diff --git a/freqtrade/optimize/backtesting.py b/freqtrade/optimize/backtesting.py index 45300b744..621812b0a 100755 --- a/freqtrade/optimize/backtesting.py +++ b/freqtrade/optimize/backtesting.py @@ -812,11 +812,11 @@ class Backtesting: remaining=amount, cost=stake_amount + trade.fee_open, ) + trade.orders.append(order) if pos_adjust and self._get_order_filled(order.price, row): order.close_bt_order(current_time, trade) else: trade.open_order_id = str(self.order_id_counter) - trade.orders.append(order) trade.recalc_trade_from_orders() return trade diff --git a/freqtrade/persistence/trade_model.py b/freqtrade/persistence/trade_model.py index b1fff5cf3..358e776e3 100644 --- a/freqtrade/persistence/trade_model.py +++ b/freqtrade/persistence/trade_model.py @@ -153,6 +153,7 @@ class Order(_DECL_BASE): and len(trade.select_filled_orders(trade.entry_side)) == 1): trade.open_rate = self.price trade.recalc_open_trade_value() + trade.adjust_stop_loss(trade.open_rate, trade.stop_loss_pct, refresh=True) @staticmethod def update_orders(orders: List['Order'], order: Dict[str, Any]): @@ -491,7 +492,7 @@ class LocalTrade(): self.stoploss_last_update = datetime.utcnow() def adjust_stop_loss(self, current_price: float, stoploss: float, - initial: bool = False) -> None: + initial: bool = False, refresh: bool = False) -> None: """ This adjusts the stop loss to it's most recently observed setting :param current_price: Current rate the asset is traded @@ -502,6 +503,7 @@ class LocalTrade(): if initial and not (self.stop_loss is None or self.stop_loss == 0): # Don't modify if called with initial and nothing to do return + refresh = True if refresh and self.nr_of_successful_entries == 1 else False leverage = self.leverage or 1.0 if self.is_short: @@ -516,8 +518,7 @@ class LocalTrade(): new_loss = max(self.liquidation_price, new_loss) # no stop loss assigned yet - if self.initial_stop_loss_pct is None: - logger.debug(f"{self.pair} - Assigning new stoploss...") + if self.initial_stop_loss_pct is None or refresh: self._set_stop_loss(new_loss, stoploss) self.initial_stop_loss = new_loss self.initial_stop_loss_pct = -1 * abs(stoploss) diff --git a/tests/optimize/test_backtest_detail.py b/tests/optimize/test_backtest_detail.py index 0441d4214..4b4c446e0 100644 --- a/tests/optimize/test_backtest_detail.py +++ b/tests/optimize/test_backtest_detail.py @@ -762,7 +762,7 @@ tc48 = BTContainer(data=[ [2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust [3, 5100, 5100, 4650, 4750, 6172, 0, 1], [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], - stop_loss=-0.01, roi={"0": 0.10}, profit_perc=-0.087, + stop_loss=-0.2, roi={"0": 0.10}, profit_perc=-0.087, use_exit_signal=True, timeout=1000, custom_entry_price=4200, adjust_entry_price=5200, trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=False)] @@ -777,7 +777,7 @@ tc49 = BTContainer(data=[ [2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust [3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1], [4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]], - stop_loss=-0.01, roi={"0": 0.10}, profit_perc=0.05, + stop_loss=-0.2, roi={"0": 0.10}, profit_perc=0.05, use_exit_signal=True, timeout=1000, custom_entry_price=5300, adjust_entry_price=5000, trades=[BTrade(exit_reason=ExitType.EXIT_SIGNAL, open_tick=1, close_tick=4, is_short=True)] @@ -811,6 +811,35 @@ tc51 = BTContainer(data=[ trades=[] ) +# Test 52: Custom-entry-price below all candles - readjust order - stoploss +tc52 = BTContainer(data=[ + # D O H L C V EL XL ES Xs BT + [0, 5000, 5050, 4950, 5000, 6172, 1, 0], + [1, 5000, 5500, 4951, 5000, 6172, 0, 0], # enter trade (signal on last candle) + [2, 4900, 5250, 4500, 5100, 6172, 0, 0], # Order readjust + [3, 5100, 5100, 4650, 4750, 6172, 0, 0], # stoploss hit? + [4, 4750, 4950, 4350, 4750, 6172, 0, 0]], + stop_loss=-0.03, roi={"0": 0.10}, profit_perc=-0.03, + use_exit_signal=True, timeout=1000, + custom_entry_price=4200, adjust_entry_price=5200, + trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2, is_short=False)] +) + + +# Test 53: Custom-entry-price short above all candles - readjust order - stoploss +tc53 = BTContainer(data=[ + # D O H L C V EL XL ES Xs BT + [0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0], + [1, 5000, 5200, 4951, 5000, 6172, 0, 0, 0, 0], # enter trade (signal on last candle) + [2, 4900, 5250, 4900, 5100, 6172, 0, 0, 0, 0], # Order readjust + [3, 5100, 5100, 4650, 4750, 6172, 0, 0, 0, 1], # stoploss hit? + [4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]], + stop_loss=-0.03, roi={"0": 0.10}, profit_perc=-0.03, + use_exit_signal=True, timeout=1000, + custom_entry_price=5300, adjust_entry_price=5000, + trades=[BTrade(exit_reason=ExitType.STOP_LOSS, open_tick=1, close_tick=2, is_short=True)] +) + TESTS = [ tc0, tc1, @@ -864,6 +893,8 @@ TESTS = [ tc49, tc50, tc51, + tc52, + tc53, ] diff --git a/tests/test_integration.py b/tests/test_integration.py index 020f77fed..d2ad8c981 100644 --- a/tests/test_integration.py +++ b/tests/test_integration.py @@ -372,11 +372,15 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None: freqtrade.enter_positions() assert len(Trade.get_trades().all()) == 1 - trade = Trade.get_trades().first() + trade: Trade = Trade.get_trades().first() assert len(trade.orders) == 1 assert trade.open_order_id is not None assert pytest.approx(trade.stake_amount) == 60 assert trade.open_rate == 1.96 + assert trade.stop_loss_pct is None + assert trade.stop_loss == 0.0 + assert trade.initial_stop_loss == 0.0 + assert trade.initial_stop_loss_pct is None # No adjustment freqtrade.process() trade = Trade.get_trades().first() @@ -392,6 +396,10 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None: assert trade.open_order_id is not None # Open rate is not adjusted yet assert trade.open_rate == 1.96 + assert trade.stop_loss_pct is None + assert trade.stop_loss == 0.0 + assert trade.initial_stop_loss == 0.0 + assert trade.initial_stop_loss_pct is None # Fill order mocker.patch('freqtrade.exchange.Exchange._is_dry_limit_order_filled', return_value=True) @@ -401,6 +409,10 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None: assert trade.open_order_id is None # Open rate is not adjusted yet assert trade.open_rate == 1.99 + assert trade.stop_loss_pct == -0.1 + assert trade.stop_loss == 1.99 * 0.9 + assert trade.initial_stop_loss == 1.99 * 0.9 + assert trade.initial_stop_loss_pct == -0.1 # 2nd order - not filling freqtrade.strategy.adjust_trade_position = MagicMock(return_value=120)