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Merge pull request #1673 from freqtrade/refactor/persistance_stoplossupdate

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trailing stop backtest problems
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Misagh 2019-03-28 20:44:24 +01:00 committed by GitHub
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6 changed files with 165 additions and 98 deletions
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32
freqtrade/persistence.py
View File

@ -83,7 +83,7 @@ def check_migrate(engine) -> None:
logger.debug(f'trying {table_back_name}')
# Check for latest column
if not has_column(cols, 'stoploss_last_update'):
if not has_column(cols, 'min_rate'):
logger.info(f'Running database migration - backup available as {table_back_name}')
fee_open = get_column_def(cols, 'fee_open', 'fee')
@ -95,6 +95,7 @@ def check_migrate(engine) -> None:
stoploss_order_id = get_column_def(cols, 'stoploss_order_id', 'null')
stoploss_last_update = get_column_def(cols, 'stoploss_last_update', 'null')
max_rate = get_column_def(cols, 'max_rate', '0.0')
min_rate = get_column_def(cols, 'min_rate', 'null')
sell_reason = get_column_def(cols, 'sell_reason', 'null')
strategy = get_column_def(cols, 'strategy', 'null')
ticker_interval = get_column_def(cols, 'ticker_interval', 'null')
@ -113,7 +114,7 @@ def check_migrate(engine) -> None:
open_rate_requested, close_rate, close_rate_requested, close_profit,
stake_amount, amount, open_date, close_date, open_order_id,
stop_loss, initial_stop_loss, stoploss_order_id, stoploss_last_update,
max_rate, sell_reason, strategy,
max_rate, min_rate, sell_reason, strategy,
ticker_interval
)
select id, lower(exchange),
@ -130,7 +131,7 @@ def check_migrate(engine) -> None:
stake_amount, amount, open_date, close_date, open_order_id,
{stop_loss} stop_loss, {initial_stop_loss} initial_stop_loss,
{stoploss_order_id} stoploss_order_id, {stoploss_last_update} stoploss_last_update,
{max_rate} max_rate, {sell_reason} sell_reason,
{max_rate} max_rate, {min_rate} min_rate, {sell_reason} sell_reason,
{strategy} strategy, {ticker_interval} ticker_interval
from {table_back_name}
""")
@ -191,6 +192,8 @@ class Trade(_DECL_BASE):
stoploss_last_update = Column(DateTime, nullable=True)
# absolute value of the highest reached price
max_rate = Column(Float, nullable=True, default=0.0)
# Lowest price reached
min_rate = Column(Float, nullable=True)
sell_reason = Column(String, nullable=True)
strategy = Column(String, nullable=True)
ticker_interval = Column(Integer, nullable=True)
@ -201,8 +204,22 @@ class Trade(_DECL_BASE):
return (f'Trade(id={self.id}, pair={self.pair}, amount={self.amount:.8f}, '
f'open_rate={self.open_rate:.8f}, open_since={open_since})')
def adjust_min_max_rates(self, current_price: float):
"""
Adjust the max_rate and min_rate.
"""
logger.debug("Adjusting min/max rates")
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 adjust_stop_loss(self, current_price: float, stoploss: float, initial: bool = False):
"""this adjusts the stop loss to it's most recently observed setting"""
"""
This adjusts the stop loss to it's most recently observed setting
:param current_price: Current rate the asset is traded
:param stoploss: Stoploss as factor (sample -0.05 -> -5% below current price).
:param initial: Called to initiate stop_loss.
Skips everything if self.stop_loss is already set.
"""
if initial and not (self.stop_loss is None or self.stop_loss == 0):
# Don't modify if called with initial and nothing to do
@ -210,13 +227,6 @@ class Trade(_DECL_BASE):
new_loss = float(current_price * (1 - abs(stoploss)))
# keeping track of the highest observed rate for this trade
if self.max_rate is None:
self.max_rate = current_price
else:
if current_price > self.max_rate:
self.max_rate = current_price
# no stop loss assigned yet
if not self.stop_loss:
logger.debug("assigning new stop loss")

