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Prepare protections for backtesting

This commit is contained in:
Matthias 2020-11-16 20:09:34 +01:00
parent 3426e99b8b
commit 98c88fa58e
6 changed files with 84 additions and 34 deletions
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41
freqtrade/persistence/models.py
View File

@ -202,6 +202,10 @@ class Trade(_DECL_BASE):
"""
__tablename__ = 'trades'
use_db: bool = True
# Trades container for backtesting
trades: List['Trade'] = []
id = Column(Integer, primary_key=True)
orders = relationship("Order", order_by="Order.id", cascade="all, delete-orphan")
@ -562,6 +566,43 @@ class Trade(_DECL_BASE):
else:
return Trade.query
@staticmethod
def get_trades_proxy(*, pair: str = None, is_open: bool = None,
open_date: datetime = None, close_date: datetime = None,
) -> List['Trade']:
"""
Helper function to query Trades.
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.
:return: unsorted List[Trade]
"""
if Trade.use_db:
trade_filter = []
if pair:
trade_filter.append(Trade.pair == pair)
if open_date:
trade_filter.append(Trade.open_date > open_date)
if close_date:
trade_filter.append(Trade.close_date > close_date)
if is_open is not None:
trade_filter.append(Trade.is_open.is_(is_open))
return Trade.get_trades(trade_filter).all()
else:
# Offline mode - without database
sel_trades = [trade for trade in Trade.trades]
if pair:
sel_trades = [trade for trade in sel_trades if trade.pair == pair]
if open_date:
sel_trades = [trade for trade in sel_trades if trade.open_date > open_date]
if close_date:
sel_trades = [trade for trade in sel_trades if trade.close_date
and trade.close_date > close_date]
if is_open is not None:
sel_trades = [trade for trade in sel_trades if trade.is_open == is_open]
return sel_trades
@staticmethod
def get_open_trades() -> List[Any]:
"""

12
freqtrade/plugins/protectionmanager.py
View File

@ -3,7 +3,7 @@ Protection manager class
"""
import logging
from datetime import datetime, timezone
from typing import Dict, List
from typing import Dict, List, Optional
from freqtrade.persistence import PairLocks
from freqtrade.plugins.protections import IProtection
@ -43,8 +43,9 @@ class ProtectionManager():
"""
return [{p.name: p.short_desc()} for p in self._protection_handlers]
def global_stop(self) -> bool:
now = datetime.now(timezone.utc)
def global_stop(self, now: Optional[datetime] = None) -> bool:
if not now:
now = datetime.now(timezone.utc)
result = False
for protection_handler in self._protection_handlers:
if protection_handler.has_global_stop:
@ -57,8 +58,9 @@ class ProtectionManager():
result = True
return result
def stop_per_pair(self, pair) -> bool:
now = datetime.now(timezone.utc)
def stop_per_pair(self, pair, now: Optional[datetime] = None) -> bool:
if not now:
now = datetime.now(timezone.utc)
result = False
for protection_handler in self._protection_handlers:
if protection_handler.has_local_stop:

17
freqtrade/plugins/protections/cooldown_period.py
View File

@ -35,13 +35,16 @@ class CooldownPeriod(IProtection):
Get last trade for this pair
"""
look_back_until = date_now - timedelta(minutes=self._stop_duration)
filters = [
Trade.is_open.is_(False),
Trade.close_date > look_back_until,
Trade.pair == pair,
]
trade = Trade.get_trades(filters).first()
if trade:
# filters = [
# Trade.is_open.is_(False),
# Trade.close_date > look_back_until,
# Trade.pair == pair,
# ]
# trade = Trade.get_trades(filters).first()
trades = Trade.get_trades_proxy(pair=pair, is_open=False, close_date=look_back_until)
if trades:
# Get latest trade
trade = sorted(trades, key=lambda t: t.close_date)[-1]
self.log_once(f"Cooldown for {pair} for {self.stop_duration_str}.", logger.info)
until = self.calculate_lock_end([trade], self._stop_duration)

16
freqtrade/plugins/protections/low_profit_pairs.py
View File

@ -40,13 +40,15 @@ class LowProfitPairs(IProtection):
Evaluate recent trades for pair
"""
look_back_until = date_now - timedelta(minutes=self._lookback_period)
filters = [
Trade.is_open.is_(False),
Trade.close_date > look_back_until,
]
if pair:
filters.append(Trade.pair == pair)
trades = Trade.get_trades(filters).all()
# filters = [
# Trade.is_open.is_(False),
# Trade.close_date > look_back_until,
# ]
# if pair:
# filters.append(Trade.pair == pair)
trades = Trade.get_trades_proxy(pair=pair, is_open=False, close_date=look_back_until)
# trades = Trade.get_trades(filters).all()
if len(trades) < self._trade_limit:
# Not enough trades in the relevant period
return False, None, None

7
freqtrade/plugins/protections/max_drawdown_protection.py
View File

@ -44,11 +44,8 @@ class MaxDrawdown(IProtection):
Evaluate recent trades for drawdown ...
"""
look_back_until = date_now - timedelta(minutes=self._lookback_period)
filters = [
Trade.is_open.is_(False),
Trade.close_date > look_back_until,
]
trades = Trade.get_trades(filters).all()
trades = Trade.get_trades_proxy(is_open=False, close_date=look_back_until)
trades_df = pd.DataFrame([trade.to_json() for trade in trades])

25
freqtrade/plugins/protections/stoploss_guard.py
View File

@ -43,16 +43,21 @@ class StoplossGuard(IProtection):
Evaluate recent trades
"""
look_back_until = date_now - timedelta(minutes=self._lookback_period)
filters = [
Trade.is_open.is_(False),
Trade.close_date > look_back_until,
or_(Trade.sell_reason == SellType.STOP_LOSS.value,
and_(Trade.sell_reason == SellType.TRAILING_STOP_LOSS.value,
Trade.close_profit < 0))
]
if pair:
filters.append(Trade.pair == pair)
trades = Trade.get_trades(filters).all()
# filters = [
# Trade.is_open.is_(False),
# Trade.close_date > look_back_until,
# or_(Trade.sell_reason == SellType.STOP_LOSS.value,
# and_(Trade.sell_reason == SellType.TRAILING_STOP_LOSS.value,
# Trade.close_profit < 0))
# ]
# if pair:
# filters.append(Trade.pair == pair)
# trades = Trade.get_trades(filters).all()
trades1 = Trade.get_trades_proxy(pair=pair, is_open=False, close_date=look_back_until)
trades = [trade for trade in trades1 if trade.sell_reason == SellType.STOP_LOSS
or (trade.sell_reason == SellType.TRAILING_STOP_LOSS
and trade.close_profit < 0)]
if len(trades) > self._trade_limit:
self.log_once(f"Trading stopped due to {self._trade_limit} "