Add short-exit logic to backtesting

freqtrade/freqtradebot.py

@@ -856,14 +856,14 @@ class FreqtradeBot(LoggingMixin):
         """
         Check and execute sell
         """
-        should_sell = self.strategy.should_sell(
+        should_exit: SellCheckTuple = self.strategy.should_exit(
             trade, sell_rate, datetime.now(timezone.utc), buy, sell,
             force_stoploss=self.edge.stoploss(trade.pair) if self.edge else 0
         )
 
-        if should_sell.sell_flag:
+        if should_exit.sell_flag:
-            logger.info(f'Executing Sell for {trade.pair}. Reason: {should_sell.sell_type}')
+            logger.info(f'Executing Sell for {trade.pair}. Reason: {should_exit.sell_type}')
-            self.execute_sell(trade, sell_rate, should_sell)
+            self.execute_sell(trade, sell_rate, should_exit)
             return True
         return False
 

freqtrade/optimize/backtesting.py

@@ -332,12 +332,13 @@ class Backtesting:
             return sell_row[OPEN_IDX]
 
     def _get_sell_trade_entry(self, trade: LocalTrade, sell_row: Tuple) -> Optional[LocalTrade]:
-        # TODO: short exits
         sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
-        sell = self.strategy.should_sell(trade, sell_row[OPEN_IDX],  # type: ignore
+        sell = self.strategy.should_exit(
-                                         sell_candle_time, buy=sell_row[LONG_IDX],
+            trade, sell_row[OPEN_IDX], sell_candle_time,  # type: ignore
-                                         sell=sell_row[ELONG_IDX],
+            enter_long=sell_row[LONG_IDX], enter_short=sell_row[SHORT_IDX],
-                                         low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX])
+            exit_long=sell_row[ELONG_IDX], exit_short=sell_row[ESHORT_IDX],
+            low=sell_row[LOW_IDX], high=sell_row[HIGH_IDX]
+            )
 
         if sell.sell_flag:
             trade.close_date = sell_candle_time

freqtrade/strategy/interface.py

@@ -614,8 +614,10 @@ class IStrategy(ABC, HyperStrategyMixin):
         else:
             return False
 
-    def should_sell(self, trade: Trade, rate: float, date: datetime, buy: bool,
+    def should_exit(self, trade: Trade, rate: float, date: datetime, *,
-                    sell: bool, low: float = None, high: float = None,
+                    enter_long: bool, enter_short: bool,
+                    exit_long: bool,  exit_short: bool,
+                    low: float = None, high: float = None,
                     force_stoploss: float = 0) -> SellCheckTuple:
         """
         This function evaluates if one of the conditions required to trigger a sell/exit_short
@@ -625,6 +627,10 @@ class IStrategy(ABC, HyperStrategyMixin):
         :param force_stoploss: Externally provided stoploss
         :return: True if trade should be exited, False otherwise
         """
+
+        enter = enter_short if trade.is_short else enter_long
+        exit_ = exit_short if trade.is_short else exit_long
+
         current_rate = rate
         current_profit = trade.calc_profit_ratio(current_rate)
 
@@ -639,7 +645,7 @@ class IStrategy(ABC, HyperStrategyMixin):
         current_profit = trade.calc_profit_ratio(current_rate)
 
         # if enter signal and ignore_roi is set, we don't need to evaluate min_roi.
-        roi_reached = (not (buy and self.ignore_roi_if_buy_signal)
+        roi_reached = (not (enter and self.ignore_roi_if_buy_signal)
                        and self.min_roi_reached(trade=trade, current_profit=current_profit,
                                                 current_time=date))
 
@@ -652,8 +658,8 @@ class IStrategy(ABC, HyperStrategyMixin):
         if (self.sell_profit_only and current_profit <= self.sell_profit_offset):
             # sell_profit_only and profit doesn't reach the offset - ignore sell signal
             pass
-        elif self.use_sell_signal and not buy:
+        elif self.use_sell_signal and not enter:
-            if sell:
+            if exit_:
                 sell_signal = SellType.SELL_SIGNAL
             else:
                 trade_type = "exit_short" if trade.is_short else "sell"
@@ -712,9 +718,9 @@ class IStrategy(ABC, HyperStrategyMixin):
         # Initiate stoploss with open_rate. Does nothing if stoploss is already set.
         trade.adjust_stop_loss(trade.open_rate, stop_loss_value, initial=True)
 
-        dir_correct = (
+        dir_correct = (trade.stop_loss < (low or current_rate)
-            trade.stop_loss < (low or current_rate) and not trade.is_short or
+                       if not trade.is_short else
-            trade.stop_loss > (low or current_rate) and trade.is_short
+                       trade.stop_loss > (high or current_rate)
                        )
 
         if self.use_custom_stoploss and dir_correct:
@@ -735,6 +741,7 @@ class IStrategy(ABC, HyperStrategyMixin):
             sl_offset = self.trailing_stop_positive_offset
 
             # Make sure current_profit is calculated using high for backtesting.
+            # TODO-lev: Check this function - high / low usage must be inversed for short trades!
             high_profit = current_profit if not high else trade.calc_profit_ratio(high)
 
             # Don't update stoploss if trailing_only_offset_is_reached is true.

tests/strategy/test_interface.py

@@ -452,27 +452,39 @@ def test_custom_sell(default_conf, fee, caplog) -> None:
     )
 
     now = arrow.utcnow().datetime
-    res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
+    res = strategy.should_exit(trade, 1, now,
+                               enter_long=False, enter_short=False,
+                               exit_long=False, exit_short=False,
+                               low=None, high=None)
 
     assert res.sell_flag is False
     assert res.sell_type == SellType.NONE
 
     strategy.custom_sell = MagicMock(return_value=True)
-    res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
+    res = strategy.should_exit(trade, 1, now,
+                               enter_long=False, enter_short=False,
+                               exit_long=False, exit_short=False,
+                               low=None, high=None)
     assert res.sell_flag is True
     assert res.sell_type == SellType.CUSTOM_SELL
     assert res.sell_reason == 'custom_sell'
 
     strategy.custom_sell = MagicMock(return_value='hello world')
 
-    res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
+    res = strategy.should_exit(trade, 1, now,
+                               enter_long=False, enter_short=False,
+                               exit_long=False, exit_short=False,
+                               low=None, high=None)
     assert res.sell_type == SellType.CUSTOM_SELL
     assert res.sell_flag is True
     assert res.sell_reason == 'hello world'
 
     caplog.clear()
     strategy.custom_sell = MagicMock(return_value='h' * 100)
-    res = strategy.should_sell(trade, 1, now, False, False, None, None, 0)
+    res = strategy.should_exit(trade, 1, now,
+                               enter_long=False, enter_short=False,
+                               exit_long=False, exit_short=False,
+                               low=None, high=None)
     assert res.sell_type == SellType.CUSTOM_SELL
     assert res.sell_flag is True
     assert res.sell_reason == 'h' * 64