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Merge pull request #6827 from eSeR1805/fix_readjust_entry_bt_sl

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Fix: Refresh SL on entry order replacement
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Matthias 2022-05-15 16:41:18 +02:00 committed by GitHub
commit ebab02fce3
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4 changed files with 51 additions and 7 deletions
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2
freqtrade/optimize/backtesting.py
View File

@ -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

7
freqtrade/persistence/trade_model.py
View File

@ -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)

35
tests/optimize/test_backtest_detail.py
View File

@ -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,
]

14
tests/test_integration.py
View File

@ -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)