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in backtesting, calculate trailing stop sell price as being half way between the stop loss and low

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Brook Miles 2021-05-27 21:17:43 +09:00
parent e0083bc58e
commit 9b02dc0692
1 changed files with 7 additions and 0 deletions
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7
freqtrade/optimize/backtesting.py
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@ -224,6 +224,13 @@ class Backtesting:
# sell at open price. # sell at open price.
return sell_row[OPEN_IDX] return sell_row[OPEN_IDX]
if sell.sell_type == SellType.TRAILING_STOP_LOSS:
# trailing stop could potentially occur at any price between
# trade.stop_loss and candle low, so use the mid point
# to prevent extremely optimistic results with tight stops
stop_price = (trade.stop_loss + sell_row[LOW_IDX]) / 2
return stop_price
# Set close_rate to stoploss # Set close_rate to stoploss
return trade.stop_loss return trade.stop_loss
elif sell.sell_type == (SellType.ROI): elif sell.sell_type == (SellType.ROI):