
+++ b/tests/rpc/test_rpc_apiserver.py
@@ -710,7 +710,7 @@ def test_api_stats(botclient, mocker, ticker, fee, markets,):
     assert 'draws' in rc.json()['durations']
 
 
-def test_api_performance(botclient, mocker, ticker, fee):
+def test_api_performance(botclient, fee):
     ftbot, client = botclient
     patch_get_signal(ftbot, (True, False))
 
@@ -728,6 +728,7 @@ def test_api_performance(botclient, mocker, ticker, fee):
 
     )
     trade.close_profit = trade.calc_profit_ratio()
+    trade.close_profit_abs = trade.calc_profit()
     Trade.query.session.add(trade)
 
     trade = Trade(
@@ -743,14 +744,16 @@ def test_api_performance(botclient, mocker, ticker, fee):
         close_rate=0.391
     )
     trade.close_profit = trade.calc_profit_ratio()
+    trade.close_profit_abs = trade.calc_profit()
+
     Trade.query.session.add(trade)
     Trade.query.session.flush()
 
     rc = client_get(client, f"{BASE_URI}/performance")
     assert_response(rc)
     assert len(rc.json()) == 2
-    assert rc.json() == [{'count': 1, 'pair': 'LTC/ETH', 'profit': 7.61},
-                         {'count': 1, 'pair': 'XRP/ETH', 'profit': -5.57}]
+    assert rc.json() == [{'count': 1, 'pair': 'LTC/ETH', 'profit': 7.61, 'profit_abs': 0.01872279},
+                         {'count': 1, 'pair': 'XRP/ETH', 'profit': -5.57, 'profit_abs': -0.1150375}]
 
 
 def test_api_status(botclient, mocker, ticker, fee, markets):

From 2d7735ba048f1eb18a2301e9824432633721d32e Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 15 May 2021 19:49:21 +0200
Subject: [PATCH 148/241] Update telegram to sort performance by absolute
 performance

---
 docs/telegram-usage.md         | 10 +++++-----
 freqtrade/rpc/telegram.py      |  7 +++++--
 tests/rpc/test_rpc_telegram.py |  2 +-
 3 files changed, 11 insertions(+), 8 deletions(-)

diff --git a/docs/telegram-usage.md b/docs/telegram-usage.md
index 824cb17c7..07f5fe7dd 100644
--- a/docs/telegram-usage.md
+++ b/docs/telegram-usage.md
@@ -262,11 +262,11 @@ Note that for this to work, `forcebuy_enable` needs to be set to true.
 
 Return the performance of each crypto-currency the bot has sold.
 > Performance:
-> 1. `RCN/BTC 57.77%`  
-> 2. `PAY/BTC 56.91%`  
-> 3. `VIB/BTC 47.07%`  
-> 4. `SALT/BTC 30.24%`  
-> 5. `STORJ/BTC 27.24%`  
+> 1. `RCN/BTC 0.003 BTC (57.77%) (1)`
+> 2. `PAY/BTC 0.0012 BTC (56.91%) (1)`
+> 3. `VIB/BTC 0.0011 BTC (47.07%) (1)`
+> 4. `SALT/BTC 0.0010 BTC (30.24%) (1)`
+> 5. `STORJ/BTC 0.0009 BTC (27.24%) (1)`
 > ...  
 
 ### /balance
diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index 8aa96f7b1..2e288ee33 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -711,8 +711,11 @@ class Telegram(RPCHandler):
             trades = self._rpc._rpc_performance()
             output = "Performance:\n"
             for i, trade in enumerate(trades):
-                stat_line = (f"{i+1}.\t {trade['pair']}\t{trade['profit']:.2f}% "
-                             f"({trade['count']})\n")
+                stat_line = (
+                    f"{i+1}.\t {trade['pair']}\t"
+                    f"{round_coin_value(trade['profit_abs'], self._config['stake_currency'])} "
+                    f"({trade['profit']:.2f}%) "
+                    f"({trade['count']})\n")
 
                 if len(output + stat_line) >= MAX_TELEGRAM_MESSAGE_LENGTH:
                     self._send_msg(output, parse_mode=ParseMode.HTML)
diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py
index 37b5045f8..6008ede66 100644
--- a/tests/rpc/test_rpc_telegram.py
+++ b/tests/rpc/test_rpc_telegram.py
@@ -929,7 +929,7 @@ def test_performance_handle(default_conf, update, ticker, fee,
     telegram._performance(update=update, context=MagicMock())
     assert msg_mock.call_count == 1
     assert 'Performance' in msg_mock.call_args_list[0][0][0]
-    assert 'ETH/BTC\t6.20% (1)' in msg_mock.call_args_list[0][0][0]
+    assert 'ETH/BTC\t0.00006217 BTC (6.20%) (1)' in msg_mock.call_args_list[0][0][0]
 
 
 def test_count_handle(default_conf, update, ticker, fee, mocker) -> None:

From 0b1dd0d20382f9f287dba6e28f16515edb70b02b Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 09:08:13 +0200
Subject: [PATCH 149/241] Use correct order_id for ftx

closes #4511
---
 freqtrade/exchange/exchange.py |  3 +++
 freqtrade/exchange/ftx.py      |  6 ++++++
 freqtrade/freqtradebot.py      |  4 ++--
 tests/exchange/test_ftx.py     | 23 +++++++++++++++++++++++
 4 files changed, 34 insertions(+), 2 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 5696724b9..474eabcf3 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -1239,6 +1239,9 @@ class Exchange:
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
 
+    def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
+        return order['id']
+
     @retrier
     def get_fee(self, symbol: str, type: str = '', side: str = '', amount: float = 1,
                 price: float = 1, taker_or_maker: str = 'maker') -> float:
diff --git a/freqtrade/exchange/ftx.py b/freqtrade/exchange/ftx.py
index fdfd5a674..9009e9492 100644
--- a/freqtrade/exchange/ftx.py
+++ b/freqtrade/exchange/ftx.py
@@ -8,6 +8,7 @@ from freqtrade.exceptions import (DDosProtection, InsufficientFundsError, Invali
                                   OperationalException, TemporaryError)
 from freqtrade.exchange import Exchange
 from freqtrade.exchange.common import API_FETCH_ORDER_RETRY_COUNT, retrier
+from freqtrade.misc import safe_value_fallback2
 
 
 logger = logging.getLogger(__name__)
@@ -135,3 +136,8 @@ class Ftx(Exchange):
                 f'Could not cancel order due to {e.__class__.__name__}. Message: {e}') from e
         except ccxt.BaseError as e:
             raise OperationalException(e) from e
+
+    def get_order_id_conditional(self, order: Dict[str, Any]) -> str:
+        if order['type'] == 'stop':
+            return safe_value_fallback2(order['info'], order, 'orderId', 'id')
+        return order['id']
diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index b3379a462..f451741a2 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -1427,8 +1427,8 @@ class FreqtradeBot(LoggingMixin):
         """
         fee-detection fallback to Trades. Parses result of fetch_my_trades to get correct fee.
         """
-        trades = self.exchange.get_trades_for_order(order['id'], trade.pair,
-                                                    trade.open_date)
+        trades = self.exchange.get_trades_for_order(self.exchange.get_order_id_conditional(order),
+                                                    trade.pair, trade.open_date)
 
         if len(trades) == 0:
             logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
diff --git a/tests/exchange/test_ftx.py b/tests/exchange/test_ftx.py
index 494d86e56..63d99acdf 100644
--- a/tests/exchange/test_ftx.py
+++ b/tests/exchange/test_ftx.py
@@ -157,3 +157,26 @@ def test_fetch_stoploss_order(default_conf, mocker):
                            'fetch_stoploss_order', 'fetch_orders',
                            retries=API_FETCH_ORDER_RETRY_COUNT + 1,
                            order_id='_', pair='TKN/BTC')
+
+
+def test_get_order_id(mocker, default_conf):
+    exchange = get_patched_exchange(mocker, default_conf, id='ftx')
+    order = {
+        'type': STOPLOSS_ORDERTYPE,
+        'price': 1500,
+        'id': '1111',
+        'info': {
+            'orderId': '1234'
+        }
+    }
+    assert exchange.get_order_id_conditional(order) == '1234'
+
+    order = {
+        'type': 'limit',
+        'price': 1500,
+        'id': '1111',
+        'info': {
+            'orderId': '1234'
+        }
+    }
+    assert exchange.get_order_id_conditional(order) == '1111'

From 380754b8ab83187015a5d929e30c50150063fd53 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 13:16:17 +0200
Subject: [PATCH 150/241] Fix typos in docstrings

---
 freqtrade/freqtradebot.py | 14 +++++++-------
 1 file changed, 7 insertions(+), 7 deletions(-)

diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index f451741a2..4013072c9 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -630,7 +630,7 @@ class FreqtradeBot(LoggingMixin):
 
     def _notify_buy(self, trade: Trade, order_type: str) -> None:
         """
-        Sends rpc notification when a buy occured.
+        Sends rpc notification when a buy occurred.
         """
         msg = {
             'trade_id': trade.id,
@@ -652,7 +652,7 @@ class FreqtradeBot(LoggingMixin):
 
     def _notify_buy_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
         """
-        Sends rpc notification when a buy cancel occured.
+        Sends rpc notification when a buy cancel occurred.
         """
         current_rate = self.get_buy_rate(trade.pair, False)
 
@@ -713,7 +713,7 @@ class FreqtradeBot(LoggingMixin):
             except DependencyException as exception:
                 logger.warning('Unable to sell trade %s: %s', trade.pair, exception)
 
-        # Updating wallets if any trade occured
+        # Updating wallets if any trade occurred
         if trades_closed:
             self.wallets.update()
 
@@ -932,7 +932,7 @@ class FreqtradeBot(LoggingMixin):
         :return: None
         """
         if self.exchange.stoploss_adjust(trade.stop_loss, order):
-            # we check if the update is neccesary
+            # we check if the update is necessary
             update_beat = self.strategy.order_types.get('stoploss_on_exchange_interval', 60)
             if (datetime.utcnow() - trade.stoploss_last_update).total_seconds() >= update_beat:
                 # cancelling the current stoploss on exchange first
@@ -981,7 +981,7 @@ class FreqtradeBot(LoggingMixin):
 
     def check_handle_timedout(self) -> None:
         """
-        Check if any orders are timed out and cancel if neccessary
+        Check if any orders are timed out and cancel if necessary
         :param timeoutvalue: Number of minutes until order is considered timed out
         :return: None
         """
@@ -1230,7 +1230,7 @@ class FreqtradeBot(LoggingMixin):
 
     def _notify_sell(self, trade: Trade, order_type: str, fill: bool = False) -> None:
         """
-        Sends rpc notification when a sell occured.
+        Sends rpc notification when a sell occurred.
         """
         profit_rate = trade.close_rate if trade.close_rate else trade.close_rate_requested
         profit_trade = trade.calc_profit(rate=profit_rate)
@@ -1271,7 +1271,7 @@ class FreqtradeBot(LoggingMixin):
 
     def _notify_sell_cancel(self, trade: Trade, order_type: str, reason: str) -> None:
         """
-        Sends rpc notification when a sell cancel occured.
+        Sends rpc notification when a sell cancel occurred.
         """
         if trade.sell_order_status == reason:
             return

From 6f389764701c23ca00f350e3f696bf9e84212fbd Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 14:15:24 +0200
Subject: [PATCH 151/241] Introduce cancel_stoploss_with_result

---
 freqtrade/exchange/exchange.py | 21 +++++++++++++++++++++
 freqtrade/freqtradebot.py      |  7 +++++--
 tests/test_freqtradebot.py     |  3 ++-
 tests/test_integration.py      |  2 +-
 4 files changed, 29 insertions(+), 4 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index 474eabcf3..c0674cd05 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -1120,6 +1120,27 @@ class Exchange:
 
         return order
 
+    def cancel_stoploss_order_with_result(self, order_id: str, pair: str, amount: float) -> Dict:
+        """
+        Cancel stoploss order returning a result.
+        Creates a fake result if cancel order returns a non-usable result
+        and fetch_order does not work (certain exchanges don't return cancelled orders)
+        :param order_id: stoploss-order-id to cancel
+        :param pair: Pair corresponding to order_id
+        :param amount: Amount to use for fake response
+        :return: Result from either cancel_order if usable, or fetch_order
+        """
+        corder = self.cancel_stoploss_order(order_id, pair)
+        if self.is_cancel_order_result_suitable(corder):
+            return corder
+        try:
+            order = self.fetch_stoploss_order(order_id, pair)
+        except InvalidOrderException:
+            logger.warning(f"Could not fetch cancelled stoploss order {order_id}.")
+            order = {'fee': {}, 'status': 'canceled', 'amount': amount, 'info': {}}
+
+        return order
+
     @retrier(retries=API_FETCH_ORDER_RETRY_COUNT)
     def fetch_order(self, order_id: str, pair: str) -> Dict:
         if self._config['dry_run']:
diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index 4013072c9..9bfc343f6 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -939,7 +939,8 @@ class FreqtradeBot(LoggingMixin):
                 logger.info(f"Cancelling current stoploss on exchange for pair {trade.pair} "
                             f"(orderid:{order['id']}) in order to add another one ...")
                 try:
-                    co = self.exchange.cancel_stoploss_order(order['id'], trade.pair)
+                    co = self.exchange.cancel_stoploss_order_with_result(order['id'], trade.pair,
+                                                                         trade.amount)
                     trade.update_order(co)
                 except InvalidOrderException:
                     logger.exception(f"Could not cancel stoploss order {order['id']} "
@@ -1172,7 +1173,9 @@ class FreqtradeBot(LoggingMixin):
         # First cancelling stoploss on exchange ...
         if self.strategy.order_types.get('stoploss_on_exchange') and trade.stoploss_order_id:
             try:
-                self.exchange.cancel_stoploss_order(trade.stoploss_order_id, trade.pair)
+                co = self.exchange.cancel_stoploss_order_with_result(trade.stoploss_order_id,
+                                                                     trade.pair, trade.amount)
+                trade.update_order(co)
             except InvalidOrderException:
                 logger.exception(f"Could not cancel stoploss order {trade.stoploss_order_id}")
 
diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py
index 785e866ae..df0715111 100644
--- a/tests/test_freqtradebot.py
+++ b/tests/test_freqtradebot.py
@@ -1371,7 +1371,8 @@ def test_handle_stoploss_on_exchange_trailing_error(mocker, default_conf, fee, c
     }
     mocker.patch('freqtrade.exchange.Binance.cancel_stoploss_order',
                  side_effect=InvalidOrderException())
-    mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order', stoploss_order_hanging)
+    mocker.patch('freqtrade.exchange.Binance.fetch_stoploss_order',
+                 return_value=stoploss_order_hanging)
     freqtrade.handle_trailing_stoploss_on_exchange(trade, stoploss_order_hanging)
     assert log_has_re(r"Could not cancel stoploss order abcd for pair ETH/BTC.*", caplog)
 
diff --git a/tests/test_integration.py b/tests/test_integration.py
index 217910961..33b3e1140 100644
--- a/tests/test_integration.py
+++ b/tests/test_integration.py
@@ -63,7 +63,7 @@ def test_may_execute_sell_stoploss_on_exchange_multi(default_conf, ticker, fee,
         amount_to_precision=lambda s, x, y: y,
         price_to_precision=lambda s, x, y: y,
         fetch_stoploss_order=stoploss_order_mock,
-        cancel_stoploss_order=cancel_order_mock,
+        cancel_stoploss_order_with_result=cancel_order_mock,
     )
 
     mocker.patch.multiple(

From 8f8d5dbff5175a8c411d90fb39d255733afc49a4 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 14:31:53 +0200
Subject: [PATCH 152/241] Add tests for sl_order_with_result

---
 tests/exchange/test_exchange.py | 41 +++++++++++++++++++++++++++++++++
 1 file changed, 41 insertions(+)

diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index 573f41bda..54ffabd4f 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -2084,6 +2084,47 @@ def test_cancel_stoploss_order(default_conf, mocker, exchange_name):
                            order_id='_', pair='TKN/BTC')
 
 
+@pytest.mark.parametrize("exchange_name", EXCHANGES)
+def test_cancel_stoploss_order_with_result(default_conf, mocker, exchange_name):
+    default_conf['dry_run'] = False
+    mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order', return_value={'for': 123})
+    mocker.patch('freqtrade.exchange.Ftx.fetch_stoploss_order', return_value={'for': 123})
+    exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
+
+    mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order',
+                 return_value={'fee': {}, 'status': 'canceled', 'amount': 1234})
+    mocker.patch('freqtrade.exchange.Ftx.cancel_stoploss_order',
+                 return_value={'fee': {}, 'status': 'canceled', 'amount': 1234})
+    co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555)
+    assert co == {'fee': {}, 'status': 'canceled', 'amount': 1234}
+
+    mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order',
+                 return_value='canceled')
+    mocker.patch('freqtrade.exchange.Ftx.cancel_stoploss_order',
+                 return_value='canceled')
+    # Fall back to fetch_stoploss_order
+    co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555)
+    assert co == {'for': 123}
+
+    mocker.patch('freqtrade.exchange.Exchange.fetch_stoploss_order',
+                 side_effect=InvalidOrderException(""))
+    mocker.patch('freqtrade.exchange.Ftx.fetch_stoploss_order',
+                 side_effect=InvalidOrderException(""))
+
+    co = exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=555)
+    assert co['amount'] == 555
+    assert co == {'fee': {}, 'status': 'canceled', 'amount': 555, 'info': {}}
+
+    with pytest.raises(InvalidOrderException):
+        mocker.patch('freqtrade.exchange.Exchange.cancel_stoploss_order',
+                     side_effect=InvalidOrderException("Did not find order"))
+        mocker.patch('freqtrade.exchange.Ftx.cancel_stoploss_order',
+                     side_effect=InvalidOrderException("Did not find order"))
+        exchange = get_patched_exchange(mocker, default_conf, id=exchange_name)
+        exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=123)
+
+
+
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
 def test_fetch_order(default_conf, mocker, exchange_name):
     default_conf['dry_run'] = True

From c9ac67e985914bb3700c3401eeb95eb1f437cba0 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 14:50:25 +0200
Subject: [PATCH 153/241] Fix some typos

---
 freqtrade/exchange/exchange.py  | 4 ++--
 freqtrade/freqtradebot.py       | 8 ++++----
 tests/exchange/test_exchange.py | 1 -
 3 files changed, 6 insertions(+), 7 deletions(-)

diff --git a/freqtrade/exchange/exchange.py b/freqtrade/exchange/exchange.py
index c0674cd05..93d8f7584 100644
--- a/freqtrade/exchange/exchange.py
+++ b/freqtrade/exchange/exchange.py
@@ -466,7 +466,7 @@ class Exchange:
     def amount_to_precision(self, pair: str, amount: float) -> float:
         '''
         Returns the amount to buy or sell to a precision the Exchange accepts
-        Reimplementation of ccxt internal methods - ensuring we can test the result is correct
+        Re-implementation of ccxt internal methods - ensuring we can test the result is correct
         based on our definitions.
         '''
         if self.markets[pair]['precision']['amount']:
@@ -480,7 +480,7 @@ class Exchange:
     def price_to_precision(self, pair: str, price: float) -> float:
         '''
         Returns the price rounded up to the precision the Exchange accepts.
-        Partial Reimplementation of ccxt internal method decimal_to_precision(),
+        Partial Re-implementation of ccxt internal method decimal_to_precision(),
         which does not support rounding up
         TODO: If ccxt supports ROUND_UP for decimal_to_precision(), we could remove this and
         align with amount_to_precision().
diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index 9bfc343f6..0bef29dd4 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -267,7 +267,7 @@ class FreqtradeBot(LoggingMixin):
     def update_closed_trades_without_assigned_fees(self):
         """
         Update closed trades without close fees assigned.
-        Only acts when Orders are in the database, otherwise the last orderid is unknown.
+        Only acts when Orders are in the database, otherwise the last order-id is unknown.
         """
         if self.config['dry_run']:
             # Updating open orders in dry-run does not make sense and will fail.
@@ -1223,7 +1223,7 @@ class FreqtradeBot(LoggingMixin):
             self.update_trade_state(trade, trade.open_order_id, order)
         Trade.query.session.flush()
 
-        # Lock pair for one candle to prevent immediate rebuys
+        # Lock pair for one candle to prevent immediate re-buys
         self.strategy.lock_pair(trade.pair, datetime.now(timezone.utc),
                                 reason='Auto lock')
 
@@ -1327,7 +1327,7 @@ class FreqtradeBot(LoggingMixin):
         Handles closing both buy and sell orders.
         :param trade: Trade object of the trade we're analyzing
         :param order_id: Order-id of the order we're analyzing
-        :param action_order: Already aquired order object
+        :param action_order: Already acquired order object
         :return: True if order has been cancelled without being filled partially, False otherwise
         """
         if not order_id:
@@ -1397,7 +1397,7 @@ class FreqtradeBot(LoggingMixin):
     def get_real_amount(self, trade: Trade, order: Dict) -> float:
         """
         Detect and update trade fee.
-        Calls trade.update_fee() uppon correct detection.
+        Calls trade.update_fee() upon correct detection.
         Returns modified amount if the fee was taken from the destination currency.
         Necessary for exchanges which charge fees in base currency (e.g. binance)
         :return: identical (or new) amount for the trade
diff --git a/tests/exchange/test_exchange.py b/tests/exchange/test_exchange.py
index 54ffabd4f..b6b395802 100644
--- a/tests/exchange/test_exchange.py
+++ b/tests/exchange/test_exchange.py
@@ -2124,7 +2124,6 @@ def test_cancel_stoploss_order_with_result(default_conf, mocker, exchange_name):
         exchange.cancel_stoploss_order_with_result(order_id='_', pair='TKN/BTC', amount=123)
 
 
-
 @pytest.mark.parametrize("exchange_name", EXCHANGES)
 def test_fetch_order(default_conf, mocker, exchange_name):
     default_conf['dry_run'] = True

From 0d50e995634dac4e6e3d2a3fbbbcc776671a3618 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 19:35:30 +0200
Subject: [PATCH 154/241] Fix Agefilter checking for > instead of >=

---
 freqtrade/plugins/pairlist/AgeFilter.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/plugins/pairlist/AgeFilter.py b/freqtrade/plugins/pairlist/AgeFilter.py
index 837e99f2a..7c18460cb 100644
--- a/freqtrade/plugins/pairlist/AgeFilter.py
+++ b/freqtrade/plugins/pairlist/AgeFilter.py
@@ -86,7 +86,7 @@ class AgeFilter(IPairList):
             return True
 
         if daily_candles is not None:
-            if len(daily_candles) > self._min_days_listed:
+            if len(daily_candles) >= self._min_days_listed:
                 # We have fetched at least the minimum required number of daily candles
                 # Add to cache, store the time we last checked this symbol
                 self._symbolsChecked[pair] = int(arrow.utcnow().float_timestamp) * 1000

From 37b71b8cfd49500b794cd75fa56e5c9019a6c3c9 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 19:55:13 +0200
Subject: [PATCH 155/241] Fix PerformanceFilter failing in test-pairlist mode

---
 freqtrade/plugins/pairlist/PerformanceFilter.py |  7 ++++++-
 tests/plugins/test_pairlist.py                  | 15 ++++++++++++++-
 2 files changed, 20 insertions(+), 2 deletions(-)

diff --git a/freqtrade/plugins/pairlist/PerformanceFilter.py b/freqtrade/plugins/pairlist/PerformanceFilter.py
index 73a9436fa..bf474cb21 100644
--- a/freqtrade/plugins/pairlist/PerformanceFilter.py
+++ b/freqtrade/plugins/pairlist/PerformanceFilter.py
@@ -39,7 +39,12 @@ class PerformanceFilter(IPairList):
         :return: new allowlist
         """
         # Get the trading performance for pairs from database
-        performance = pd.DataFrame(Trade.get_overall_performance())
+        try:
+            performance = pd.DataFrame(Trade.get_overall_performance())
+        except AttributeError:
+            # Performancefilter does not work in backtesting.
+            self.log_once("PerformanceFilter is not available in this mode.", logger.warning)
+            return pairlist
 
         # Skip performance-based sorting if no performance data is available
         if len(performance) == 0:
diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py
index 8b060c287..8347687da 100644
--- a/tests/plugins/test_pairlist.py
+++ b/tests/plugins/test_pairlist.py
@@ -7,10 +7,11 @@ import pytest
 
 from freqtrade.constants import AVAILABLE_PAIRLISTS
 from freqtrade.exceptions import OperationalException
+from freqtrade.persistence import Trade
 from freqtrade.plugins.pairlist.pairlist_helpers import expand_pairlist
 from freqtrade.plugins.pairlistmanager import PairListManager
 from freqtrade.resolvers import PairListResolver
-from tests.conftest import get_patched_freqtradebot, log_has, log_has_re
+from tests.conftest import get_patched_exchange, get_patched_freqtradebot, log_has, log_has_re
 
 
 @pytest.fixture(scope="function")
@@ -512,6 +513,18 @@ def test_PrecisionFilter_error(mocker, whitelist_conf) -> None:
         PairListManager(MagicMock, whitelist_conf)
 
