Merge pull request #5108 from rokups/rk/pessimistic-trailing-stoploss
Implement most pessimistic handling of trailing stoploss.
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Matthias
GitHub
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8bb464bd64
@ -444,6 +444,7 @@ Since backtesting lacks some detailed information about what happens within a ca
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- 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
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- Low happens before high for stoploss, protecting capital first
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- Trailing stoploss
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- Trailing Stoploss is only adjusted if it's below the candle's low (otherwise it would be triggered)
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- High happens first - adjusting stoploss
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- Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly)
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- ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies
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@ -225,6 +225,22 @@ class Backtesting:
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# sell at open price.
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return sell_row[OPEN_IDX]
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# Special case: trailing triggers within same candle as trade opened. Assume most
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# pessimistic price movement, which is moving just enough to arm stoploss and
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# immediately going down to stop price.
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if (sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0
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and self.strategy.trailing_stop_positive):
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if self.strategy.trailing_only_offset_is_reached:
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# Worst case: price reaches stop_positive_offset and dives down.
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stop_rate = (sell_row[OPEN_IDX] *
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(1 + abs(self.strategy.trailing_stop_positive_offset) -
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abs(self.strategy.trailing_stop_positive)))
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else:
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# Worst case: price ticks tiny bit above open and dives down.
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stop_rate = sell_row[OPEN_IDX] * (1 - abs(self.strategy.trailing_stop_positive))
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assert stop_rate < sell_row[HIGH_IDX]
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return stop_rate
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# Set close_rate to stoploss
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return trade.stop_loss
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elif sell.sell_type == (SellType.ROI):
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@ -524,15 +524,14 @@ class IStrategy(ABC, HyperStrategyMixin):
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:param force_stoploss: Externally provided stoploss
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:return: True if trade should be sold, False otherwise
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"""
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# Set current rate to low for backtesting sell
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current_rate = low or rate
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current_rate = rate
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current_profit = trade.calc_profit_ratio(current_rate)
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trade.adjust_min_max_rates(high or current_rate)
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stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
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current_time=date, current_profit=current_profit,
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force_stoploss=force_stoploss, high=high)
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force_stoploss=force_stoploss, low=low, high=high)
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# Set current rate to high for backtesting sell
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current_rate = high or rate
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@ -599,18 +598,21 @@ class IStrategy(ABC, HyperStrategyMixin):
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def stop_loss_reached(self, current_rate: float, trade: Trade,
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current_time: datetime, current_profit: float,
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force_stoploss: float, high: float = None) -> SellCheckTuple:
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force_stoploss: float, low: float = None,
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high: float = None) -> SellCheckTuple:
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"""
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Based on current profit of the trade and configured (trailing) stoploss,
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decides to sell or not
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:param current_profit: current profit as ratio
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:param low: Low value of this candle, only set in backtesting
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:param high: High value of this candle, only set in backtesting
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"""
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stop_loss_value = force_stoploss if force_stoploss else self.stoploss
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# Initiate stoploss with open_rate. Does nothing if stoploss is already set.
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trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True)
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if self.use_custom_stoploss:
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if self.use_custom_stoploss and trade.stop_loss < (low or current_rate):
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stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None
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)(pair=trade.pair, trade=trade,
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current_time=current_time,
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@ -623,7 +625,7 @@ class IStrategy(ABC, HyperStrategyMixin):
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else:
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logger.warning("CustomStoploss function did not return valid stoploss")
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if self.trailing_stop:
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if self.trailing_stop and trade.stop_loss < (low or current_rate):
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# trailing stoploss handling
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sl_offset = self.trailing_stop_positive_offset
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@ -643,7 +645,7 @@ class IStrategy(ABC, HyperStrategyMixin):
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# evaluate if the stoploss was hit if stoploss is not on exchange
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# in Dry-Run, this handles stoploss logic as well, as the logic will not be different to
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# regular stoploss handling.
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if ((trade.stop_loss >= current_rate) and
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if ((trade.stop_loss >= (low or current_rate)) and
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(not self.order_types.get('stoploss_on_exchange') or self.config['dry_run'])):
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sell_type = SellType.STOP_LOSS
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@ -652,7 +654,7 @@ class IStrategy(ABC, HyperStrategyMixin):
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if trade.initial_stop_loss != trade.stop_loss:
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sell_type = SellType.TRAILING_STOP_LOSS
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logger.debug(
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f"{trade.pair} - HIT STOP: current price at {current_rate:.6f}, "
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f"{trade.pair} - HIT STOP: current price at {(low or current_rate):.6f}, "
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f"stoploss is {trade.stop_loss:.6f}, "
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f"initial stoploss was at {trade.initial_stop_loss:.6f}, "
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f"trade opened at {trade.open_rate:.6f}")
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@ -457,6 +457,50 @@ tc28 = BTContainer(data=[
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
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)
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# Test 29: trailing_stop should be triggered by low of next candle, without adjusting stoploss using
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# high of stoploss candle.
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# stop-loss: 10%, ROI: 10% (should not apply)
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tc29 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5050, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle)
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[2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Triggers trailing-stoploss
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[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.02, trailing_stop=True,
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trailing_stop_positive=0.03,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=2)]
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)
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# Test 30: trailing_stop should be triggered immediately on trade open candle.
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# stop-loss: 10%, ROI: 10% (should not apply)
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tc30 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5500, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop
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[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
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[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
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trailing_stop_positive=0.01,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
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)
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# Test 31: trailing_stop should be triggered immediately on trade open candle.
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# stop-loss: 10%, ROI: 10% (should not apply)
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tc31 = BTContainer(data=[
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# D O H L C V B S
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[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
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[1, 5000, 5500, 5000, 4900, 6172, 0, 0], # enter trade (signal on last candle) and stop
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[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
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[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
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[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
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stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.01, trailing_stop=True,
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trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
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trailing_stop_positive=0.01,
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trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
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)
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TESTS = [
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tc0,
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tc1,
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@ -487,6 +531,9 @@ TESTS = [
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tc26,
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tc27,
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tc28,
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tc29,
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tc30,
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tc31,
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]
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