Implement *candle definitions

docs/includes/protections.md

@@ -30,20 +30,24 @@ All protection end times are rounded up to the next candle to avoid sudden, unex
 | lookback_period | Only trades that completed after `current_time - lookback_period` will be considered. <br>Cannot be used together with `lookback_period_candles`. <br>This setting may be ignored by some Protections. <br> **Datatype:**  Float (in minutes)
 | trade_limit | Number of trades required at minimum (not used by all Protections). <br> **Datatype:** Positive integer
 
+!!! Note "Durations"
+    Durations (`stop_duration*` and `lookback_period*` can be defined in either minutes or candles).
+    For more flexibility when testing different timeframes, all below examples will use the "candle" definition.
+
 #### Stoploss Guard
 
-`StoplossGuard` selects all trades within `lookback_period` (in minutes), and determines if the amount of trades that resulted in stoploss are above `trade_limit` - in which case trading will stop for `stop_duration`.
+`StoplossGuard` selects all trades within `lookback_period`, and determines if the amount of trades that resulted in stoploss are above `trade_limit` - in which case trading will stop for `stop_duration`.
 This applies across all pairs, unless `only_per_pair` is set to true, which will then only look at one pair at a time.
 
-The below example stops trading for all pairs for 2 hours (120min) after the last trade if the bot hit stoploss 4 times within the last 24h.
+The below example stops trading for all pairs for 4 candles after the last trade if the bot hit stoploss 4 times within the last 24 candles.
 
 ```json
 "protections": [
     {
         "method": "StoplossGuard",
-        "lookback_period": 1440,
+        "lookback_period_candles": 24,
         "trade_limit": 4,
-        "stop_duration": 120,
+        "stop_duration_candles": 4,
         "only_per_pair": false
     }
 ],
@@ -57,15 +61,15 @@ The below example stops trading for all pairs for 2 hours (120min) after the las
 
 `MaxDrawdown` uses all trades within `lookback_period` (in minutes) to determine the maximum drawdown. If the drawdown is below `max_allowed_drawdown`, trading will stop for `stop_duration` (in minutes) after the last trade - assuming that the bot needs some time to let markets recover.
 
-The below sample stops trading for 12 hours (720min) if max-drawdown is > 20% considering all trades within the last 2 days (2880min).
+The below sample stops trading for 12 candles if max-drawdown is > 20% considering all trades within the last 48 candles.
 
 ```json
 "protections": [
       {
         "method": "MaxDrawdown",
-        "lookback_period": 2880,
+        "lookback_period_candles": 48,
         "trade_limit": 20,
-        "stop_duration": 720,
+        "stop_duration_candles": 12,
         "max_allowed_drawdown": 0.2
       },
 ],
@@ -77,13 +81,13 @@ The below sample stops trading for 12 hours (720min) if max-drawdown is > 20% co
 `LowProfitPairs` uses all trades for a pair within `lookback_period` (in minutes) to determine the overall profit ratio.
 If that ratio is below `required_profit`, that pair will be locked for `stop_duration` (in minutes).
 