 
+def test_PerformanceFilter_error(mocker, whitelist_conf, caplog) -> None:
+    whitelist_conf['pairlists'] = [{"method": "StaticPairList"}, {"method": "PerformanceFilter"}]
+    if hasattr(Trade, 'query'):
+        del Trade.query
+    mocker.patch('freqtrade.exchange.Exchange.exchange_has', MagicMock(return_value=True))
+    exchange = get_patched_exchange(mocker, whitelist_conf)
+    pm = PairListManager(exchange, whitelist_conf)
+    pm.refresh_pairlist()
+
+    assert log_has("PerformanceFilter is not available in this mode.", caplog)
+
+
 def test_gen_pair_whitelist_not_supported(mocker, default_conf, tickers) -> None:
     default_conf['pairlists'] = [{'method': 'VolumePairList', 'number_assets': 10}]
 

From b0f854af9507db9a55c6922aab339c53bc4f5b97 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 05:21:02 +0000
Subject: [PATCH 156/241] Bump ccxt from 1.49.73 to 1.50.6

Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.49.73 to 1.50.6.
- [Release notes](https://github.com/ccxt/ccxt/releases)
- [Changelog](https://github.com/ccxt/ccxt/blob/master/doc/exchanges-by-country.rst)
- [Commits](https://github.com/ccxt/ccxt/compare/1.49.73...1.50.6)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 3c50fa586..54f308df5 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -1,7 +1,7 @@
 numpy==1.20.2
 pandas==1.2.4
 
-ccxt==1.49.73
+ccxt==1.50.6
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==3.4.7
 aiohttp==3.7.4.post0

From 78c77cca737bd3cb468aecfecae3db53afff19ef Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 05:21:11 +0000
Subject: [PATCH 157/241] Bump pytest-cov from 2.11.1 to 2.12.0

Bumps [pytest-cov](https://github.com/pytest-dev/pytest-cov) from 2.11.1 to 2.12.0.
- [Release notes](https://github.com/pytest-dev/pytest-cov/releases)
- [Changelog](https://github.com/pytest-dev/pytest-cov/blob/master/CHANGELOG.rst)
- [Commits](https://github.com/pytest-dev/pytest-cov/compare/v2.11.1...v2.12.0)

Signed-off-by: dependabot[bot] 
---
 requirements-dev.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements-dev.txt b/requirements-dev.txt
index be7ee6857..e85120b3c 100644
--- a/requirements-dev.txt
+++ b/requirements-dev.txt
@@ -10,7 +10,7 @@ flake8-tidy-imports==4.2.1
 mypy==0.812
 pytest==6.2.4
 pytest-asyncio==0.15.1
-pytest-cov==2.11.1
+pytest-cov==2.12.0
 pytest-mock==3.6.1
 pytest-random-order==1.0.4
 isort==5.8.0

From 439ef197bc65e055208780a7bd088ff8814447d8 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 05:21:18 +0000
Subject: [PATCH 158/241] Bump flake8-tidy-imports from 4.2.1 to 4.3.0

Bumps [flake8-tidy-imports](https://github.com/adamchainz/flake8-tidy-imports) from 4.2.1 to 4.3.0.
- [Release notes](https://github.com/adamchainz/flake8-tidy-imports/releases)
- [Changelog](https://github.com/adamchainz/flake8-tidy-imports/blob/main/HISTORY.rst)
- [Commits](https://github.com/adamchainz/flake8-tidy-imports/compare/4.2.1...4.3.0)

Signed-off-by: dependabot[bot] 
---
 requirements-dev.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements-dev.txt b/requirements-dev.txt
index be7ee6857..1fb8e6e7d 100644
--- a/requirements-dev.txt
+++ b/requirements-dev.txt
@@ -6,7 +6,7 @@
 coveralls==3.0.1
 flake8==3.9.2
 flake8-type-annotations==0.1.0
-flake8-tidy-imports==4.2.1
+flake8-tidy-imports==4.3.0
 mypy==0.812
 pytest==6.2.4
 pytest-asyncio==0.15.1

From 976a026d3b027a0bb5a0bc106a4a5db4f14702ac Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 05:21:31 +0000
Subject: [PATCH 159/241] Bump sqlalchemy from 1.4.14 to 1.4.15

Bumps [sqlalchemy](https://github.com/sqlalchemy/sqlalchemy) from 1.4.14 to 1.4.15.
- [Release notes](https://github.com/sqlalchemy/sqlalchemy/releases)
- [Changelog](https://github.com/sqlalchemy/sqlalchemy/blob/master/CHANGES)
- [Commits](https://github.com/sqlalchemy/sqlalchemy/commits)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 3c50fa586..f35138c30 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -5,7 +5,7 @@ ccxt==1.49.73
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==3.4.7
 aiohttp==3.7.4.post0
-SQLAlchemy==1.4.14
+SQLAlchemy==1.4.15
 python-telegram-bot==13.5
 arrow==1.1.0
 cachetools==4.2.2

From 8143e6385307087d2b1d2a5facb6e9d4c320cbc3 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 05:21:36 +0000
Subject: [PATCH 160/241] Bump aiofiles from 0.6.0 to 0.7.0

Bumps [aiofiles](https://github.com/Tinche/aiofiles) from 0.6.0 to 0.7.0.
- [Release notes](https://github.com/Tinche/aiofiles/releases)
- [Commits](https://github.com/Tinche/aiofiles/compare/v0.6.0...v0.7.0)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 3c50fa586..2987db0b0 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -34,7 +34,7 @@ sdnotify==0.3.2
 fastapi==0.64.0
 uvicorn==0.13.4
 pyjwt==2.1.0
-aiofiles==0.6.0
+aiofiles==0.7.0
 
 # Support for colorized terminal output
 colorama==0.4.4

From c0b61282fbe4fb03217d7243af1487250324b045 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 05:21:52 +0000
Subject: [PATCH 161/241] Bump jinja2 from 2.11.3 to 3.0.0

Bumps [jinja2](https://github.com/pallets/jinja) from 2.11.3 to 3.0.0.
- [Release notes](https://github.com/pallets/jinja/releases)
- [Changelog](https://github.com/pallets/jinja/blob/main/CHANGES.rst)
- [Commits](https://github.com/pallets/jinja/compare/2.11.3...3.0.0)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 3c50fa586..a3f818228 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -17,7 +17,7 @@ TA-Lib==0.4.19
 technical==1.3.0
 tabulate==0.8.9
 pycoingecko==2.0.0
-jinja2==2.11.3
+jinja2==3.0.0
 tables==3.6.1
 blosc==1.10.2
 

From 40ae21f3a8871bda3978d4a40934bff52e082f98 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 07:59:36 +0000
Subject: [PATCH 162/241] Bump numpy from 1.20.2 to 1.20.3

Bumps [numpy](https://github.com/numpy/numpy) from 1.20.2 to 1.20.3.
- [Release notes](https://github.com/numpy/numpy/releases)
- [Changelog](https://github.com/numpy/numpy/blob/main/doc/HOWTO_RELEASE.rst.txt)
- [Commits](https://github.com/numpy/numpy/compare/v1.20.2...v1.20.3)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index a9dce82c3..bd8c5e65d 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -1,4 +1,4 @@
-numpy==1.20.2
+numpy==1.20.3
 pandas==1.2.4
 
 ccxt==1.50.6

From 10ef0f54ac7847e34fc4f096a50b63144bafb42e Mon Sep 17 00:00:00 2001
From: Eugene Schava 
Date: Mon, 17 May 2021 11:12:11 +0300
Subject: [PATCH 163/241] Total row for telegram "/status table" command

---
 freqtrade/rpc/telegram.py | 19 +++++++++++++++++--
 1 file changed, 17 insertions(+), 2 deletions(-)

diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index 2e288ee33..157a2b9a5 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -5,6 +5,7 @@ This module manage Telegram communication
 """
 import json
 import logging
+import re
 from datetime import timedelta
 from html import escape
 from itertools import chain
@@ -354,19 +355,33 @@ class Telegram(RPCHandler):
         :return: None
         """
         try:
+            fiat_currency = self._config.get('fiat_display_currency', '')
             statlist, head = self._rpc._rpc_status_table(
-                self._config['stake_currency'], self._config.get('fiat_display_currency', ''))
+                self._config['stake_currency'], fiat_currency)
 
+            show_total = fiat_currency != ''
+            total_sum = 0
+            if show_total:
+                total_sum = sum(map(lambda m: float(m[1]) if m else 0, map(lambda trade: re.compile(".*\((-?\d*\.\d*)\)").match(trade[-1]), statlist)))
             max_trades_per_msg = 50
             """
             Calculate the number of messages of 50 trades per message
             0.99 is used to make sure that there are no extra (empty) messages
             As an example with 50 trades, there will be int(50/50 + 0.99) = 1 message
             """
-            for i in range(0, max(int(len(statlist) / max_trades_per_msg + 0.99), 1)):
+            messages_count = max(int(len(statlist) / max_trades_per_msg + 0.99), 1)
+            for i in range(0, messages_count):
+                if show_total and i == messages_count - 1:
+                    # append total line
+                    trades.append(["Total", "", "", f"{total_sum:.2f} {fiat_currency}"])
+
                 message = tabulate(statlist[i * max_trades_per_msg:(i + 1) * max_trades_per_msg],
                                    headers=head,
                                    tablefmt='simple')
+                if show_total and i == messages_count - 1:
+                    # insert separators line between Total
+                    lines = message.split("\n")
+                    message = "\n".join(lines[:-1] + [lines[1]] + [lines[-1]])
                 self._send_msg(f"
{message}
", parse_mode=ParseMode.HTML)
         except RPCException as e:
             self._send_msg(str(e))

From 860a4d239065132760947d0da7e507e462292943 Mon Sep 17 00:00:00 2001
From: Robert Caulk 
Date: Mon, 17 May 2021 11:40:57 +0200
Subject: [PATCH 164/241] update doc to reflect better empty dataframe check