61
freqtrade/strategy/interface.py
View File

@ -247,6 +247,9 @@ class IStrategy(ABC):
"""
This function evaluate if on the condition required to trigger a sell has been reached
if the threshold is reached and updates the trade record.
:param low: Only used during backtesting to simulate stoploss
:param high: Only used during backtesting, to simulate ROI
:param force_stoploss: Externally provided stoploss
:return: True if trade should be sold, False otherwise
"""
@ -254,14 +257,16 @@ class IStrategy(ABC):
current_rate = low or rate
current_profit = trade.calc_profit_percent(current_rate)
trade.adjust_min_max_rates(high or current_rate)
stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
current_time=date, current_profit=current_profit,
force_stoploss=force_stoploss)
force_stoploss=force_stoploss, high=high)
if stoplossflag.sell_flag:
return stoplossflag
# Set current rate to low for backtesting sell
# Set current rate to high for backtesting sell
current_rate = high or rate
current_profit = trade.calc_profit_percent(current_rate)
experimental = self.config.get('experimental', {})
@ -285,8 +290,9 @@ class IStrategy(ABC):
return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
def stop_loss_reached(self, current_rate: float, trade: Trade, current_time: datetime,
current_profit: float, force_stoploss: float) -> SellCheckTuple:
def stop_loss_reached(self, current_rate: float, trade: Trade,
current_time: datetime, current_profit: float,
force_stoploss: float, high: float = None) -> SellCheckTuple:
"""
Based on current profit of the trade and configured (trailing) stoploss,
decides to sell or not
@ -294,13 +300,33 @@ class IStrategy(ABC):
"""
trailing_stop = self.config.get('trailing_stop', False)
trade.adjust_stop_loss(trade.open_rate, force_stoploss if force_stoploss
else self.stoploss, initial=True)
stop_loss_value = force_stoploss if force_stoploss else self.stoploss
# 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 trailing_stop:
# trailing stoploss handling
sl_offset = self.config.get('trailing_stop_positive_offset') or 0.0
tsl_only_offset = self.config.get('trailing_only_offset_is_reached', False)
# Don't update stoploss if trailing_only_offset_is_reached is true.
if not (tsl_only_offset and current_profit < sl_offset):
# Specific handling for trailing_stop_positive
if 'trailing_stop_positive' in self.config and current_profit > sl_offset:
# Ignore mypy error check in configuration that this is a float
stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore
logger.debug(f"using positive stop loss: {stop_loss_value} "
f"offset: {sl_offset:.4g} profit: {current_profit:.4f}%")
trade.adjust_stop_loss(high or current_rate, stop_loss_value)
# evaluate if the stoploss was hit if stoploss is not on exchange
if ((self.stoploss is not None) and
(trade.stop_loss >= current_rate) and
(not self.order_types.get('stoploss_on_exchange'))):
selltype = SellType.STOP_LOSS
# If Trailing stop (and max-rate did move above open rate)
if trailing_stop and trade.open_rate != trade.max_rate:
@ -315,29 +341,6 @@ class IStrategy(ABC):
logger.debug('Stop loss hit.')
return SellCheckTuple(sell_flag=True, sell_type=selltype)
# update the stop loss afterwards, after all by definition it's supposed to be hanging
if trailing_stop:
# check if we have a special stop loss for positive condition
# and if profit is positive
stop_loss_value = force_stoploss if force_stoploss else self.stoploss
sl_offset = self.config.get('trailing_stop_positive_offset') or 0.0
if 'trailing_stop_positive' in self.config and current_profit > sl_offset:
# Ignore mypy error check in configuration that this is a float
stop_loss_value = self.config.get('trailing_stop_positive') # type: ignore
logger.debug(f"using positive stop loss mode: {stop_loss_value} "
f"with offset {sl_offset:.4g} "
f"since we have profit {current_profit:.4f}%")
# if trailing_only_offset_is_reached is true,
# we update trailing stoploss only if offset is reached.
tsl_only_offset = self.config.get('trailing_only_offset_is_reached', False)
if not (tsl_only_offset and current_profit < sl_offset):
trade.adjust_stop_loss(current_rate, stop_loss_value)
return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)
def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool:

1
freqtrade/tests/optimize/__init__.py
View File

@ -28,6 +28,7 @@ class BTContainer(NamedTuple):
roi: float
trades: List[BTrade]
profit_perc: float
trailing_stop: bool = False
def _get_frame_time_from_offset(offset):

