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Added more error checking to strategy interface and tested/validated

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This commit is contained in:
werkkrew 2021-03-13 13:26:29 -05:00
parent db5e038b0f
commit 9e92a641f5
1 changed files with 48 additions and 23 deletions
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71
freqtrade/strategy/interface.py
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@ -10,6 +10,7 @@ from enum import Enum
from typing import Dict, List, NamedTuple, Optional, Tuple
import arrow
import numpy as np
from pandas import DataFrame
from freqtrade.constants import ListPairsWithTimeframes
@ -636,39 +637,61 @@ class IStrategy(ABC):
"""
dynamic_roi = self.dynamic_roi
minimal_roi = self.minimal_roi
start, end = dynamic_roi['dynamic_roi_start'], dynamic_roi['dynamic_roi_end']
if not dynamic_roi:
return None, None
# linear decay: f(t) = start - (rate * t)
if dynamic_roi['dynamic_roi_type'] == 'linear':
rate = (start - end) / dynamic_roi['dynamic_roi_time']
min_roi = max(end, start - (rate * trade_dur))
# exponential decay: f(t) = start * e^(-rate*t)
elif dynamic_roi['dynamic_roi_type'] == 'exponential':
min_roi = max(end, start * np.exp(-dynamic_roi['dynamic_roi_rate']*trade_dur))
elif dynamic_roi['dynamic_roi_type'] == 'connect':
# connect the points in the defined table with lines
past_roi = list(filter(lambda x: x <= trade_dur, minimal_roi.keys()))
next_roi = list(filter(lambda x: x > trade_dur, minimal_roi.keys()))
if not past_roi:
return None, None
current_entry = max(past_roi)
# if we are past the final point in the table, use that key/vaule pair
if not next_roi:
return current_entry, minimal_roi[current_entry]
# use the slope-intercept formula between the two points in the roi table we are between
else:
if 'dynamic_roi_type' in dynamic_roi and dynamic_roi['dynamic_roi_type'] \
in ['linear', 'exponential', 'connect']:
roi_type = dynamic_roi['dynamic_roi_type']
# linear decay: f(t) = start - (rate * t)
if roi_type == 'linear':
if 'dynamic_roi_start' in dynamic_roi and 'dynamic_roi_end' in dynamic_roi and \
'dynamic_roi_time' in dynamic_roi:
start = dynamic_roi['dynamic_roi_start']
end = dynamic_roi['dynamic_roi_end']
time = dynamic_roi['dynamic_roi_time']
rate = (start - end) / time
min_roi = max(end, start - (rate * trade_dur))
return trade_dur, min_roi
else:
return None, None
# exponential decay: f(t) = start * e^(-rate*t)
elif roi_type == 'exponential':
if 'dynamic_roi_start' in dynamic_roi and 'dynamic_roi_end' in dynamic_roi and \
'dynamic_roi_rate' in dynamic_roi:
start = dynamic_roi['dynamic_roi_start']
end = dynamic_roi['dynamic_roi_end']
rate = dynamic_roi['dynamic_roi_rate']
min_roi = max(end, start * np.exp(-rate*trade_dur))
return trade_dur, min_roi
else:
return None, None
# "connect the dots" between the points on the minima_roi table
elif roi_type == 'connect':
if not minimal_roi:
return None, None
# figure out where we are in the defined roi table
past_roi = list(filter(lambda x: x <= trade_dur, minimal_roi.keys()))
next_roi = list(filter(lambda x: x > trade_dur, minimal_roi.keys()))
# if we are past the final point in the table, use that key/vaule pair
if not past_roi:
return None, None
current_entry = max(past_roi)
if not next_roi:
return current_entry, minimal_roi[current_entry]
next_entry = min(next_roi)
# use the slope-intercept formula between the two points
# y = mx + b
x1, y1 = current_entry, minimal_roi[current_entry]
x2, y2 = next_entry, minimal_roi[next_entry]
m = (y1-y2)/(x1-x2)
b = (x1*y2 - x2*y1)/(x1-x2)
min_roi = (m * trade_dur) + b
return trade_dur, min_roi
else:
return None, None
return trade_dur, min_roi
def min_roi_reached_entry(self, trade_dur: int) -> Tuple[Optional[int], Optional[float]]:
"""
Based on trade duration defines the ROI entry that may have been reached.
@ -691,7 +714,9 @@ class IStrategy(ABC):
"""
# Check if time matches and current rate is above threshold
trade_dur = int((current_time.timestamp() - trade.open_date_utc.timestamp()) // 60)
if self.dynamic_roi and self.dynamic_roi['dynamic_roi_enabled']:
if self.dynamic_roi and 'dynamic_roi_enabled' in self.dynamic_roi \
and self.dynamic_roi['dynamic_roi_enabled']:
_, roi = self.min_roi_reached_dynamic(trade_dur)
else:
_, roi = self.min_roi_reached_entry(trade_dur)