---
 docs/strategy-advanced.md | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index 417218bc3..f5f706cd6 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -65,9 +65,10 @@ class AwesomeStrategy(IStrategy):
         trade_date = timeframe_to_prev_date(self.timeframe, trade.open_date_utc)
         # Look up trade candle.
         trade_candle = dataframe.loc[dataframe['date'] == trade_date]
-        # trade_candle may be None for trades that just opened as it is still incomplete.
-        if trade_candle is not None:
+        # trade_candle may be empty for trades that just opened as it is still incomplete.
+        if trade_candle.empty:
             # <...>
+        trade_candle = trade_candle.squeeze()    
 ```
 
 !!! Warning "Using .iloc[-1]"

From 0abb9cfe2854ba02d02a048e74ee09667f5846a2 Mon Sep 17 00:00:00 2001
From: Eugene Schava 
Date: Mon, 17 May 2021 12:41:44 +0300
Subject: [PATCH 165/241] Total row for telegram "/status table" command

---
 freqtrade/rpc/telegram.py | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index 157a2b9a5..d4a79e860 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -371,11 +371,12 @@ class Telegram(RPCHandler):
             """
             messages_count = max(int(len(statlist) / max_trades_per_msg + 0.99), 1)
             for i in range(0, messages_count):
+                trades = statlist[i * max_trades_per_msg:(i + 1) * max_trades_per_msg]
                 if show_total and i == messages_count - 1:
                     # append total line
                     trades.append(["Total", "", "", f"{total_sum:.2f} {fiat_currency}"])
 
-                message = tabulate(statlist[i * max_trades_per_msg:(i + 1) * max_trades_per_msg],
+                message = tabulate(trades,
                                    headers=head,
                                    tablefmt='simple')
                 if show_total and i == messages_count - 1:

From d7479fda1fbc12bd1e48c40e1f4d0a4e0d79f22f Mon Sep 17 00:00:00 2001
From: Eugene Schava 
Date: Mon, 17 May 2021 12:53:57 +0300
Subject: [PATCH 166/241] Total row for telegram "/status table" command fix
 compiler warnings

---
 freqtrade/rpc/telegram.py | 6 +++++-
 1 file changed, 5 insertions(+), 1 deletion(-)

diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index d4a79e860..11b84de19 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -362,7 +362,11 @@ class Telegram(RPCHandler):
             show_total = fiat_currency != ''
             total_sum = 0
             if show_total:
-                total_sum = sum(map(lambda m: float(m[1]) if m else 0, map(lambda trade: re.compile(".*\((-?\d*\.\d*)\)").match(trade[-1]), statlist)))
+                total_sum = sum(
+                    map(lambda m: float(m[1]) if m else 0,
+                        map(lambda trade: re.compile(".*\\((-?\\d*\\.\\d*)\\)").match(trade[-1]),
+                            statlist))
+                )
             max_trades_per_msg = 50
             """
             Calculate the number of messages of 50 trades per message

From 915ff7e1bf1887795b4a561d737c9b2f56b2eba8 Mon Sep 17 00:00:00 2001
From: Eugene Schava 
Date: Mon, 17 May 2021 13:03:20 +0300
Subject: [PATCH 167/241] Total row for telegram "/status table" command fix
 mypy warnings

---
 freqtrade/rpc/telegram.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index 11b84de19..6a12488d1 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -363,7 +363,7 @@ class Telegram(RPCHandler):
             total_sum = 0
             if show_total:
                 total_sum = sum(
-                    map(lambda m: float(m[1]) if m else 0,
+                    map(lambda m: float(m[1]) if m else 0.0,
                         map(lambda trade: re.compile(".*\\((-?\\d*\\.\\d*)\\)").match(trade[-1]),
                             statlist))
                 )

From 196fde44e070274dca17b2c219c790100d8ec691 Mon Sep 17 00:00:00 2001
From: Eugene Schava 
Date: Mon, 17 May 2021 14:45:54 +0300
Subject: [PATCH 168/241] Total row for telegram "/status table" command work
 around mypy warning

---
 freqtrade/rpc/telegram.py | 13 +++++++------
 1 file changed, 7 insertions(+), 6 deletions(-)

diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index 6a12488d1..1e0fad8fd 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -360,13 +360,14 @@ class Telegram(RPCHandler):
                 self._config['stake_currency'], fiat_currency)
 
             show_total = fiat_currency != ''
-            total_sum = 0
+            total_sum = 0.0
             if show_total:
-                total_sum = sum(
-                    map(lambda m: float(m[1]) if m else 0.0,
-                        map(lambda trade: re.compile(".*\\((-?\\d*\\.\\d*)\\)").match(trade[-1]),
-                            statlist))
-                )
+                r = re.compile(".*\\((-?\\d*\\.\\d*)\\)")
+                for trade in statlist:
+                    m = r.match(trade[-1])
+                    if m is not None:
+                        total_sum += float(m[1])
+
             max_trades_per_msg = 50
             """
             Calculate the number of messages of 50 trades per message

From cb50298bfec480ca9df5fa437033deeeac357c7f Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 17 May 2021 12:05:13 +0000
Subject: [PATCH 169/241] Bump fastapi from 0.64.0 to 0.65.1

Bumps [fastapi](https://github.com/tiangolo/fastapi) from 0.64.0 to 0.65.1.
- [Release notes](https://github.com/tiangolo/fastapi/releases)
- [Commits](https://github.com/tiangolo/fastapi/compare/0.64.0...0.65.1)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index 762d2f491..f55cc0bdc 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -31,7 +31,7 @@ python-rapidjson==1.0
 sdnotify==0.3.2
 
 # API Server
-fastapi==0.64.0
+fastapi==0.65.1
 uvicorn==0.13.4
 pyjwt==2.1.0
 aiofiles==0.7.0

From 3ad8fa2f38cdd28322b2839e53674a17b66a610e Mon Sep 17 00:00:00 2001
From: Eugene Schava 
Date: Mon, 17 May 2021 15:59:03 +0300
Subject: [PATCH 170/241] Total row for telegram "/status table" command moved
 sum calculation to API

---
 freqtrade/rpc/rpc.py      |  6 ++++--
 freqtrade/rpc/telegram.py | 16 ++++------------
 tests/rpc/test_rpc.py     |  9 ++++++---
 3 files changed, 14 insertions(+), 17 deletions(-)

diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py
index 2c54d743e..9b0ef2ad0 100644
--- a/freqtrade/rpc/rpc.py
+++ b/freqtrade/rpc/rpc.py
@@ -220,12 +220,13 @@ class RPC:
             return results
 
     def _rpc_status_table(self, stake_currency: str,
-                          fiat_display_currency: str) -> Tuple[List, List]:
+                          fiat_display_currency: str) -> Tuple[List, List, float]:
         trades = Trade.get_open_trades()
         if not trades:
             raise RPCException('no active trade')
         else:
             trades_list = []
+            fiat_profit_sum = NAN
             for trade in trades:
                 # calculate profit and send message to user
                 try:
@@ -243,6 +244,7 @@ class RPC:
                     )
                     if fiat_profit and not isnan(fiat_profit):
                         profit_str += f" ({fiat_profit:.2f})"
+                        fiat_profit_sum = fiat_profit if isnan(fiat_profit_sum) else fiat_profit_sum + fiat_profit
                 trades_list.append([
                     trade.id,
                     trade.pair + ('*' if (trade.open_order_id is not None
@@ -256,7 +258,7 @@ class RPC:
                 profitcol += " (" + fiat_display_currency + ")"
 
             columns = ['ID', 'Pair', 'Since', profitcol]
-            return trades_list, columns
+            return trades_list, columns, fiat_profit_sum
 
     def _rpc_daily_profit(
             self, timescale: int,
diff --git a/freqtrade/rpc/telegram.py b/freqtrade/rpc/telegram.py
index 1e0fad8fd..bdb1590a5 100644
--- a/freqtrade/rpc/telegram.py
+++ b/freqtrade/rpc/telegram.py
@@ -5,10 +5,10 @@ This module manage Telegram communication
 """
 import json
 import logging
-import re
 from datetime import timedelta
 from html import escape
 from itertools import chain
+from math import isnan
 from typing import Any, Callable, Dict, List, Union
 
 import arrow
@@ -356,18 +356,10 @@ class Telegram(RPCHandler):
         """
         try:
             fiat_currency = self._config.get('fiat_display_currency', '')
-            statlist, head = self._rpc._rpc_status_table(
+            statlist, head, fiat_profit_sum = self._rpc._rpc_status_table(
                 self._config['stake_currency'], fiat_currency)
 
-            show_total = fiat_currency != ''
-            total_sum = 0.0
-            if show_total:
-                r = re.compile(".*\\((-?\\d*\\.\\d*)\\)")
-                for trade in statlist:
-                    m = r.match(trade[-1])
-                    if m is not None:
-                        total_sum += float(m[1])
-
+            show_total = not isnan(fiat_profit_sum) and len(statlist) > 1
             max_trades_per_msg = 50
             """
             Calculate the number of messages of 50 trades per message
@@ -379,7 +371,7 @@ class Telegram(RPCHandler):
                 trades = statlist[i * max_trades_per_msg:(i + 1) * max_trades_per_msg]
                 if show_total and i == messages_count - 1:
                     # append total line
-                    trades.append(["Total", "", "", f"{total_sum:.2f} {fiat_currency}"])
+                    trades.append(["Total", "", "", f"{fiat_profit_sum:.2f} {fiat_currency}"])
 
                 message = tabulate(trades,
                                    headers=head,
diff --git a/tests/rpc/test_rpc.py b/tests/rpc/test_rpc.py
index 6d31e7635..0ae214615 100644
--- a/tests/rpc/test_rpc.py
+++ b/tests/rpc/test_rpc.py
@@ -199,28 +199,31 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None:
 
     freqtradebot.enter_positions()
 
-    result, headers = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
+    result, headers, fiat_profit_sum = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
     assert "Since" in headers
     assert "Pair" in headers
     assert 'instantly' == result[0][2]
     assert 'ETH/BTC' in result[0][1]
     assert '-0.41%' == result[0][3]
+    assert isnan(fiat_profit_sum)
     # Test with fiatconvert
 
     rpc._fiat_converter = CryptoToFiatConverter()
-    result, headers = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
+    result, headers, fiat_profit_sum = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
     assert "Since" in headers
     assert "Pair" in headers
     assert 'instantly' == result[0][2]
     assert 'ETH/BTC' in result[0][1]
     assert '-0.41% (-0.06)' == result[0][3]
+    assert -0.06 == fiat_profit_sum
 
     mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
                  MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))
-    result, headers = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
+    result, headers, fiat_profit_sum = rpc._rpc_status_table(default_conf['stake_currency'], 'USD')
     assert 'instantly' == result[0][2]
     assert 'ETH/BTC' in result[0][1]
     assert 'nan%' == result[0][3]
+    assert isnan(fiat_profit_sum)
 
 
 def test_rpc_daily_profit(default_conf, update, ticker, fee,

From 459fae6d80608f45b5f34dcfb61a0de388035d5f Mon Sep 17 00:00:00 2001
From: Eugene Schava 
Date: Mon, 17 May 2021 16:22:48 +0300
Subject: [PATCH 171/241] Total row for telegram "/status table" command fixes

---
 freqtrade/rpc/rpc.py  | 3 ++-
 tests/rpc/test_rpc.py | 2 +-
 2 files changed, 3 insertions(+), 2 deletions(-)

diff --git a/freqtrade/rpc/rpc.py b/freqtrade/rpc/rpc.py
index 9b0ef2ad0..3f26619a9 100644
--- a/freqtrade/rpc/rpc.py
+++ b/freqtrade/rpc/rpc.py
@@ -244,7 +244,8 @@ class RPC:
                     )
                     if fiat_profit and not isnan(fiat_profit):
                         profit_str += f" ({fiat_profit:.2f})"
-                        fiat_profit_sum = fiat_profit if isnan(fiat_profit_sum) else fiat_profit_sum + fiat_profit
+                        fiat_profit_sum = fiat_profit if isnan(fiat_profit_sum) \
+                            else fiat_profit_sum + fiat_profit
                 trades_list.append([
                     trade.id,
                     trade.pair + ('*' if (trade.open_order_id is not None
diff --git a/tests/rpc/test_rpc.py b/tests/rpc/test_rpc.py
index 0ae214615..b005fb105 100644
--- a/tests/rpc/test_rpc.py
+++ b/tests/rpc/test_rpc.py
@@ -215,7 +215,7 @@ def test_rpc_status_table(default_conf, ticker, fee, mocker) -> None:
     assert 'instantly' == result[0][2]
     assert 'ETH/BTC' in result[0][1]
     assert '-0.41% (-0.06)' == result[0][3]
-    assert -0.06 == fiat_profit_sum
+    assert '-0.06' == f'{fiat_profit_sum:.2f}'
 
     mocker.patch('freqtrade.freqtradebot.FreqtradeBot.get_sell_rate',
                  MagicMock(side_effect=ExchangeError("Pair 'ETH/BTC' not available")))

From 30063963982ec6ea5e56ad0fbb3783f43d4f1713 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 16 May 2021 20:34:02 +0200
Subject: [PATCH 172/241] Fix docstring typo

---
 freqtrade/plugins/pairlist/AgeFilter.py            | 2 +-
 freqtrade/plugins/pairlist/IPairList.py            | 2 +-
 freqtrade/plugins/pairlist/PrecisionFilter.py      | 2 +-
 freqtrade/plugins/pairlist/PriceFilter.py          | 2 +-
 freqtrade/plugins/pairlist/SpreadFilter.py         | 2 +-
 freqtrade/plugins/pairlist/VolatilityFilter.py     | 2 +-
 freqtrade/plugins/pairlist/rangestabilityfilter.py | 2 +-
 7 files changed, 7 insertions(+), 7 deletions(-)

diff --git a/freqtrade/plugins/pairlist/AgeFilter.py b/freqtrade/plugins/pairlist/AgeFilter.py
index 7c18460cb..8f623b062 100644
--- a/freqtrade/plugins/pairlist/AgeFilter.py
+++ b/freqtrade/plugins/pairlist/AgeFilter.py
@@ -78,7 +78,7 @@ class AgeFilter(IPairList):
         """
         Validate age for the ticker
         :param pair: Pair that's currently validated
-        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
         :return: True if the pair can stay, false if it should be removed
         """
         # Check symbol in cache
diff --git a/freqtrade/plugins/pairlist/IPairList.py b/freqtrade/plugins/pairlist/IPairList.py
index 3e6252fc4..01eec7e90 100644
--- a/freqtrade/plugins/pairlist/IPairList.py
+++ b/freqtrade/plugins/pairlist/IPairList.py
@@ -68,7 +68,7 @@ class IPairList(LoggingMixin, ABC):
         filter_pairlist() method.
 
         :param pair: Pair that's currently validated
-        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
         :return: True if the pair can stay, false if it should be removed
         """
         raise NotImplementedError()
diff --git a/freqtrade/plugins/pairlist/PrecisionFilter.py b/freqtrade/plugins/pairlist/PrecisionFilter.py
index 519337f29..a3c262e8c 100644
--- a/freqtrade/plugins/pairlist/PrecisionFilter.py
+++ b/freqtrade/plugins/pairlist/PrecisionFilter.py
@@ -48,7 +48,7 @@ class PrecisionFilter(IPairList):
         Check if pair has enough room to add a stoploss to avoid "unsellable" buys of very
         low value pairs.
         :param pair: Pair that's currently validated
-        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
         :return: True if the pair can stay, false if it should be removed
         """
         stop_price = ticker['ask'] * self._stoploss
diff --git a/freqtrade/plugins/pairlist/PriceFilter.py b/freqtrade/plugins/pairlist/PriceFilter.py
index a0579b196..7f2fa4444 100644
--- a/freqtrade/plugins/pairlist/PriceFilter.py
+++ b/freqtrade/plugins/pairlist/PriceFilter.py
@@ -61,7 +61,7 @@ class PriceFilter(IPairList):
         """
         Check if if one price-step (pip) is > than a certain barrier.
         :param pair: Pair that's currently validated
-        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
         :return: True if the pair can stay, false if it should be removed
         """
         if ticker.get('last', None) is None or ticker.get('last') == 0:
diff --git a/freqtrade/plugins/pairlist/SpreadFilter.py b/freqtrade/plugins/pairlist/SpreadFilter.py
index 9fa211750..1b152774b 100644
--- a/freqtrade/plugins/pairlist/SpreadFilter.py
+++ b/freqtrade/plugins/pairlist/SpreadFilter.py
@@ -40,7 +40,7 @@ class SpreadFilter(IPairList):
         """
         Validate spread for the ticker
         :param pair: Pair that's currently validated
-        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
         :return: True if the pair can stay, false if it should be removed
         """
         if 'bid' in ticker and 'ask' in ticker and ticker['ask']:
diff --git a/freqtrade/plugins/pairlist/VolatilityFilter.py b/freqtrade/plugins/pairlist/VolatilityFilter.py
index 400b1577d..bc617a1db 100644
--- a/freqtrade/plugins/pairlist/VolatilityFilter.py
+++ b/freqtrade/plugins/pairlist/VolatilityFilter.py
@@ -90,7 +90,7 @@ class VolatilityFilter(IPairList):
         """
         Validate trading range
         :param pair: Pair that's currently validated
-        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
         :return: True if the pair can stay, false if it should be removed
         """
         # Check symbol in cache
diff --git a/freqtrade/plugins/pairlist/rangestabilityfilter.py b/freqtrade/plugins/pairlist/rangestabilityfilter.py
index 6565e92c1..8be61166b 100644
--- a/freqtrade/plugins/pairlist/rangestabilityfilter.py
+++ b/freqtrade/plugins/pairlist/rangestabilityfilter.py
@@ -83,7 +83,7 @@ class RangeStabilityFilter(IPairList):
         """
         Validate trading range
         :param pair: Pair that's currently validated
-        :param ticker: ticker dict as returned from ccxt.load_markets()
+        :param ticker: ticker dict as returned from ccxt.fetch_tickers()
         :return: True if the pair can stay, false if it should be removed
         """
         # Check symbol in cache

From 369f19df6be9fa0141953a2ababa39e6c7447862 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 17 May 2021 06:47:49 +0200
Subject: [PATCH 173/241] Add valuefilter to Pricefilters

---
 docs/includes/pairlists.md                |  6 ++++
 freqtrade/plugins/pairlist/IPairList.py   |  6 ++--
 freqtrade/plugins/pairlist/PriceFilter.py | 36 +++++++++++++++++++++--
 tests/plugins/test_pairlist.py            |  8 +++++
 4 files changed, 51 insertions(+), 5 deletions(-)

diff --git a/docs/includes/pairlists.md b/docs/includes/pairlists.md
index 20883c825..ce0cc6e57 100644
--- a/docs/includes/pairlists.md
+++ b/docs/includes/pairlists.md
@@ -112,6 +112,7 @@ The `PriceFilter` allows filtering of pairs by price. Currently the following pr
 
 * `min_price`
 * `max_price`
+* `max_value`
 * `low_price_ratio`
 
 The `min_price` setting removes pairs where the price is below the specified price. This is useful if you wish to avoid trading very low-priced pairs.
@@ -120,6 +121,11 @@ This option is disabled by default, and will only apply if set to > 0.
 The `max_price` setting removes pairs where the price is above the specified price. This is useful if you wish to trade only low-priced pairs.
 This option is disabled by default, and will only apply if set to > 0.
 
+The `max_value` setting removes pairs where the minimum value change is above a specified value.
+This is useful when an exchange has unbalanced limits. For example, if step-size = 1 (so you can only buy 1, or 2, or 3, but not 1.1 Coins) - and the price is pretty high (like 20$) as the coin has risen sharply since the last limit adaption.
+As a result of the above, you can only buy for 20$, or 40$ - but not for 25$.
+On exchanges that deduct fees from the receiving currency (e.g. FTX) - this can result in high value coins / amounts that are unsellable as the amount is slightly below the limit.
+
 The `low_price_ratio` setting removes pairs where a raise of 1 price unit (pip) is above the `low_price_ratio` ratio.
 This option is disabled by default, and will only apply if set to > 0.
 
diff --git a/freqtrade/plugins/pairlist/IPairList.py b/freqtrade/plugins/pairlist/IPairList.py
index 01eec7e90..74348b1a7 100644
--- a/freqtrade/plugins/pairlist/IPairList.py
+++ b/freqtrade/plugins/pairlist/IPairList.py
@@ -7,7 +7,7 @@ from copy import deepcopy
 from typing import Any, Dict, List
 
 from freqtrade.exceptions import OperationalException
-from freqtrade.exchange import market_is_active
+from freqtrade.exchange import Exchange, market_is_active
 from freqtrade.mixins import LoggingMixin
 
 
@@ -16,7 +16,7 @@ logger = logging.getLogger(__name__)
 
 class IPairList(LoggingMixin, ABC):
 
-    def __init__(self, exchange, pairlistmanager,
+    def __init__(self, exchange: Exchange, pairlistmanager,
                  config: Dict[str, Any], pairlistconfig: Dict[str, Any],
                  pairlist_pos: int) -> None:
         """
@@ -28,7 +28,7 @@ class IPairList(LoggingMixin, ABC):
         """
         self._enabled = True
 
-        self._exchange = exchange
+        self._exchange: Exchange = exchange
         self._pairlistmanager = pairlistmanager
         self._config = config
         self._pairlistconfig = pairlistconfig
diff --git a/freqtrade/plugins/pairlist/PriceFilter.py b/freqtrade/plugins/pairlist/PriceFilter.py
index 7f2fa4444..f25ab8fd0 100644
--- a/freqtrade/plugins/pairlist/PriceFilter.py
+++ b/freqtrade/plugins/pairlist/PriceFilter.py
@@ -27,9 +27,13 @@ class PriceFilter(IPairList):
         self._max_price = pairlistconfig.get('max_price', 0)
         if self._max_price < 0:
             raise OperationalException("PriceFilter requires max_price to be >= 0")
+        self._max_value = pairlistconfig.get('max_value', 0)
+        if self._max_value < 0:
+            raise OperationalException("PriceFilter requires max_value to be >= 0")
         self._enabled = ((self._low_price_ratio > 0) or
                          (self._min_price > 0) or
-                         (self._max_price > 0))
+                         (self._max_price > 0) or
+                         (self._max_value))
 
     @property
     def needstickers(self) -> bool:
@@ -51,6 +55,8 @@ class PriceFilter(IPairList):
             active_price_filters.append(f"below {self._min_price:.8f}")
         if self._max_price != 0:
             active_price_filters.append(f"above {self._max_price:.8f}")
+        if self._max_value != 0:
+            active_price_filters.append(f"Value above {self._max_value:.8f}")
 
         if len(active_price_filters):
             return f"{self.name} - Filtering pairs priced {' or '.join(active_price_filters)}."
@@ -79,6 +85,32 @@ class PriceFilter(IPairList):
                               f"because 1 unit is {changeperc * 100:.3f}%", logger.info)
                 return False
 
+        # Perform low_amount check
+        if self._max_value != 0:
+            price = ticker['last']
+            market = self._exchange.markets[pair]
+            limits = market['limits']
+            if ('amount' in limits and 'min' in limits['amount']
+                    and limits['amount']['min'] is not None):
+                min_amount = limits['amount']['min']
+                min_precision = market['precision']['amount']
+
+                min_value = min_amount * price
+                if self._exchange.precisionMode == 4:
+                    # tick size
+                    next_value = (min_amount + min_precision) * price
+                else:
+                    # Decimal places
+                    min_precision = pow(0.1, min_precision)
+                    next_value = (min_amount + min_precision) * price
+                diff = next_value - min_value
+
+                if diff > self._max_value:
+                    self.log_once(f"Removed {pair} from whitelist, "
+                                  f"because min value change of {diff} > {self._max_value}) ",
+                                  logger.info)
+                    return False
+
         # Perform min_price check.
         if self._min_price != 0:
             if ticker['last'] < self._min_price:
@@ -89,7 +121,7 @@ class PriceFilter(IPairList):
         # Perform max_price check.
         if self._max_price != 0:
             if ticker['last'] > self._max_price:
-                self.log_once(f"Removed {ticker['symbol']} from whitelist, "
+                self.log_once(f"Removed {pair} from whitelist, "
                               f"because last price > {self._max_price:.8f}", logger.info)
                 return False
 
diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py
index 8347687da..552f47679 100644
--- a/tests/plugins/test_pairlist.py
+++ b/tests/plugins/test_pairlist.py
@@ -800,6 +800,10 @@ def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplo
      "[{'PriceFilter': 'PriceFilter - Filtering pairs priced below 0.00002000.'}]",
      None
      ),
+    ({"method": "PriceFilter", "max_value": 0.00002000},
+     "[{'PriceFilter': 'PriceFilter - Filtering pairs priced Value above 0.00002000.'}]",
+     None
+     ),
     ({"method": "PriceFilter"},
      "[{'PriceFilter': 'PriceFilter - No price filters configured.'}]",
      None
@@ -816,6 +820,10 @@ def test_spreadfilter_invalid_data(mocker, default_conf, markets, tickers, caplo
      None,
      "PriceFilter requires max_price to be >= 0"
      ),  # OperationalException expected
+    ({"method": "PriceFilter", "max_value": -1.00010000},
+     None,
+     "PriceFilter requires max_value to be >= 0"
+     ),  # OperationalException expected
     ({"method": "RangeStabilityFilter", "lookback_days": 10, "min_rate_of_change": 0.01},
      "[{'RangeStabilityFilter': 'RangeStabilityFilter - Filtering pairs with rate of change below "
      "0.01 over the last days.'}]",

From 6659a070796d3619e80951269ee3c99e5ebb39a4 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 17 May 2021 06:47:58 +0200
Subject: [PATCH 174/241] Add tests for max-value filter

---
 freqtrade/plugins/pairlist/PriceFilter.py | 2 +-
 tests/plugins/test_pairlist.py            | 5 +++++
 2 files changed, 6 insertions(+), 1 deletion(-)

diff --git a/freqtrade/plugins/pairlist/PriceFilter.py b/freqtrade/plugins/pairlist/PriceFilter.py
index f25ab8fd0..ece9f54a8 100644
--- a/freqtrade/plugins/pairlist/PriceFilter.py
+++ b/freqtrade/plugins/pairlist/PriceFilter.py
@@ -33,7 +33,7 @@ class PriceFilter(IPairList):
         self._enabled = ((self._low_price_ratio > 0) or
                          (self._min_price > 0) or
                          (self._max_price > 0) or
-                         (self._max_value))
+                         (self._max_value > 0))
 
     @property
     def needstickers(self) -> bool:
diff --git a/tests/plugins/test_pairlist.py b/tests/plugins/test_pairlist.py
index 552f47679..5e2274ce3 100644
--- a/tests/plugins/test_pairlist.py
+++ b/tests/plugins/test_pairlist.py
@@ -407,6 +407,9 @@ def test_VolumePairList_refresh_empty(mocker, markets_empty, whitelist_conf):
     ([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
       {"method": "PriceFilter", "low_price_ratio": 0.02}],
         "USDT", ['ETH/USDT', 'NANO/USDT']),
+    ([{"method": "VolumePairList", "number_assets": 20, "sort_key": "quoteVolume"},
+      {"method": "PriceFilter", "max_value": 0.000001}],
+        "USDT", ['NANO/USDT']),
     ([{"method": "StaticPairList"},
       {"method": "RangeStabilityFilter", "lookback_days": 10,
        "min_rate_of_change": 0.01, "refresh_period": 1440}],
@@ -489,6 +492,8 @@ def test_VolumePairList_whitelist_gen(mocker, whitelist_conf, shitcoinmarkets, t
                                    r'because last price < .*%$', caplog) or
                         log_has_re(r'^Removed .* from whitelist, '
                                    r'because last price > .*%$', caplog) or
+                        log_has_re(r'^Removed .* from whitelist, '
+                                   r'because min value change of .*', caplog) or
                         log_has_re(r"^Removed .* from whitelist, because ticker\['last'\] "
                                    r"is empty.*", caplog))
             if pairlist['method'] == 'VolumePairList':

From 6aa574fa2b0095f64c946955397b4d7c152fabc8 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 17 May 2021 20:58:50 +0200
Subject: [PATCH 175/241] Convert ROI result to proper json object

closes #4952
---
 freqtrade/optimize/hyperopt.py  | 3 ++-
 tests/optimize/test_hyperopt.py | 8 ++++----
 2 files changed, 6 insertions(+), 5 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 45f6bfb88..d28373c2f 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -185,7 +185,8 @@ class Hyperopt:
         if HyperoptTools.has_space(self.config, 'sell'):
             result['sell'] = {p.name: params.get(p.name) for p in self.sell_space}
         if HyperoptTools.has_space(self.config, 'roi'):
-            result['roi'] = self.custom_hyperopt.generate_roi_table(params)
+            result['roi'] = {str(k): v for k, v in
+                             self.custom_hyperopt.generate_roi_table(params).items()}
         if HyperoptTools.has_space(self.config, 'stoploss'):
             result['stoploss'] = {p.name: params.get(p.name) for p in self.stoploss_space}
         if HyperoptTools.has_space(self.config, 'trailing'):
diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py
index a0c475efb..f23d5bc9e 100644
--- a/tests/optimize/test_hyperopt.py
+++ b/tests/optimize/test_hyperopt.py
@@ -649,10 +649,10 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
                                    'rsi-enabled': False,
                                    'rsi-value': 0,
                                    'trigger': 'macd_cross_signal'},
-                           'roi': {0: 0.12000000000000001,
-                                   20.0: 0.02,
-                                   50.0: 0.01,
-                                   110.0: 0},
+                           'roi': {"0": 0.12000000000000001,
+                                   "20.0": 0.02,
+                                   "50.0": 0.01,
+                                   "110.0": 0},
                            'sell': {'sell-adx-enabled': False,
                                     'sell-adx-value': 0,
                                     'sell-fastd-enabled': True,

From 36eba0f110a2551bfdfb2c96045e93a770fcdeaa Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 17 May 2021 21:05:48 +0200
Subject: [PATCH 176/241] Don't use "r+" memmap, but "r2

---
 freqtrade/optimize/hyperopt.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index d28373c2f..11a1a36f2 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -271,7 +271,7 @@ class Hyperopt:
             self.backtesting.strategy.trailing_only_offset_is_reached = \
                 d['trailing_only_offset_is_reached']
 
-        processed = load(self.data_pickle_file, mmap_mode='r+')
+        processed = load(self.data_pickle_file, mmap_mode='r')
 
         bt_results = self.backtesting.backtest(
             processed=processed,

From 16c22c7b68527c6376ef7e03b5fad0a6efedc34c Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 18 May 2021 19:16:25 +0200
Subject: [PATCH 177/241] Add pair name to stoploss

helps debugging #4972
---
 freqtrade/edge/edge_positioning.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/edge/edge_positioning.py b/freqtrade/edge/edge_positioning.py
index 0449d6ebe..4bc0d660b 100644
--- a/freqtrade/edge/edge_positioning.py
+++ b/freqtrade/edge/edge_positioning.py
@@ -209,7 +209,7 @@ class Edge:
         if pair in self._cached_pairs:
             return self._cached_pairs[pair].stoploss
         else:
-            logger.warning('tried to access stoploss of a non-existing pair, '
+            logger.warning(f'Tried to access stoploss of non-existing pair {pair}, '
                            'strategy stoploss is returned instead.')
             return self.strategy.stoploss
 

From 2565f91bc2956070c1e45ef0b18f022adbd86041 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 18 May 2021 19:33:17 +0200
Subject: [PATCH 178/241] Adjust tests to reflect new stoploss behaviour

---
 tests/optimize/test_backtest_detail.py | 20 +++++++++++++++++++-
 1 file changed, 19 insertions(+), 1 deletion(-)

diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py
index 7da7709c6..9d88d166a 100644
--- a/tests/optimize/test_backtest_detail.py
+++ b/tests/optimize/test_backtest_detail.py
@@ -185,7 +185,7 @@ tc11 = BTContainer(data=[
     [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],
+    [3, 5000, 5150, 4650, 4750, 6172, 0, 0],
     [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
     stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
     trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
@@ -440,6 +440,23 @@ tc27 = BTContainer(data=[
     trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=4)]
 )
 
+# Test 28: trailing_stop should raise so candle 3 causes a stoploss
+# Same case than tc11 - but candle 3 "gaps down" - the stoploss will be above the candle,
+# therefore "open" will be used
+# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
+tc28 = 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": 0.10}, 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.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
+)
+
 TESTS = [
     tc0,
     tc1,
@@ -469,6 +486,7 @@ TESTS = [
     tc25,
     tc26,
     tc27,
+    tc28,
 ]
 
 

From 7a9853bfe1a094b655bc2923e230d92b81d51efa Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 18 May 2021 20:39:55 +0200
Subject: [PATCH 179/241] Fix "Too many open Files" exception

---
 freqtrade/optimize/hyperopt.py  | 4 ++--
 tests/optimize/test_hyperopt.py | 1 +
 2 files changed, 3 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 11a1a36f2..326ae144c 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -271,8 +271,8 @@ class Hyperopt:
             self.backtesting.strategy.trailing_only_offset_is_reached = \
                 d['trailing_only_offset_is_reached']
 
-        processed = load(self.data_pickle_file, mmap_mode='r')
-
+        with self.data_pickle_file.open('rb') as f:
+            processed = load(f, mmap_mode='r')
         bt_results = self.backtesting.backtest(
             processed=processed,
             start_date=self.min_date,
diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py
index f23d5bc9e..b80ede734 100644
--- a/tests/optimize/test_hyperopt.py
+++ b/tests/optimize/test_hyperopt.py
@@ -600,6 +600,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
     mocker.patch('freqtrade.optimize.hyperopt.get_timerange',
                  return_value=(Arrow(2017, 12, 10), Arrow(2017, 12, 13)))
     patch_exchange(mocker)
+    mocker.patch.object(Path, 'open')
     mocker.patch('freqtrade.optimize.hyperopt.load', return_value={'XRP/BTC': None})
 
     optimizer_param = {

From 75f88b466a6c29b64bb270adecc7cdd7dc039b81 Mon Sep 17 00:00:00 2001
From: axel 
Date: Tue, 18 May 2021 19:30:36 -0400
Subject: [PATCH 180/241] add ability to choose unit in unfilled timeout

---
 docs/configuration.md     | 5 +++--
 freqtrade/constants.py    | 4 +++-
 freqtrade/freqtradebot.py | 5 +++--
 3 files changed, 9 insertions(+), 5 deletions(-)

diff --git a/docs/configuration.md b/docs/configuration.md
index 37395c5ee..eff8fe322 100644
--- a/docs/configuration.md
+++ b/docs/configuration.md
@@ -68,8 +68,9 @@ Mandatory parameters are marked as **Required**, which means that they are requi
 | `trailing_stop_positive_offset` | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive. More details in the [stoploss documentation](stoploss.md#trailing-stop-loss-only-once-the-trade-has-reached-a-certain-offset). [Strategy Override](#parameters-in-the-strategy). 
*Defaults to `0.0` (no offset).* 
 **Datatype:** Float
 | `trailing_only_offset_is_reached` | Only apply trailing stoploss when the offset is reached. [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-the-strategy). 
*Defaults to `false`.*  
 **Datatype:** Boolean
 | `fee` | Fee used during backtesting / dry-runs. Should normally not be configured, which has freqtrade fall back to the exchange default fee. Set as ratio (e.g. 0.001 = 0.1%). Fee is applied twice for each trade, once when buying, once when selling. 
 **Datatype:** Float (as ratio)
-| `unfilledtimeout.buy` | **Required.** How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled and repeated at current (new) price, as long as there is a signal. [Strategy Override](#parameters-in-the-strategy).
 **Datatype:** Integer
-| `unfilledtimeout.sell` | **Required.** How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled and repeated at current (new) price, as long as there is a signal. [Strategy Override](#parameters-in-the-strategy).
 **Datatype:** Integer
+| `unfilledtimeout.buy` | **Required.** How long (in minutes or seconds) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled and repeated at current (new) price, as long as there is a signal. [Strategy Override](#parameters-in-the-strategy).
 **Datatype:** Integer
+| `unfilledtimeout.sell` | **Required.** How long (in minutes or seconds) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled and repeated at current (new) price, as long as there is a signal. [Strategy Override](#parameters-in-the-strategy).
 **Datatype:** Integer
+| `unfilledtimeout.unit` | Unit to use in unfilledtimeout setting. Note: If you set unfilledtimeout.unit to "seconds", "internals.process_throttle_secs" must be inferior or equal to timeout [Strategy Override](#parameters-in-the-strategy). 
 *Defaults to `minutes`.* 
 **Datatype:** String
 | `bid_strategy.price_side` | Select the side of the spread the bot should look at to get the buy rate. [More information below](#buy-price-side).
 *Defaults to `bid`.* 
 **Datatype:** String (either `ask` or `bid`).
 | `bid_strategy.ask_last_balance` | **Required.** Interpolate the bidding price. More information [below](#buy-price-without-orderbook-enabled).
 | `bid_strategy.use_order_book` | Enable buying using the rates in [Order Book Bids](#buy-price-with-orderbook-enabled). 
 **Datatype:** Boolean
diff --git a/freqtrade/constants.py b/freqtrade/constants.py
index bfd1e72f1..5ec60eb59 100644
--- a/freqtrade/constants.py
+++ b/freqtrade/constants.py
@@ -11,6 +11,7 @@ DEFAULT_EXCHANGE = 'bittrex'
 PROCESS_THROTTLE_SECS = 5  # sec
 HYPEROPT_EPOCH = 100  # epochs
 RETRY_TIMEOUT = 30  # sec
+TIMEOUT_UNITS = ['minutes', 'seconds']
 DEFAULT_DB_PROD_URL = 'sqlite:///tradesv3.sqlite'
 DEFAULT_DB_DRYRUN_URL = 'sqlite:///tradesv3.dryrun.sqlite'
 UNLIMITED_STAKE_AMOUNT = 'unlimited'
@@ -137,7 +138,8 @@ CONF_SCHEMA = {
             'type': 'object',
             'properties': {
                 'buy': {'type': 'number', 'minimum': 1},
-                'sell': {'type': 'number', 'minimum': 1}
+                'sell': {'type': 'number', 'minimum': 1},
+                'unit': {'type': 'string', 'enum': TIMEOUT_UNITS, 'default': 'minutes'}
             }
         },
         'bid_strategy': {
diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index 0bef29dd4..fa372e6e8 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -974,8 +974,9 @@ class FreqtradeBot(LoggingMixin):
         timeout = self.config.get('unfilledtimeout', {}).get(side)
         ordertime = arrow.get(order['datetime']).datetime
         if timeout is not None:
-            timeout_threshold = arrow.utcnow().shift(minutes=-timeout).datetime
-
+            timeout_unit = self.config.get('unfilledtimeout', {}).get('unit', 'minutes')
+            timeout_kwargs = {timeout_unit: -timeout}
+            timeout_threshold = arrow.utcnow().shift(**timeout_kwargs).datetime
             return (order['status'] == 'open' and order['side'] == side
                     and ordertime < timeout_threshold)
         return False

From 082fb11bbedde8a9521f72c1018a1f2ba73357fc Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Thu, 20 May 2021 01:54:48 +0700
Subject: [PATCH 181/241] Avoid having error `cannot set a frame with no
 defined index and a scalar`

---
 freqtrade/optimize/backtesting.py | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index c6b05c8c6..e6172282b 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -191,8 +191,8 @@ class Backtesting:
         data: Dict = {}
         # Create dict with data
         for pair, pair_data in processed.items():
-            pair_data.loc[:, 'buy'] = 0  # cleanup from previous run
-            pair_data.loc[:, 'sell'] = 0  # cleanup from previous run
+            pair_data['buy'] = 0  # cleanup from previous run
+            pair_data['sell'] = 0  # cleanup from previous run
 
             df_analyzed = self.strategy.advise_sell(
                 self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()

From 0358b5365fa2302520a4941122f0b40fecfe757d Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Thu, 20 May 2021 06:25:40 +0200
Subject: [PATCH 182/241] Add "unfilledtimeout-unit" to full config sample

---
 config_full.json.example                | 3 ++-
 freqtrade/templates/base_config.json.j2 | 3 ++-
 2 files changed, 4 insertions(+), 2 deletions(-)

diff --git a/config_full.json.example b/config_full.json.example
index 973afe2c8..24d364fdf 100644
--- a/config_full.json.example
+++ b/config_full.json.example
@@ -23,7 +23,8 @@
     "stoploss": -0.10,
     "unfilledtimeout": {
         "buy": 10,
-        "sell": 30
+        "sell": 30,
+        "unit": "minutes"
     },
     "bid_strategy": {
         "price_side": "bid",
diff --git a/freqtrade/templates/base_config.json.j2 b/freqtrade/templates/base_config.json.j2
index 42f088f9f..8933ebc6a 100644
--- a/freqtrade/templates/base_config.json.j2
+++ b/freqtrade/templates/base_config.json.j2
@@ -9,7 +9,8 @@
     "cancel_open_orders_on_exit": false,
     "unfilledtimeout": {
         "buy": 10,
-        "sell": 30
+        "sell": 30,
+        "unit": "minutes"
     },
     "bid_strategy": {
         "price_side": "bid",

From 48210170e7a562205f459dd3568f810417c021fd Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Thu, 20 May 2021 11:49:25 +0700
Subject: [PATCH 183/241] wrap with is not empty

---
 freqtrade/optimize/backtesting.py | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index e6172282b..955b9e614 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -191,8 +191,9 @@ class Backtesting:
         data: Dict = {}
         # Create dict with data
         for pair, pair_data in processed.items():
-            pair_data['buy'] = 0  # cleanup from previous run
-            pair_data['sell'] = 0  # cleanup from previous run
+            if not pair_data.empty:
+              pair_data.loc[:, 'buy'] = 0  # cleanup if buy_signal is exist
+              pair_data.loc[:, 'sell'] = 0  # cleanup if sell_signal is exist
 
             df_analyzed = self.strategy.advise_sell(
                 self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()

From 1b3bfb2e7fcb21914857cc103d4873377e3dd7d2 Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Thu, 20 May 2021 11:50:15 +0700
Subject: [PATCH 184/241] found root cause.

---
 freqtrade/optimize/hyperopt.py | 16 +++++++++++-----
 1 file changed, 11 insertions(+), 5 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 326ae144c..0250935b9 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -349,19 +349,25 @@ class Hyperopt:
     def prepare_hyperopt_data(self) -> None:
         data, timerange = self.backtesting.load_bt_data()
         logger.info("Dataload complete. Calculating indicators")
-        preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data)
 
+        processed: Dict[str, DataFrame] = {}
+        preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data)
         # Trim startup period from analyzed dataframe
         for pair, df in preprocessed.items():
-            preprocessed[pair] = trim_dataframe(df, timerange,
-                                                startup_candles=self.backtesting.required_startup)
-        self.min_date, self.max_date = get_timerange(preprocessed)
+            trimed_df = trim_dataframe(df, timerange,
+                                       startup_candles=self.backtesting.required_startup)
+            if not trimed_df.empty:
+              processed[pair] = trimed_df
+            else:
+              logger.warn(f'Pair {pair} got removed because triming dataframe left nothing')
+
+        self.min_date, self.max_date = get_timerange(processed)
 
         logger.info(f'Hyperopting with data from {self.min_date.strftime(DATETIME_PRINT_FORMAT)} '
                     f'up to {self.max_date.strftime(DATETIME_PRINT_FORMAT)} '
                     f'({(self.max_date - self.min_date).days} days)..')
 
-        dump(preprocessed, self.data_pickle_file)
+        dump(processed, self.data_pickle_file)
 
     def start(self) -> None:
         self.random_state = self._set_random_state(self.config.get('hyperopt_random_state', None))

From c2b9da68e14d96c1b012170a7de69be83e28352f Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Thu, 20 May 2021 11:56:11 +0700
Subject: [PATCH 185/241] fix indent

---
 freqtrade/optimize/backtesting.py | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 955b9e614..0144d934b 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -192,8 +192,8 @@ class Backtesting:
         # Create dict with data
         for pair, pair_data in processed.items():
             if not pair_data.empty:
-              pair_data.loc[:, 'buy'] = 0  # cleanup if buy_signal is exist
-              pair_data.loc[:, 'sell'] = 0  # cleanup if sell_signal is exist
+                pair_data.loc[:, 'buy'] = 0  # cleanup if buy_signal is exist
+                pair_data.loc[:, 'sell'] = 0  # cleanup if sell_signal is exist
 
             df_analyzed = self.strategy.advise_sell(
                 self.strategy.advise_buy(pair_data, {'pair': pair}), {'pair': pair})[headers].copy()

From 6172e67fcd0693f292bf032acbb2383ce7b65c72 Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Thu, 20 May 2021 11:56:31 +0700
Subject: [PATCH 186/241] Update hyperopt.py

---
 freqtrade/optimize/hyperopt.py | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 0250935b9..3d4588145 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -357,9 +357,9 @@ class Hyperopt:
             trimed_df = trim_dataframe(df, timerange,
                                        startup_candles=self.backtesting.required_startup)
             if not trimed_df.empty:
-              processed[pair] = trimed_df
+                processed[pair] = trimed_df
             else:
-              logger.warn(f'Pair {pair} got removed because triming dataframe left nothing')
+                logger.warn(f'Pair {pair} got removed because triming dataframe left nothing')
 
         self.min_date, self.max_date = get_timerange(processed)
 

From 0045d3a726f266f720f6229c1ae5d1c073ab99b2 Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Fri, 21 May 2021 11:18:16 +0700
Subject: [PATCH 187/241] fix wrong json key

---
 scripts/rest_client.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/scripts/rest_client.py b/scripts/rest_client.py
index 900b784f2..ece0a253e 100755
--- a/scripts/rest_client.py
+++ b/scripts/rest_client.py
@@ -396,7 +396,7 @@ def main(args):
         sys.exit()
 
     config = load_config(args['config'])
-    url = config.get('api_server', {}).get('server_url', '127.0.0.1')
+    url = config.get('api_server', {}).get('listen_ip_address', '127.0.0.1')
     port = config.get('api_server', {}).get('listen_port', '8080')
     username = config.get('api_server', {}).get('username')
     password = config.get('api_server', {}).get('password')

From 1a30e39222ae73ca32247ceccea1e881a437d6ca Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 08:06:27 +0200
Subject: [PATCH 188/241] Move squeeze into if block

---
 docs/strategy-advanced.md | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index f5f706cd6..52879c7b4 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -40,7 +40,6 @@ class AwesomeStrategy(IStrategy):
 !!! Note
     If the data is pair-specific, make sure to use pair as one of the keys in the dictionary.
 
-
 ## Dataframe access
 
 You may access dataframe in various strategy functions by querying it from dataprovider.
@@ -67,8 +66,8 @@ class AwesomeStrategy(IStrategy):
         trade_candle = dataframe.loc[dataframe['date'] == trade_date]
         # trade_candle may be empty for trades that just opened as it is still incomplete.
         if trade_candle.empty:
+            trade_candle = trade_candle.squeeze()
             # <...>
-        trade_candle = trade_candle.squeeze()    
 ```
 
