Merge pull request #1645 from mishaker/trailing_only_offset

Adding an option for trailing stoploss: "trailing_only_offset_is_reached"

config_full.json.example

@@ -9,6 +9,7 @@
     "trailing_stop": false,
     "trailing_stop_positive": 0.005,
     "trailing_stop_positive_offset": 0.0051,
+    "trailing_only_offset_is_reached": false,
     "minimal_roi": {
         "40":  0.0,
         "30":  0.01,

docs/configuration.md

@@ -26,6 +26,7 @@ Mandatory Parameters are marked as **Required**.
 | `trailing_stop` | false | Enables trailing stop-loss (based on `stoploss` in either configuration or strategy file). More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-strategy).
 | `trailing_stop_positive` | 0 | Changes stop-loss once profit has been reached. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-strategy).
 | `trailing_stop_positive_offset` | 0 | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive. More details in the [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-strategy).
+| `trailing_only_offset_is_reached` | false | Only apply trailing stoploss when the offset is reached. [stoploss documentation](stoploss.md). [Strategy Override](#parameters-in-strategy).
 | `unfilledtimeout.buy` | 10 | **Required.** How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled.
 | `unfilledtimeout.sell` | 10 | **Required.** How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled.
 | `bid_strategy.ask_last_balance` | 0.0 | **Required.** Set the bidding price. More information [below](#understand-ask_last_balance).

docs/stoploss.md

@@ -55,8 +55,11 @@ Both values can be configured in the main configuration file and requires `"trai
 ``` json
     "trailing_stop_positive":  0.01,
     "trailing_stop_positive_offset":  0.011,
+    "trailing_only_offset_is_reached": false
 ```
 
 The 0.01 would translate to a 1% stop loss, once you hit 1.1% profit.
 
 You should also make sure to have this value (`trailing_stop_positive_offset`) lower than your minimal ROI, otherwise minimal ROI will apply first and sell your trade.
+
+If `"trailing_only_offset_is_reached": true` then the trailing stoploss is only activated once the offset is reached. Until then, the stoploss remains at the configured`stoploss`.

freqtrade/configuration.py

@@ -58,7 +58,8 @@ class Configuration(object):
             config['internals'] = {}
 
         logger.info('Validating configuration ...')
-        self._validate_config(config)
+        self._validate_config_schema(config)
+        self._validate_config_consistency(config)
 
         # Set strategy if not specified in config and or if it's non default
         if self.args.strategy != constants.DEFAULT_STRATEGY or not config.get('strategy'):
@@ -291,7 +292,7 @@ class Configuration(object):
 
         return config
 
-    def _validate_config(self, conf: Dict[str, Any]) -> Dict[str, Any]:
+    def _validate_config_schema(self, conf: Dict[str, Any]) -> Dict[str, Any]:
         """
         Validate the configuration follow the Config Schema
         :param conf: Config in JSON format
@@ -309,6 +310,35 @@ class Configuration(object):
                 best_match(Draft4Validator(constants.CONF_SCHEMA).iter_errors(conf)).message
             )
 
+    def _validate_config_consistency(self, conf: Dict[str, Any]) -> None:
+        """
+        Validate the configuration consistency
+        :param conf: Config in JSON format
+        :return: Returns None if everything is ok, otherwise throw an OperationalException
+        """
+
+        # validating trailing stoploss
+        self._validate_trailing_stoploss(conf)
+
+    def _validate_trailing_stoploss(self, conf: Dict[str, Any]) -> None:
+        # Skip if trailing stoploss is not activated
+        if not conf.get('trailing_stop', False):
+            return
+
+        tsl_positive = float(conf.get('trailing_stop_positive', 0))
+        tsl_offset = float(conf.get('trailing_stop_positive_offset', 0))
+        tsl_only_offset = conf.get('trailing_only_offset_is_reached', False)
+
+        if tsl_only_offset:
+            if tsl_positive == 0.0:
+                raise OperationalException(
+                    f'The config trailing_only_offset_is_reached needs '
+                    'trailing_stop_positive_offset to be more than 0 in your config.')
+        if tsl_positive > 0 and 0 < tsl_offset <= tsl_positive:
+            raise OperationalException(
+                f'The config trailing_stop_positive_offset needs '
+                'to be greater than trailing_stop_positive_offset in your config.')
+
     def get_config(self) -> Dict[str, Any]:
         """
         Return the config. Use this method to get the bot config

