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Merge pull request #4089 from freqtrade/feat/stoploss_custom

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introduce custom stoploss
This commit is contained in:
Matthias
2020-12-31 10:33:33 +01:00
committed by GitHub
parent 12de29dd3e 512e163355
commit 9e3224ccc0
9 changed files with 293 additions and 21 deletions
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14
freqtrade/persistence/models.py
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@@ -342,6 +342,12 @@ class Trade(_DECL_BASE):
self.max_rate = max(current_price, self.max_rate or self.open_rate)
self.min_rate = min(current_price, self.min_rate or self.open_rate)
def _set_new_stoploss(self, new_loss: float, stoploss: float):
"""Assign new stop value"""
self.stop_loss = new_loss
self.stop_loss_pct = -1 * abs(stoploss)
self.stoploss_last_update = datetime.utcnow()
def adjust_stop_loss(self, current_price: float, stoploss: float,
initial: bool = False) -> None:
"""
@@ -360,19 +366,15 @@ class Trade(_DECL_BASE):
# no stop loss assigned yet
if not self.stop_loss:
logger.debug(f"{self.pair} - Assigning new stoploss...")
self.stop_loss = new_loss
self.stop_loss_pct = -1 * abs(stoploss)
self._set_new_stoploss(new_loss, stoploss)
self.initial_stop_loss = new_loss
self.initial_stop_loss_pct = -1 * abs(stoploss)
self.stoploss_last_update = datetime.utcnow()
# evaluate if the stop loss needs to be updated
else:
if new_loss > self.stop_loss: # stop losses only walk up, never down!
logger.debug(f"{self.pair} - Adjusting stoploss...")
self.stop_loss = new_loss
self.stop_loss_pct = -1 * abs(stoploss)
self.stoploss_last_update = datetime.utcnow()
self._set_new_stoploss(new_loss, stoploss)
else:
logger.debug(f"{self.pair} - Keeping current stoploss...")

36
freqtrade/strategy/interface.py
View File

@@ -89,6 +89,7 @@ class IStrategy(ABC):
trailing_stop_positive: Optional[float] = None
trailing_stop_positive_offset: float = 0.0
trailing_only_offset_is_reached = False
use_custom_stoploss: bool = False
# associated timeframe
ticker_interval: str # DEPRECATED
@@ -254,6 +255,28 @@ class IStrategy(ABC):
"""
return True
def custom_stoploss(self, pair: str, trade: Trade, current_time: datetime, current_rate: float,
current_profit: float, **kwargs) -> float:
"""
Custom stoploss logic, returning the new distance relative to current_rate (as ratio).
e.g. returning -0.05 would create a stoploss 5% below current_rate.
The custom stoploss can never be below self.stoploss, which serves as a hard maximum loss.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, returns the initial stoploss value
Only called when use_custom_stoploss is set to True.
:param pair: Pair that's currently analyzed
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New stoploss value, relative to the currentrate
"""
return self.stoploss
def informative_pairs(self) -> ListPairsWithTimeframes:
"""
Define additional, informative pair/interval combinations to be cached from the exchange.
@@ -531,6 +554,19 @@ class IStrategy(ABC):
# Initiate stoploss with open_rate. Does nothing if stoploss is already set.
trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True)
if self.use_custom_stoploss:
stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None
)(pair=trade.pair, trade=trade,
current_time=current_time,
current_rate=current_rate,
current_profit=current_profit)
# Sanity check - error cases will return None
if stop_loss_value:
# logger.info(f"{trade.pair} {stop_loss_value=} {current_profit=}")
trade.adjust_stop_loss(current_rate, stop_loss_value)
else:
logger.warning("CustomStoploss function did not return valid stoploss")
if self.trailing_stop:
# trailing stoploss handling
sl_offset = self.trailing_stop_positive_offset

26
freqtrade/templates/subtemplates/strategy_methods_advanced.j2
View File

@@ -12,6 +12,30 @@ def bot_loop_start(self, **kwargs) -> None:
"""
pass
use_custom_stoploss = True
def custom_stoploss(self, pair: str, trade: 'Trade', current_time: 'datetime', current_rate: float,
current_profit: float, **kwargs) -> float:
"""
Custom stoploss logic, returning the new distance relative to current_rate (as ratio).
e.g. returning -0.05 would create a stoploss 5% below current_rate.
The custom stoploss can never be below self.stoploss, which serves as a hard maximum loss.
For full documentation please go to https://www.freqtrade.io/en/latest/strategy-advanced/
When not implemented by a strategy, returns the initial stoploss value
Only called when use_custom_stoploss is set to True.
:param pair: Pair that's about to be sold.
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Rate, calculated based on pricing settings in ask_strategy.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: New stoploss value, relative to the currentrate
"""
return self.stoploss
def confirm_trade_entry(self, pair: str, order_type: str, amount: float, rate: float,
time_in_force: str, **kwargs) -> bool:
"""
@@ -45,7 +69,7 @@ def confirm_trade_exit(self, pair: str, trade: 'Trade', order_type: str, amount:
When not implemented by a strategy, returns True (always confirming).
:param pair: Pair that's about to be sold.
:param pair: Pair that's currently analyzed
:param trade: trade object.
:param order_type: Order type (as configured in order_types). usually limit or market.
:param amount: Amount in quote currency.