65
freqtrade/tests/optimize/test_backtest_detail.py
View File

@ -14,10 +14,10 @@ from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataf
from freqtrade.tests.conftest import patch_exchange
# Test 0 Minus 8% Close
# Test 1 Minus 8% Close
# Test with Stop-loss at 1%
# TC1: Stop-Loss Triggered 1% loss
tc0 = BTContainer(data=[
tc1 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
@ -30,10 +30,10 @@ tc0 = BTContainer(data=[
)
# Test 1 Minus 4% Low, minus 1% close
# Test 2 Minus 4% Low, minus 1% close
# Test with Stop-Loss at 3%
# TC2: Stop-Loss Triggered 3% Loss
tc1 = BTContainer(data=[
tc2 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
@ -49,11 +49,10 @@ tc1 = BTContainer(data=[
# Test 3 Candle drops 4%, Recovers 1%.
# Entry Criteria Met
# Candle drops 20%
# Candle Data for test 3
# Test with Stop-Loss at 2%
# TC3: Trade-A: Stop-Loss Triggered 2% Loss
# Trade-B: Stop-Loss Triggered 2% Loss
tc2 = BTContainer(data=[
tc3 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
@ -71,7 +70,7 @@ tc2 = BTContainer(data=[
# Candle Data for test 3 – Candle drops 3% Closed 15% up
# Test with Stop-loss at 2% ROI 6%
# TC4: Stop-Loss Triggered 2% Loss
tc3 = BTContainer(data=[
tc4 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
@ -83,10 +82,10 @@ tc3 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=2)]
)
# Test 4 / Drops 0.5% Closes +20%
# Test 5 / Drops 0.5% Closes +20%
# Set stop-loss at 1% ROI 3%
# TC5: ROI triggers 3% Gain
tc4 = BTContainer(data=[
tc5 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4980, 4987, 6172, 1, 0],
[1, 5000, 5025, 4980, 4987, 6172, 0, 0], # enter trade (signal on last candle)
@ -99,10 +98,9 @@ tc4 = BTContainer(data=[
)
# Test 6 / Drops 3% / Recovers 6% Positive / Closes 1% positve
# Candle Data for test 6
# Set stop-loss at 2% ROI at 5%
# TC6: Stop-Loss triggers 2% Loss
tc5 = BTContainer(data=[
tc6 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
@ -115,10 +113,9 @@ tc5 = BTContainer(data=[
)
# Test 7 - 6% Positive / 1% Negative / Close 1% Positve
# Candle Data for test 7
# Set stop-loss at 2% ROI at 3%
# TC7: ROI Triggers 3% Gain
tc6 = BTContainer(data=[
tc7 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0],
@ -130,14 +127,47 @@ tc6 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
)
# Test 8 - trailing_stop should raise so candle 3 causes a stoploss.
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC8: Trailing stoploss - stoploss should be adjusted candle 2
tc8 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
[2, 5000, 5250, 4750, 4850, 6172, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.10, profit_perc=-0.055, trailing_stop=True,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
# Test 9 - trailing_stop should raise - high and low in same candle.
# Candle Data for test 9
# Set stop-loss at 10%, ROI at 10% (should not apply)
# TC9: Trailing stoploss - stoploss should be adjusted candle 2
tc9 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5000, 6172, 0, 0],
[2, 5000, 5050, 4950, 5000, 6172, 0, 0],
[3, 5000, 5200, 4550, 4850, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi=0.10, profit_perc=-0.064, trailing_stop=True,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
TESTS = [
tc0,
tc1,
tc2,
tc3,
tc4,
tc5,
tc6,
tc7,
tc8,
tc9,
]
@ -148,8 +178,9 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
"""
default_conf["stoploss"] = data.stop_loss
default_conf["minimal_roi"] = {"0": data.roi}
default_conf['ticker_interval'] = tests_ticker_interval
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.0))
default_conf["ticker_interval"] = tests_ticker_interval
default_conf["trailing_stop"] = data.trailing_stop
mocker.patch("freqtrade.exchange.Exchange.get_fee", MagicMock(return_value=0.0))
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)
backtesting = Backtesting(default_conf)
@ -157,7 +188,7 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
backtesting.advise_sell = lambda a, m: frame
caplog.set_level(logging.DEBUG)
pair = 'UNITTEST/BTC'
pair = "UNITTEST/BTC"
# Dummy data as we mock the analyze functions
data_processed = {pair: DataFrame()}
min_date, max_date = get_timeframe({pair: frame})

14
freqtrade/tests/test_freqtradebot.py
View File

@ -2265,9 +2265,8 @@ def test_sell_profit_only_enable_loss(default_conf, limit_buy_order, fee, market
}
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.strategy.stop_loss_reached = \
lambda current_rate, trade, current_time, force_stoploss, current_profit: SellCheckTuple(
sell_flag=False, sell_type=SellType.NONE)
freqtrade.strategy.stop_loss_reached = MagicMock(return_value=SellCheckTuple(
sell_flag=False, sell_type=SellType.NONE))
freqtrade.create_trade()
trade = Trade.query.first()
@ -2413,8 +2412,7 @@ def test_trailing_stop_loss_positive(default_conf, limit_buy_order, fee, markets
}))
# stop-loss not reached, adjusted stoploss
assert freqtrade.handle_trade(trade) is False
assert log_has(f'using positive stop loss mode: 0.01 with offset 0 '
f'since we have profit 0.2666%',
assert log_has(f'using positive stop loss: 0.01 offset: 0 profit: 0.2666%',
caplog.record_tuples)
assert log_has(f'adjusted stop loss', caplog.record_tuples)
assert trade.stop_loss == 0.0000138501
@ -2473,8 +2471,7 @@ def test_trailing_stop_loss_offset(default_conf, limit_buy_order, fee,
}))
# stop-loss not reached, adjusted stoploss
assert freqtrade.handle_trade(trade) is False
assert log_has(f'using positive stop loss mode: 0.01 with offset 0.011 '
f'since we have profit 0.2666%',
assert log_has(f'using positive stop loss: 0.01 offset: 0.011 profit: 0.2666%',
caplog.record_tuples)
assert log_has(f'adjusted stop loss', caplog.record_tuples)
assert trade.stop_loss == 0.0000138501
@ -2553,8 +2550,7 @@ def test_tsl_only_offset_reached(default_conf, limit_buy_order, fee,
}))
assert freqtrade.handle_trade(trade) is False
assert log_has(f'using positive stop loss mode: 0.05 with offset 0.055 '
f'since we have profit 0.1218%',
assert log_has(f'using positive stop loss: 0.05 offset: 0.055 profit: 0.1218%',
caplog.record_tuples)
assert log_has(f'adjusted stop loss', caplog.record_tuples)
assert trade.stop_loss == 0.0000117705