 !!! Warning "Using .iloc[-1]"

From f398888865c732df55b0ecee3c775aba4d4a9ff4 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 08:26:19 +0200
Subject: [PATCH 189/241] Refactor preprocessed trimming to seperate method

---
 freqtrade/data/converter.py       | 22 ++++++++++++++++++++++
 freqtrade/optimize/backtesting.py | 12 ++----------
 freqtrade/optimize/hyperopt.py    | 12 +++---------
 3 files changed, 27 insertions(+), 19 deletions(-)

diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py
index af6c6a2ef..7098834ec 100644
--- a/freqtrade/data/converter.py
+++ b/freqtrade/data/converter.py
@@ -10,6 +10,7 @@ from typing import Any, Dict, List
 import pandas as pd
 from pandas import DataFrame, to_datetime
 
+from freqtrade.configuration.timerange import TimeRange
 from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TradeList
 
 
@@ -145,6 +146,27 @@ def trim_dataframe(df: DataFrame, timerange, df_date_col: str = 'date',
     return df
 
 
+def trim_dataframes(preprocessed: Dict[str, DataFrame], timerange: TimeRange,
+                    startup_candles: int) -> Dict[str, DataFrame]:
+    """
+    Trim startup period from analyzed dataframes
+    :param preprocessed: Dict of pair: dataframe
+    :param timerange: timerange (use start and end date if available)
+    :param startup_candles: Startup-candles that should be removed
+    :return: Dict of trimmed dataframes
+    """
+    processed: Dict[str, DataFrame] = {}
+
+    for pair, df in preprocessed.items():
+        trimed_df = trim_dataframe(df, timerange, startup_candles=startup_candles)
+        if not trimed_df.empty:
+            processed[pair] = trimed_df
+        else:
+            logger.warning(f'{pair} has no data left after adjusting for startup candles, '
+                           f'skipping.')
+    return processed
+
+
 def order_book_to_dataframe(bids: list, asks: list) -> DataFrame:
     """
     TODO: This should get a dedicated test
diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 0144d934b..aff09921c 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -15,7 +15,7 @@ from freqtrade.configuration import TimeRange, remove_credentials, validate_conf
 from freqtrade.constants import DATETIME_PRINT_FORMAT
 from freqtrade.data import history
 from freqtrade.data.btanalysis import trade_list_to_dataframe
-from freqtrade.data.converter import trim_dataframe
+from freqtrade.data.converter import trim_dataframes
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange import timeframe_to_minutes, timeframe_to_seconds
@@ -462,15 +462,7 @@ class Backtesting:
         preprocessed = self.strategy.ohlcvdata_to_dataframe(data)
 
         # Trim startup period from analyzed dataframe
-        for pair in list(preprocessed):
-            df = preprocessed[pair]
-            df = trim_dataframe(df, timerange, startup_candles=self.required_startup)
-            if len(df) > 0:
-                preprocessed[pair] = df
-            else:
-                logger.warning(f'{pair} has no data left after adjusting for startup candles, '
-                               f'skipping.')
-                del preprocessed[pair]
+        preprocessed = trim_dataframes(preprocessed, timerange, self.required_startup)
 
         if not preprocessed:
             raise OperationalException(
diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 3d4588145..cf5559a24 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -20,7 +20,7 @@ from joblib import Parallel, cpu_count, delayed, dump, load, wrap_non_picklable_
 from pandas import DataFrame
 
 from freqtrade.constants import DATETIME_PRINT_FORMAT, LAST_BT_RESULT_FN
-from freqtrade.data.converter import trim_dataframe
+from freqtrade.data.converter import trim_dataframes
 from freqtrade.data.history import get_timerange
 from freqtrade.misc import file_dump_json, plural
 from freqtrade.optimize.backtesting import Backtesting
@@ -350,16 +350,10 @@ class Hyperopt:
         data, timerange = self.backtesting.load_bt_data()
         logger.info("Dataload complete. Calculating indicators")
 
-        processed: Dict[str, DataFrame] = {}
         preprocessed = self.backtesting.strategy.ohlcvdata_to_dataframe(data)
+
         # Trim startup period from analyzed dataframe
-        for pair, df in preprocessed.items():
-            trimed_df = trim_dataframe(df, timerange,
-                                       startup_candles=self.backtesting.required_startup)
-            if not trimed_df.empty:
-                processed[pair] = trimed_df
-            else:
-                logger.warn(f'Pair {pair} got removed because triming dataframe left nothing')
+        processed = trim_dataframes(preprocessed, timerange, self.backtesting.required_startup)
 
         self.min_date, self.max_date = get_timerange(processed)
 

From 96ea10e56213000a2534e7433515b3ef9045cef6 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 08:52:56 +0200
Subject: [PATCH 190/241] Fix circular import in hyperopt

---
 freqtrade/data/converter.py | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/freqtrade/data/converter.py b/freqtrade/data/converter.py
index 7098834ec..ffee0c52c 100644
--- a/freqtrade/data/converter.py
+++ b/freqtrade/data/converter.py
@@ -10,7 +10,6 @@ from typing import Any, Dict, List
 import pandas as pd
 from pandas import DataFrame, to_datetime
 
-from freqtrade.configuration.timerange import TimeRange
 from freqtrade.constants import DEFAULT_DATAFRAME_COLUMNS, DEFAULT_TRADES_COLUMNS, TradeList
 
 
@@ -146,7 +145,7 @@ def trim_dataframe(df: DataFrame, timerange, df_date_col: str = 'date',
     return df
 
 
-def trim_dataframes(preprocessed: Dict[str, DataFrame], timerange: TimeRange,
+def trim_dataframes(preprocessed: Dict[str, DataFrame], timerange,
                     startup_candles: int) -> Dict[str, DataFrame]:
     """
     Trim startup period from analyzed dataframes

From 0e6c1d28f466893d70008275de92198b2f17a446 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 09:32:18 +0200
Subject: [PATCH 191/241] Fix cleanup CI by updating action

---
 .github/workflows/ci.yml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/.github/workflows/ci.yml b/.github/workflows/ci.yml
index 4169661c6..5a0837eb2 100644
--- a/.github/workflows/ci.yml
+++ b/.github/workflows/ci.yml
@@ -301,7 +301,7 @@ jobs:
     runs-on: ubuntu-20.04
     steps:
     - name: Cleanup previous runs on this branch
-      uses: rokroskar/workflow-run-cleanup-action@v0.3.2
+      uses: rokroskar/workflow-run-cleanup-action@v0.3.3
       if: "!startsWith(github.ref, 'refs/tags/') && github.ref != 'refs/heads/stable' && github.repository == 'freqtrade/freqtrade'"
       env:
         GITHUB_TOKEN: "${{ secrets.GITHUB_TOKEN }}"

From edcfa940937d0141f74b1bdd4f8161f76746fb83 Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Sat, 15 May 2021 11:26:22 +0300
Subject: [PATCH 192/241] Include zero duration trades in backtesting report.

---
 docs/backtesting.md                    | 1 +
 freqtrade/optimize/optimize_reports.py | 9 ++++++++-
 2 files changed, 9 insertions(+), 1 deletion(-)

diff --git a/docs/backtesting.md b/docs/backtesting.md
index ee9926f32..8b3aa8cc1 100644
--- a/docs/backtesting.md
+++ b/docs/backtesting.md
@@ -413,6 +413,7 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Best day` / `Worst day`: Best and worst day based on daily profit.
 - `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
 - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
+- `Zero Duration Trades`: A number of trades that completed within same candle as they opened and had `trailing_stop_loss` sell reason. A significant amount of such trades may indicate that strategy is exploiting trailing stoploss behavior in backtesting and produces unrealistic results.
 - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
 - `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
 - `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index 2be3c3e62..b509f216f 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -208,6 +208,8 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
     winning_trades = results.loc[results['profit_ratio'] > 0]
     draw_trades = results.loc[results['profit_ratio'] == 0]
     losing_trades = results.loc[results['profit_ratio'] < 0]
+    zero_duration_trades = len(results.loc[(results['trade_duration'] == 0) &
+                                           (results['sell_reason'] == 'trailing_stop_loss')])
 
     return {
         'wins': len(winning_trades),
@@ -219,6 +221,7 @@ def generate_trading_stats(results: DataFrame) -> Dict[str, Any]:
                                if not winning_trades.empty else timedelta()),
         'loser_holding_avg': (timedelta(minutes=round(losing_trades['trade_duration'].mean()))
                               if not losing_trades.empty else timedelta()),
+        'zero_duration_trades': zero_duration_trades,
     }
 
 
@@ -496,6 +499,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
     if len(strat_results['trades']) > 0:
         best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio'])
         worst_trade = min(strat_results['trades'], key=lambda x: x['profit_ratio'])
+        zero_duration_trades_percent =\
+            100.0 / strat_results['total_trades'] * strat_results['zero_duration_trades']
         metrics = [
             ('Backtesting from', strat_results['backtest_start']),
             ('Backtesting to', strat_results['backtest_end']),
@@ -508,7 +513,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                                strat_results['stake_currency'])),
             ('Absolute profit ', round_coin_value(strat_results['profit_total_abs'],
                                                   strat_results['stake_currency'])),
-            ('Total profit %', f"{round(strat_results['profit_total'] * 100, 2)}%"),
+            ('Total profit %', f"{round(strat_results['profit_total'] * 100, 2):}%"),
             ('Trades per day', strat_results['trades_per_day']),
             ('Avg. stake amount', round_coin_value(strat_results['avg_stake_amount'],
                                                    strat_results['stake_currency'])),
@@ -532,6 +537,8 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                 f"{strat_results['draw_days']} / {strat_results['losing_days']}"),
             ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
             ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
+            ('Zero Duration Trades', f"{zero_duration_trades_percent:.1f}% "
+                                     f"({strat_results['zero_duration_trades']})"),
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],

From e1dc1357ce37243f4f8ff214480d339b7249154c Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Sat, 15 May 2021 12:00:01 +0300
Subject: [PATCH 193/241] Add drawdown column to strategy summary table.

---
 docs/backtesting.md                     | 10 +++++-----
 freqtrade/optimize/optimize_reports.py  | 18 ++++++++++++++++-
 tests/optimize/test_optimize_reports.py | 26 ++++++++++++++++---------
 3 files changed, 39 insertions(+), 15 deletions(-)

diff --git a/docs/backtesting.md b/docs/backtesting.md
index 8b3aa8cc1..5ee0b8a49 100644
--- a/docs/backtesting.md
+++ b/docs/backtesting.md
@@ -473,11 +473,11 @@ There will be an additional table comparing win/losses of the different strategi
 Detailed output for all strategies one after the other will be available, so make sure to scroll up to see the details per strategy.
 
 ```
-=========================================================== STRATEGY SUMMARY ===========================================================
-| Strategy    |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % | Avg Duration   |  Wins |  Draws | Losses |
-|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|
-| Strategy1   |    429 |           0.36 |         152.41 |       0.00762792 |          76.20 | 4:12:00        |   186 |      0 |    243 |
-| Strategy2   |   1487 |          -0.13 |        -197.58 |      -0.00988917 |         -98.79 | 4:43:00        |   662 |      0 |    825 |
+=========================================================== STRATEGY SUMMARY =========================================================================
+| Strategy    |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % | Avg Duration   |  Wins |  Draws | Losses | Drawdown % |
+|:------------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|-------:|-----------:|
+| Strategy1   |    429 |           0.36 |         152.41 |       0.00762792 |          76.20 | 4:12:00        |   186 |      0 |    243 |       45.2 |
+| Strategy2   |   1487 |          -0.13 |        -197.58 |      -0.00988917 |         -98.79 | 4:43:00        |   662 |      0 |    825 |     241.68 |
 ```
 
 ## Next step
diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index b509f216f..d8ef92e7c 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -164,6 +164,17 @@ def generate_strategy_comparison(all_results: Dict) -> List[Dict]:
         tabular_data.append(_generate_result_line(
             results['results'], results['config']['dry_run_wallet'], strategy)
             )
+        try:
+            max_drawdown_per, _, _, _, _ = calculate_max_drawdown(results['results'],
+                                                                  value_col='profit_ratio')
+            max_drawdown_abs, _, _, _, _ = calculate_max_drawdown(results['results'],
+                                                                  value_col='profit_abs')
+        except ValueError:
+            max_drawdown_per = 0
+            max_drawdown_abs = 0
+        tabular_data[-1]['max_drawdown_per'] = round(max_drawdown_per * 100, 2)
+        tabular_data[-1]['max_drawdown_abs'] = \
+            round_coin_value(max_drawdown_abs, results['config']['stake_currency'], False)
     return tabular_data
 
 
@@ -485,10 +496,15 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
     """
     floatfmt = _get_line_floatfmt(stake_currency)
     headers = _get_line_header('Strategy', stake_currency)
+    # _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless
+    # therefore we slip this column in only for strategy summary here.
+    headers.append(f'Drawdown {stake_currency}')
+    headers.append('Drawdown %')
 
     output = [[
         t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'],
-        t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses']
+        t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses'],
+        t['max_drawdown_abs'], t['max_drawdown_per']
     ] for t in strategy_results]
     # Ignore type as floatfmt does allow tuples but mypy does not know that
     return tabulate(output, headers=headers,
diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py
index 1afa5c59c..e87cec6fa 100644
--- a/tests/optimize/test_optimize_reports.py
+++ b/tests/optimize/test_optimize_reports.py
@@ -1,3 +1,4 @@
+import datetime
 import re
 from datetime import timedelta
 from pathlib import Path
@@ -325,9 +326,12 @@ def test_text_table_strategy(default_conf):
     default_conf['max_open_trades'] = 2
     default_conf['dry_run_wallet'] = 3
     results = {}
+    date = datetime.datetime(year=2020, month=1, day=1, hour=12, minute=30)
+    delta = datetime.timedelta(days=1)
     results['TestStrategy1'] = {'results': pd.DataFrame(
         {
             'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
+            'close_date': [date, date + delta, date + delta * 2],
             'profit_ratio': [0.1, 0.2, 0.3],
             'profit_abs': [0.2, 0.4, 0.5],
             'trade_duration': [10, 30, 10],
@@ -340,6 +344,7 @@ def test_text_table_strategy(default_conf):
     results['TestStrategy2'] = {'results': pd.DataFrame(
         {
             'pair': ['LTC/BTC', 'LTC/BTC', 'LTC/BTC'],
+            'close_date': [date, date + delta, date + delta * 2],
             'profit_ratio': [0.4, 0.2, 0.3],
             'profit_abs': [0.4, 0.4, 0.5],
             'trade_duration': [15, 30, 15],
@@ -351,18 +356,21 @@ def test_text_table_strategy(default_conf):
     ), 'config': default_conf}
 
     result_str = (
-        '|      Strategy |   Buys |   Avg Profit % |   Cum Profit % |   Tot'
-        ' Profit BTC |   Tot Profit % |   Avg Duration |   Wins |   Draws |   Losses |\n'
-        '|---------------+--------+----------------+----------------+------------------+'
-        '----------------+----------------+--------+---------+----------|\n'
-        '| TestStrategy1 |      3 |          20.00 |          60.00 |       1.10000000 |'
-        '          36.67 |        0:17:00 |      3 |       0 |        0 |\n'
-        '| TestStrategy2 |      3 |          30.00 |          90.00 |       1.30000000 |'
-        '          43.33 |        0:20:00 |      3 |       0 |        0 |'
+        '|      Strategy |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC '
+        '|   Tot Profit % |   Avg Duration |   Wins |   Draws |   Losses |   Drawdown BTC '
+        '|   Drawdown % |\n'
+        '|---------------+--------+----------------+----------------+------------------'
+        '+----------------+----------------+--------+---------+----------+----------------'
+        '+--------------|\n'
+        '| TestStrategy1 |      3 |          20.00 |          60.00 |       1.10000000 '
+        '|          36.67 |        0:17:00 |      3 |       0 |        0 |              0 '
+        '|            0 |\n'
+        '| TestStrategy2 |      3 |          30.00 |          90.00 |       1.30000000 '
+        '|          43.33 |        0:20:00 |      3 |       0 |        0 |              0 '
+        '|            0 |'
     )
 
     strategy_results = generate_strategy_comparison(all_results=results)
-
     assert text_table_strategy(strategy_results, 'BTC') == result_str
 
 

From debd98ad9a6278ca026bdb7fb32f287687f994ee Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Fri, 21 May 2021 11:29:22 +0300
Subject: [PATCH 194/241] Make results table more compact by merging
 win/draw/loss columns and drawdown abs/% into single columns.

---
 freqtrade/optimize/optimize_reports.py | 34 +++++++++++++++++---------
 1 file changed, 22 insertions(+), 12 deletions(-)

diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index d8ef92e7c..68f315926 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -43,7 +43,7 @@ def _get_line_floatfmt(stake_currency: str) -> List[str]:
     Generate floatformat (goes in line with _generate_result_line())
     """
     return ['s', 'd', '.2f', '.2f', f'.{decimals_per_coin(stake_currency)}f',
-            '.2f', 'd', 'd', 'd', 'd']
+            '.2f', 'd', 's', 's']
 
 
 def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
@@ -52,7 +52,11 @@ def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
     """
     return [first_column, 'Buys', 'Avg Profit %', 'Cum Profit %',
             f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
-            'Wins', 'Draws', 'Losses']
+            'Win Draw Loss']
+
+
+def _generate_wins_draws_losses(wins, draws, losses):
+    return f'{wins:>4} {draws:>4} {losses:>4}'
 
 
 def _generate_result_line(result: DataFrame, starting_balance: int, first_column: str) -> Dict:
@@ -451,7 +455,8 @@ def text_table_bt_results(pair_results: List[Dict[str, Any]], stake_currency: st
     floatfmt = _get_line_floatfmt(stake_currency)
     output = [[
         t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'],
-        t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses']
+        t['profit_total_pct'], t['duration_avg'],
+        _generate_wins_draws_losses(t['wins'], t['draws'], t['losses'])
     ] for t in pair_results]
     # Ignore type as floatfmt does allow tuples but mypy does not know that
     return tabulate(output, headers=headers,
@@ -468,9 +473,7 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
     headers = [
         'Sell Reason',
         'Sells',
-        'Wins',
-        'Draws',
-        'Losses',
+        'Win Draws Loss',
         'Avg Profit %',
         'Cum Profit %',
         f'Tot Profit {stake_currency}',
@@ -478,7 +481,8 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
     ]
 
     output = [[
-        t['sell_reason'], t['trades'], t['wins'], t['draws'], t['losses'],
+        t['sell_reason'], t['trades'],
+        _generate_wins_draws_losses(t['wins'], t['draws'], t['losses']),
         t['profit_mean_pct'], t['profit_sum_pct'],
         round_coin_value(t['profit_total_abs'], stake_currency, False),
         t['profit_total_pct'],
@@ -498,14 +502,20 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
     headers = _get_line_header('Strategy', stake_currency)
     # _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless
     # therefore we slip this column in only for strategy summary here.
-    headers.append(f'Drawdown {stake_currency}')
-    headers.append('Drawdown %')
+    headers.append(f'Drawdown')
+
+    # Align drawdown string on the center two space separator.
+    drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results]
+    dd_pad_abs = max([len(t['max_drawdown_abs']) for t in strategy_results])
+    dd_pad_per = max([len(dd) for dd in drawdown])
+    drawdown = [f'{t["max_drawdown_abs"]:>{dd_pad_abs}} {stake_currency}  {dd:>{dd_pad_per}}%'
+                for t, dd in zip(strategy_results, drawdown)]
 
     output = [[
         t['key'], t['trades'], t['profit_mean_pct'], t['profit_sum_pct'], t['profit_total_abs'],
-        t['profit_total_pct'], t['duration_avg'], t['wins'], t['draws'], t['losses'],
-        t['max_drawdown_abs'], t['max_drawdown_per']
-    ] for t in strategy_results]
+        t['profit_total_pct'], t['duration_avg'],
+        _generate_wins_draws_losses(t['wins'], t['draws'], t['losses']), drawdown]
+        for t, drawdown in zip(strategy_results, drawdown)]
     # Ignore type as floatfmt does allow tuples but mypy does not know that
     return tabulate(output, headers=headers,
                     floatfmt=floatfmt, tablefmt="orgtbl", stralign="right")

From 981b2df7caec96565ba66d2abb7201326fcfaa96 Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Fri, 21 May 2021 12:00:24 +0300
Subject: [PATCH 195/241] Include win:loss ratio in results tables.

