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Properly preserve trade's low during backtesting

This commit is contained in:
Matthias 2021-08-09 19:38:56 +02:00
parent 5bfb9edf02
commit cf27968b97
5 changed files with 14 additions and 9 deletions
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4
freqtrade/persistence/models.py
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@ -354,12 +354,12 @@ class LocalTrade():
LocalTrade.trades_open = [] LocalTrade.trades_open = []
LocalTrade.total_profit = 0 LocalTrade.total_profit = 0
def adjust_min_max_rates(self, current_price: float) -> None: def adjust_min_max_rates(self, current_price: float, current_price_low: float) -> None:
""" """
Adjust the max_rate and min_rate. Adjust the max_rate and min_rate.
""" """
self.max_rate = max(current_price, self.max_rate or self.open_rate) self.max_rate = max(current_price, self.max_rate or self.open_rate)
self.min_rate = min(current_price, self.min_rate or self.open_rate) self.min_rate = min(current_price_low, self.min_rate or self.open_rate)
def _set_new_stoploss(self, new_loss: float, stoploss: float): def _set_new_stoploss(self, new_loss: float, stoploss: float):
"""Assign new stop value""" """Assign new stop value"""

2
freqtrade/strategy/interface.py
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@ -568,7 +568,7 @@ class IStrategy(ABC, HyperStrategyMixin):
current_rate = rate current_rate = rate
current_profit = trade.calc_profit_ratio(current_rate) current_profit = trade.calc_profit_ratio(current_rate)
trade.adjust_min_max_rates(high or current_rate) trade.adjust_min_max_rates(high or current_rate, low or current_rate)
stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade, stoplossflag = self.stop_loss_reached(current_rate=current_rate, trade=trade,
current_time=date, current_profit=current_profit, current_time=date, current_profit=current_profit,

2
tests/optimize/test_backtesting.py
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@ -584,7 +584,7 @@ def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None:
'initial_stop_loss_ratio': [-0.1, -0.1], 'initial_stop_loss_ratio': [-0.1, -0.1],
'stop_loss_abs': [0.0940005, 0.09272236], 'stop_loss_abs': [0.0940005, 0.09272236],
'stop_loss_ratio': [-0.1, -0.1], 'stop_loss_ratio': [-0.1, -0.1],
'min_rate': [0.1038, 0.10302485], 'min_rate': [0.10370188, 0.10300000000000001],
'max_rate': [0.10501, 0.1038888], 'max_rate': [0.10501, 0.1038888],
'is_open': [False, False], 'is_open': [False, False],
'buy_tag': [None, None], 'buy_tag': [None, None],

2
tests/strategy/test_interface.py
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@ -398,7 +398,7 @@ def test_stop_loss_reached(default_conf, fee, profit, adjusted, expected, traili
exchange='binance', exchange='binance',
open_rate=1, open_rate=1,
) )
trade.adjust_min_max_rates(trade.open_rate) trade.adjust_min_max_rates(trade.open_rate, trade.open_rate)
strategy.trailing_stop = trailing strategy.trailing_stop = trailing
strategy.trailing_stop_positive = -0.05 strategy.trailing_stop_positive = -0.05
strategy.use_custom_stoploss = custom strategy.use_custom_stoploss = custom

13
tests/test_persistence.py
View File

@ -799,25 +799,30 @@ def test_adjust_min_max_rates(fee):
open_rate=1, open_rate=1,
) )
trade.adjust_min_max_rates(trade.open_rate) trade.adjust_min_max_rates(trade.open_rate, trade.open_rate)
assert trade.max_rate == 1 assert trade.max_rate == 1
assert trade.min_rate == 1 assert trade.min_rate == 1
# check min adjusted, max remained # check min adjusted, max remained
trade.adjust_min_max_rates(0.96) trade.adjust_min_max_rates(0.96, 0.96)
assert trade.max_rate == 1 assert trade.max_rate == 1
assert trade.min_rate == 0.96 assert trade.min_rate == 0.96
# check max adjusted, min remains # check max adjusted, min remains
trade.adjust_min_max_rates(1.05) trade.adjust_min_max_rates(1.05, 1.05)
assert trade.max_rate == 1.05 assert trade.max_rate == 1.05
assert trade.min_rate == 0.96 assert trade.min_rate == 0.96
# current rate "in the middle" - no adjustment # current rate "in the middle" - no adjustment
trade.adjust_min_max_rates(1.03) trade.adjust_min_max_rates(1.03, 1.03)
assert trade.max_rate == 1.05 assert trade.max_rate == 1.05
assert trade.min_rate == 0.96 assert trade.min_rate == 0.96
# current rate "in the middle" - no adjustment
trade.adjust_min_max_rates(1.10, 0.91)
assert trade.max_rate == 1.10
assert trade.min_rate == 0.91
@pytest.mark.usefixtures("init_persistence") @pytest.mark.usefixtures("init_persistence")
@pytest.mark.parametrize('use_db', [True, False]) @pytest.mark.parametrize('use_db', [True, False])