complete stoploss_from_open and associated test

freqtrade/strategy/__init__.py

@@ -2,5 +2,4 @@
 from freqtrade.exchange import (timeframe_to_minutes, timeframe_to_msecs, timeframe_to_next_date,
                                 timeframe_to_prev_date, timeframe_to_seconds)
 from freqtrade.strategy.interface import IStrategy
-from freqtrade.strategy.strategy_helper import merge_informative_pair
+from freqtrade.strategy.strategy_helper import merge_informative_pair, stoploss_from_open
-from freqtrade.strategy.strategy_helper import stoploss_from_open

freqtrade/strategy/strategy_helper.py

@@ -65,12 +65,21 @@ def stoploss_from_open(open_relative_stop: float, current_profit: float) -> floa
     return a stop loss value that is relative to the current price, and which can be
     returned from `custom_stoploss`.
 
-    :param open_relative_stop: Desired stop loss value relative to open price
+    The requested stop can be positive for a stop above the open price, or negative for
+    a stop below the open price. The return value is always >= 0.
+
+    Returns 0 if the resulting stop price would be above the current price.
+
+    :param open_relative_stop: Desired stop loss percentage relative to open price
     :param current_profit: The current profit percentage
-    :return: Stop loss value relative to current price
+    :return: Positive stop loss value relative to current price
     """
 
+    # formula is undefined for current_profit -1, return maximum value
     if current_profit == -1:
         return 1
 
-    return 1-((1+open_relative_stop)/(1+current_profit))
+    stoploss = 1-((1+open_relative_stop)/(1+current_profit))
+
+    # negative stoploss values indicate the requested stop price is higher than the current price
+    return max(stoploss, 0.0)

tests/strategy/test_strategy_helpers.py

@@ -1,8 +1,10 @@
+from math import isclose
+
 import numpy as np
 import pandas as pd
 import pytest
 
-from freqtrade.strategy import merge_informative_pair, timeframe_to_minutes
+from freqtrade.strategy import merge_informative_pair, stoploss_from_open, timeframe_to_minutes
 
 
 def generate_test_data(timeframe: str, size: int):
@@ -95,3 +97,38 @@ def test_merge_informative_pair_lower():
 
     with pytest.raises(ValueError, match=r"Tried to merge a faster timeframe .*"):
         merge_informative_pair(data, informative, '1h', '15m', ffill=True)
+
+
+def test_stoploss_from_open():
+    open_price_ranges = [
+        [0.01, 1.00, 30],
+        [1, 100, 30],
+        [100, 10000, 30],
+    ]
+    current_profit_range = [-0.99, 2, 30]
+    desired_stop_range = [-0.50, 0.50, 30]
+
+    for open_range in open_price_ranges:
+        for open_price in np.linspace(*open_range):
+            for desired_stop in np.linspace(*desired_stop_range):
+
+                # -1 is not a valid current_profit, should return 1
+                assert stoploss_from_open(desired_stop, -1) == 1
+
+                for current_profit in np.linspace(*current_profit_range):
+                    current_price = open_price * (1 + current_profit)
+                    expected_stop_price = open_price * (1 + desired_stop)
+
+                    stoploss = stoploss_from_open(desired_stop, current_profit)
+
+                    assert stoploss >= 0
+                    assert stoploss <= 1
+
+                    stop_price = current_price * (1 - stoploss)
+
+                    # there is no correct answer if the expected stop price is above
+                    # the current price
+                    if expected_stop_price > current_price:
+                        assert stoploss == 0
+                    else:
+                        assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)