---
 freqtrade/optimize/optimize_reports.py | 12 +++++++++---
 1 file changed, 9 insertions(+), 3 deletions(-)

diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index 68f315926..0474ec1bf 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -52,11 +52,17 @@ def _get_line_header(first_column: str, stake_currency: str) -> List[str]:
     """
     return [first_column, 'Buys', 'Avg Profit %', 'Cum Profit %',
             f'Tot Profit {stake_currency}', 'Tot Profit %', 'Avg Duration',
-            'Win Draw Loss']
+            'Win  Draw  Loss  Win%']
 
 
 def _generate_wins_draws_losses(wins, draws, losses):
-    return f'{wins:>4} {draws:>4} {losses:>4}'
+    if wins > 0 and losses == 0:
+        wl_ratio = '100'
+    elif wins == 0:
+        wl_ratio = '0'
+    else:
+        wl_ratio = f'{100.0 / (wins + draws + losses) * wins:.1f}' if losses > 0 else '100'
+    return f'{wins:>4}  {draws:>4}  {losses:>4}  {wl_ratio:>4}'
 
 
 def _generate_result_line(result: DataFrame, starting_balance: int, first_column: str) -> Dict:
@@ -473,7 +479,7 @@ def text_table_sell_reason(sell_reason_stats: List[Dict[str, Any]], stake_curren
     headers = [
         'Sell Reason',
         'Sells',
-        'Win Draws Loss',
+        'Win  Draws  Loss  Win%',
         'Avg Profit %',
         'Cum Profit %',
         f'Tot Profit {stake_currency}',

From dfa412f0de369ea8302a7c59b7fae731e08a0e2d Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 13:24:13 +0200
Subject: [PATCH 196/241] Fix typo in filter

---
 freqtrade/plugins/pairlist/PriceFilter.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/plugins/pairlist/PriceFilter.py b/freqtrade/plugins/pairlist/PriceFilter.py
index ece9f54a8..5b5afb557 100644
--- a/freqtrade/plugins/pairlist/PriceFilter.py
+++ b/freqtrade/plugins/pairlist/PriceFilter.py
@@ -107,7 +107,7 @@ class PriceFilter(IPairList):
 
                 if diff > self._max_value:
                     self.log_once(f"Removed {pair} from whitelist, "
-                                  f"because min value change of {diff} > {self._max_value}) ",
+                                  f"because min value change of {diff} > {self._max_value}.",
                                   logger.info)
                     return False
 

From 9537d9f4e2b9c3302866a2652a516a41b5ff7335 Mon Sep 17 00:00:00 2001
From: Nicolas Menescardi 
Date: Fri, 21 May 2021 11:27:22 -0300
Subject: [PATCH 197/241] Update strategy-customization.md

Fix typo: 'This will method will...' -> 'This method will...'
---
 docs/strategy-customization.md | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/docs/strategy-customization.md b/docs/strategy-customization.md
index 49456c047..cfea60d22 100644
--- a/docs/strategy-customization.md
+++ b/docs/strategy-customization.md
@@ -159,7 +159,7 @@ Edit the method `populate_buy_trend()` in your strategy file to update your buy
 
 It's important to always return the dataframe without removing/modifying the columns `"open", "high", "low", "close", "volume"`, otherwise these fields would contain something unexpected.
 
-This will method will also define a new column, `"buy"`, which needs to contain 1 for buys, and 0 for "no action".
+This method will also define a new column, `"buy"`, which needs to contain 1 for buys, and 0 for "no action".
 
 Sample from `user_data/strategies/sample_strategy.py`:
 
@@ -193,7 +193,7 @@ Please note that the sell-signal is only used if `use_sell_signal` is set to tru
 
 It's important to always return the dataframe without removing/modifying the columns `"open", "high", "low", "close", "volume"`, otherwise these fields would contain something unexpected.
 
-This will method will also define a new column, `"sell"`, which needs to contain 1 for sells, and 0 for "no action".
+This method will also define a new column, `"sell"`, which needs to contain 1 for sells, and 0 for "no action".
 
 Sample from `user_data/strategies/sample_strategy.py`:
 

From 45e2621505fbfe748b5507dccdb697bebd5fbe34 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 19:19:38 +0200
Subject: [PATCH 198/241] Add minimum-filled protection for buy cancels

---
 freqtrade/freqtradebot.py | 10 ++++++++++
 1 file changed, 10 insertions(+)

diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index fa372e6e8..1c3a759f4 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -1045,6 +1045,16 @@ class FreqtradeBot(LoggingMixin):
 
         # Cancelled orders may have the status of 'canceled' or 'closed'
         if order['status'] not in ('cancelled', 'canceled', 'closed'):
+            filled_val = order.get('filled', 0.0) or 0.0
+            filled_stake = filled_val * trade.open_rate
+            minstake = self.exchange.get_min_pair_stake_amount(
+                trade.pair, trade.open_rate, self.strategy.stoploss)
+
+            if filled_val > 0 and filled_stake < minstake:
+                logger.warning(
+                    f"Order {trade.open_order_id} for {trade.pair} not cancelled, "
+                    f"as the filled amount of {filled_val} would result in an unsellable trade.")
+                return False
             corder = self.exchange.cancel_order_with_result(trade.open_order_id, trade.pair,
                                                             trade.amount)
             # Avoid race condition where the order could not be cancelled coz its already filled.

From 4e94d3d3e5bb84425a875d298dc66dbba81ed9b4 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 19:32:26 +0200
Subject: [PATCH 199/241] Add test for too small buy check

---
 tests/test_freqtradebot.py | 14 ++++++++++++--
 1 file changed, 12 insertions(+), 2 deletions(-)

diff --git a/tests/test_freqtradebot.py b/tests/test_freqtradebot.py
index df0715111..4d9284a2f 100644
--- a/tests/test_freqtradebot.py
+++ b/tests/test_freqtradebot.py
@@ -2431,13 +2431,22 @@ def test_handle_cancel_buy(mocker, caplog, default_conf, limit_buy_order) -> Non
     freqtrade._notify_buy_cancel = MagicMock()
 
     trade = MagicMock()
-    trade.pair = 'LTC/ETH'
+    trade.pair = 'LTC/USDT'
+    trade.open_rate = 200
     limit_buy_order['filled'] = 0.0
     limit_buy_order['status'] = 'open'
     reason = CANCEL_REASON['TIMEOUT']
     assert freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
     assert cancel_order_mock.call_count == 1
 
+    cancel_order_mock.reset_mock()
+    caplog.clear()
+    limit_buy_order['filled'] = 0.01
+    assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
+    assert cancel_order_mock.call_count == 0
+    assert log_has_re("Order .* for .* not cancelled, as the filled amount.* unsellable.*", caplog)
+
+    caplog.clear()
     cancel_order_mock.reset_mock()
     limit_buy_order['filled'] = 2
     assert not freqtrade.handle_cancel_buy(trade, limit_buy_order, reason)
@@ -2492,7 +2501,8 @@ def test_handle_cancel_buy_corder_empty(mocker, default_conf, limit_buy_order,
     freqtrade._notify_buy_cancel = MagicMock()
 
     trade = MagicMock()
-    trade.pair = 'LTC/ETH'
+    trade.pair = 'LTC/USDT'
+    trade.open_rate = 200
     limit_buy_order['filled'] = 0.0
     limit_buy_order['status'] = 'open'
     reason = CANCEL_REASON['TIMEOUT']

From 6acb2eb2b60c42a18a02b886f75c0d75da17489a Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 20:35:39 +0200
Subject: [PATCH 200/241] Add average column to orders table

---
 freqtrade/persistence/migrations.py | 32 ++++++++++++++++++++++++++---
 freqtrade/persistence/models.py     |  2 ++
 tests/test_persistence.py           | 16 +++++++++++++++
 3 files changed, 47 insertions(+), 3 deletions(-)

diff --git a/freqtrade/persistence/migrations.py b/freqtrade/persistence/migrations.py
index 961363b0e..d89256baf 100644
--- a/freqtrade/persistence/migrations.py
+++ b/freqtrade/persistence/migrations.py
@@ -123,6 +123,27 @@ def migrate_open_orders_to_trades(engine):
         """)
 
 
+def migrate_orders_table(decl_base, inspector, engine, table_back_name: str, cols: List):
+    # Schema migration necessary
+    engine.execute(f"alter table orders rename to {table_back_name}")
+    # drop indexes on backup table
+    for index in inspector.get_indexes(table_back_name):
+        engine.execute(f"drop index {index['name']}")
+
+    # let SQLAlchemy create the schema as required
+    decl_base.metadata.create_all(engine)
+
+    engine.execute(f"""
+        insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
+        symbol, order_type, side, price, amount, filled, average, remaining, cost, order_date,
+        order_filled_date, order_update_date)
+        select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
+        symbol, order_type, side, price, amount, filled, null average, remaining, cost, order_date,
+        order_filled_date, order_update_date
+        from {table_back_name}
+        """)
+
+
 def check_migrate(engine, decl_base, previous_tables) -> None:
     """
     Checks if migration is necessary and migrates if necessary
@@ -145,6 +166,11 @@ def check_migrate(engine, decl_base, previous_tables) -> None:
         logger.info('Moving open orders to Orders table.')
         migrate_open_orders_to_trades(engine)
     else:
-        pass
-        # Empty for now - as there is only one iteration of the orders table so far.
-        # table_back_name = get_backup_name(tabs, 'orders_bak')
+        cols_order = inspector.get_columns('orders')
+
+        if not has_column(cols_order, 'average'):
+            tabs = get_table_names_for_table(inspector, 'orders')
+            # Empty for now - as there is only one iteration of the orders table so far.
+            table_back_name = get_backup_name(tabs, 'orders_bak')
+
+            migrate_orders_table(decl_base, inspector, engine, table_back_name, cols)
diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py
index 8d2c9d1d3..428455ff8 100644
--- a/freqtrade/persistence/models.py
+++ b/freqtrade/persistence/models.py
@@ -122,6 +122,7 @@ class Order(_DECL_BASE):
     order_type = Column(String, nullable=True)
     side = Column(String, nullable=True)
     price = Column(Float, nullable=True)
+    average = Column(Float, nullable=True)
     amount = Column(Float, nullable=True)
     filled = Column(Float, nullable=True)
     remaining = Column(Float, nullable=True)
@@ -150,6 +151,7 @@ class Order(_DECL_BASE):
         self.price = order.get('price', self.price)
         self.amount = order.get('amount', self.amount)
         self.filled = order.get('filled', self.filled)
+        self.average = order.get('average', self.average)
         self.remaining = order.get('remaining', self.remaining)
         self.cost = order.get('cost', self.cost)
         if 'timestamp' in order and order['timestamp'] is not None:
diff --git a/tests/test_persistence.py b/tests/test_persistence.py
index 8470e12c2..a38c12470 100644
--- a/tests/test_persistence.py
+++ b/tests/test_persistence.py
@@ -627,6 +627,22 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
     assert orders[1].order_id == 'stop_order_id222'
     assert orders[1].ft_order_side == 'stoploss'
 
+    caplog.clear()
+    # Drop latest column
+    engine.execute("alter table orders drop average")
+    # Run init to test migration
+    init_db(default_conf['db_url'], default_conf['dry_run'])
+
+    assert log_has("trying orders_bak0", caplog)
+
+    orders = Order.query.all()
+    assert len(orders) == 2
+    assert orders[0].order_id == 'buy_order'
+    assert orders[0].ft_order_side == 'buy'
+
+    assert orders[1].order_id == 'stop_order_id222'
+    assert orders[1].ft_order_side == 'stoploss'
+
 
 def test_migrate_mid_state(mocker, default_conf, fee, caplog):
     """

From 41e3233bab3bc4a79b4dc595aa80d88d1c4bf8b0 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 20:44:11 +0200
Subject: [PATCH 201/241] Fix failing test

---
 tests/test_persistence.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/tests/test_persistence.py b/tests/test_persistence.py
index a38c12470..38fe3ff94 100644
--- a/tests/test_persistence.py
+++ b/tests/test_persistence.py
@@ -629,7 +629,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
 
     caplog.clear()
     # Drop latest column
-    engine.execute("alter table orders drop average")
+    engine.execute("alter table orders drop column average")
     # Run init to test migration
     init_db(default_conf['db_url'], default_conf['dry_run'])
 

From a7216e627988e62c7883eef4282785c30b3b5048 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 20:53:38 +0200
Subject: [PATCH 202/241] SQLite does not know drop column

---
 tests/test_persistence.py | 48 ++++++++++++++++++++++++++++++++++++---
 1 file changed, 45 insertions(+), 3 deletions(-)

diff --git a/tests/test_persistence.py b/tests/test_persistence.py
index 38fe3ff94..2949fdfe9 100644
--- a/tests/test_persistence.py
+++ b/tests/test_persistence.py
@@ -7,7 +7,7 @@ from unittest.mock import MagicMock
 
 import arrow
 import pytest
-from sqlalchemy import create_engine
+from sqlalchemy import create_engine, inspect
 
 from freqtrade import constants
 from freqtrade.exceptions import DependencyException, OperationalException
@@ -629,11 +629,53 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
 
     caplog.clear()
     # Drop latest column
-    engine.execute("alter table orders drop column average")
+    engine.execute("alter table orders rename to orders_bak")
+    inspector = inspect(engine)
+
+    for index in inspector.get_indexes('orders_bak'):
+        engine.execute(f"drop index {index['name']}")
+    # Recreate table
+    engine.execute("""
+        CREATE TABLE orders (
+            id INTEGER NOT NULL,
+            ft_trade_id INTEGER,
+            ft_order_side VARCHAR NOT NULL,
+            ft_pair VARCHAR NOT NULL,
+            ft_is_open BOOLEAN NOT NULL,
+            order_id VARCHAR NOT NULL,
+            status VARCHAR,
+            symbol VARCHAR,
+            order_type VARCHAR,
+            side VARCHAR,
+            price FLOAT,
+            amount FLOAT,
+            filled FLOAT,
+            remaining FLOAT,
+            cost FLOAT,
+            order_date DATETIME,
+            order_filled_date DATETIME,
+            order_update_date DATETIME,
+            PRIMARY KEY (id),
+            CONSTRAINT _order_pair_order_id UNIQUE (ft_pair, order_id),
+            FOREIGN KEY(ft_trade_id) REFERENCES trades (id)
+        )
+        """
+    )
+
+    engine.execute("""
+    insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
+        symbol, order_type, side, price, amount, filled, remaining, cost, order_date,
+        order_filled_date, order_update_date)
+        select id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,
+        symbol, order_type, side, price, amount, filled, remaining, cost, order_date,
+        order_filled_date, order_update_date
+        from orders_bak
+    """)
+
     # Run init to test migration
     init_db(default_conf['db_url'], default_conf['dry_run'])
 
-    assert log_has("trying orders_bak0", caplog)
+    assert log_has("trying orders_bak1", caplog)
 
     orders = Order.query.all()
     assert len(orders) == 2

From 44bbc0718e2d568c35e35344a5945a5f8971c796 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Fri, 21 May 2021 20:54:18 +0200
Subject: [PATCH 203/241] CLosing bracket

---
 tests/test_persistence.py | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/tests/test_persistence.py b/tests/test_persistence.py
index 2949fdfe9..669f220bb 100644
--- a/tests/test_persistence.py
+++ b/tests/test_persistence.py
@@ -659,8 +659,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
             CONSTRAINT _order_pair_order_id UNIQUE (ft_pair, order_id),
             FOREIGN KEY(ft_trade_id) REFERENCES trades (id)
         )
-        """
-    )
+        """)
 
     engine.execute("""
     insert into orders ( id, ft_trade_id, ft_order_side, ft_pair, ft_is_open, order_id, status,

From 5285cd69b4d19bdaaeb267e0f24065a078b05787 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 22 May 2021 10:12:03 +0200
Subject: [PATCH 204/241] Add documentation for Postgres and Mysql

---
 docs/sql_cheatsheet.md | 31 ++++++++++++++++++++++++++++++-
 1 file changed, 30 insertions(+), 1 deletion(-)

diff --git a/docs/sql_cheatsheet.md b/docs/sql_cheatsheet.md
index 569af33ff..477396931 100644
--- a/docs/sql_cheatsheet.md
+++ b/docs/sql_cheatsheet.md
@@ -19,7 +19,7 @@ The freqtrade docker image does contain sqlite3, so you can edit the database wi
 
 ``` bash
 docker-compose exec freqtrade /bin/bash
-sqlite3 .sqlite
+sqlite3 .sqlite
 ```
 
 ## Open the DB
@@ -99,3 +99,32 @@ DELETE FROM trades WHERE id = 31;
 
 !!! Warning
     This will remove this trade from the database. Please make sure you got the correct id and **NEVER** run this query without the `where` clause.
+
+## Use a different database system
+
+!!! Warning
+    By using one of the below database systems, you acknowledge that you know how to manage such a system. Freqtrade will not provide any support with setup or maintenance (or backups) of the below database systems.
+
+### PostgreSQL
+
+Freqtrade supports PostgreSQL by using SQLAlchemy, which supports multiple different database systems.
+
+Installation:
+`pip install psycopg2`
+
+Usage:
+`... --db-url postgresql+psycopg2://:@localhost:5432/`
+
+Freqtrade will automatically create the tables necessary upon startup.
+
+If you're running different instances of Freqtrade, you must either setup one database per Instance or use different users / schemas for your connections.
+
+### MariaDB / MySQL
+
+Freqtrade supports MariaDB by using SQLAlchemy, which supports multiple different database systems.
+
+Installation:
+`pip install pymysql`
+
+Usage:
+`... --db-url mysql+pymysql://:@localhost:3306/`

From cc064f157422fe7b35b3208b25e66c34cbd10b3c Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 22 May 2021 10:12:23 +0200
Subject: [PATCH 205/241] String columns should have a max-length defined

otherwise MySql will not work.
---
 freqtrade/persistence/models.py | 36 ++++++++++++++++-----------------
 1 file changed, 18 insertions(+), 18 deletions(-)

diff --git a/freqtrade/persistence/models.py b/freqtrade/persistence/models.py
index 428455ff8..f2e7a10c4 100644
--- a/freqtrade/persistence/models.py
+++ b/freqtrade/persistence/models.py
@@ -112,15 +112,15 @@ class Order(_DECL_BASE):
 
     trade = relationship("Trade", back_populates="orders")
 
-    ft_order_side = Column(String, nullable=False)
-    ft_pair = Column(String, nullable=False)
+    ft_order_side = Column(String(25), nullable=False)
+    ft_pair = Column(String(25), nullable=False)
     ft_is_open = Column(Boolean, nullable=False, default=True, index=True)
 
-    order_id = Column(String, nullable=False, index=True)
-    status = Column(String, nullable=True)
-    symbol = Column(String, nullable=True)
-    order_type = Column(String, nullable=True)
-    side = Column(String, nullable=True)
+    order_id = Column(String(255), nullable=False, index=True)
+    status = Column(String(255), nullable=True)
+    symbol = Column(String(25), nullable=True)
+    order_type = Column(String(50), nullable=True)
+    side = Column(String(25), nullable=True)
     price = Column(Float, nullable=True)
     average = Column(Float, nullable=True)
     amount = Column(Float, nullable=True)
@@ -658,15 +658,15 @@ class Trade(_DECL_BASE, LocalTrade):
 
     orders = relationship("Order", order_by="Order.id", cascade="all, delete-orphan")
 
-    exchange = Column(String, nullable=False)
-    pair = Column(String, nullable=False, index=True)
+    exchange = Column(String(25), nullable=False)
+    pair = Column(String(25), nullable=False, index=True)
     is_open = Column(Boolean, nullable=False, default=True, index=True)
     fee_open = Column(Float, nullable=False, default=0.0)
     fee_open_cost = Column(Float, nullable=True)
-    fee_open_currency = Column(String, nullable=True)
+    fee_open_currency = Column(String(25), nullable=True)
     fee_close = Column(Float, nullable=False, default=0.0)
     fee_close_cost = Column(Float, nullable=True)
-    fee_close_currency = Column(String, nullable=True)
+    fee_close_currency = Column(String(25), nullable=True)
     open_rate = Column(Float)
     open_rate_requested = Column(Float)
     # open_trade_value - calculated via _calc_open_trade_value
@@ -680,7 +680,7 @@ class Trade(_DECL_BASE, LocalTrade):
     amount_requested = Column(Float)
     open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
     close_date = Column(DateTime)
-    open_order_id = Column(String)
+    open_order_id = Column(String(255))
     # absolute value of the stop loss
     stop_loss = Column(Float, nullable=True, default=0.0)
     # percentage value of the stop loss
@@ -690,16 +690,16 @@ class Trade(_DECL_BASE, LocalTrade):
     # percentage value of the initial stop loss
     initial_stop_loss_pct = Column(Float, nullable=True)
     # stoploss order id which is on exchange
-    stoploss_order_id = Column(String, nullable=True, index=True)
+    stoploss_order_id = Column(String(255), nullable=True, index=True)
     # last update time of the stoploss order on exchange
     stoploss_last_update = Column(DateTime, nullable=True)
     # absolute value of the highest reached price
     max_rate = Column(Float, nullable=True, default=0.0)
     # Lowest price reached
     min_rate = Column(Float, nullable=True)
-    sell_reason = Column(String, nullable=True)
-    sell_order_status = Column(String, nullable=True)
-    strategy = Column(String, nullable=True)
+    sell_reason = Column(String(100), nullable=True)
+    sell_order_status = Column(String(100), nullable=True)
+    strategy = Column(String(100), nullable=True)
     timeframe = Column(Integer, nullable=True)
 
     def __init__(self, **kwargs):
@@ -856,8 +856,8 @@ class PairLock(_DECL_BASE):
 
     id = Column(Integer, primary_key=True)
 
-    pair = Column(String, nullable=False, index=True)
-    reason = Column(String, nullable=True)
+    pair = Column(String(25), nullable=False, index=True)
+    reason = Column(String(255), nullable=True)
     # Time the pair was locked (start time)
     lock_time = Column(DateTime, nullable=False)
     # Time until the pair is locked (end time)

From a0921ec75342f036b2f30c5a22478181f53820a0 Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Mon, 17 May 2021 11:31:19 +0200
Subject: [PATCH 206/241] Add backoff timer for coingecko API

Set a future timestamp when we should retry getting coingecko data.

