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

freqtrade/optimize/backtesting.py

@@ -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".
+                    # 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 open)
+                    # 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 *
+                close_rate = - (trade.open_rate * roi + trade.open_rate *
-                               (1 + trade.fee_open)) / (trade.fee_close - 1)
+                                (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...

tests/optimize/test_backtest_detail.py

@@ -281,6 +281,53 @@ tc17 = BTContainer(data=[
     trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
 )
 
+
+# Test 18: Buy, hold for 120 mins, then drop ROI to 1%, causing a sell in candle 3.
+# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
+# uses open_rate as sell-price
+tc18 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],
+    [2, 4987, 5300, 4950, 5200, 6172, 0, 0],
+    [3, 5200, 5220, 4940, 4962, 6172, 0, 0],  # Sell on ROI (sells on open)
+    [4, 4962, 4987, 4972, 4950, 6172, 0, 0],
+    [5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.04,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
+)
+
+# Test 19: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
+# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
+# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
+tc19 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],
+    [2, 4987, 5300, 4950, 5200, 6172, 0, 0],
+    [3, 5000, 5300, 4940, 4962, 6172, 0, 0],  # Sell on ROI
+    [4, 4962, 4987, 4972, 4950, 6172, 0, 0],
+    [5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.10, "120": 0.01}, profit_perc=0.01,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
+)
+
+# Test 20: Buy, hold for 119 mins, then drop ROI to 1%, causing a sell in candle 3.
+# stop-loss: 10%, ROI: 10% (should not apply), -100% after 100 minutes (limits trade duration)
+# uses calculated ROI (1%) as sell rate, otherwise identical to tc18
+tc20 = BTContainer(data=[
+    # D  O     H     L     C     V    B  S
+    [0, 5000, 5025, 4975, 4987, 6172, 1, 0],
+    [1, 5000, 5025, 4975, 4987, 6172, 0, 0],
+    [2, 4987, 5300, 4950, 5200, 6172, 0, 0],
+    [3, 5200, 5300, 4940, 4962, 6172, 0, 0],  # Sell on ROI
+    [4, 4962, 4987, 4972, 4950, 6172, 0, 0],
+    [5, 4550, 4975, 4925, 4950, 6172, 0, 0]],
+    stop_loss=-0.10, roi={"0": 0.10, "119": 0.01}, profit_perc=0.01,
+    trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
+)
+
+
 TESTS = [
     tc0,
     tc1,
@@ -300,6 +347,9 @@ TESTS = [
     tc15,
     tc16,
     tc17,
+    tc18,
+    tc19,
+    tc20,
 ]