freqtrade/constants.py

@@ -73,6 +73,7 @@ CONF_SCHEMA = {
         'trailing_stop': {'type': 'boolean'},
         'trailing_stop_positive': {'type': 'number', 'minimum': 0, 'maximum': 1},
         'trailing_stop_positive_offset': {'type': 'number', 'minimum': 0, 'maximum': 1},
+        'trailing_only_offset_is_reached': {'type': 'boolean'},
         'unfilledtimeout': {
             'type': 'object',
             'properties': {

freqtrade/exchange/exchange.py

@@ -118,6 +118,7 @@ class Exchange(object):
         self.validate_pairs(config['exchange']['pair_whitelist'])
         self.validate_ordertypes(config.get('order_types', {}))
         self.validate_order_time_in_force(config.get('order_time_in_force', {}))
+
         if config.get('ticker_interval'):
             # Check if timeframe is available
             self.validate_timeframes(config['ticker_interval'])

freqtrade/resolvers/strategy_resolver.py

@@ -52,6 +52,7 @@ class StrategyResolver(IResolver):
                       ("trailing_stop",                   None,        False),
                       ("trailing_stop_positive",          None,        False),
                       ("trailing_stop_positive_offset",   0.0,         False),
+                      ("trailing_only_offset_is_reached", None,        False),
                       ("process_only_new_candles",        None,        False),
                       ("order_types",                     None,        False),
                       ("order_time_in_force",             None,        False),

freqtrade/strategy/interface.py

@@ -73,6 +73,7 @@ class IStrategy(ABC):
     trailing_stop: bool = False
     trailing_stop_positive: float
     trailing_stop_positive_offset: float
+    trailing_only_offset_is_reached = False
 
     # associated ticker interval
     ticker_interval: str
@@ -331,6 +332,10 @@ class IStrategy(ABC):
                              f"with offset {sl_offset:.4g} "
                              f"since we have profit {current_profit:.4f}%")
 
+            # if trailing_only_offset_is_reached is true,
+            # we update trailing stoploss only if offset is reached.
+            tsl_only_offset = self.config.get('trailing_only_offset_is_reached', False)
+            if not (tsl_only_offset and current_profit < sl_offset):
                 trade.adjust_stop_loss(current_rate, stop_loss_value)
 
         return SellCheckTuple(sell_flag=False, sell_type=SellType.NONE)

freqtrade/tests/test_configuration.py

@@ -22,7 +22,7 @@ def test_load_config_invalid_pair(default_conf) -> None:
 
     with pytest.raises(ValidationError, match=r'.*does not match.*'):
         configuration = Configuration(Namespace())
-        configuration._validate_config(default_conf)
+        configuration._validate_config_schema(default_conf)
 
 
 def test_load_config_missing_attributes(default_conf) -> None:
@@ -30,7 +30,7 @@ def test_load_config_missing_attributes(default_conf) -> None:
 
     with pytest.raises(ValidationError, match=r'.*\'exchange\' is a required property.*'):
         configuration = Configuration(Namespace())
-        configuration._validate_config(default_conf)
+        configuration._validate_config_schema(default_conf)
 
 
 def test_load_config_incorrect_stake_amount(default_conf) -> None:
@@ -38,7 +38,7 @@ def test_load_config_incorrect_stake_amount(default_conf) -> None:
 
     with pytest.raises(ValidationError, match=r'.*\'fake\' does not match \'unlimited\'.*'):
         configuration = Configuration(Namespace())
-        configuration._validate_config(default_conf)
+        configuration._validate_config_schema(default_conf)
 