This fixes conversion from stake to fiat when running multiple bots
as we don't simply accept the 429 error from Coingecko but handle it.
---
 freqtrade/rpc/fiat_convert.py | 15 +++++++++++++--
 1 file changed, 13 insertions(+), 2 deletions(-)

diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py
index 380070deb..908f7adf0 100644
--- a/freqtrade/rpc/fiat_convert.py
+++ b/freqtrade/rpc/fiat_convert.py
@@ -4,10 +4,12 @@ e.g BTC to USD
 """
 
 import logging
-from typing import Dict
+import datetime
 
+from typing import Dict
 from cachetools.ttl import TTLCache
 from pycoingecko import CoinGeckoAPI
+from requests.exceptions import RequestException
 
 from freqtrade.constants import SUPPORTED_FIAT
 
@@ -25,6 +27,7 @@ class CryptoToFiatConverter:
     _coingekko: CoinGeckoAPI = None
 
     _cryptomap: Dict = {}
+    _backoff = int
 
     def __new__(cls):
         """
@@ -47,8 +50,13 @@ class CryptoToFiatConverter:
     def _load_cryptomap(self) -> None:
         try:
             coinlistings = self._coingekko.get_coins_list()
-            # Create mapping table from synbol to coingekko_id
+            # Create mapping table from symbol to coingekko_id
             self._cryptomap = {x['symbol']: x['id'] for x in coinlistings}
+        except RequestException as request_exception:
+            if "429" in str(request_exception):
+                logger.warning("Too many requests for Coingecko API, backing off and trying again later.")
+                # Set backoff timestamp to 60 seconds in the future
+                self._backoff = datetime.datetime.now().timestamp() + 60
         except (Exception) as exception:
             logger.error(
                 f"Could not load FIAT Cryptocurrency map for the following problem: {exception}")
@@ -127,6 +135,9 @@ class CryptoToFiatConverter:
         if crypto_symbol == fiat_symbol:
             return 1.0
 
+        if self._cryptomap == {} and self._backoff <= datetime.datetime.now().timestamp():
+            self._load_cryptomap()
+
         if crypto_symbol not in self._cryptomap:
             # return 0 for unsupported stake currencies (fiat-convert should not break the bot)
             logger.warning("unsupported crypto-symbol %s - returning 0.0", crypto_symbol)

From 8842e0d161fec054bfec2f2ec4d3e2455dd3a9ef Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Mon, 17 May 2021 12:05:25 +0200
Subject: [PATCH 207/241] Fix flake8 error in fiat_convert

---
 freqtrade/rpc/fiat_convert.py | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py
index 908f7adf0..2088b0258 100644
--- a/freqtrade/rpc/fiat_convert.py
+++ b/freqtrade/rpc/fiat_convert.py
@@ -54,7 +54,8 @@ class CryptoToFiatConverter:
             self._cryptomap = {x['symbol']: x['id'] for x in coinlistings}
         except RequestException as request_exception:
             if "429" in str(request_exception):
-                logger.warning("Too many requests for Coingecko API, backing off and trying again later.")
+                logger.warning(
+                    "Too many requests for Coingecko API, backing off and trying again later.")
                 # Set backoff timestamp to 60 seconds in the future
                 self._backoff = datetime.datetime.now().timestamp() + 60
         except (Exception) as exception:

From ab6bfbad12791f65f784c9cb2ba39998269d7cfb Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Sat, 22 May 2021 11:51:43 +0200
Subject: [PATCH 208/241] Handle RequestExceptions that are not 429s in
 _load_cryptomap

---
 freqtrade/rpc/fiat_convert.py | 7 +++++++
 1 file changed, 7 insertions(+)

diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py
index 2088b0258..5b73663c8 100644
--- a/freqtrade/rpc/fiat_convert.py
+++ b/freqtrade/rpc/fiat_convert.py
@@ -58,6 +58,13 @@ class CryptoToFiatConverter:
                     "Too many requests for Coingecko API, backing off and trying again later.")
                 # Set backoff timestamp to 60 seconds in the future
                 self._backoff = datetime.datetime.now().timestamp() + 60
+                return
+            # If the request is not a 429 error we want to raise the normal error
+            logger.error(
+                "Could not load FIAT Cryptocurrency map for the following problem: {}".format(
+                  request_exception
+                )
+            )
         except (Exception) as exception:
             logger.error(
                 f"Could not load FIAT Cryptocurrency map for the following problem: {exception}")

From 6e05f856b470c26e5682bf8495e34bac0e78b042 Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Sat, 22 May 2021 11:55:03 +0200
Subject: [PATCH 209/241] Abort _find_price when cryptomap is empty after retry

---
 freqtrade/rpc/fiat_convert.py | 3 +++
 1 file changed, 3 insertions(+)

diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py
index 5b73663c8..4987f8ce1 100644
--- a/freqtrade/rpc/fiat_convert.py
+++ b/freqtrade/rpc/fiat_convert.py
@@ -145,6 +145,9 @@ class CryptoToFiatConverter:
 
         if self._cryptomap == {} and self._backoff <= datetime.datetime.now().timestamp():
             self._load_cryptomap()
+            # return 0.0 if we still dont have data to check, no reason to proceed
+            if self._cryptomap == {}:
+                return 0.0
 
         if crypto_symbol not in self._cryptomap:
             # return 0 for unsupported stake currencies (fiat-convert should not break the bot)

From e4ca944597099ca7505d22f333c7759ef2971a09 Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Sat, 22 May 2021 12:04:24 +0200
Subject: [PATCH 210/241] Add tests for coingecko backoff

---
 tests/rpc/test_fiat_convert.py | 26 +++++++++++++++++++++++++-
 1 file changed, 25 insertions(+), 1 deletion(-)

diff --git a/tests/rpc/test_fiat_convert.py b/tests/rpc/test_fiat_convert.py
index 2d43addff..7f345a1a2 100644
--- a/tests/rpc/test_fiat_convert.py
+++ b/tests/rpc/test_fiat_convert.py
@@ -3,6 +3,7 @@
 
 from unittest.mock import MagicMock
 
+import datetime
 import pytest
 from requests.exceptions import RequestException
 
@@ -21,6 +22,12 @@ def test_fiat_convert_is_supported(mocker):
 def test_fiat_convert_find_price(mocker):
     fiat_convert = CryptoToFiatConverter()
 
+    fiat_convert._cryptomap = {}
+    fiat_convert._backoff = 0
+    mocker.patch('freqtrade.rpc.fiat_convert.CryptoToFiatConverter._load_cryptomap',
+                 return_value=None)
+    assert fiat_convert.get_price(crypto_symbol='BTC', fiat_symbol='EUR') == 0.0
+
     with pytest.raises(ValueError, match=r'The fiat ABC is not supported.'):
         fiat_convert._find_price(crypto_symbol='BTC', fiat_symbol='ABC')
 
@@ -115,6 +122,24 @@ def test_fiat_convert_without_network(mocker):
     CryptoToFiatConverter._coingekko = cmc_temp
 
 
+def test_fiat_too_many_requests_response(mocker, caplog):
+    # Because CryptoToFiatConverter is a Singleton we reset the listings
+    req_exception = "429 Too Many Requests"
+    listmock = MagicMock(return_value="{}", side_effect=RequestException(req_exception))
+    mocker.patch.multiple(
+        'freqtrade.rpc.fiat_convert.CoinGeckoAPI',
+        get_coins_list=listmock,
+    )
+    # with pytest.raises(RequestEsxception):
+    fiat_convert = CryptoToFiatConverter()
+    fiat_convert._cryptomap = {}
+    fiat_convert._load_cryptomap()
+
+    length_cryptomap = len(fiat_convert._cryptomap)
+    assert length_cryptomap == 0
+    assert fiat_convert._backoff > datetime.datetime.now().timestamp()
+    assert log_has('Too many requests for Coingecko API, backing off and trying again later.', caplog)
+
 def test_fiat_invalid_response(mocker, caplog):
     # Because CryptoToFiatConverter is a Singleton we reset the listings
     listmock = MagicMock(return_value="{'novalidjson':DEADBEEFf}")
@@ -132,7 +157,6 @@ def test_fiat_invalid_response(mocker, caplog):
     assert log_has_re('Could not load FIAT Cryptocurrency map for the following problem: .*',
                       caplog)
 
-
 def test_convert_amount(mocker):
     mocker.patch('freqtrade.rpc.fiat_convert.CryptoToFiatConverter.get_price', return_value=12345.0)
 

From 21d986710dfabbcd40fe8e4555731974cccc3188 Mon Sep 17 00:00:00 2001
From: JoeSchr 
Date: Sat, 22 May 2021 13:26:59 +0200
Subject: [PATCH 211/241] Fix missing `not` in `empty` check

See discussing here: https://github.com/freqtrade/freqtrade/pull/4963#discussion_r633457596
seems that request was only partially implemented
---
 docs/strategy-advanced.md | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index 52879c7b4..cb759eb2f 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -65,7 +65,7 @@ class AwesomeStrategy(IStrategy):
         # Look up trade candle.
         trade_candle = dataframe.loc[dataframe['date'] == trade_date]
         # trade_candle may be empty for trades that just opened as it is still incomplete.
-        if trade_candle.empty:
+        if not trade_candle.empty:
             trade_candle = trade_candle.squeeze()
             # <...>
 ```

From f8cdd6475cc60d15791db7e0fd6de665496f2812 Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Sat, 22 May 2021 13:43:33 +0200
Subject: [PATCH 212/241] Reduce warnings when waiting for coingecko backoff

---
 freqtrade/rpc/fiat_convert.py | 11 +++++++----
 1 file changed, 7 insertions(+), 4 deletions(-)

diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py
index 4987f8ce1..c4c5b5e25 100644
--- a/freqtrade/rpc/fiat_convert.py
+++ b/freqtrade/rpc/fiat_convert.py
@@ -143,10 +143,13 @@ class CryptoToFiatConverter:
         if crypto_symbol == fiat_symbol:
             return 1.0
 
-        if self._cryptomap == {} and self._backoff <= datetime.datetime.now().timestamp():
-            self._load_cryptomap()
-            # return 0.0 if we still dont have data to check, no reason to proceed
-            if self._cryptomap == {}:
+        if self._cryptomap == {}:
+            if self._backoff <= datetime.datetime.now().timestamp():
+                self._load_cryptomap()
+                # return 0.0 if we still dont have data to check, no reason to proceed
+                if self._cryptomap == {}:
+                    return 0.0
+            else:
                 return 0.0
 
         if crypto_symbol not in self._cryptomap:

From be1385617152a95af6764c4100782f33c6ea07ab Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Sat, 22 May 2021 13:43:48 +0200
Subject: [PATCH 213/241] Fix flake8 error in test_fiat_convert

---
 tests/rpc/test_fiat_convert.py | 7 ++++++-
 1 file changed, 6 insertions(+), 1 deletion(-)

diff --git a/tests/rpc/test_fiat_convert.py b/tests/rpc/test_fiat_convert.py
index 7f345a1a2..e8b05024f 100644
--- a/tests/rpc/test_fiat_convert.py
+++ b/tests/rpc/test_fiat_convert.py
@@ -138,7 +138,11 @@ def test_fiat_too_many_requests_response(mocker, caplog):
     length_cryptomap = len(fiat_convert._cryptomap)
     assert length_cryptomap == 0
     assert fiat_convert._backoff > datetime.datetime.now().timestamp()
-    assert log_has('Too many requests for Coingecko API, backing off and trying again later.', caplog)
+    assert log_has(
+              'Too many requests for Coingecko API, backing off and trying again later.',
+              caplog
+            )
+
 
 def test_fiat_invalid_response(mocker, caplog):
     # Because CryptoToFiatConverter is a Singleton we reset the listings
@@ -157,6 +161,7 @@ def test_fiat_invalid_response(mocker, caplog):
     assert log_has_re('Could not load FIAT Cryptocurrency map for the following problem: .*',
                       caplog)
 
+
 def test_convert_amount(mocker):
     mocker.patch('freqtrade.rpc.fiat_convert.CryptoToFiatConverter.get_price', return_value=12345.0)
 

From 25cc4eae96b0a6fd18047ce98da9a8aef6073b76 Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Fri, 21 May 2021 12:31:16 +0300
Subject: [PATCH 214/241] Fix tests that broke after table formatting changed.

---
 freqtrade/optimize/optimize_reports.py  |  2 +-
 tests/optimize/test_optimize_reports.py | 52 ++++++++++++-------------
 2 files changed, 25 insertions(+), 29 deletions(-)

diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index 0474ec1bf..bda531d0d 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -508,7 +508,7 @@ def text_table_strategy(strategy_results, stake_currency: str) -> str:
     headers = _get_line_header('Strategy', stake_currency)
     # _get_line_header() is also used for per-pair summary. Per-pair drawdown is mostly useless
     # therefore we slip this column in only for strategy summary here.
-    headers.append(f'Drawdown')
+    headers.append('Drawdown')
 
     # Align drawdown string on the center two space separator.
     drawdown = [f'{t["max_drawdown_per"]:.2f}' for t in strategy_results]
diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py
index e87cec6fa..e0ff2f219 100644
--- a/tests/optimize/test_optimize_reports.py
+++ b/tests/optimize/test_optimize_reports.py
@@ -39,14 +39,14 @@ def test_text_table_bt_results():
     )
 
     result_str = (
-        '|    Pair |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |'
-        '   Tot Profit % |   Avg Duration |   Wins |   Draws |   Losses |\n'
-        '|---------+--------+----------------+----------------+------------------+'
-        '----------------+----------------+--------+---------+----------|\n'
-        '| ETH/BTC |      2 |          15.00 |          30.00 |       0.60000000 |'
-        '          15.00 |        0:20:00 |      2 |       0 |        0 |\n'
-        '|   TOTAL |      2 |          15.00 |          30.00 |       0.60000000 |'
-        '          15.00 |        0:20:00 |      2 |       0 |        0 |'
+        '|    Pair |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % |'
+        '   Avg Duration |   Win  Draw  Loss  Win% |\n'
+        '|---------+--------+----------------+----------------+------------------+----------------+'
+        '----------------+-------------------------|\n'
+        '| ETH/BTC |      2 |          15.00 |          30.00 |       0.60000000 |          15.00 |'
+        '        0:20:00 |     2     0     0   100 |\n'
+        '|   TOTAL |      2 |          15.00 |          30.00 |       0.60000000 |          15.00 |'
+        '        0:20:00 |     2     0     0   100 |'
     )
 
     pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',
@@ -271,14 +271,14 @@ def test_text_table_sell_reason():
     )
 
     result_str = (
-        '|   Sell Reason |   Sells |   Wins |   Draws |   Losses |'
-        '   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % |\n'
-        '|---------------+---------+--------+---------+----------+'
-        '----------------+----------------+------------------+----------------|\n'
-        '|           roi |       2 |      2 |       0 |        0 |'
-        '             15 |             30 |              0.6 |             15 |\n'
-        '|     stop_loss |       1 |      0 |       0 |        1 |'
-        '            -10 |            -10 |             -0.2 |             -5 |'
+        '|   Sell Reason |   Sells |   Win  Draws  Loss  Win% |   Avg Profit % |   Cum Profit % |'
+        '   Tot Profit BTC |   Tot Profit % |\n'
+        '|---------------+---------+--------------------------+----------------+----------------+'
+        '------------------+----------------|\n'
+        '|           roi |       2 |      2     0     0   100 |             15 |             30 |'
+        '              0.6 |             15 |\n'
+        '|     stop_loss |       1 |      0     0     1     0 |            -10 |            -10 |'
+        '             -0.2 |             -5 |'
     )
 
     sell_reason_stats = generate_sell_reason_stats(max_open_trades=2,
@@ -356,18 +356,14 @@ def test_text_table_strategy(default_conf):
     ), 'config': default_conf}
 
     result_str = (
-        '|      Strategy |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC '
-        '|   Tot Profit % |   Avg Duration |   Wins |   Draws |   Losses |   Drawdown BTC '
-        '|   Drawdown % |\n'
-        '|---------------+--------+----------------+----------------+------------------'
-        '+----------------+----------------+--------+---------+----------+----------------'
-        '+--------------|\n'
-        '| TestStrategy1 |      3 |          20.00 |          60.00 |       1.10000000 '
-        '|          36.67 |        0:17:00 |      3 |       0 |        0 |              0 '
-        '|            0 |\n'
-        '| TestStrategy2 |      3 |          30.00 |          90.00 |       1.30000000 '
-        '|          43.33 |        0:20:00 |      3 |       0 |        0 |              0 '
-        '|            0 |'
+        '|      Strategy |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |'
+        '   Tot Profit % |   Avg Duration |   Win  Draw  Loss  Win% |              Drawdown |\n'
+        '|---------------+--------+----------------+----------------+------------------+'
+        '----------------+----------------+-------------------------+-----------------------|\n'
+        '| TestStrategy1 |      3 |          20.00 |          60.00 |       1.10000000 |'
+        '          36.67 |        0:17:00 |     3     0     0   100 | 0.00000000 BTC  0.00% |\n'
+        '| TestStrategy2 |      3 |          30.00 |          90.00 |       1.30000000 |'
+        '          43.33 |        0:20:00 |     3     0     0   100 | 0.00000000 BTC  0.00% |'
     )
 
     strategy_results = generate_strategy_comparison(all_results=results)

From 08c707e0cf601210eb206820a2c03091a1317a2f Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 22 May 2021 15:38:13 +0200
Subject: [PATCH 215/241] Update docs with new format

---
 docs/backtesting.md | 60 +++++++++++++++++++++++----------------------
 1 file changed, 31 insertions(+), 29 deletions(-)

diff --git a/docs/backtesting.md b/docs/backtesting.md
index 5ee0b8a49..e720206bb 100644
--- a/docs/backtesting.md
+++ b/docs/backtesting.md
@@ -237,29 +237,29 @@ The most important in the backtesting is to understand the result.
 A backtesting result will look like that:
 
 ```
-========================================================= BACKTESTING REPORT ========================================================
-| Pair     |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % | Avg Duration   |  Wins |  Draws |  Losses |
-|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|--------:|
-| ADA/BTC  |     35 |          -0.11 |          -3.88 |      -0.00019428 |          -1.94 | 4:35:00        |    14 |      0 |      21 |
-| ARK/BTC  |     11 |          -0.41 |          -4.52 |      -0.00022647 |          -2.26 | 2:03:00        |     3 |      0 |       8 |
-| BTS/BTC  |     32 |           0.31 |           9.78 |       0.00048938 |           4.89 | 5:05:00        |    18 |      0 |      14 |
-| DASH/BTC |     13 |          -0.08 |          -1.07 |      -0.00005343 |          -0.53 | 4:39:00        |     6 |      0 |       7 |
-| ENG/BTC  |     18 |           1.36 |          24.54 |       0.00122807 |          12.27 | 2:50:00        |     8 |      0 |      10 |
-| EOS/BTC  |     36 |           0.08 |           3.06 |       0.00015304 |           1.53 | 3:34:00        |    16 |      0 |      20 |
-| ETC/BTC  |     26 |           0.37 |           9.51 |       0.00047576 |           4.75 | 6:14:00        |    11 |      0 |      15 |
-| ETH/BTC  |     33 |           0.30 |           9.96 |       0.00049856 |           4.98 | 7:31:00        |    16 |      0 |      17 |
-| IOTA/BTC |     32 |           0.03 |           1.09 |       0.00005444 |           0.54 | 3:12:00        |    14 |      0 |      18 |
-| LSK/BTC  |     15 |           1.75 |          26.26 |       0.00131413 |          13.13 | 2:58:00        |     6 |      0 |       9 |
-| LTC/BTC  |     32 |          -0.04 |          -1.38 |      -0.00006886 |          -0.69 | 4:49:00        |    11 |      0 |      21 |
-| NANO/BTC |     17 |           1.26 |          21.39 |       0.00107058 |          10.70 | 1:55:00        |    10 |      0 |       7 |
-| NEO/BTC  |     23 |           0.82 |          18.97 |       0.00094936 |           9.48 | 2:59:00        |    10 |      0 |      13 |
-| REQ/BTC  |      9 |           1.17 |          10.54 |       0.00052734 |           5.27 | 3:47:00        |     4 |      0 |       5 |
-| XLM/BTC  |     16 |           1.22 |          19.54 |       0.00097800 |           9.77 | 3:15:00        |     7 |      0 |       9 |
-| XMR/BTC  |     23 |          -0.18 |          -4.13 |      -0.00020696 |          -2.07 | 5:30:00        |    12 |      0 |      11 |
-| XRP/BTC  |     35 |           0.66 |          22.96 |       0.00114897 |          11.48 | 3:49:00        |    12 |      0 |      23 |
-| ZEC/BTC  |     22 |          -0.46 |         -10.18 |      -0.00050971 |          -5.09 | 2:22:00        |     7 |      0 |      15 |
-| TOTAL    |    429 |           0.36 |         152.41 |       0.00762792 |          76.20 | 4:12:00        |   186 |      0 |     243 |
-========================================================= SELL REASON STATS =========================================================
+========================================================= BACKTESTING REPORT ==========================================================
+| Pair     |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % | Avg Duration |  Wins Draws Loss   Win%  |
+|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:-------------|-------------------------:|
+| ADA/BTC  |     35 |          -0.11 |          -3.88 |      -0.00019428 |          -1.94 | 4:35:00      |    14     0    21   40.0 |
+| ARK/BTC  |     11 |          -0.41 |          -4.52 |      -0.00022647 |          -2.26 | 2:03:00      |     3     0     8   27.3 |
+| BTS/BTC  |     32 |           0.31 |           9.78 |       0.00048938 |           4.89 | 5:05:00      |    18     0    14   56.2 |
+| DASH/BTC |     13 |          -0.08 |          -1.07 |      -0.00005343 |          -0.53 | 4:39:00      |     6     0     7   46.2 |
+| ENG/BTC  |     18 |           1.36 |          24.54 |       0.00122807 |          12.27 | 2:50:00      |     8     0    10   44.4 |
+| EOS/BTC  |     36 |           0.08 |           3.06 |       0.00015304 |           1.53 | 3:34:00      |    16     0    20   44.4 |
+| ETC/BTC  |     26 |           0.37 |           9.51 |       0.00047576 |           4.75 | 6:14:00      |    11     0    15   42.3 |
+| ETH/BTC  |     33 |           0.30 |           9.96 |       0.00049856 |           4.98 | 7:31:00      |    16     0    17   48.5 |
+| IOTA/BTC |     32 |           0.03 |           1.09 |       0.00005444 |           0.54 | 3:12:00      |    14     0    18   43.8 |
+| LSK/BTC  |     15 |           1.75 |          26.26 |       0.00131413 |          13.13 | 2:58:00      |     6     0     9   40.0 |
+| LTC/BTC  |     32 |          -0.04 |          -1.38 |      -0.00006886 |          -0.69 | 4:49:00      |    11     0    21   34.4 |
+| NANO/BTC |     17 |           1.26 |          21.39 |       0.00107058 |          10.70 | 1:55:00      |    10     0     7   58.5 |
+| NEO/BTC  |     23 |           0.82 |          18.97 |       0.00094936 |           9.48 | 2:59:00      |    10     0    13   43.5 |
+| REQ/BTC  |      9 |           1.17 |          10.54 |       0.00052734 |           5.27 | 3:47:00      |     4     0     5   44.4 |
+| XLM/BTC  |     16 |           1.22 |          19.54 |       0.00097800 |           9.77 | 3:15:00      |     7     0     9   43.8 |
+| XMR/BTC  |     23 |          -0.18 |          -4.13 |      -0.00020696 |          -2.07 | 5:30:00      |    12     0    11   52.2 |
+| XRP/BTC  |     35 |           0.66 |          22.96 |       0.00114897 |          11.48 | 3:49:00      |    12     0    23   34.3 |
+| ZEC/BTC  |     22 |          -0.46 |         -10.18 |      -0.00050971 |          -5.09 | 2:22:00      |     7     0    15   31.8 |
+| TOTAL    |    429 |           0.36 |         152.41 |       0.00762792 |          76.20 | 4:12:00      |   186     0   243   43.4 |
+========================================================= SELL REASON STATS ==========================================================
 | Sell Reason        |   Sells |  Wins |  Draws |  Losses |
 |:-------------------|--------:|------:|-------:|--------:|
 | trailing_stop_loss |     205 |   150 |      0 |      55 |
@@ -267,11 +267,11 @@ A backtesting result will look like that:
 | sell_signal        |      56 |    36 |      0 |      20 |
 | force_sell         |       2 |     0 |      0 |       2 |
 ====================================================== LEFT OPEN TRADES REPORT ======================================================
-| Pair     |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % | Avg Duration   |  Wins |  Draws |  Losses |
-|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|------:|-------:|--------:|
-| ADA/BTC  |      1 |           0.89 |           0.89 |       0.00004434 |           0.44 | 6:00:00        |     1 |      0 |       0 |
-| LTC/BTC  |      1 |           0.68 |           0.68 |       0.00003421 |           0.34 | 2:00:00        |     1 |      0 |       0 |
-| TOTAL    |      2 |           0.78 |           1.57 |       0.00007855 |           0.78 | 4:00:00        |     2 |      0 |       0 |
+| Pair     |   Buys |   Avg Profit % |   Cum Profit % |   Tot Profit BTC |   Tot Profit % | Avg Duration   |  Win Draw Loss Win% |
+|:---------|-------:|---------------:|---------------:|-----------------:|---------------:|:---------------|--------------------:|
+| ADA/BTC  |      1 |           0.89 |           0.89 |       0.00004434 |           0.44 | 6:00:00        |    1    0    0  100 |
+| LTC/BTC  |      1 |           0.68 |           0.68 |       0.00003421 |           0.34 | 2:00:00        |    1    0    0  100 |
+| TOTAL    |      2 |           0.78 |           1.57 |       0.00007855 |           0.78 | 4:00:00        |    2    0    0  100 |
 =============== SUMMARY METRICS ===============
 | Metric                | Value               |
 |-----------------------+---------------------|
@@ -297,6 +297,7 @@ A backtesting result will look like that:
 | Days win/draw/lose    | 12 / 82 / 25        |
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
+| Zero Duration Trades  | 4.6% (20)           |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -318,7 +319,7 @@ The last line will give you the overall performance of your strategy,
 here:
 
 ```
-| TOTAL    |         429 |           0.36 |         152.41 |       0.00762792 |          76.20 | 4:12:00        |      186 |    243 |
+| TOTAL    |    429 |           0.36 |         152.41 |       0.00762792 |          76.20 | 4:12:00      |   186     0   243   43.4 |
 ```
 
 The bot has made `429` trades for an average duration of `4:12:00`, with a performance of `76.20%` (profit), that means it has
@@ -384,6 +385,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Days win/draw/lose    | 12 / 82 / 25        |
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
+| Zero Duration Trades  | 4.6% (20)           |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |

From 0693458507953787bff2599d1f0117c58049cc0a Mon Sep 17 00:00:00 2001
From: "A. Schueler" 
Date: Sat, 22 May 2021 16:26:58 +0200
Subject: [PATCH 216/241] Update freqtrade/rpc/fiat_convert.py

