Merge pull request #1486 from freqtrade/fix/roi_problem

Fix ROI problem

freqtrade/optimize/backtesting.py

@@ -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]
 

freqtrade/strategy/interface.py

@@ -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
 

freqtrade/tests/optimize/test_backtesting.py

@@ -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],

freqtrade/tests/strategy/test_interface.py

@@ -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)