Merge pull request #1486 from freqtrade/fix/roi_problem

Fix ROI problem
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Misagh 2019-01-16 14:51:27 +01:00 committed by GitHub
commit d108138999
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4 changed files with 54 additions and 11 deletions

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@ -221,7 +221,7 @@ class Backtesting(object):
elif sell.sell_type == (SellType.ROI):
# get next entry in min_roi > to trade duration
# Interface.py skips on trade_duration <= duration
roi_entry = max(list(filter(lambda x: trade_dur > x,
roi_entry = max(list(filter(lambda x: trade_dur >= x,
self.strategy.minimal_roi.keys())))
roi = self.strategy.minimal_roi[roi_entry]

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@ -319,17 +319,18 @@ class IStrategy(ABC):
def min_roi_reached(self, trade: Trade, current_profit: float, current_time: datetime) -> bool:
"""
Based an earlier trade and current price and ROI configuration, decides whether bot should
sell
sell. Requires current_profit to be in percent!!
:return True if bot should sell at current rate
"""
# Check if time matches and current rate is above threshold
time_diff = (current_time.timestamp() - trade.open_date.timestamp()) / 60
for duration, threshold in self.minimal_roi.items():
if time_diff <= duration:
continue
if current_profit > threshold:
return True
trade_dur = (current_time.timestamp() - trade.open_date.timestamp()) / 60
# Get highest entry in ROI dict where key >= trade-duration
roi_entry = max(list(filter(lambda x: trade_dur >= x, self.minimal_roi.keys())))
threshold = self.minimal_roi[roi_entry]
if current_profit > threshold:
return True
return False

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@ -530,10 +530,10 @@ def test_backtest(default_conf, fee, mocker) -> None:
'open_time': [Arrow(2018, 1, 29, 18, 40, 0).datetime,
Arrow(2018, 1, 30, 3, 30, 0).datetime],
'close_time': [Arrow(2018, 1, 29, 22, 35, 0).datetime,
Arrow(2018, 1, 30, 4, 15, 0).datetime],
Arrow(2018, 1, 30, 4, 10, 0).datetime],
'open_index': [78, 184],
'close_index': [125, 193],
'trade_duration': [235, 45],
'close_index': [125, 192],
'trade_duration': [235, 40],
'open_at_end': [False, False],
'open_rate': [0.104445, 0.10302485],
'close_rate': [0.104969, 0.103541],

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@ -118,6 +118,7 @@ def test_tickerdata_to_dataframe(default_conf) -> None:
def test_min_roi_reached(default_conf, fee) -> None:
# Use list to confirm sequence does not matter
min_roi_list = [{20: 0.05, 55: 0.01, 0: 0.1},
{0: 0.1, 20: 0.05, 55: 0.01}]
for roi in min_roi_list:
@ -143,6 +144,47 @@ def test_min_roi_reached(default_conf, fee) -> None:
assert strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-1).datetime)
def test_min_roi_reached2(default_conf, fee) -> None:
# test with ROI raising after last interval
min_roi_list = [{20: 0.07,
30: 0.05,
55: 0.30,
0: 0.1
},
{0: 0.1,
20: 0.07,
30: 0.05,
55: 0.30
},
]
for roi in min_roi_list:
strategy = DefaultStrategy(default_conf)
strategy.minimal_roi = roi
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
open_date=arrow.utcnow().shift(hours=-1).datetime,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='bittrex',
open_rate=1,
)
assert not strategy.min_roi_reached(trade, 0.02, arrow.utcnow().shift(minutes=-56).datetime)
assert strategy.min_roi_reached(trade, 0.12, arrow.utcnow().shift(minutes=-56).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-39).datetime)
assert strategy.min_roi_reached(trade, 0.071, arrow.utcnow().shift(minutes=-39).datetime)
assert not strategy.min_roi_reached(trade, 0.04, arrow.utcnow().shift(minutes=-26).datetime)
assert strategy.min_roi_reached(trade, 0.06, arrow.utcnow().shift(minutes=-26).datetime)
# Should not trigger with 20% profit since after 55 minutes only 30% is active.
assert not strategy.min_roi_reached(trade, 0.20, arrow.utcnow().shift(minutes=-2).datetime)
assert strategy.min_roi_reached(trade, 0.31, arrow.utcnow().shift(minutes=-2).datetime)
def test_analyze_ticker_default(ticker_history, mocker, caplog) -> None:
caplog.set_level(logging.DEBUG)
ind_mock = MagicMock(side_effect=lambda x, meta: x)