-The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 hours (360min).
+The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 candles.
 
 ```json
 "protections": [
     {
         "method": "LowProfitPairs",
-        "lookback_period": 360,
+        "lookback_period_candles": 6,
         "trade_limit": 2,
         "stop_duration": 60,
         "required_profit": 0.02
@@ -95,11 +99,13 @@ The below example will stop trading a pair for 60 minutes if the pair does not h
 
 `CooldownPeriod` locks a pair for `stop_duration` (in minutes) after selling, avoiding a re-entry for this pair for `stop_duration` minutes.
 
+The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down".
+
 ```json
 "protections": [
     {
         "method": "CooldownPeriod",
-        "stop_duration": 60
+        "stop_duration_candle": 2
     }
 ],
 ```
@@ -113,46 +119,47 @@ The below example will stop trading a pair for 60 minutes if the pair does not h
 All protections can be combined at will, also with different parameters, creating a increasing wall for under-performing pairs.
 All protections are evaluated in the sequence they are defined.
 
-The below example:
+The below example assumes a timeframe of 1 hour:
 
-* Locks each pair after selling for an additional 10 minutes (`CooldownPeriod`), giving other pairs a chance to get filled.
+* Locks each pair after selling for an additional 5 candles (`CooldownPeriod`), giving other pairs a chance to get filled.
-* Stops trading if the last 2 days had 20 trades, which caused a max-drawdown of more than 20%. (`MaxDrawdown`).
+* Stops trading for 4 hours (`4 * 1h candles`) if the last 2 days (`48 * 1h candles`) had 20 trades, which caused a max-drawdown of more than 20%. (`MaxDrawdown`).
-* Stops trading if more than 4 stoploss occur for all pairs within a 1 day (1440min) limit (`StoplossGuard`).
+* Stops trading if more than 4 stoploss occur for all pairs within a 1 day (`24 * 1h candles`) limit (`StoplossGuard`).
-* Locks all pairs that had 4 Trades within the last 6 hours (`60 * 6 = 360`) with a combined profit ratio of below 0.02 (<2%) (`LowProfitPairs`).
+* Locks all pairs that had 4 Trades within the last 6 hours (`6 * 1h candles`) with a combined profit ratio of below 0.02 (<2%) (`LowProfitPairs`).
-* Locks all pairs for 120 minutes that had a profit of below 0.01 (<1%) within the last 24h (`60 * 24 = 1440`), a minimum of 4 trades.
+* Locks all pairs for 2 candles that had a profit of below 0.01 (<1%) within the last 24h (`24 * 1h candles`), a minimum of 4 trades.
 
 ```json
+"timeframe": "1h",
 "protections": [
     {
         "method": "CooldownPeriod",
-        "stop_duration": 10
+        "stop_duration_candles": 5
     },
     {
         "method": "MaxDrawdown",
-        "lookback_period": 2880,
+        "lookback_period_candles": 48,
         "trade_limit": 20,
-        "stop_duration": 720,
+        "stop_duration_candles": 4,
         "max_allowed_drawdown": 0.2
     },
     {
         "method": "StoplossGuard",
-        "lookback_period": 1440,
+        "lookback_period_candles": 24,
         "trade_limit": 4,
-        "stop_duration": 120,
+        "stop_duration_candles": 2,
         "only_per_pair": false
     },
     {
         "method": "LowProfitPairs",
-        "lookback_period": 360,
+        "lookback_period_candles": 6,
         "trade_limit": 2,
-        "stop_duration": 60,
+        "stop_duration_candles": 60,
         "required_profit": 0.02
     },
     {
         "method": "LowProfitPairs",
-        "lookback_period": 1440,
+        "lookback_period_candles": 24,
         "trade_limit": 4,
-        "stop_duration": 120,
+        "stop_duration_candles": 2,
         "required_profit": 0.01
     }
     ],

freqtrade/configuration/config_validation.py

@@ -170,7 +170,7 @@ def _validate_protections(conf: Dict[str, Any]) -> None:
                 f"Please fix the protection {prot.get('method')}"
                 )
 
-        if ('lookback_period' in prot and 'lookback_period_candle' in prot):
+        if ('lookback_period' in prot and 'lookback_period_candles' in prot):
             raise OperationalException(
                 "Protections must specify either `lookback_period` or `lookback_period_candles`.\n"
                 f"Please fix the protection {prot.get('method')}"

freqtrade/plugins/protections/iprotection.py

@@ -4,6 +4,7 @@ from abc import ABC, abstractmethod
 from datetime import datetime, timedelta, timezone
 from typing import Any, Dict, List, Optional, Tuple
 
+from freqtrade.exchange import timeframe_to_minutes
 from freqtrade.mixins import LoggingMixin
 from freqtrade.persistence import Trade
 
