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Backtesting should not allow unrealistic (automatic-filling) orders.

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This commit is contained in:
Matthias 2022-02-08 19:10:29 +01:00
parent b192c82731
commit dcf8ad36f9
2 changed files with 15 additions and 8 deletions
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9
freqtrade/optimize/backtesting.py
View File

@ -426,7 +426,9 @@ class Backtesting:
pair=trade.pair, trade=trade,
current_time=sell_candle_time,
proposed_rate=closerate, current_profit=current_profit)
# We can't place orders lower than current low.
# freqtrade does not support this in live, and the order would fill immediately
closerate = max(closerate, sell_row[LOW_IDX])
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['sell']
@ -515,7 +517,10 @@ class Backtesting:
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=row[OPEN_IDX])(
pair=pair, current_time=current_time,
proposed_rate=row[OPEN_IDX], entry_tag=entry_tag) # default value is the open rate
proposed_rate=propose_rate, entry_tag=entry_tag) # default value is the open rate
# We can't place orders higher than current high (otherwise it'd be a stop limit buy)
# which freqtrade does not support in live.
propose_rate = min(propose_rate, row[HIGH_IDX])
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, propose_rate, -0.05) or 0
max_stake_amount = self.wallets.get_available_stake_amount()

14
tests/optimize/test_backtest_detail.py
View File

@ -547,7 +547,7 @@ tc34 = BTContainer(data=[
custom_entry_price=4200, trades=[]
)
# Test 35: Custom-entry-price above all candles should timeout - so no trade happens.
# Test 35: Custom-entry-price above all candles should have rate adjusted to "entry candle high"
tc35 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -555,8 +555,10 @@ tc35 = BTContainer(data=[
[2, 4900, 5250, 4500, 5100, 6172, 0, 0],
[3, 5100, 5100, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.0,
custom_entry_price=7200, trades=[]
stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.01,
custom_entry_price=7200, trades=[
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=1, close_tick=1)
]
)
# Test 36: Custom-entry-price around candle low
@ -577,7 +579,7 @@ tc36 = BTContainer(data=[
# Test 37: Custom exit price below all candles
# causes sell signal timeout
# Price adjusted to candle Low.
tc37 = BTContainer(data=[
# D O H L C V B S BT
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
@ -585,10 +587,10 @@ tc37 = BTContainer(data=[
[2, 4900, 5250, 4900, 5100, 6172, 0, 1], # exit - but timeout
[3, 5100, 5100, 4950, 4950, 6172, 0, 0],
[4, 5000, 5100, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.0,
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.01,
use_sell_signal=True,
custom_exit_price=4552,
trades=[BTrade(sell_reason=SellType.FORCE_SELL, open_tick=1, close_tick=4)]
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=3)]
)
# Test 38: Custom exit price above all candles