Add support for shorts in strategy.stoploss_from_open
Signed-off-by: Guillermo Rodríguez <guillebep@gmail.com>
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@ -1,6 +1,5 @@
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import pandas as pd
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from freqtrade.exceptions import OperationalException
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from freqtrade.exchange import timeframe_to_minutes
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@ -81,30 +80,26 @@ def stoploss_from_open(
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The requested stop can be positive for a stop above the open price, or negative for
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a stop below the open price. The return value is always >= 0.
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Returns 0 if the resulting stop price would be above the current price.
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Returns 0 if the resulting stop price would be above/below (longs/shorts) the current price
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:param open_relative_stop: Desired stop loss percentage relative to open price
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:param current_profit: The current profit percentage
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:param for_short: When true, perform the calculation for short instead of long
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:return: Stop loss value relative to current price
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"""
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# formula is undefined for current_profit -1, return maximum value
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if current_profit == -1:
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# formula is undefined for current_profit -1 (longs) or 1 (shorts), return maximum value
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if (current_profit == -1 and not for_short) or (for_short and current_profit == 1):
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return 1
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if for_short is True:
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# TODO-lev: How would this be calculated for short
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raise OperationalException(
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"Freqtrade hasn't figured out how to calculated stoploss on shorts")
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# stoploss = 1-((1+open_relative_stop)/(1+current_profit))
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stoploss = -1+((1-open_relative_stop)/(1-current_profit))
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else:
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stoploss = 1-((1+open_relative_stop)/(1+current_profit))
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# negative stoploss values indicate the requested stop price is higher than the current price
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if for_short:
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return min(stoploss, 0.0)
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else:
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return max(stoploss, 0.0)
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# negative stoploss values indicate the requested stop price is higher/lower
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# (long/short) than the current price
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return max(stoploss, 0.0)
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def stoploss_from_absolute(stop_rate: float, current_rate: float) -> float:
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@ -109,33 +109,47 @@ def test_stoploss_from_open():
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[1, 100, 30],
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[100, 10000, 30],
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]
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current_profit_range = [-0.99, 2, 30]
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# profit range for long is [-1, inf] while for shorts is [-inf, 1]
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current_profit_range_dict = {'long': [-0.99, 2, 30], 'short': [-2.0, 0.99, 30]}
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desired_stop_range = [-0.50, 0.50, 30]
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for open_range in open_price_ranges:
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for open_price in np.linspace(*open_range):
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for desired_stop in np.linspace(*desired_stop_range):
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for side, current_profit_range in current_profit_range_dict.items():
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for open_range in open_price_ranges:
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for open_price in np.linspace(*open_range):
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for desired_stop in np.linspace(*desired_stop_range):
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# -1 is not a valid current_profit, should return 1
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assert stoploss_from_open(desired_stop, -1) == 1
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for current_profit in np.linspace(*current_profit_range):
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current_price = open_price * (1 + current_profit)
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expected_stop_price = open_price * (1 + desired_stop)
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stoploss = stoploss_from_open(desired_stop, current_profit)
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assert stoploss >= 0
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assert stoploss <= 1
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stop_price = current_price * (1 - stoploss)
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# there is no correct answer if the expected stop price is above
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# the current price
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if expected_stop_price > current_price:
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assert stoploss == 0
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if side == 'long':
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# -1 is not a valid current_profit, should return 1
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assert stoploss_from_open(desired_stop, -1) == 1
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else:
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assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)
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# 1 is not a valid current_profit for shorts, should return 1
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assert stoploss_from_open(desired_stop, 1, True) == 1
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for current_profit in np.linspace(*current_profit_range):
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if side == 'long':
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current_price = open_price * (1 + current_profit)
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expected_stop_price = open_price * (1 + desired_stop)
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stoploss = stoploss_from_open(desired_stop, current_profit)
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stop_price = current_price * (1 - stoploss)
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else:
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current_price = open_price * (1 - current_profit)
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expected_stop_price = open_price * (1 - desired_stop)
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stoploss = stoploss_from_open(desired_stop, current_profit, True)
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stop_price = current_price * (1 + stoploss)
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assert stoploss >= 0
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# Technically the formula can yield values greater than 1 for shorts
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# eventhough it doesn't make sense because the position would be liquidated
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if side == 'long':
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assert stoploss <= 1
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# there is no correct answer if the expected stop price is above
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# the current price
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if (side == 'long' and expected_stop_price > current_price) \
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or (side == 'short' and expected_stop_price < current_price):
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assert stoploss == 0
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else:
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assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)
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def test_stoploss_from_absolute():
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