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

Trailing stoploss in backtesting v2

freqtrade/optimize/backtesting.py

@@ -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
+            if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
-                    and self.strategy.trailing_stop_positive):
+                if (
-                if self.strategy.trailing_only_offset_is_reached:
+                    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
 

tests/optimize/__init__.py

@@ -34,6 +34,7 @@ class BTContainer(NamedTuple):
     trailing_stop_positive: Optional[float] = None
     trailing_stop_positive_offset: float = 0.0
     use_sell_signal: bool = False
+    use_custom_stoploss: bool = False
 
 
 def _get_frame_time_from_offset(offset):

tests/optimize/test_backtest_detail.py

@@ -501,6 +501,21 @@ tc31 = BTContainer(data=[
     trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
 )
 
+# Test 32: trailing_stop should be triggered immediately on trade open candle.
+# stop-loss: 1%, ROI: 10% (should not apply)
+tc32 = BTContainer(data=[
+    # D   O     H     L     C    V    B  S
+    [0, 5000, 5050, 4950, 5000, 6172, 1, 0],
+    [1, 5000, 5500, 5000, 4900, 6172, 0, 0],    # enter trade (signal on last candle) and stop
+    [2, 4900, 5250, 4500, 5100, 6172, 0, 0],
+    [3, 5100, 5100, 4650, 4750, 6172, 0, 0],
+    [4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
+    stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01, trailing_stop=True,
+    trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.02,
+    trailing_stop_positive=0.01, use_custom_stoploss=True,
+    trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=1)]
+)
+
 TESTS = [
     tc0,
     tc1,
@@ -534,6 +549,7 @@ TESTS = [
     tc29,
     tc30,
     tc31,
+    tc32,
 ]
 
 
@@ -561,6 +577,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
     backtesting._set_strategy(backtesting.strategylist[0])
     backtesting.strategy.advise_buy = lambda a, m: frame
     backtesting.strategy.advise_sell = lambda a, m: frame
+    backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
     caplog.set_level(logging.DEBUG)
 
     pair = "UNITTEST/BTC"