 
 def test_load_config_file(default_conf, mocker, caplog) -> None:
@@ -573,3 +573,29 @@ def test__create_datadir(mocker, default_conf, caplog) -> None:
     cfg._create_datadir(default_conf, '/foo/bar')
     assert md.call_args[0][0] == "/foo/bar"
     assert log_has('Created data directory: /foo/bar', caplog.record_tuples)
+
+
+def test_validate_tsl(default_conf):
+    default_conf['trailing_stop'] = True
+    default_conf['trailing_stop_positive'] = 0
+    default_conf['trailing_stop_positive_offset'] = 0
+
+    default_conf['trailing_only_offset_is_reached'] = True
+    with pytest.raises(OperationalException,
+                       match=r'The config trailing_only_offset_is_reached needs '
+                       'trailing_stop_positive_offset to be more than 0 in your config.'):
+        configuration = Configuration(Namespace())
+        configuration._validate_config_consistency(default_conf)
+
+    default_conf['trailing_stop_positive_offset'] = 0.01
+    default_conf['trailing_stop_positive'] = 0.015
+    with pytest.raises(OperationalException,
+                       match=r'The config trailing_stop_positive_offset needs '
+                       'to be greater than trailing_stop_positive_offset in your config.'):
+        configuration = Configuration(Namespace())
+        configuration._validate_config_consistency(default_conf)
+
+    default_conf['trailing_stop_positive'] = 0.01
+    default_conf['trailing_stop_positive_offset'] = 0.015
+    Configuration(Namespace())
+    configuration._validate_config_consistency(default_conf)

freqtrade/tests/test_freqtradebot.py

@@ -2488,6 +2488,72 @@ def test_trailing_stop_loss_offset(default_conf, limit_buy_order, fee,
     assert trade.sell_reason == SellType.TRAILING_STOP_LOSS.value
 
 
+def test_tsl_only_offset_reached(default_conf, limit_buy_order, fee,
+                                 caplog, mocker, markets) -> None:
+    buy_price = limit_buy_order['price']
+    # buy_price: 0.00001099
+
+    patch_RPCManager(mocker)
+    patch_exchange(mocker)
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        get_ticker=MagicMock(return_value={
+            'bid': buy_price,
+            'ask': buy_price,
+            'last': buy_price
+        }),
+        buy=MagicMock(return_value={'id': limit_buy_order['id']}),
+        get_fee=fee,
+        markets=PropertyMock(return_value=markets),
+    )
+
+    default_conf['trailing_stop'] = True
+    default_conf['trailing_stop_positive'] = 0.05
+    default_conf['trailing_stop_positive_offset'] = 0.055
+    default_conf['trailing_only_offset_is_reached'] = True
+
+    freqtrade = FreqtradeBot(default_conf)
+    patch_get_signal(freqtrade)
+    freqtrade.strategy.min_roi_reached = MagicMock(return_value=False)
+    freqtrade.create_trade()
+
+    trade = Trade.query.first()
+    trade.update(limit_buy_order)
+    caplog.set_level(logging.DEBUG)
+    # stop-loss not reached
+    assert freqtrade.handle_trade(trade) is False
+    assert trade.stop_loss == 0.0000098910
+
+    # Raise ticker above buy price
+    mocker.patch('freqtrade.exchange.Exchange.get_ticker',
+                 MagicMock(return_value={
+                     'bid': buy_price + 0.0000004,
+                     'ask': buy_price + 0.0000004,
+                     'last': buy_price + 0.0000004
+                 }))
+
+    # stop-loss should not be adjusted as offset is not reached yet
+    assert freqtrade.handle_trade(trade) is False
+
+    assert not log_has(f'adjusted stop loss', caplog.record_tuples)
+    assert trade.stop_loss == 0.0000098910
+
+    # price rises above the offset (rises 12% when the offset is 5.5%)
+    mocker.patch('freqtrade.exchange.Exchange.get_ticker',
+                 MagicMock(return_value={
+                     'bid': buy_price + 0.0000014,
+                     'ask': buy_price + 0.0000014,
+                     'last': buy_price + 0.0000014
+                 }))
+
+    assert freqtrade.handle_trade(trade) is False
+    assert log_has(f'using positive stop loss mode: 0.05 with offset 0.055 '
+                   f'since we have profit 0.1218%',
+                   caplog.record_tuples)
+    assert log_has(f'adjusted stop loss', caplog.record_tuples)
+    assert trade.stop_loss == 0.0000117705
+
+
 def test_disable_ignore_roi_if_buy_signal(default_conf, limit_buy_order,
                                           fee, markets, mocker) -> None:
     patch_RPCManager(mocker)