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Merge branch 'develop' into pr/Axel-CH/5347

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Matthias
2021-08-14 09:13:30 +02:00
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7
docs/bot-basics.md
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@@ -35,7 +35,7 @@ By default, loop runs every few seconds (`internals.process_throttle_secs`) and
* Calls `check_buy_timeout()` strategy callback for open buy orders.
* Calls `check_sell_timeout()` strategy callback for open sell orders.
* Verifies existing positions and eventually places sell orders.
* Considers stoploss, ROI and sell-signal.
* Considers stoploss, ROI and sell-signal, `custom_sell()` and `custom_stoploss()`.
* Determine sell-price based on `ask_strategy` configuration setting or by using the `custom_exit_price()` callback.
* Before a sell order is placed, `confirm_trade_exit()` strategy callback is called.
* Check if trade-slots are still available (if `max_open_trades` is reached).
@@ -53,9 +53,10 @@ This loop will be repeated again and again until the bot is stopped.
* Load historic data for configured pairlist.
* Calls `bot_loop_start()` once.
* Calculate indicators (calls `populate_indicators()` once per pair).
* Calculate buy / sell signals (calls `populate_buy_trend()` and `populate_sell_trend()` once per pair)
* Confirm trade buy / sell (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy)
* Calculate buy / sell signals (calls `populate_buy_trend()` and `populate_sell_trend()` once per pair).
* Loops per candle simulating entry and exit points.
* Confirm trade buy / sell (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy).
* Call `custom_stoploss()` and `custom_sell()` to find custom exit points.
* Generate backtest report output
!!! Note

7
docs/developer.md
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@@ -240,11 +240,18 @@ The `IProtection` parent class provides a helper method for this in `calculate_l
!!! Note
This section is a Work in Progress and is not a complete guide on how to test a new exchange with Freqtrade.
!!! Note
Make sure to use an up-to-date version of CCXT before running any of the below tests.
You can get the latest version of ccxt by running `pip install -U ccxt` with activated virtual environment.
Native docker is not supported for these tests, however the available dev-container will support all required actions and eventually necessary changes.
Most exchanges supported by CCXT should work out of the box.
To quickly test the public endpoints of an exchange, add a configuration for your exchange to `test_ccxt_compat.py` and run these tests with `pytest --longrun tests/exchange/test_ccxt_compat.py`.
Completing these tests successfully a good basis point (it's a requirement, actually), however these won't guarantee correct exchange functioning, as this only tests public endpoints, but no private endpoint (like generate order or similar).
Also try to use `freqtrade download-data` for an extended timerange and verify that the data downloaded correctly (no holes, the specified timerange was actually downloaded).
### Stoploss On Exchange
Check if the new exchange supports Stoploss on Exchange orders through their API.

101
docs/hyperopt.md
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@@ -253,7 +253,7 @@ We continue to define hyperoptable parameters:
class MyAwesomeStrategy(IStrategy):
buy_adx = DecimalParameter(20, 40, decimals=1, default=30.1, space="buy")
buy_rsi = IntParameter(20, 40, default=30, space="buy")
buy_adx_enabled = CategoricalParameter([True, False], default=True, space="buy")
buy_adx_enabled = BooleanParameter(default=True, space="buy")
buy_rsi_enabled = CategoricalParameter([True, False], default=False, space="buy")
buy_trigger = CategoricalParameter(["bb_lower", "macd_cross_signal"], default="bb_lower", space="buy")
```
@@ -316,6 +316,7 @@ There are four parameter types each suited for different purposes.
* `DecimalParameter` - defines a floating point parameter with a limited number of decimals (default 3). Should be preferred instead of `RealParameter` in most cases.
* `RealParameter` - defines a floating point parameter with upper and lower boundaries and no precision limit. Rarely used as it creates a space with a near infinite number of possibilities.
* `CategoricalParameter` - defines a parameter with a predetermined number of choices.
* `BooleanParameter` - Shorthand for `CategoricalParameter([True, False])` - great for "enable" parameters.
!!! Tip "Disabling parameter optimization"
Each parameter takes two boolean parameters:
@@ -326,7 +327,7 @@ There are four parameter types each suited for different purposes.
!!! Warning
Hyperoptable parameters cannot be used in `populate_indicators` - as hyperopt does not recalculate indicators for each epoch, so the starting value would be used in this case.
### Optimizing an indicator parameter
## Optimizing an indicator parameter
Assuming you have a simple strategy in mind - a EMA cross strategy (2 Moving averages crossing) - and you'd like to find the ideal parameters for this strategy.
