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Merge branch 'develop' into feat/short

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Matthias
2021-12-09 06:34:07 +01:00
parent 0c28d15dc1 be6b1f6f83
commit edd80c3006
17 changed files with 97 additions and 23 deletions
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34
freqtrade/optimize/backtesting.py
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@@ -356,10 +356,7 @@ class Backtesting:
# use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX]
# 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 min(max(close_rate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
return close_rate
else:
# This should not be reached...
@@ -387,6 +384,17 @@ class Backtesting:
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
closerate = self._get_close_rate(sell_row, trade, sell, trade_dur)
# call the custom exit price,with default value as previous closerate
current_profit = trade.calc_profit_ratio(closerate)
if sell.sell_type in (SellType.SELL_SIGNAL, SellType.CUSTOM_SELL):
# Custom exit pricing only for sell-signals
closerate = strategy_safe_wrapper(self.strategy.custom_exit_price,
default_retval=closerate)(
pair=trade.pair, trade=trade,
current_time=sell_row[DATE_IDX],
proposed_rate=closerate, current_profit=current_profit)
# Use the maximum between close_rate and low as we cannot sell outside of a candle.
closerate = min(max(closerate, sell_row[LOW_IDX]), sell_row[HIGH_IDX])
# Confirm trade exit:
time_in_force = self.strategy.order_time_in_force['sell']
@@ -449,12 +457,22 @@ class Backtesting:
except DependencyException:
return None
current_time = row[DATE_IDX].to_pydatetime()
min_stake_amount = self.exchange.get_min_pair_stake_amount(pair, row[OPEN_IDX], -0.05) or 0
# let's call the custom entry price, using the open price as default price
propose_rate = strategy_safe_wrapper(self.strategy.custom_entry_price,
default_retval=row[OPEN_IDX])(
pair=pair, current_time=row[DATE_IDX].to_pydatetime(),
proposed_rate=row[OPEN_IDX]) # default value is the open rate
# Move rate to within the candle's low/high rate
propose_rate = min(max(propose_rate, row[LOW_IDX]), 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()
stake_amount = strategy_safe_wrapper(self.strategy.custom_stake_amount,
default_retval=stake_amount)(
pair=pair, current_time=current_time, current_rate=row[OPEN_IDX],
pair=pair, current_time=current_time, current_rate=propose_rate,
proposed_stake=stake_amount, min_stake=min_stake_amount, max_stake=max_stake_amount,
side=direction)
stake_amount = self.wallets.validate_stake_amount(pair, stake_amount, min_stake_amount)
@@ -478,7 +496,7 @@ class Backtesting:
time_in_force = self.strategy.order_time_in_force['sell']
# Confirm trade entry:
if not strategy_safe_wrapper(self.strategy.confirm_trade_entry, default_retval=True)(
pair=pair, order_type=order_type, amount=stake_amount, rate=row[OPEN_IDX],
pair=pair, order_type=order_type, amount=stake_amount, rate=propose_rate,
time_in_force=time_in_force, current_time=current_time,
side=direction):
return None
@@ -491,7 +509,7 @@ class Backtesting:
open_rate=row[OPEN_IDX],
open_date=current_time,
stake_amount=stake_amount,
amount=round((stake_amount / row[OPEN_IDX]) * leverage, 8),
amount=round((stake_amount / propose_rate) * leverage, 8),
fee_open=self.fee,
fee_close=self.fee,
is_open=True,