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use sell_row.open also when the active ROI value just changed

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Matthias
2019-12-09 16:52:12 +01:00
parent 45d12dbc83
commit de33ec4250
2 changed files with 63 additions and 6 deletions
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19
freqtrade/optimize/backtesting.py
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@@ -273,19 +273,26 @@ class Backtesting:
roi_entry, roi = self.strategy.min_roi_reached_entry(trade_dur)
if roi is not None:
if roi == -1 and roi_entry % self.timeframe_mins == 0:
# When forceselling with ROI=-1, the roi-entry will always be "on the entry".
# If that entry is a multiple of the timeframe (so on open)
# When forceselling with ROI=-1, the roi time will always be equal to trade_dur.
# If that entry is a multiple of the timeframe (so on candle open)
# - we'll use open instead of close
return sell_row.open
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
closerate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
close_rate = - (trade.open_rate * roi + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1)
# Use the maximum between closerate and low as we
if (trade_dur > 0 and trade_dur == roi_entry
and roi_entry % self.timeframe_mins == 0
and sell_row.open > close_rate):
# new ROI entry came into effect.
# use Open rate if open_rate > calculated sell rate
return sell_row.open
# Use the maximum between close_rate and low as we
# cannot sell outside of a candle.
# Applies when a new ROI setting comes in place and the whole candle is above that.
return max(closerate, sell_row.low)
return max(close_rate, sell_row.low)
else:
# This should not be reached...