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Merge branch 'feat/short' into short_buy_tag_compat

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Matthias
2021-11-21 19:31:30 +01:00
parent 192ac88314 aad37bb8f3
commit c26c0b6822
10 changed files with 147 additions and 62 deletions
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27
freqtrade/optimize/backtesting.py
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@@ -124,7 +124,7 @@ class Backtesting:
# TODO-lev: This should come from the configuration setting or better a
# TODO-lev: combination of config/strategy "use_shorts"(?) and "can_short" from the exchange
self.trading_mode = TradingMode(config.get('trading_mode', 'spot'))
self._can_short = self.trading_mode == TradingMode.MARGIN
self._can_short = self.trading_mode != TradingMode.SPOT
self.progress = BTProgress()
self.abort = False
@@ -368,6 +368,10 @@ class Backtesting:
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]:
# TODO-lev: add interest / funding fees to trade object ->
# Must be done either here, or one level higher ->
# (if we don't want to do it at "detail" level)
sell_candle_time = sell_row[DATE_IDX].to_pydatetime()
enter = sell_row[SHORT_IDX] if trade.is_short else sell_row[LONG_IDX]
exit_ = sell_row[ESHORT_IDX] if trade.is_short else sell_row[ELONG_IDX]
@@ -443,13 +447,13 @@ class Backtesting:
stake_amount = self.wallets.get_trade_stake_amount(pair, None)
except DependencyException:
return None
current_time = row[DATE_IDX].to_pydatetime()
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=row[DATE_IDX].to_pydatetime(), current_rate=row[OPEN_IDX],
pair=pair, current_time=current_time, current_rate=row[OPEN_IDX],
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount,
side=direction)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
@@ -457,12 +461,24 @@ class Backtesting:
if not stake_amount:
return None
max_leverage = self.exchange.get_max_leverage(pair, stake_amount)
leverage = strategy_safe_wrapper(self.strategy.leverage, default_retval=1.0)(
pair=pair,
current_time=current_time,
current_rate=row[OPEN_IDX],
proposed_leverage=1.0,
max_leverage=max_leverage,
side=direction,
) if self._can_short else 1.0
# Cap leverage between 1.0 and max_leverage.
leverage = min(max(leverage, 1.0), max_leverage)
order_type = self.strategy.order_types['buy']
time_in_force = self.strategy.order_time_in_force['sell']
# Confirm trade entry:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=row[OPEN_IDX],
time_in_force=time_in_force, current_time=row[DATE_IDX].to_pydatetime(),
time_in_force=time_in_force, current_time=current_time,
side=direction):
return None
@@ -472,7 +488,7 @@ class Backtesting:
trade = LocalTrade(
pair=pair,
open_rate=row[OPEN_IDX],
open_date=row[DATE_IDX].to_pydatetime(),
open_date=current_time,
stake_amount=stake_amount,
amount=round(stake_amount / row[OPEN_IDX], 8),
fee_open=self.fee,
@@ -481,6 +497,7 @@ class Backtesting:
enter_tag=row[ENTER_TAG_IDX] if has_enter_tag else None,
exchange=self._exchange_name,
is_short=(direction == 'short'),
leverage=leverage,
)
return trade
return None