@@ -336,8 +337,8 @@ from functools import reduce
import talib.abstract as ta
from freqtrade.strategy import IStrategy
from freqtrade.strategy import CategoricalParameter, DecimalParameter, IntParameter
from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter,
IStrategy, IntParameter)
import freqtrade.vendor.qtpylib.indicators as qtpylib
class MyAwesomeStrategy(IStrategy):
@@ -413,6 +414,98 @@ While this strategy is most likely too simple to provide consistent profit, it s
While this may slow down the hyperopt startup speed, the overall performance will increase as the Hyperopt execution itself may pick the same value for multiple epochs (changing other values).
You should however try to use space ranges as small as possible. Every new column will require more memory, and every possibility hyperopt can try will increase the search space.
## Optimizing protections
Freqtrade can also optimize protections. How you optimize protections is up to you, and the following should be considered as example only.
The strategy will simply need to define the "protections" entry as property returning a list of protection configurations.
``` python
from pandas import DataFrame
from functools import reduce
import talib.abstract as ta
from freqtrade.strategy import (BooleanParameter, CategoricalParameter, DecimalParameter,
IStrategy, IntParameter)
import freqtrade.vendor.qtpylib.indicators as qtpylib
class MyAwesomeStrategy(IStrategy):
stoploss = -0.05
timeframe = '15m'
# Define the parameter spaces
cooldown_lookback = IntParameter(2, 48, default=5, space="protection", optimize=True)
stop_duration = IntParameter(12, 200, default=5, space="protection", optimize=True)
use_stop_protection = BooleanParameter(default=True, space="protection", optimize=True)
@property
def protections(self):
prot = []
prot.append({
"method": "CooldownPeriod",
"stop_duration_candles": self.cooldown_lookback.value
})
if self.use_stop_protection.value:
prot.append({
"method": "StoplossGuard",
"lookback_period_candles": 24 * 3,
"trade_limit": 4,
"stop_duration_candles": self.stop_duration.value,
"only_per_pair": False
})
return protection
def populate_indicators(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
# ...
```
You can then run hyperopt as follows:
`freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --strategy MyAwesomeStrategy --spaces protection`
!!! Note
The protection space is not part of the default space, and is only available with the Parameters Hyperopt interface, not with the legacy hyperopt interface (which required separate hyperopt files).
Freqtrade will also automatically change the "--enable-protections" flag if the protection space is selected.
!!! Warning
If protections are defined as property, entries from the configuration will be ignored.
It is therefore recommended to not define protections in the configuration.
### Migrating from previous property setups
A migration from a previous setup is pretty simple, and can be accomplished by converting the protections entry to a property.
In simple terms, the following configuration will be converted to the below.
``` python
class MyAwesomeStrategy(IStrategy):
protections = [
{
"method": "CooldownPeriod",
"stop_duration_candles": 4
}
]
```
Result
``` python
class MyAwesomeStrategy(IStrategy):
@property
def protections(self):
return [
{
"method": "CooldownPeriod",
"stop_duration_candles": 4
}
]
```
You will then obviously also change potential interesting entries to parameters to allow hyper-optimization.
## Loss-functions
Each hyperparameter tuning requires a target. This is usually defined as a loss function (sometimes also called objective function), which should decrease for more desirable results, and increase for bad results.

7
docs/includes/pairlists.md
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@@ -58,7 +58,7 @@ This option must be configured along with `exchange.skip_pair_validation` in the
When used in the chain of Pairlist Handlers in a non-leading position (after StaticPairList and other Pairlist Filters), `VolumePairList` considers outputs of previous Pairlist Handlers, adding its sorting/selection of the pairs by the trading volume.
When used on the leading position of the chain of Pairlist Handlers, it does not consider `pair_whitelist` configuration setting, but selects the top assets from all available markets (with matching stake-currency) on the exchange.
When used in the leading position of the chain of Pairlist Handlers, the `pair_whitelist` configuration setting is ignored. Instead, `VolumePairList` selects the top assets from all available markets with matching stake-currency on the exchange.
The `refresh_period` setting allows to define the period (in seconds), at which the pairlist will be refreshed. Defaults to 1800s (30 minutes).
The pairlist cache (`refresh_period`) on `VolumePairList` is only applicable to generating pairlists.
@@ -74,11 +74,14 @@ Filtering instances (not the first position in the list) will not apply any cach
"method": "VolumePairList",
"number_assets": 20,
"sort_key": "quoteVolume",
"min_value": 0,
"refresh_period": 1800
}
],
```
You can define a minimum volume with `min_value` - which will filter out pairs with a volume lower than the specified value in the specified timerange.
`VolumePairList` can also operate in an advanced mode to build volume over a given timerange of specified candle size. It utilizes exchange historical candle data, builds a typical price (calculated by (open+high+low)/3) and multiplies the typical price with every candle's volume. The sum is the `quoteVolume` over the given range. This allows different scenarios, for a more smoothened volume, when using longer ranges with larger candle sizes, or the opposite when using a short range with small candles.
