Prepare protections for backtesting

freqtrade/persistence/models.py

@@ -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]:
         """

freqtrade/plugins/protectionmanager.py

@@ -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:
+    def global_stop(self, now: Optional[datetime] = None) -> bool:
-        now = datetime.now(timezone.utc)
+        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:
+    def stop_per_pair(self, pair, now: Optional[datetime] = None) -> bool:
-        now = datetime.now(timezone.utc)
+        if not now:
+            now = datetime.now(timezone.utc)
         result = False
         for protection_handler in self._protection_handlers:
             if protection_handler.has_local_stop:

freqtrade/plugins/protections/cooldown_period.py

@@ -35,13 +35,16 @@ class CooldownPeriod(IProtection):
         Get last trade for this pair
         """
         look_back_until = date_now - timedelta(minutes=self._stop_duration)
-        filters = [
+        # filters = [
-            Trade.is_open.is_(False),
+        #     Trade.is_open.is_(False),
-            Trade.close_date > look_back_until,
+        #     Trade.close_date > look_back_until,
-            Trade.pair == pair,
+        #     Trade.pair == pair,
-        ]
+        # ]
-        trade = Trade.get_trades(filters).first()
+        # trade = Trade.get_trades(filters).first()
-        if trade:
+        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)
 

freqtrade/plugins/protections/low_profit_pairs.py

@@ -40,13 +40,15 @@ class LowProfitPairs(IProtection):
         Evaluate recent trades for pair
         """
         look_back_until = date_now - timedelta(minutes=self._lookback_period)
-        filters = [
+        # filters = [
-            Trade.is_open.is_(False),
+        #     Trade.is_open.is_(False),
-            Trade.close_date > look_back_until,
+        #     Trade.close_date > look_back_until,
-        ]
+        # ]
-        if pair:
+        # if pair:
-            filters.append(Trade.pair == pair)
+        #     filters.append(Trade.pair == pair)
-        trades = Trade.get_trades(filters).all()
+
+        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

freqtrade/plugins/protections/max_drawdown_protection.py

@@ -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),
+        trades = Trade.get_trades_proxy(is_open=False, close_date=look_back_until)
-            Trade.close_date > look_back_until,
-        ]
-        trades = Trade.get_trades(filters).all()
 
         trades_df = pd.DataFrame([trade.to_json() for trade in trades])
 

freqtrade/plugins/protections/stoploss_guard.py

@@ -43,16 +43,21 @@ class StoplossGuard(IProtection):
         Evaluate recent trades
         """
         look_back_until = date_now - timedelta(minutes=self._lookback_period)
-        filters = [
+        # filters = [
-            Trade.is_open.is_(False),
+        #     Trade.is_open.is_(False),
-            Trade.close_date > look_back_until,
+        #     Trade.close_date > look_back_until,
-            or_(Trade.sell_reason == SellType.STOP_LOSS.value,
+        #     or_(Trade.sell_reason == SellType.STOP_LOSS.value,
-                and_(Trade.sell_reason == SellType.TRAILING_STOP_LOSS.value,
+        #         and_(Trade.sell_reason == SellType.TRAILING_STOP_LOSS.value,
-                     Trade.close_profit < 0))
+        #              Trade.close_profit < 0))
-        ]
+        # ]
-        if pair:
+        # if pair:
-            filters.append(Trade.pair == pair)
+        #     filters.append(Trade.pair == pair)
-        trades = Trade.get_trades(filters).all()
+        # 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} "