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Add documentation mention about new behaviour

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Matthias 2021-06-17 06:48:41 +02:00
parent 38ed49cef5
commit b38ab84a13
2 changed files with 6 additions and 5 deletions
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1
docs/backtesting.md
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@ -446,6 +446,7 @@ Since backtesting lacks some detailed information about what happens within a ca
- Stoploss is evaluated before ROI within one candle. So you can often see more trades with the `stoploss` sell reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes - Stoploss is evaluated before ROI within one candle. So you can often see more trades with the `stoploss` sell reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes
- Low happens before high for stoploss, protecting capital first - Low happens before high for stoploss, protecting capital first
- Trailing stoploss - Trailing stoploss
- Trailing Stoploss is only adjusted if it's below the candle's low (otherwise it would be triggered)
- High happens first - adjusting stoploss - High happens first - adjusting stoploss
- Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly) - Low uses the adjusted stoploss (so sells with large high-low difference are backtested correctly)
- ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies - ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies

10
freqtrade/optimize/backtesting.py
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@ -228,13 +228,13 @@ class Backtesting:
# Special case: trailing triggers within same candle as trade opened. Assume most # Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and # pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price. # immediately going down to stop price.
if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0 and \ if (sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0
self.strategy.trailing_stop_positive: and self.strategy.trailing_stop_positive):
if self.strategy.trailing_only_offset_is_reached: if self.strategy.trailing_only_offset_is_reached:
# Worst case: price reaches stop_positive_offset and dives down. # Worst case: price reaches stop_positive_offset and dives down.
stop_rate = sell_row[OPEN_IDX] * \ stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) - (1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)) abs(self.strategy.trailing_stop_positive)))
else: else:
# Worst case: price ticks tiny bit above open and dives down. # 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(self.strategy.trailing_stop_positive))