For convenience `lookback_days` can be specified, which will imply that 1d candles will be used for the lookback. In the example below the pairlist would be created based on the last 7 days:
@@ -89,6 +92,7 @@ For convenience `lookback_days` can be specified, which will imply that 1d candl
"method": "VolumePairList",
"number_assets": 20,
"sort_key": "quoteVolume",
"min_value": 0,
"refresh_period": 86400,
"lookback_days": 7
}
@@ -109,6 +113,7 @@ More sophisticated approach can be used, by using `lookback_timeframe` for candl
"method": "VolumePairList",
"number_assets": 20,
"sort_key": "quoteVolume",
"min_value": 0,
"refresh_period": 3600,
"lookback_timeframe": "1h",
"lookback_period": 72

149
docs/includes/protections.md
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@@ -15,6 +15,10 @@ All protection end times are rounded up to the next candle to avoid sudden, unex
!!! Note "Backtesting"
Protections are supported by backtesting and hyperopt, but must be explicitly enabled by using the `--enable-protections` flag.
!!! Warning "Setting protections from the configuration"
Setting protections from the configuration via `"protections": [],` key should be considered deprecated and will be removed in a future version.
It is also no longer guaranteed that your protections apply to the strategy in cases where the strategy defines [protections as property](hyperopt.md#optimizing-protections).
### Available Protections
* [`StoplossGuard`](#stoploss-guard) Stop trading if a certain amount of stoploss occurred within a certain time window.
@@ -47,15 +51,17 @@ This applies across all pairs, unless `only_per_pair` is set to true, which will
The below example stops trading for all pairs for 4 candles after the last trade if the bot hit stoploss 4 times within the last 24 candles.
``` python
protections = [
{
"method": "StoplossGuard",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 4,
"only_per_pair": False
}
]
@property
def protections(self):
return [
{
"method": "StoplossGuard",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 4,
"only_per_pair": False
}
]
```
!!! Note
@@ -69,15 +75,17 @@ protections = [
The below sample stops trading for 12 candles if max-drawdown is > 20% considering all pairs - with a minimum of `trade_limit` trades - within the last 48 candles. If desired, `lookback_period` and/or `stop_duration` can be used.
``` python
protections = [
{
"method": "MaxDrawdown",
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 12,
"max_allowed_drawdown": 0.2
},
]
@property
def protections(self):
return [
{
"method": "MaxDrawdown",
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 12,
"max_allowed_drawdown": 0.2
},
]
```
#### Low Profit Pairs
@@ -88,15 +96,17 @@ If that ratio is below `required_profit`, that pair will be locked for `stop_dur
The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 candles.
``` python
protections = [
{
"method": "LowProfitPairs",
"lookback_period_candles": 6,
"trade_limit": 2,
"stop_duration": 60,
"required_profit": 0.02
}
]
@property
def protections(self):
return [
{
"method": "LowProfitPairs",
"lookback_period_candles": 6,
"trade_limit": 2,
"stop_duration": 60,
"required_profit": 0.02
}
]
```
#### Cooldown Period
@@ -106,12 +116,14 @@ protections = [
The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down".
``` python
protections = [
{
"method": "CooldownPeriod",
"stop_duration_candles": 2
}
]
@property
def protections(self):
return [
{
"method": "CooldownPeriod",
"stop_duration_candles": 2
}
]
```
!!! Note
@@ -136,39 +148,42 @@ from freqtrade.strategy import IStrategy
class AwesomeStrategy(IStrategy)
timeframe = '1h'
protections = [
{
"method": "CooldownPeriod",
"stop_duration_candles": 5
},
{
"method": "MaxDrawdown",
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 4,
"max_allowed_drawdown": 0.2
},
{
"method": "StoplossGuard",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 2,
"only_per_pair": False
},
{
"method": "LowProfitPairs",
"lookback_period_candles": 6,
"trade_limit": 2,
"stop_duration_candles": 60,
"required_profit": 0.02
},
{
"method": "LowProfitPairs",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 2,
"required_profit": 0.01
}
]
@property
def protections(self):
return [
{
"method": "CooldownPeriod",
"stop_duration_candles": 5
},
{
"method": "MaxDrawdown",
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 4,
"max_allowed_drawdown": 0.2
},
{
"method": "StoplossGuard",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 2,
"only_per_pair": False
},
{
"method": "LowProfitPairs",
"lookback_period_candles": 6,
"trade_limit": 2,
"stop_duration_candles": 60,
"required_profit": 0.02
},
{
"method": "LowProfitPairs",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 2,
"required_profit": 0.01
}
]
# ...
```

2
docs/index.md
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@@ -47,7 +47,7 @@ Please read the [exchange specific notes](exchanges.md) to learn about eventual,
Exchanges confirmed working by the community:
- [X] [Bitvavo](https://bitvavo.com/)
- [X] [Kukoin](https://www.kucoin.com/)
- [X] [Kucoin](https://www.kucoin.com/)
## Requirements