---
 freqtrade/rpc/fiat_convert.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py
index c4c5b5e25..116f9b156 100644
--- a/freqtrade/rpc/fiat_convert.py
+++ b/freqtrade/rpc/fiat_convert.py
@@ -27,7 +27,7 @@ class CryptoToFiatConverter:
     _coingekko: CoinGeckoAPI = None
 
     _cryptomap: Dict = {}
-    _backoff = int
+    _backoff: int = 0
 
     def __new__(cls):
         """

From a7bd8b0aa55a824506cfa2aa5451bb7341f10752 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 22 May 2021 17:03:16 +0200
Subject: [PATCH 217/241] Fix exception in plotting when no trades where
 generated

as seen in #4981
---
 freqtrade/data/btanalysis.py | 50 +++++++++++++++++++-----------------
 freqtrade/plot/plotting.py   | 10 +++++---
 2 files changed, 33 insertions(+), 27 deletions(-)

diff --git a/freqtrade/data/btanalysis.py b/freqtrade/data/btanalysis.py
index e07b0a40f..e7af5eab8 100644
--- a/freqtrade/data/btanalysis.py
+++ b/freqtrade/data/btanalysis.py
@@ -156,33 +156,35 @@ def load_backtest_data(filename: Union[Path, str], strategy: Optional[str] = Non
 
         data = data['strategy'][strategy]['trades']
         df = pd.DataFrame(data)
-        df['open_date'] = pd.to_datetime(df['open_date'],
-                                         utc=True,
-                                         infer_datetime_format=True
-                                         )
-        df['close_date'] = pd.to_datetime(df['close_date'],
-                                          utc=True,
-                                          infer_datetime_format=True
-                                          )
+        if not df.empty:
+            df['open_date'] = pd.to_datetime(df['open_date'],
+                                             utc=True,
+                                             infer_datetime_format=True
+                                             )
+            df['close_date'] = pd.to_datetime(df['close_date'],
+                                              utc=True,
+                                              infer_datetime_format=True
+                                              )
     else:
         # old format - only with lists.
         df = pd.DataFrame(data, columns=BT_DATA_COLUMNS_OLD)
-
-        df['open_date'] = pd.to_datetime(df['open_date'],
-                                         unit='s',
-                                         utc=True,
-                                         infer_datetime_format=True
-                                         )
-        df['close_date'] = pd.to_datetime(df['close_date'],
-                                          unit='s',
-                                          utc=True,
-                                          infer_datetime_format=True
-                                          )
-        # Create compatibility with new format
-        df['profit_abs'] = df['close_rate'] - df['open_rate']
-    if 'profit_ratio' not in df.columns:
-        df['profit_ratio'] = df['profit_percent']
-    df = df.sort_values("open_date").reset_index(drop=True)
+        if not df.empty:
+            df['open_date'] = pd.to_datetime(df['open_date'],
+                                             unit='s',
+                                             utc=True,
+                                             infer_datetime_format=True
+                                             )
+            df['close_date'] = pd.to_datetime(df['close_date'],
+                                              unit='s',
+                                              utc=True,
+                                              infer_datetime_format=True
+                                              )
+            # Create compatibility with new format
+            df['profit_abs'] = df['close_rate'] - df['open_rate']
+    if not df.empty:
+        if 'profit_ratio' not in df.columns:
+            df['profit_ratio'] = df['profit_percent']
+        df = df.sort_values("open_date").reset_index(drop=True)
     return df
 
 
diff --git a/freqtrade/plot/plotting.py b/freqtrade/plot/plotting.py
index d5a729ee1..bb4283406 100644
--- a/freqtrade/plot/plotting.py
+++ b/freqtrade/plot/plotting.py
@@ -77,7 +77,8 @@ def init_plotscript(config, markets: List, startup_candles: int = 0):
         )
     except ValueError as e:
         raise OperationalException(e) from e
-    trades = trim_dataframe(trades, timerange, 'open_date')
+    if not trades.empty:
+        trades = trim_dataframe(trades, timerange, 'open_date')
 
     return {"ohlcv": data,
             "trades": trades,
@@ -540,8 +541,11 @@ def load_and_plot_trades(config: Dict[str, Any]):
 
         df_analyzed = strategy.analyze_ticker(data, {'pair': pair})
         df_analyzed = trim_dataframe(df_analyzed, timerange)
-        trades_pair = trades.loc[trades['pair'] == pair]
-        trades_pair = extract_trades_of_period(df_analyzed, trades_pair)
+        if not trades.empty:
+            trades_pair = trades.loc[trades['pair'] == pair]
+            trades_pair = extract_trades_of_period(df_analyzed, trades_pair)
+        else:
+            trades_pair = trades
 
         fig = generate_candlestick_graph(
             pair=pair,

From 765c824bfcd913ef072ed135ee022dba6e275575 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sat, 22 May 2021 17:15:35 +0200
Subject: [PATCH 218/241] isort

---
 freqtrade/rpc/fiat_convert.py  | 6 +++---
 tests/rpc/test_fiat_convert.py | 2 +-
 2 files changed, 4 insertions(+), 4 deletions(-)

diff --git a/freqtrade/rpc/fiat_convert.py b/freqtrade/rpc/fiat_convert.py
index 116f9b156..5ae20afa1 100644
--- a/freqtrade/rpc/fiat_convert.py
+++ b/freqtrade/rpc/fiat_convert.py
@@ -3,10 +3,10 @@ Module that define classes to convert Crypto-currency to FIAT
 e.g BTC to USD
 """
 
-import logging
 import datetime
-
+import logging
 from typing import Dict
+
 from cachetools.ttl import TTLCache
 from pycoingecko import CoinGeckoAPI
 from requests.exceptions import RequestException
@@ -27,7 +27,7 @@ class CryptoToFiatConverter:
     _coingekko: CoinGeckoAPI = None
 
     _cryptomap: Dict = {}
-    _backoff: int = 0
+    _backoff: float = 0.0
 
     def __new__(cls):
         """
diff --git a/tests/rpc/test_fiat_convert.py b/tests/rpc/test_fiat_convert.py
index e8b05024f..5174f9416 100644
--- a/tests/rpc/test_fiat_convert.py
+++ b/tests/rpc/test_fiat_convert.py
@@ -1,9 +1,9 @@
 # pragma pylint: disable=missing-docstring, too-many-arguments, too-many-ancestors,
 # pragma pylint: disable=protected-access, C0103
 
+import datetime
 from unittest.mock import MagicMock
 
-import datetime
 import pytest
 from requests.exceptions import RequestException
 

From db985cbc2ea4bfa29b2d605ca6c2c0a0d152e579 Mon Sep 17 00:00:00 2001
From: Rokas Kupstys 
Date: Sun, 23 May 2021 09:24:50 +0300
Subject: [PATCH 219/241] Fix hyperopt-show failing to display old results with
 missing new fields.

---
 freqtrade/optimize/optimize_reports.py | 17 +++++++++++++----
 1 file changed, 13 insertions(+), 4 deletions(-)

diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index bda531d0d..ce6758210 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -531,8 +531,18 @@ def text_table_add_metrics(strat_results: Dict) -> str:
     if len(strat_results['trades']) > 0:
         best_trade = max(strat_results['trades'], key=lambda x: x['profit_ratio'])
         worst_trade = min(strat_results['trades'], key=lambda x: x['profit_ratio'])
-        zero_duration_trades_percent =\
-            100.0 / strat_results['total_trades'] * strat_results['zero_duration_trades']
+
+        # Newly added fields should be ignored if they are missing in strat_results. hyperopt-show
+        # command stores these results and newer version of freqtrade must be able to handle old
+        # results with missing new fields.
+        zero_duration_trades = '--'
+
+        if 'zero_duration_trades' in strat_results:
+            zero_duration_trades_per = \
+                100.0 / strat_results['total_trades'] * strat_results['zero_duration_trades']
+            zero_duration_trades = f'{zero_duration_trades_per}% ' \
+                                   f'({strat_results["zero_duration_trades"]})'
+
         metrics = [
             ('Backtesting from', strat_results['backtest_start']),
             ('Backtesting to', strat_results['backtest_end']),
@@ -569,8 +579,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                 f"{strat_results['draw_days']} / {strat_results['losing_days']}"),
             ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
             ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
-            ('Zero Duration Trades', f"{zero_duration_trades_percent:.1f}% "
-                                     f"({strat_results['zero_duration_trades']})"),
+            ('Zero Duration Trades', zero_duration_trades),
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],

From 916ece6a29fa140398bdc637b8bcf8194e0f7614 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 23 May 2021 09:15:36 +0200
Subject: [PATCH 220/241] More realistic testcase for results

---
 tests/optimize/test_optimize_reports.py | 19 ++++++++-----------
 1 file changed, 8 insertions(+), 11 deletions(-)

diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py
index e0ff2f219..575bb9092 100644
--- a/tests/optimize/test_optimize_reports.py
+++ b/tests/optimize/test_optimize_reports.py
@@ -28,13 +28,10 @@ def test_text_table_bt_results():
 
     results = pd.DataFrame(
         {
-            'pair': ['ETH/BTC', 'ETH/BTC'],
-            'profit_ratio': [0.1, 0.2],
-            'profit_abs': [0.2, 0.4],
-            'trade_duration': [10, 30],
-            'wins': [2, 0],
-            'draws': [0, 0],
-            'losses': [0, 0]
+            'pair': ['ETH/BTC', 'ETH/BTC', 'ETH/BTC'],
+            'profit_ratio': [0.1, 0.2, -0.05],
+            'profit_abs': [0.2, 0.4, -0.1],
+            'trade_duration': [10, 30, 20],
         }
     )
 
@@ -43,10 +40,10 @@ def test_text_table_bt_results():
         '   Avg Duration |   Win  Draw  Loss  Win% |\n'
         '|---------+--------+----------------+----------------+------------------+----------------+'
         '----------------+-------------------------|\n'
-        '| ETH/BTC |      2 |          15.00 |          30.00 |       0.60000000 |          15.00 |'
-        '        0:20:00 |     2     0     0   100 |\n'
-        '|   TOTAL |      2 |          15.00 |          30.00 |       0.60000000 |          15.00 |'
-        '        0:20:00 |     2     0     0   100 |'
+        '| ETH/BTC |      3 |           8.33 |          25.00 |       0.50000000 |          12.50 |'
+        '        0:20:00 |     2     0     1  66.7 |\n'
+        '|   TOTAL |      3 |           8.33 |          25.00 |       0.50000000 |          12.50 |'
+        '        0:20:00 |     2     0     1  66.7 |'
     )
 
     pair_results = generate_pair_metrics(data={'ETH/BTC': {}}, stake_currency='BTC',

From 7f125315b059cc529750415945366474efa5ac7b Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 23 May 2021 09:36:02 +0200
Subject: [PATCH 221/241] Track Rejected Trades

closes #3423
---
 freqtrade/optimize/backtesting.py      | 26 +++++++++++++++++++++-----
 freqtrade/optimize/optimize_reports.py |  2 ++
 2 files changed, 23 insertions(+), 5 deletions(-)

diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index aff09921c..642ed2b76 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -177,6 +177,7 @@ class Backtesting:
         Trade.use_db = False
         PairLocks.reset_locks()
         Trade.reset_trades()
+        self.rejected_trades = 0
         self.dataprovider.clear_cache()
 
     def _get_ohlcv_as_lists(self, processed: Dict[str, DataFrame]) -> Dict[str, Tuple]:
@@ -336,6 +337,17 @@ class Backtesting:
                     trades.append(trade1)
         return trades
 
+    def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
+        if max_open_trades <= 0:
+            # Always allow trades when max_open_trades is enabled.
+            return True
+        if open_trade_count < max_open_trades:
+
+            return True
+        # Rejected trade
+        self.rejected_trades += 1
+        return False
+
     def backtest(self, processed: Dict,
                  start_date: datetime, end_date: datetime,
                  max_open_trades: int = 0, position_stacking: bool = False,
@@ -397,11 +409,14 @@ class Backtesting:
                 # without positionstacking, we can only have one open trade per pair.
                 # max_open_trades must be respected
                 # don't open on the last row
-                if ((position_stacking or len(open_trades[pair]) == 0)
-                        and (max_open_trades <= 0 or open_trade_count_start < max_open_trades)
-                        and tmp != end_date
-                        and row[BUY_IDX] == 1 and row[SELL_IDX] != 1
-                        and not PairLocks.is_pair_locked(pair, row[DATE_IDX])):
+                if (
+                    (position_stacking or len(open_trades[pair]) == 0)
+                    and self.trade_slot_available(max_open_trades, open_trade_count_start)
+                    and tmp != end_date
+                    and row[BUY_IDX] == 1
+                    and row[SELL_IDX] != 1
+                    and not PairLocks.is_pair_locked(pair, row[DATE_IDX])
+                ):
                     trade = self._enter_trade(pair, row)
                     if trade:
                         # TODO: hacky workaround to avoid opening > max_open_trades
@@ -439,6 +454,7 @@ class Backtesting:
             'results': results,
             'config': self.strategy.config,
             'locks': PairLocks.get_all_locks(),
+            'rejected': self.rejected_trades,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }
 
diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index ce6758210..ddccfd1dc 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -355,6 +355,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
         'starting_balance': starting_balance,
         'dry_run_wallet': starting_balance,
         'final_balance': content['final_balance'],
+        'rejected_signals': content['rejected'],
         'max_open_trades': max_open_trades,
         'max_open_trades_setting': (config['max_open_trades']
                                     if config['max_open_trades'] != float('inf') else -1),
@@ -561,6 +562,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                                    strat_results['stake_currency'])),
             ('Total trade volume', round_coin_value(strat_results['total_volume'],
                                                     strat_results['stake_currency'])),
+            ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
 
             ('', ''),  # Empty line to improve readability
             ('Best Pair', f"{strat_results['best_pair']['key']} "

From a39860e0de12e1d3c4590b235dc07c74460e7210 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 23 May 2021 09:46:51 +0200
Subject: [PATCH 222/241] Add tests for rejected signals

---
 docs/backtesting.md                     | 3 +++
 freqtrade/optimize/backtesting.py       | 9 +++------
 freqtrade/optimize/optimize_reports.py  | 5 ++---
 tests/optimize/test_backtesting.py      | 3 +++
 tests/optimize/test_hyperopt.py         | 2 ++
 tests/optimize/test_optimize_reports.py | 2 ++
 6 files changed, 15 insertions(+), 9 deletions(-)

diff --git a/docs/backtesting.md b/docs/backtesting.md
index e720206bb..2027c2079 100644
--- a/docs/backtesting.md
+++ b/docs/backtesting.md
@@ -298,6 +298,7 @@ A backtesting result will look like that:
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Zero Duration Trades  | 4.6% (20)           |
+| Rejected Buy signals  | 3089                |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -386,6 +387,7 @@ It contains some useful key metrics about performance of your strategy on backte
 | Avg. Duration Winners | 4:23:00             |
 | Avg. Duration Loser   | 6:55:00             |
 | Zero Duration Trades  | 4.6% (20)           |
+| Rejected Buy signals  | 3089                |
 |                       |                     |
 | Min balance           | 0.00945123 BTC      |
 | Max balance           | 0.01846651 BTC      |
@@ -416,6 +418,7 @@ It contains some useful key metrics about performance of your strategy on backte
 - `Days win/draw/lose`: Winning / Losing days (draws are usually days without closed trade).
 - `Avg. Duration Winners` / `Avg. Duration Loser`: Average durations for winning and losing trades.
 - `Zero Duration Trades`: A number of trades that completed within same candle as they opened and had `trailing_stop_loss` sell reason. A significant amount of such trades may indicate that strategy is exploiting trailing stoploss behavior in backtesting and produces unrealistic results.
+- `Rejected Buy signals`: Buy signals that could not be acted upon due to max_open_trades being reached.
 - `Min balance` / `Max balance`: Lowest and Highest Wallet balance during the backtest period.
 - `Drawdown`: Maximum drawdown experienced. For example, the value of 50% means that from highest to subsequent lowest point, a 50% drop was experienced).
 - `Drawdown high` / `Drawdown low`: Profit at the beginning and end of the largest drawdown period. A negative low value means initial capital lost.
diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py
index 642ed2b76..cbc0995aa 100644
--- a/freqtrade/optimize/backtesting.py
+++ b/freqtrade/optimize/backtesting.py
@@ -338,11 +338,8 @@ class Backtesting:
         return trades
 
     def trade_slot_available(self, max_open_trades: int, open_trade_count: int) -> bool:
-        if max_open_trades <= 0:
-            # Always allow trades when max_open_trades is enabled.
-            return True
-        if open_trade_count < max_open_trades:
-
+        # Always allow trades when max_open_trades is enabled.
+        if max_open_trades <= 0 or open_trade_count < max_open_trades:
             return True
         # Rejected trade
         self.rejected_trades += 1
@@ -454,7 +451,7 @@ class Backtesting:
             'results': results,
             'config': self.strategy.config,
             'locks': PairLocks.get_all_locks(),
-            'rejected': self.rejected_trades,
+            'rejected_signals': self.rejected_trades,
             'final_balance': self.wallets.get_total(self.strategy.config['stake_currency']),
         }
 
diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index ddccfd1dc..090af4a85 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -355,7 +355,7 @@ def generate_strategy_stats(btdata: Dict[str, DataFrame],
         'starting_balance': starting_balance,
         'dry_run_wallet': starting_balance,
         'final_balance': content['final_balance'],
-        'rejected_signals': content['rejected'],
+        'rejected_signals': content['rejected_signals'],
         'max_open_trades': max_open_trades,
         'max_open_trades_setting': (config['max_open_trades']
                                     if config['max_open_trades'] != float('inf') else -1),
@@ -562,8 +562,6 @@ def text_table_add_metrics(strat_results: Dict) -> str:
                                                    strat_results['stake_currency'])),
             ('Total trade volume', round_coin_value(strat_results['total_volume'],
                                                     strat_results['stake_currency'])),
-            ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
-
             ('', ''),  # Empty line to improve readability
             ('Best Pair', f"{strat_results['best_pair']['key']} "
                           f"{round(strat_results['best_pair']['profit_sum_pct'], 2)}%"),
@@ -582,6 +580,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
             ('Avg. Duration Winners', f"{strat_results['winner_holding_avg']}"),
             ('Avg. Duration Loser', f"{strat_results['loser_holding_avg']}"),
             ('Zero Duration Trades', zero_duration_trades),
+            ('Rejected Buy signals', strat_results.get('rejected_signals', 'N/A')),
             ('', ''),  # Empty line to improve readability
 
             ('Min balance', round_coin_value(strat_results['csum_min'],
diff --git a/tests/optimize/test_backtesting.py b/tests/optimize/test_backtesting.py
index 03a65b159..632d458ce 100644
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -831,6 +831,7 @@ def test_backtest_start_multi_strat(default_conf, mocker, caplog, testdatadir):
         'results': pd.DataFrame(columns=BT_DATA_COLUMNS),
         'config': default_conf,
         'locks': [],
+        'rejected_signals': 20,
         'final_balance': 1000,
         })
     mocker.patch('freqtrade.plugins.pairlistmanager.PairListManager.whitelist',
@@ -938,12 +939,14 @@ def test_backtest_start_multi_strat_nomock(default_conf, mocker, caplog, testdat
             'results': result1,
             'config': default_conf,
             'locks': [],
+            'rejected_signals': 20,
             'final_balance': 1000,
         },
         {
             'results': result2,
             'config': default_conf,
             'locks': [],
+            'rejected_signals': 20,
             'final_balance': 1000,
         }
     ])
diff --git a/tests/optimize/test_hyperopt.py b/tests/optimize/test_hyperopt.py
index b80ede734..d7eb8bf67 100644
--- a/tests/optimize/test_hyperopt.py
+++ b/tests/optimize/test_hyperopt.py
@@ -441,6 +441,7 @@ def test_hyperopt_format_results(hyperopt):
         'config': hyperopt.config,
         'locks': [],
         'final_balance': 0.02,
+        'rejected_signals': 2,
         'backtest_start_time': 1619718665,
         'backtest_end_time': 1619718665,
         }
@@ -593,6 +594,7 @@ def test_generate_optimizer(mocker, hyperopt_conf) -> None:
                                  }),
         'config': hyperopt_conf,
         'locks': [],
+        'rejected_signals': 20,
         'final_balance': 1000,
     }
 
diff --git a/tests/optimize/test_optimize_reports.py b/tests/optimize/test_optimize_reports.py
index 575bb9092..f9dac3397 100644
--- a/tests/optimize/test_optimize_reports.py
+++ b/tests/optimize/test_optimize_reports.py
@@ -79,6 +79,7 @@ def test_generate_backtest_stats(default_conf, testdatadir):
         'config': default_conf,
         'locks': [],
         'final_balance': 1000.02,
+        'rejected_signals': 20,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         }
@@ -126,6 +127,7 @@ def test_generate_backtest_stats(default_conf, testdatadir):
         'config': default_conf,
         'locks': [],
         'final_balance': 1000.02,
+        'rejected_signals': 20,
         'backtest_start_time': Arrow.utcnow().int_timestamp,
         'backtest_end_time': Arrow.utcnow().int_timestamp,
         }

From 3f956441fcb4c6d011c1ac95c8f9e4fb249fb235 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 23 May 2021 15:53:54 +0200
Subject: [PATCH 223/241] Properly format % of zero_duration_trades

---
 freqtrade/optimize/optimize_reports.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/optimize/optimize_reports.py b/freqtrade/optimize/optimize_reports.py
index ce6758210..a76bb2e3a 100644
--- a/freqtrade/optimize/optimize_reports.py
+++ b/freqtrade/optimize/optimize_reports.py
@@ -540,7 +540,7 @@ def text_table_add_metrics(strat_results: Dict) -> str:
         if 'zero_duration_trades' in strat_results:
             zero_duration_trades_per = \
                 100.0 / strat_results['total_trades'] * strat_results['zero_duration_trades']
-            zero_duration_trades = f'{zero_duration_trades_per}% ' \
+            zero_duration_trades = f'{zero_duration_trades_per:.2f}% ' \
                                    f'({strat_results["zero_duration_trades"]})'
 
         metrics = [

From 77302ea178896aaba9f2608557a4c6bbb796e7c6 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Sun, 23 May 2021 16:01:49 +0200
Subject: [PATCH 224/241] Update documentation for forcebuy query

---
 docs/assets/telegram_forcebuy.png | Bin 0 -> 17895 bytes
 docs/telegram-usage.md            |   9 +++++++--
 tests/rpc/test_rpc_telegram.py    |   5 +++++
 3 files changed, 12 insertions(+), 2 deletions(-)
 create mode 100644 docs/assets/telegram_forcebuy.png

diff --git a/docs/assets/telegram_forcebuy.png b/docs/assets/telegram_forcebuy.png
new file mode 100644
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z%4dZ1H>m1?X-QXqpt-5r`B5ouAjf0ZuuV@@(NxL}Xw)otcG!eb%1TOkynwFUYSD{+
zwpabt>wUAxns!Cy1&Wi0^({PXA6BdIx{f1&`Oqy(Zl3=D$7s)W<|}r~W9vn#&tgdK
zTh=xCtDJKlaZi(-u>eqW@~iT4Gl2hxp@4d4iO
zHPyB9v*SbC-}{Ag#~f{#rY2}zO=Q#rRT`6=HL^KE&H8(4R2g86Aw0Af)ab-J&Dco+
zpqfR`0zfbv-)$QC3mtogrmSOEB(3!x{{`8k#N **BITTREX:** Selling BTC/LTC with limit `0.01650000 (profit: ~-4.07%, -0.00008168)`
 
-### /forcebuy 
+### /forcebuy  [rate]
 
 > **BITTREX:** Buying ETH/BTC with limit `0.03400000` (`1.000000 ETH`, `225.290 USD`)
 
+Omitting the pair will open a query asking for the pair to buy (based on the current whitelist).
+
+![Telegram force-buy screenshot](assets/telegram_forcebuy.png)
+
 Note that for this to work, `forcebuy_enable` needs to be set to true.
 
