adelorenzo
/
stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #5108 from rokups/rk/pessimistic-trailing-stoploss 

Implement most pessimistic handling of trailing stoploss.
This commit is contained in:
Matthias 2021-06-17 18:41:00 +01:00 committed by GitHub
parent c4bc47e6e7 b38ab84a13
commit 8bb464bd64
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
4 changed files with 74 additions and 8 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

1
docs/backtesting.md
View File

@ -444,6 +444,7 @@ Since backtesting lacks some detailed information about what happens within a ca
- Stoploss is evaluated before ROI within one candle. So you can often see more trades with the `stoploss` sell reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes
- Low happens before high for stoploss, protecting capital first
- Trailing stoploss
- Trailing Stoploss is only adjusted if it's below the candle's low (otherwise it would be triggered)
- High happens first - adjusting stoploss
- Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly)
- ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies

16
freqtrade/optimize/backtesting.py
View File

@ -225,6 +225,22 @@ class Backtesting:
# sell at open price.
return sell_row[OPEN_IDX]
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if (sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0
and self.strategy.trailing_stop_positive):
if self.strategy.trailing_only_offset_is_reached:
# Worst case: price reaches stop_positive_offset and dives down.
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)))
else:
# Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(self.strategy.trailing_stop_positive))
assert stop_rate < sell_row[HIGH_IDX]
return stop_rate
# Set close_rate to stoploss
return trade.stop_loss
elif sell.sell_type == (SellType.ROI):

18
freqtrade/strategy/interface.py
View File

@ -524,15 +524,14 @@ class IStrategy(ABC, HyperStrategyMixin):
:param force_stoploss: Externally provided stoploss
:return: True if trade should be sold, False otherwise
"""
# Set current rate to low for backtesting sell
current_rate = low or rate
current_rate = rate
current_profit = trade.calc_profit_ratio(current_rate)
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,
force_stoploss=force_stoploss, high=high)
force_stoploss=force_stoploss, low=low, high=high)
# Set current rate to high for backtesting sell
current_rate = high or rate
@ -599,18 +598,21 @@ class IStrategy(ABC, HyperStrategyMixin):
def stop_loss_reached(self, current_rate: float, trade: Trade,
current_time: datetime, current_profit: float,
force_stoploss: float, high: float = None) -> SellCheckTuple:
force_stoploss: float, low: float = None,
high: float = None) -> SellCheckTuple:
"""
Based on current profit of the trade and configured (trailing) stoploss,
decides to sell or not
:param current_profit: current profit as ratio
:param low: Low value of this candle, only set in backtesting
:param high: High value of this candle, only set in backtesting
"""
stop_loss_value = force_stoploss if force_stoploss else self.stoploss
# Initiate stoploss with open_rate. Does nothing if stoploss is already set.
trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True)
if self.use_custom_stoploss:
if self.use_custom_stoploss and trade.stop_loss < (low or current_rate):
stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None
)(pair=trade.pair, trade=trade,
current_time=current_time,
@ -623,7 +625,7 @@ class IStrategy(ABC, HyperStrategyMixin):
else:
logger.warning("CustomStoploss function did not return valid stoploss")
if self.trailing_stop:
if self.trailing_stop and trade.stop_loss < (low or current_rate):
# trailing stoploss handling
sl_offset = self.trailing_stop_positive_offset
@ -643,7 +645,7 @@ class IStrategy(ABC, HyperStrategyMixin):
# evaluate if the stoploss was hit if stoploss is not on exchange
# in Dry-Run, this handles stoploss logic as well, as the logic will not be different to
# regular stoploss handling.
if ((trade.stop_loss >= current_rate) and
if ((trade.stop_loss >= (low or current_rate)) and
(not self.order_types.get('stoploss_on_exchange') or self.config['dry_run'])):
sell_type = SellType.STOP_LOSS
@ -652,7 +654,7 @@ class IStrategy(ABC, HyperStrategyMixin):
if trade.initial_stop_loss != trade.stop_loss:
sell_type = SellType.TRAILING_STOP_LOSS
logger.debug(
f"{trade.pair} - HIT STOP: current price at {current_rate:.6f}, "
f"{trade.pair} - HIT STOP: current price at {(low or current_rate):.6f}, "
f"stoploss is {trade.stop_loss:.6f}, "
f"initial stoploss was at {trade.initial_stop_loss:.6f}, "
f"trade opened at {trade.open_rate:.6f}")

47
tests/optimize/test_backtest_detail.py
View File

@ -457,6 +457,50 @@ tc28 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 29: trailing_stop should be triggered by low of next candle, without adjusting stoploss using
# high of stoploss candle.
# stop-loss: 10%, ROI: 10% (should not apply)
tc29 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Triggers trailing-stoploss
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.02, trailing_stop=True,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 30: trailing_stop should be triggered immediately on trade open candle.
# stop-loss: 10%, ROI: 10% (should not apply)
tc30 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5500, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
trailing_stop_positive=0.01,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
# Test 31: trailing_stop should be triggered immediately on trade open candle.
# stop-loss: 10%, ROI: 10% (should not apply)
tc31 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5500, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.01, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
trailing_stop_positive=0.01,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
)
TESTS = [
tc0,
tc1,
@ -487,6 +531,9 @@ TESTS = [
tc26,
tc27,
tc28,
tc29,
tc30,
tc31,
]