Merge pull request #5212 from rokups/rk/trailing-stop-2
Trailing stoploss in backtesting v2
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9d6860337f
@ -228,16 +228,20 @@ class Backtesting:
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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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if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
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if (
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not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
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and self.strategy.trailing_only_offset_is_reached
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and self.strategy.trailing_stop_positive_offset is not None
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and self.strategy.trailing_stop_positive
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):
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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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stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct))
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assert stop_rate < sell_row[HIGH_IDX]
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return stop_rate
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@ -34,6 +34,7 @@ class BTContainer(NamedTuple):
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trailing_stop_positive: Optional[float] = None
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trailing_stop_positive_offset: float = 0.0
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use_sell_signal: bool = False
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use_custom_stoploss: bool = False
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def _get_frame_time_from_offset(offset):
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@ -501,6 +501,21 @@ tc31 = BTContainer(data=[
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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 32: trailing_stop should be triggered immediately on trade open candle.
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# stop-loss: 1%, ROI: 10% (should not apply)
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tc32 = 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=-0.01, 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, use_custom_stoploss=True,
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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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@ -534,6 +549,7 @@ TESTS = [
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tc29,
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tc30,
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tc31,
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tc32,
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]
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@ -561,6 +577,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
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backtesting._set_strategy(backtesting.strategylist[0])
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backtesting.strategy.advise_buy = lambda a, m: frame
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backtesting.strategy.advise_sell = lambda a, m: frame
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backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
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caplog.set_level(logging.DEBUG)
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pair = "UNITTEST/BTC"
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