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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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21
tests/strategy/test_default_strategy.py
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@@ -1,5 +1,9 @@
from datetime import datetime
from pandas import DataFrame
from freqtrade.persistence.models import Trade
from .strats.default_strategy import DefaultStrategy
@@ -12,7 +16,7 @@ def test_default_strategy_structure():
assert hasattr(DefaultStrategy, 'populate_sell_trend')
def test_default_strategy(result):
def test_default_strategy(result, fee):
strategy = DefaultStrategy({})
metadata = {'pair': 'ETH/BTC'}
@@ -23,3 +27,18 @@ def test_default_strategy(result):
assert type(indicators) is DataFrame
assert type(strategy.populate_buy_trend(indicators, metadata)) is DataFrame
assert type(strategy.populate_sell_trend(indicators, metadata)) is DataFrame
trade = Trade(
open_rate=19_000,
amount=0.1,
pair='ETH/BTC',
fee_open=fee.return_value
)
assert strategy.confirm_trade_entry(pair='ETH/BTC', order_type='limit', amount=0.1,
rate=20000, time_in_force='gtc') is True
assert strategy.confirm_trade_exit(pair='ETH/BTC', trade=trade, order_type='limit', amount=0.1,
rate=20000, time_in_force='gtc', sell_reason='roi') is True
assert strategy.custom_stoploss(pair='ETH/BTC', trade=trade, current_time=datetime.now(),
current_rate=20_000, current_profit=0.05) == strategy.stoploss

78
tests/strategy/test_interface.py
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@@ -13,6 +13,7 @@ from freqtrade.data.history import load_data
from freqtrade.exceptions import StrategyError
from freqtrade.persistence import PairLocks, Trade
from freqtrade.resolvers import StrategyResolver
from freqtrade.strategy.interface import SellCheckTuple, SellType
from freqtrade.strategy.strategy_wrapper import strategy_safe_wrapper
from tests.conftest import log_has, log_has_re
@@ -105,9 +106,7 @@ def test_get_signal_old_dataframe(default_conf, mocker, caplog, ohlcv_history):
assert log_has('Outdated history for pair xyz. Last tick is 16 minutes old', caplog)
def test_assert_df_raise(default_conf, mocker, caplog, ohlcv_history):
# default_conf defines a 5m interval. we check interval * 2 + 5m
# this is necessary as the last candle is removed (partial candles) by default
def test_assert_df_raise(mocker, caplog, ohlcv_history):
ohlcv_history.loc[1, 'date'] = arrow.utcnow().shift(minutes=-16)
# Take a copy to correctly modify the call
mocked_history = ohlcv_history.copy()
@@ -127,7 +126,7 @@ def test_assert_df_raise(default_conf, mocker, caplog, ohlcv_history):
caplog)
def test_assert_df(default_conf, mocker, ohlcv_history, caplog):
def test_assert_df(ohlcv_history, caplog):
df_len = len(ohlcv_history) - 1
# Ensure it's running when passed correctly
_STRATEGY.assert_df(ohlcv_history, len(ohlcv_history),
@@ -288,6 +287,77 @@ def test_min_roi_reached3(default_conf, fee) -> None:
assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
@pytest.mark.parametrize(
'profit,adjusted,expected,trailing,custom,profit2,adjusted2,expected2,custom_stop', [
# Profit, adjusted stoploss(absolute), profit for 2nd call, enable trailing,
# enable custom stoploss, expected after 1st call, expected after 2nd call
(0.2, 0.9, SellType.NONE, False, False, 0.3, 0.9, SellType.NONE, None),
(0.2, 0.9, SellType.NONE, False, False, -0.2, 0.9, SellType.STOP_LOSS, None),
(0.2, 1.14, SellType.NONE, True, False, 0.05, 1.14, SellType.TRAILING_STOP_LOSS, None),
(0.01, 0.96, SellType.NONE, True, False, 0.05, 1, SellType.NONE, None),
(0.05, 1, SellType.NONE, True, False, -0.01, 1, SellType.TRAILING_STOP_LOSS, None),
# Default custom case - trails with 10%
(0.05, 0.95, SellType.NONE, False, True, -0.02, 0.95, SellType.NONE, None),
(0.05, 0.95, SellType.NONE, False, True, -0.06, 0.95, SellType.TRAILING_STOP_LOSS, None),
(0.05, 1, SellType.NONE, False, True, -0.06, 1, SellType.TRAILING_STOP_LOSS,
lambda **kwargs: -0.05),
(0.05, 1, SellType.NONE, False, True, 0.09, 1.04, SellType.NONE,
lambda **kwargs: -0.05),
(0.05, 0.95, SellType.NONE, False, True, 0.09, 0.98, SellType.NONE,
lambda current_profit, **kwargs: -0.1 if current_profit < 0.6 else -(current_profit * 2)),
# Error case - static stoploss in place
(0.05, 0.9, SellType.NONE, False, True, 0.09, 0.9, SellType.NONE,
lambda **kwargs: None),
])
def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, trailing, custom,
profit2, adjusted2, expected2, custom_stop) -> None:
default_conf.update({'strategy': 'DefaultStrategy'})
strategy = StrategyResolver.load_strategy(default_conf)
trade = Trade(
pair='ETH/BTC',
stake_amount=0.01,
amount=1,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
trade.adjust_min_max_rates(trade.open_rate)
strategy.trailing_stop = trailing
strategy.trailing_stop_positive = -0.05
strategy.use_custom_stoploss = custom
original_stopvalue = strategy.custom_stoploss
if custom_stop:
strategy.custom_stoploss = custom_stop
now = arrow.utcnow().datetime
sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit), trade=trade,
current_time=now, current_profit=profit,
force_stoploss=0, high=None)
assert isinstance(sl_flag, SellCheckTuple)
assert sl_flag.sell_type == expected
if expected == SellType.NONE:
assert sl_flag.sell_flag is False
else:
assert sl_flag.sell_flag is True
assert round(trade.stop_loss, 2) == adjusted
sl_flag = strategy.stop_loss_reached(current_rate=trade.open_rate * (1 + profit2), trade=trade,
current_time=now, current_profit=profit2,
force_stoploss=0, high=None)
assert sl_flag.sell_type == expected2
if expected2 == SellType.NONE:
assert sl_flag.sell_flag is False
else:
assert sl_flag.sell_flag is True
assert round(trade.stop_loss, 2) == adjusted2
strategy.custom_stoploss = original_stopvalue
def test_analyze_ticker_default(ohlcv_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)

0
tests/strategy/test_strategy.py → tests/strategy/test_strategy_loading.py
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