86
freqtrade/tests/test_persistence.py
View File

@ -510,6 +510,7 @@ def test_migrate_new(mocker, default_conf, fee, caplog):
assert trade.pair == "ETC/BTC"
assert trade.exchange == "binance"
assert trade.max_rate == 0.0
assert trade.min_rate is None
assert trade.stop_loss == 0.0
assert trade.initial_stop_loss == 0.0
assert trade.sell_reason is None
@ -585,7 +586,48 @@ def test_migrate_mid_state(mocker, default_conf, fee, caplog):
caplog.record_tuples)
def test_adjust_stop_loss(limit_buy_order, limit_sell_order, fee):
def test_adjust_stop_loss(fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
max_rate=1,
)
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 0.95
assert trade.initial_stop_loss == 0.95
# Get percent of profit with a lower rate
trade.adjust_stop_loss(0.96, 0.05)
assert trade.stop_loss == 0.95
assert trade.initial_stop_loss == 0.95
# Get percent of profit with a custom rate (Higher than open rate)
trade.adjust_stop_loss(1.3, -0.1)
assert round(trade.stop_loss, 8) == 1.17
assert trade.initial_stop_loss == 0.95
# current rate lower again ... should not change
trade.adjust_stop_loss(1.2, 0.1)
assert round(trade.stop_loss, 8) == 1.17
assert trade.initial_stop_loss == 0.95
# current rate higher... should raise stoploss
trade.adjust_stop_loss(1.4, 0.1)
assert round(trade.stop_loss, 8) == 1.26
assert trade.initial_stop_loss == 0.95
# Initial is true but stop_loss set - so doesn't do anything
trade.adjust_stop_loss(1.7, 0.1, True)
assert round(trade.stop_loss, 8) == 1.26
assert trade.initial_stop_loss == 0.95
def test_adjust_min_max_rates(fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
@ -595,40 +637,24 @@ def test_adjust_stop_loss(limit_buy_order, limit_sell_order, fee):
open_rate=1,
)
trade.adjust_stop_loss(trade.open_rate, 0.05, True)
assert trade.stop_loss == 0.95
trade.adjust_min_max_rates(trade.open_rate)
assert trade.max_rate == 1
assert trade.initial_stop_loss == 0.95
assert trade.min_rate == 1
# Get percent of profit with a lowre rate
trade.adjust_stop_loss(0.96, 0.05)
assert trade.stop_loss == 0.95
# check min adjusted, max remained
trade.adjust_min_max_rates(0.96)
assert trade.max_rate == 1
assert trade.initial_stop_loss == 0.95
assert trade.min_rate == 0.96
# Get percent of profit with a custom rate (Higher than open rate)
trade.adjust_stop_loss(1.3, -0.1)
assert round(trade.stop_loss, 8) == 1.17
assert trade.max_rate == 1.3
assert trade.initial_stop_loss == 0.95
# check max adjusted, min remains
trade.adjust_min_max_rates(1.05)
assert trade.max_rate == 1.05
assert trade.min_rate == 0.96
# current rate lower again ... should not change
trade.adjust_stop_loss(1.2, 0.1)
assert round(trade.stop_loss, 8) == 1.17
assert trade.max_rate == 1.3
assert trade.initial_stop_loss == 0.95
# current rate higher... should raise stoploss
trade.adjust_stop_loss(1.4, 0.1)
assert round(trade.stop_loss, 8) == 1.26
assert trade.max_rate == 1.4
assert trade.initial_stop_loss == 0.95
# Initial is true but stop_loss set - so doesn't do anything
trade.adjust_stop_loss(1.7, 0.1, True)
assert round(trade.stop_loss, 8) == 1.26
assert trade.max_rate == 1.4
assert trade.initial_stop_loss == 0.95
# current rate "in the middle" - no adjustment
trade.adjust_min_max_rates(1.03)
assert trade.max_rate == 1.05
assert trade.min_rate == 0.96
def test_get_open(default_conf, fee):