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Fix extremely optimistic results when using a combination of custom_stoploss and trailing_stop.

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Rokas Kupstys
2021-06-29 16:17:52 +03:00
parent eb5cee4934
commit bc0742ae67
3 changed files with 24 additions and 4 deletions
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10
freqtrade/optimize/backtesting.py
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@@ -228,16 +228,18 @@ class Backtesting:
# Special case: trailing triggers within same candle as trade opened. Assume most
# pessimistic price movement, which is moving just enough to arm stoploss and
# immediately going down to stop price.
if (sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0
and self.strategy.trailing_stop_positive):
if self.strategy.trailing_only_offset_is_reached:
if sell.sell_type == SellType.TRAILING_STOP_LOSS and trade_dur == 0:
if not self.strategy.use_custom_stoploss and self.strategy.trailing_stop and \
self.strategy.trailing_only_offset_is_reached and \
self.strategy.trailing_stop_positive_offset is not None and \
self.strategy.trailing_stop_positive:
# Worst case: price reaches stop_positive_offset and dives down.
stop_rate = (sell_row[OPEN_IDX] *
(1 + abs(self.strategy.trailing_stop_positive_offset) -
abs(self.strategy.trailing_stop_positive)))
else:
# 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(trade.stop_loss_pct))
assert stop_rate < sell_row[HIGH_IDX]
return stop_rate