 [More details](configuration.md#understand-forcebuy_enable)
@@ -254,7 +258,8 @@ Note that for this to work, `forcebuy_enable` needs to be set to true.
 ### /performance
 
 Return the performance of each crypto-currency the bot has sold.
-> Performance:
+
+> Performance:  
 > 1. `RCN/BTC 57.77%`  
 > 2. `PAY/BTC 56.91%`  
 > 3. `VIB/BTC 47.07%`  
diff --git a/tests/rpc/test_rpc_telegram.py b/tests/rpc/test_rpc_telegram.py
index a3147f956..6e818ff8d 100644
--- a/tests/rpc/test_rpc_telegram.py
+++ b/tests/rpc/test_rpc_telegram.py
@@ -930,6 +930,11 @@ def test_forcebuy_no_pair(default_conf, update, mocker) -> None:
     assert inline_msg_mock.call_args_list[0][1]['callback_query_handler'] == 'forcebuy'
     keyboard = inline_msg_mock.call_args_list[0][1]['keyboard']
     assert reduce(lambda acc, x: acc + len(x), keyboard, 0) == 4
+    update = MagicMock()
+    update.callback_query = MagicMock()
+    update.callback_query.data = 'XRP/USDT'
+    telegram._forcebuy_inline(update, None)
+    assert fbuy_mock.call_count == 1
 
 
 def test_performance_handle(default_conf, update, ticker, fee,

From 6f990c5976549c9abd76a240cd3730125efca724 Mon Sep 17 00:00:00 2001
From: Priveyes <3041616+Pascal66@users.noreply.github.com>
Date: Sun, 23 May 2021 18:49:07 +0200
Subject: [PATCH 225/241] Fix a rare error in save_result : ValueError: Out of
 range float values are not JSON compliant

freqtrade/freqtrade/optimize/hyperopt.py", line 166, in _save_result
    rapidjson.dump(epoch, f, default=str, number_mode=rapidjson.NM_NATIVE)
ValueError: Out of range float values are not JSON compliant
---
 freqtrade/optimize/hyperopt.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index cf5559a24..cba82cee6 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -163,7 +163,7 @@ class Hyperopt:
         :param epoch: result dictionary for this epoch.
         """
         with self.results_file.open('a') as f:
-            rapidjson.dump(epoch, f, default=str, number_mode=rapidjson.NM_NATIVE)
+            rapidjson.dump(epoch, f, default=str, number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN)
             f.write("\n")
 
         self.num_epochs_saved += 1

From 4c02e6667f2a80568e829a29c5a50dc52fbdbdb6 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 24 May 2021 05:23:55 +0000
Subject: [PATCH 226/241] Bump mkdocs-material from 7.1.4 to 7.1.5

Bumps [mkdocs-material](https://github.com/squidfunk/mkdocs-material) from 7.1.4 to 7.1.5.
- [Release notes](https://github.com/squidfunk/mkdocs-material/releases)
- [Changelog](https://github.com/squidfunk/mkdocs-material/blob/master/docs/changelog.md)
- [Commits](https://github.com/squidfunk/mkdocs-material/compare/7.1.4...7.1.5)

Signed-off-by: dependabot[bot] 
---
 docs/requirements-docs.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/docs/requirements-docs.txt b/docs/requirements-docs.txt
index 3d469fde7..89011272d 100644
--- a/docs/requirements-docs.txt
+++ b/docs/requirements-docs.txt
@@ -1,3 +1,3 @@
-mkdocs-material==7.1.4
+mkdocs-material==7.1.5
 mdx_truly_sane_lists==1.2
 pymdown-extensions==8.2

From 2fddb4ae43ef81372755136b5f99ce6db350b4f5 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 24 May 2021 05:24:02 +0000
Subject: [PATCH 227/241] Bump jinja2 from 3.0.0 to 3.0.1

Bumps [jinja2](https://github.com/pallets/jinja) from 3.0.0 to 3.0.1.
- [Release notes](https://github.com/pallets/jinja/releases)
- [Changelog](https://github.com/pallets/jinja/blob/main/CHANGES.rst)
- [Commits](https://github.com/pallets/jinja/compare/3.0.0...3.0.1)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index f55cc0bdc..0d293800e 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -17,7 +17,7 @@ TA-Lib==0.4.19
 technical==1.3.0
 tabulate==0.8.9
 pycoingecko==2.0.0
-jinja2==3.0.0
+jinja2==3.0.1
 tables==3.6.1
 blosc==1.10.2
 

From 7757c476fdeb125b46e45b754841ccb8380f4b5c Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 24 May 2021 05:24:08 +0000
Subject: [PATCH 228/241] Bump ta-lib from 0.4.19 to 0.4.20

Bumps [ta-lib](https://github.com/mrjbq7/ta-lib) from 0.4.19 to 0.4.20.
- [Release notes](https://github.com/mrjbq7/ta-lib/releases)
- [Changelog](https://github.com/mrjbq7/ta-lib/blob/master/CHANGELOG)
- [Commits](https://github.com/mrjbq7/ta-lib/compare/TA_Lib-0.4.19...TA_Lib-0.4.20)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index f55cc0bdc..6280a1e9a 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -13,7 +13,7 @@ requests==2.25.1
 urllib3==1.26.4
 wrapt==1.12.1
 jsonschema==3.2.0
-TA-Lib==0.4.19
+TA-Lib==0.4.20
 technical==1.3.0
 tabulate==0.8.9
 pycoingecko==2.0.0

From 20ccda1699acf4ac6b592811f845ce34438eeab8 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 24 May 2021 05:24:17 +0000
Subject: [PATCH 229/241] Bump ccxt from 1.50.6 to 1.50.30

Bumps [ccxt](https://github.com/ccxt/ccxt) from 1.50.6 to 1.50.30.
- [Release notes](https://github.com/ccxt/ccxt/releases)
- [Changelog](https://github.com/ccxt/ccxt/blob/master/doc/exchanges-by-country.rst)
- [Commits](https://github.com/ccxt/ccxt/compare/1.50.6...1.50.30)

Signed-off-by: dependabot[bot] 
---
 requirements.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/requirements.txt b/requirements.txt
index f55cc0bdc..363caf3b9 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -1,7 +1,7 @@
 numpy==1.20.3
 pandas==1.2.4
 
-ccxt==1.50.6
+ccxt==1.50.30
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==3.4.7
 aiohttp==3.7.4.post0

From af16614bf29a6f3235c780c5f9746541e6f66cab Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 24 May 2021 07:48:36 +0200
Subject: [PATCH 230/241] Fix formatting issue

---
 freqtrade/optimize/hyperopt.py | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index cba82cee6..85bcbb8e3 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -163,7 +163,8 @@ class Hyperopt:
         :param epoch: result dictionary for this epoch.
         """
         with self.results_file.open('a') as f:
-            rapidjson.dump(epoch, f, default=str, number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN)
+            rapidjson.dump(epoch, f, default=str,
+                           number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN)
             f.write("\n")
 
         self.num_epochs_saved += 1

From ba3997185bc72ca6e30fb89c6c090007c41f850c Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 24 May 2021 08:03:33 +0200
Subject: [PATCH 231/241] Update wheels for ta-lib

---
 .../TA_Lib-0.4.19-cp37-cp37m-win_amd64.whl     | Bin 482390 -> 0 bytes
 .../TA_Lib-0.4.19-cp38-cp38-win_amd64.whl      | Bin 504687 -> 0 bytes
 .../TA_Lib-0.4.20-cp37-cp37m-win_amd64.whl     | Bin 0 -> 482853 bytes
 .../TA_Lib-0.4.20-cp38-cp38-win_amd64.whl      | Bin 0 -> 505119 bytes
 build_helpers/install_windows.ps1              |   5 ++---
 docs/windows_installation.md                   |   4 +++-
 6 files changed, 5 insertions(+), 4 deletions(-)
 delete mode 100644 build_helpers/TA_Lib-0.4.19-cp37-cp37m-win_amd64.whl
 delete mode 100644 build_helpers/TA_Lib-0.4.19-cp38-cp38-win_amd64.whl
 create mode 100644 build_helpers/TA_Lib-0.4.20-cp37-cp37m-win_amd64.whl
 create mode 100644 build_helpers/TA_Lib-0.4.20-cp38-cp38-win_amd64.whl

diff --git a/build_helpers/TA_Lib-0.4.19-cp37-cp37m-win_amd64.whl b/build_helpers/TA_Lib-0.4.19-cp37-cp37m-win_amd64.whl
deleted file mode 100644
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diff --git a/build_helpers/TA_Lib-0.4.20-cp38-cp38-win_amd64.whl b/build_helpers/TA_Lib-0.4.20-cp38-cp38-win_amd64.whl
new file mode 100644
index 0000000000000000000000000000000000000000..de7393fded23db8ad909f90caae35c622b4aa767
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literal 0
HcmV?d00001

diff --git a/build_helpers/install_windows.ps1 b/build_helpers/install_windows.ps1
index 5747db335..d2a27dd26 100644
--- a/build_helpers/install_windows.ps1
+++ b/build_helpers/install_windows.ps1
@@ -1,16 +1,15 @@
 # Downloads don't work automatically, since the URL is regenerated via javascript.
 # Downloaded from https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib
-# Invoke-WebRequest -Uri "https://download.lfd.uci.edu/pythonlibs/xxxxxxx/TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl" -OutFile "TA_Lib-0.4.17-cp37-cp37m-win_amd64.whl"
 
 python -m pip install --upgrade pip
 
 $pyv = python -c "import sys; print(f'{sys.version_info.major}.{sys.version_info.minor}')"
 
 if ($pyv -eq '3.7') {
-    pip install build_helpers\TA_Lib-0.4.19-cp37-cp37m-win_amd64.whl
+    pip install build_helpers\TA_Lib-0.4.20-cp37-cp37m-win_amd64.whl
 }
 if ($pyv -eq '3.8') {
-    pip install build_helpers\TA_Lib-0.4.19-cp38-cp38-win_amd64.whl
+    pip install build_helpers\TA_Lib-0.4.20-cp38-cp38-win_amd64.whl
 }
 
 pip install -r requirements-dev.txt
diff --git a/docs/windows_installation.md b/docs/windows_installation.md
index 168938973..edc0a1404 100644
--- a/docs/windows_installation.md
+++ b/docs/windows_installation.md
@@ -1,3 +1,5 @@
+# Windows installation
+
 We **strongly** recommend that Windows users use [Docker](docker_quickstart.md) as this will work much easier and smoother (also more secure).
 
 If that is not possible, try using the Windows Linux subsystem (WSL) - for which the Ubuntu instructions should work.
@@ -21,7 +23,7 @@ git clone https://github.com/freqtrade/freqtrade.git
 
 Install ta-lib according to the [ta-lib documentation](https://github.com/mrjbq7/ta-lib#windows).
 
-As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial precompiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which needs to be downloaded and installed using `pip install TA_Lib‑0.4.19‑cp38‑cp38‑win_amd64.whl` (make sure to use the version matching your python version)
+As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial pre-compiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which needs to be downloaded and installed using `pip install TA_Lib‑0.4.20‑cp38‑cp38‑win_amd64.whl` (make sure to use the version matching your python version).
 
 Freqtrade provides these dependencies for the latest 2 Python versions (3.7 and 3.8) and for 64bit Windows.
 Other versions must be downloaded from the above link.

From c0d3a31ddb7ac11d1e96cb3a2ba03ecc53cd7dcf Mon Sep 17 00:00:00 2001
From: Nicolas Menescardi 
Date: Mon, 24 May 2021 11:08:17 -0300
Subject: [PATCH 232/241] Update strategy-advanced.md

fix some typos
---
 docs/strategy-advanced.md | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/docs/strategy-advanced.md b/docs/strategy-advanced.md
index cb759eb2f..3436604a9 100644
--- a/docs/strategy-advanced.md
+++ b/docs/strategy-advanced.md
@@ -331,7 +331,7 @@ See [Dataframe access](#dataframe-access) for more information about dataframe u
 
 Simple, time-based order-timeouts can be configured either via strategy or in the configuration in the `unfilledtimeout` section.
 
-However, freqtrade also offers a custom callback for both order types, which allows you to decide based on custom criteria if a order did time out or not.
+However, freqtrade also offers a custom callback for both order types, which allows you to decide based on custom criteria if an order did time out or not.
 
 !!! Note
     Unfilled order timeouts are not relevant during backtesting or hyperopt, and are only relevant during real (live) trading. Therefore these methods are only called in these circumstances.
@@ -557,7 +557,7 @@ Both attributes and methods may be overridden, altering behavior of the original
 
 ## Embedding Strategies
 
-Freqtrade provides you with with an easy way to embed the strategy into your configuration file.
+Freqtrade provides you with an easy way to embed the strategy into your configuration file.
 This is done by utilizing BASE64 encoding and providing this string at the strategy configuration field,
 in your chosen config file.
 

From 9465fd390a36f3e1425e717506c3aed9f4302221 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Mon, 24 May 2021 17:01:53 +0200
Subject: [PATCH 233/241] Fix devcontainer

---
 .devcontainer/Dockerfile | 11 ++++++-----
 1 file changed, 6 insertions(+), 5 deletions(-)

diff --git a/.devcontainer/Dockerfile b/.devcontainer/Dockerfile
index 19e09c969..43d54e647 100644
--- a/.devcontainer/Dockerfile
+++ b/.devcontainer/Dockerfile
@@ -1,20 +1,21 @@
 FROM freqtradeorg/freqtrade:develop
 
+USER root
 # Install dependencies
 COPY requirements-dev.txt /freqtrade/
+
 RUN apt-get update \
-    && apt-get -y install git mercurial sudo vim \
+    && apt-get -y install git mercurial sudo vim build-essential \
     && apt-get clean \
-    && pip install autopep8 -r docs/requirements-docs.txt -r requirements-dev.txt --no-cache-dir \
-    && useradd -u 1000 -U -m ftuser \
     && mkdir -p /home/ftuser/.vscode-server /home/ftuser/.vscode-server-insiders /home/ftuser/commandhistory \
     && echo "export PROMPT_COMMAND='history -a'" >> /home/ftuser/.bashrc \
-    && echo "export HISTFILE=~/commandhistory/.bash_history" >> /home/ftuser/.bashrc \
-    && mv /root/.local /home/ftuser/.local/ \
+    && echo "export HISTFILE=~/commandhistory/.bash_hi>story" >> /home/ftuser/.bashrc \
     && chown ftuser:ftuser -R /home/ftuser/.local/ \
     && chown ftuser: -R /home/ftuser/
 
 USER ftuser
 
+RUN pip install --user autopep8 -r docs/requirements-docs.txt -r requirements-dev.txt --no-cache-dir
+
 # Empty the ENTRYPOINT to allow all commands
 ENTRYPOINT []

From 7dcf94f80cd9ce58d71bba0f515fb5f9f3b47177 Mon Sep 17 00:00:00 2001
From: Kamontat Chantrachirathumrong 
Date: Tue, 25 May 2021 08:18:14 +0700
Subject: [PATCH 234/241] Update Dockerfile

---
 .devcontainer/Dockerfile | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/.devcontainer/Dockerfile b/.devcontainer/Dockerfile
index 43d54e647..6389a50df 100644
--- a/.devcontainer/Dockerfile
+++ b/.devcontainer/Dockerfile
@@ -9,7 +9,7 @@ RUN apt-get update \
     && apt-get clean \
     && mkdir -p /home/ftuser/.vscode-server /home/ftuser/.vscode-server-insiders /home/ftuser/commandhistory \
     && echo "export PROMPT_COMMAND='history -a'" >> /home/ftuser/.bashrc \
-    && echo "export HISTFILE=~/commandhistory/.bash_hi>story" >> /home/ftuser/.bashrc \
+    && echo "export HISTFILE=~/commandhistory/.bash_history" >> /home/ftuser/.bashrc \
     && chown ftuser:ftuser -R /home/ftuser/.local/ \
     && chown ftuser: -R /home/ftuser/
 

From a747312c1ebaabb71e9fd2eeff85fc7c96cfb45f Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 25 May 2021 18:02:07 +0200
Subject: [PATCH 235/241] Explicitly provide is_open to trade Object

closes #5015
---
 freqtrade/freqtradebot.py | 1 +
 1 file changed, 1 insertion(+)

diff --git a/freqtrade/freqtradebot.py b/freqtrade/freqtradebot.py
index 1c3a759f4..56596f2b9 100644
--- a/freqtrade/freqtradebot.py
+++ b/freqtrade/freqtradebot.py
@@ -601,6 +601,7 @@ class FreqtradeBot(LoggingMixin):
             pair=pair,
             stake_amount=stake_amount,
             amount=amount,
+            is_open=True,
             amount_requested=amount_requested,
             fee_open=fee,
             fee_close=fee,

From cc5769e900514aa3180feb3db90d6362996e91bd Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 25 May 2021 19:24:56 +0200
Subject: [PATCH 236/241] Convert np.int64 to proper int

closes #5018
---
 freqtrade/optimize/hyperopt.py | 8 +++++++-
 1 file changed, 7 insertions(+), 1 deletion(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 85bcbb8e3..430fe290a 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -11,6 +11,7 @@ from datetime import datetime, timezone
 from math import ceil
 from pathlib import Path
 from typing import Any, Dict, List, Optional
+import numpy as np
 
 import progressbar
 import rapidjson
@@ -162,8 +163,13 @@ class Hyperopt:
         While not a valid json object - this allows appending easily.
         :param epoch: result dictionary for this epoch.
         """
+        def default_parser(x):
+            if isinstance(x, np.integer):
+                return int(x)
+            return str(x)
+
         with self.results_file.open('a') as f:
-            rapidjson.dump(epoch, f, default=str,
+            rapidjson.dump(epoch, f, default=default_parser,
                            number_mode=rapidjson.NM_NATIVE | rapidjson.NM_NAN)
             f.write("\n")
 

From 8e89d3e6e4aace3f8f688f19ce47b254338626de Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Tue, 25 May 2021 19:33:34 +0200
Subject: [PATCH 237/241] Fix sort error

---
 freqtrade/optimize/hyperopt.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/optimize/hyperopt.py b/freqtrade/optimize/hyperopt.py
index 430fe290a..49273d3de 100644
--- a/freqtrade/optimize/hyperopt.py
+++ b/freqtrade/optimize/hyperopt.py
@@ -11,8 +11,8 @@ from datetime import datetime, timezone
 from math import ceil
 from pathlib import Path
 from typing import Any, Dict, List, Optional
-import numpy as np
 
+import numpy as np
 import progressbar
 import rapidjson
 from colorama import Fore, Style

From 42453333bef8f600c29007e69bd5be508953a9a8 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Thu, 27 May 2021 07:38:47 +0200
Subject: [PATCH 238/241] Align coinbase download with ccxt limits

Align with https://github.com/ccxt/ccxt/issues/9268
---
 freqtrade/exchange/__init__.py    |  1 +
 freqtrade/exchange/bybit.py       |  1 -
 freqtrade/exchange/coinbasepro.py | 23 +++++++++++++++++++++++
 freqtrade/exchange/hitbtc.py      |  1 -
 requirements.txt                  |  2 +-
 5 files changed, 25 insertions(+), 3 deletions(-)
 create mode 100644 freqtrade/exchange/coinbasepro.py

diff --git a/freqtrade/exchange/__init__.py b/freqtrade/exchange/__init__.py
index 23ba2eb10..015e0c869 100644
--- a/freqtrade/exchange/__init__.py
+++ b/freqtrade/exchange/__init__.py
@@ -7,6 +7,7 @@ from freqtrade.exchange.bibox import Bibox
 from freqtrade.exchange.binance import Binance
 from freqtrade.exchange.bittrex import Bittrex
 from freqtrade.exchange.bybit import Bybit
+from freqtrade.exchange.coinbasepro import Coinbasepro
 from freqtrade.exchange.exchange import (available_exchanges, ccxt_exchanges,
                                          is_exchange_known_ccxt, is_exchange_officially_supported,
                                          market_is_active, timeframe_to_minutes, timeframe_to_msecs,
diff --git a/freqtrade/exchange/bybit.py b/freqtrade/exchange/bybit.py
index 4a44bb42d..163f8c44e 100644
--- a/freqtrade/exchange/bybit.py
+++ b/freqtrade/exchange/bybit.py
@@ -18,7 +18,6 @@ class Bybit(Exchange):
     may still not work as expected.
     """
 
-    # fetchCurrencies API point requires authentication for Bybit,
     _ft_has: Dict = {
         "ohlcv_candle_limit": 200,
     }
diff --git a/freqtrade/exchange/coinbasepro.py b/freqtrade/exchange/coinbasepro.py
new file mode 100644
index 000000000..7dd9c80dc
--- /dev/null
+++ b/freqtrade/exchange/coinbasepro.py
@@ -0,0 +1,23 @@
+""" CoinbasePro exchange subclass """
+import logging
+from typing import Dict
+
+from freqtrade.exchange import Exchange
+
+
+logger = logging.getLogger(__name__)
+
+
+class Coinbasepro(Exchange):
+    """
+    CoinbasePro exchange class. Contains adjustments needed for Freqtrade to work
+    with this exchange.
+
+    Please note that this exchange is not included in the list of exchanges
+    officially supported by the Freqtrade development team. So some features
+    may still not work as expected.
+    """
+
+    _ft_has: Dict = {
+        "ohlcv_candle_limit": 300,
+    }
diff --git a/freqtrade/exchange/hitbtc.py b/freqtrade/exchange/hitbtc.py
index 763535263..a48c9a198 100644
--- a/freqtrade/exchange/hitbtc.py
+++ b/freqtrade/exchange/hitbtc.py
@@ -17,7 +17,6 @@ class Hitbtc(Exchange):
     may still not work as expected.
     """
 
-    # fetchCurrencies API point requires authentication for Hitbtc,
     _ft_has: Dict = {
         "ohlcv_candle_limit": 1000,
         "ohlcv_params": {"sort": "DESC"}
diff --git a/requirements.txt b/requirements.txt
index df611aedf..512b2a588 100644
--- a/requirements.txt
+++ b/requirements.txt
@@ -1,7 +1,7 @@
 numpy==1.20.3
 pandas==1.2.4
 
-ccxt==1.50.30
+ccxt==1.50.48
 # Pin cryptography for now due to rust build errors with piwheels
 cryptography==3.4.7
 aiohttp==3.7.4.post0

From f3d8e5c9e418d6645eb07a7bbd2e84840d656bb9 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Thu, 27 May 2021 10:44:35 +0200
Subject: [PATCH 239/241] Improve hyperopt docs

closes #4949
---
 docs/hyperopt.md | 13 +++++++------
 1 file changed, 7 insertions(+), 6 deletions(-)

diff --git a/docs/hyperopt.md b/docs/hyperopt.md
index d8f4a8071..0d7b1cc32 100644
--- a/docs/hyperopt.md
+++ b/docs/hyperopt.md
@@ -249,15 +249,16 @@ We continue to define hyperoptable parameters:
 
 ```python
 class MyAwesomeStrategy(IStrategy):
-    buy_adx = IntParameter(20, 40, default=30, space="buy")
+    buy_adx = DecimalParameter(20, 40, decimals=1, default=30.1, space="buy")
     buy_rsi = IntParameter(20, 40, default=30, space="buy")
-    buy_adx_enabled = CategoricalParameter([True, False], space="buy")
-    buy_rsi_enabled = CategoricalParameter([True, False], space="buy")
-    buy_trigger = CategoricalParameter(['bb_lower', 'macd_cross_signal'], space="buy")
+    buy_adx_enabled = CategoricalParameter([True, False], default=True, space="buy")
+    buy_rsi_enabled = CategoricalParameter([True, False], default=False, space="buy")
+    buy_trigger = CategoricalParameter(["bb_lower", "macd_cross_signal"], default="bb_lower", space="buy")
 ```
 
-Above definition says: I have five parameters I want to randomly combine to find the best combination.
-Two of them are integer values (`buy_adx` and `buy_rsi`) and I want you test in the range of values 20 to 40.  
+The above definition says: I have five parameters I want to randomly combine to find the best combination.  
+`buy_rsi` is an integer parameter, which will be tested between 20 and 40. This space has a size of 20.  
+`buy_adx` is a decimal parameter, which will be evaluated between 20 and 40 with 1 decimal place (so values are 20.1, 20.2, ...). This space has a size of 200.  
 Then we have three category variables. First two are either `True` or `False`.
 We use these to either enable or disable the ADX and RSI guards.
 The last one we call `trigger` and use it to decide which buy trigger we want to use.

From 0c9b913cad25e0f75cde562415014116e28c3153 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Thu, 27 May 2021 11:10:10 +0200
Subject: [PATCH 240/241] Version bump 2021.5

---
 freqtrade/__init__.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/freqtrade/__init__.py b/freqtrade/__init__.py
index 68bcad396..ed0c70417 100644
--- a/freqtrade/__init__.py
+++ b/freqtrade/__init__.py
@@ -1,5 +1,5 @@
 """ Freqtrade bot """
-__version__ = '2021.4'
+__version__ = '2021.5'
 
 if __version__ == 'develop':
 

From 639c83575bd0094141f15d4f58814a1a59c565b1 Mon Sep 17 00:00:00 2001
From: Matthias 
Date: Thu, 27 May 2021 13:08:28 +0200
Subject: [PATCH 241/241] Fix csv-export error with new hyperopt format

---
 freqtrade/optimize/hyperopt_tools.py | 9 +++++----
 1 file changed, 5 insertions(+), 4 deletions(-)

diff --git a/freqtrade/optimize/hyperopt_tools.py b/freqtrade/optimize/hyperopt_tools.py
index 49e70913f..38cb0854e 100644
--- a/freqtrade/optimize/hyperopt_tools.py
+++ b/freqtrade/optimize/hyperopt_tools.py
@@ -376,10 +376,11 @@ class HyperoptTools():
         trials['Avg profit'] = trials['Avg profit'].apply(
             lambda x: f'{x * perc_multi:,.2f}%' if not isna(x) else ""
         )
-        trials['Avg duration'] = trials['Avg duration'].apply(
-            lambda x: f'{x:,.1f} m' if isinstance(
-                x, float) else f"{x.total_seconds() // 60:,.1f} m" if not isna(x) else ""
-        )
+        if perc_multi == 1:
+            trials['Avg duration'] = trials['Avg duration'].apply(
+                lambda x: f'{x:,.1f} m' if isinstance(
+                    x, float) else f"{x.total_seconds() // 60:,.1f} m" if not isna(x) else ""
+            )
         trials['Objective'] = trials['Objective'].apply(
             lambda x: f'{x:,.5f}' if x != 100000 else ""
         )