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Bracket entry/exit prices to low/high of the candle

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Matthias
2021-12-03 17:44:53 +01:00
parent d1209fe415
commit 86910b58dc
3 changed files with 14 additions and 6 deletions
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11
freqtrade/optimize/backtesting.py
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@@ -342,10 +342,7 @@ class Backtesting:
# use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX]
# Use the maximum between close_rate and low as we
# cannot sell outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that.
return min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
return close_rate
else:
# This should not be reached...
@@ -373,6 +370,9 @@ class Backtesting:
pair=trade.pair, trade=trade,
current_time=sell_row[DATE_IDX],
proposed_rate=closerate, current_profit=current_profit)
# Use the maximum between close_rate and low as we cannot sell outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that.
closerate = min(max(closerate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['sell']
@@ -437,6 +437,9 @@ class Backtesting:
pair=pair, current_time=row[DATE_IDX].to_pydatetime(),
proposed_rate=row[OPEN_IDX]) # default value is the open rate
# Move rate to within the candle's low/high rate
propose_rate = min(max(propose_rate, row[LOW_IDX]), row[HIGH_IDX])
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount()