Merge remote-tracking branch 'origin/StopLossSupport' into wohlgemuth

freqtrade/analyze.py

@@ -14,7 +14,6 @@ from freqtrade.exchange import get_ticker_history
 from freqtrade.persistence import Trade
 from freqtrade.strategy.resolver import StrategyResolver
 
-
 logger = logging.getLogger(__name__)
 
 
@@ -31,6 +30,7 @@ class Analyze(object):
     Analyze class contains everything the bot need to determine if the situation is good for
     buying or selling.
     """
+
     def __init__(self, config: dict) -> None:
         """
         Init Analyze
@@ -195,10 +195,29 @@ class Analyze(object):
         :return True if bot should sell at current rate
         """
         current_profit = trade.calc_profit_percent(current_rate)
-        if self.strategy.stoploss is not None and current_profit < self.strategy.stoploss:
+
+        if trade.stop_loss is None:
+            # initially adjust the stop loss to the base value
+            trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss)
+
+        # evaluate if the stoploss was hit
+        if self.strategy.stoploss is not None and trade.stop_loss >= current_rate:
+
+            # just for debugging
+            if 'trailing_stop' in self.config and self.config['trailing_stop']:
+                print(
+                    "HIT STOP: current price at {:.6f}, stop loss is {:.6f}, "
+                    "initial stop loss was at {:.6f}, trade opened at {:.6f}".format(
+                        current_rate, trade.stop_loss, trade.initial_stop_loss, trade.open_rate))
+                print("trailing stop saved us: {:.6f}".format(trade.stop_loss - trade.initial_stop_loss))
+
             logger.debug('Stop loss hit.')
             return True
 
+        # update the stop loss afterwards, after all by definition it's supposed to be hanging
+        if 'trailing_stop' in self.config and self.config['trailing_stop']:
+            trade.adjust_stop_loss(current_rate, self.strategy.stoploss)
+
         # Check if time matches and current rate is above threshold
         time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60
         for duration, threshold in self.strategy.minimal_roi.items():

freqtrade/persistence.py

@@ -95,6 +95,9 @@ class Trade(_DECL_BASE):
     open_date = Column(DateTime, nullable=False, default=datetime.utcnow)
     close_date = Column(DateTime)
     open_order_id = Column(String)
+    stop_loss = Column(Float, nullable=False, default=0.0)  # absolute value of the stop loss
+    initial_stop_loss = Column(Float, nullable=False, default=0.0)  # absolute value of the initial stop loss
+    max_rate = Column(Float, nullable=False, default=0.0)  # absolute value of the highest reached price
 
     def __repr__(self):
         return 'Trade(id={}, pair={}, amount={:.8f}, open_rate={:.8f}, open_since={})'.format(
@@ -105,6 +108,50 @@ class Trade(_DECL_BASE):
             arrow.get(self.open_date).humanize() if self.is_open else 'closed'
         )
 
+    def adjust_stop_loss(self, current_price, stoploss):
+        """
+
+        this adjusts the stop loss to it's most recently observed
+        setting
+        :param current_price:
+        :param stoploss:
+        :return:
+        """
+
+        new_loss = Decimal(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 self.stop_loss is None:
+            logger.debug("assigning new stop loss")
+            self.stop_loss = new_loss
+            self.initial_stop_loss = new_loss
+
+        # evaluate if the stop loss needs to be updated
+        else:
+            if new_loss > self.stop_loss:  # stop losses only walk up, never down!
+                self.stop_loss = new_loss
+                logger.debug("adjusted stop loss")
+            else:
+                logger.debug("keeping current stop loss")
+
+        print(
+            "{} - current price {:.6f}, bought at {:.6f} and calculated "
+            "stop loss is at: {:.6f} initial stop at {:.6f}. trailing stop loss saved us: {:.6f} "
+            "and max observed rate was {:.6f}".format(
+                self.pair, current_price, self.open_rate,
+                self.initial_stop_loss,
+                self.stop_loss, self.stop_loss - self.initial_stop_loss,
+                self.max_rate
+
+            ))
+
     def update(self, order: Dict) -> None:
         """
         Updates this entity with amount and actual open/close rates.