@@ -23,8 +24,15 @@ class IProtection(LoggingMixin, ABC):
     def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None:
         self._config = config
         self._protection_config = protection_config
-        self._stop_duration = protection_config.get('stop_duration', 60)
+        tf_in_min = timeframe_to_minutes(config['timeframe'])
-        self._lookback_period = protection_config.get('lookback_period', 60)
+        if 'stop_duration_candles' in protection_config:
+            self._stop_duration = (tf_in_min * protection_config.get('stop_duration_candles'))
+        else:
+            self._stop_duration = protection_config.get('stop_duration', 60)
+        if 'lookback_period_candles' in protection_config:
+            self._lookback_period = tf_in_min * protection_config.get('lookback_period_candles', 60)
+        else:
+            self._lookback_period = protection_config.get('lookback_period', 60)
 
         LoggingMixin.__init__(self, logger)
 

tests/plugins/test_protections.py

@@ -3,9 +3,10 @@ from datetime import datetime, timedelta
 
 import pytest
 
-from freqtrade.persistence import PairLocks, Trade
-from freqtrade.strategy.interface import SellType
 from freqtrade import constants
+from freqtrade.persistence import PairLocks, Trade
+from freqtrade.plugins.protectionmanager import ProtectionManager
+from freqtrade.strategy.interface import SellType
 from tests.conftest import get_patched_freqtradebot, log_has_re
 
 
@@ -49,6 +50,33 @@ def test_protectionmanager(mocker, default_conf):
             assert handler.stop_per_pair('XRP/BTC', datetime.utcnow()) == (False, None, None)
 
 
+@pytest.mark.parametrize('timeframe,expected,protconf', [
+    ('1m', [20, 10],
+     [{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 10}]),
+    ('5m', [100, 15],
+     [{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 15}]),
+    ('1h', [1200, 40],
+     [{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 40}]),
+    ('1d', [1440, 5],
+     [{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration": 5}]),
+    ('1m', [20, 5],
+     [{"method": "StoplossGuard", "lookback_period": 20, "stop_duration_candles": 5}]),
+    ('5m', [15, 25],
+     [{"method": "StoplossGuard", "lookback_period": 15, "stop_duration_candles": 5}]),
+    ('1h', [50, 600],
+     [{"method": "StoplossGuard", "lookback_period": 50, "stop_duration_candles": 10}]),
+    ('1h', [60, 540],
+     [{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration_candles": 9}]),
+])
+def test_protections_init(mocker, default_conf, timeframe, expected, protconf):
+    default_conf['timeframe'] = timeframe
+    default_conf['protections'] = protconf
+    man = ProtectionManager(default_conf)
+    assert len(man._protection_handlers) == len(protconf)
+    assert man._protection_handlers[0]._lookback_period == expected[0]
+    assert man._protection_handlers[0]._stop_duration == expected[1]
+
+
 @pytest.mark.usefixtures("init_persistence")
 def test_stoploss_guard(mocker, default_conf, fee, caplog):
     default_conf['protections'] = [{

tests/test_configuration.py

@@ -879,11 +879,12 @@ def test_validate_whitelist(default_conf):
 
     validate_config_consistency(conf)
 
+
 @pytest.mark.parametrize('protconf,expected', [
     ([], None),
     ([{"method": "StoplossGuard", "lookback_period": 2000, "stop_duration_candles": 10}], None),
-    ([{"method": "StoplossGuard", "lookback_period_candle": 20, "stop_duration": 10}], None),
+    ([{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 10}], None),
-    ([{"method": "StoplossGuard", "lookback_period_candle": 20, "lookback_period": 2000,
+    ([{"method": "StoplossGuard", "lookback_period_candles": 20, "lookback_period": 2000,
        "stop_duration": 10}], r'Protections must specify either `lookback_period`.*'),
     ([{"method": "StoplossGuard", "lookback_period": 20, "stop_duration": 10,
        "stop_duration_candles": 10}], r'Protections must specify either `stop_duration`.*'),