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Merge pull request #5212 from rokups/rk/trailing-stop-2

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Trailing stoploss in backtesting v2
This commit is contained in:
Matthias
2021-07-03 08:39:30 +02:00
committed by GitHub
parent 849f01e6b7 fbd91cd3f8
commit 9d6860337f
3 changed files with 26 additions and 4 deletions
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12
freqtrade/optimize/backtesting.py
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@@ -228,16 +228,20 @@ class Backtesting:
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if (sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0
and self.strategy.trailing_stop_positive):
if self.strategy.trailing_only_offset_is_reached:
if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
if (
not self.strategy.use_custom_stoploss and self.strategy.trailing_stop
and self.strategy.trailing_only_offset_is_reached
and self.strategy.trailing_stop_positive_offset is not None
and self.strategy.trailing_stop_positive
):
# Worst case: price reaches stop_positive_offset and dives down.
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)))
else:
# Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(self.strategy.trailing_stop_positive))
stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct))
assert stop_rate < sell_row[HIGH_IDX]
return stop_rate