adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Merge pull request #4941 from brookmiles/fix-stoploss-above-candle

Browse Source 
prevent backtest stoploss trade price being set above candle high
This commit is contained in:
Matthias 2021-05-19 06:20:35 +02:00 committed by GitHub
commit ef4d1c24d7
No known key found for this signature in database
GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 25 additions and 1 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

6
freqtrade/optimize/backtesting.py
View File

@ -216,6 +216,12 @@ class Backtesting:
"""
# Special handling if high or low hit STOP_LOSS or ROI
if sell.sell_type in (SellType.STOP_LOSS, SellType.TRAILING_STOP_LOSS):
if trade.stop_loss > sell_row[HIGH_IDX]:
# our stoploss was already higher than candle high,
# possibly due to a cancelled trade exit.
# sell at open price.
return sell_row[OPEN_IDX]
# Set close_rate to stoploss
return trade.stop_loss
elif sell.sell_type == (SellType.ROI):

20
tests/optimize/test_backtest_detail.py
View File

@ -185,7 +185,7 @@ tc11 = BTContainer(data=[
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[3, 5000, 5150, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=0.019, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
@ -440,6 +440,23 @@ tc27 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=4)]
)
# Test 28: trailing_stop should raise so candle 3 causes a stoploss
# Same case than tc11 - but candle 3 "gaps down" - the stoploss will be above the candle,
# therefore "open" will be used
# stop-loss: 10%, ROI: 10% (should not apply), stoploss adjusted candle 2
tc28 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5050, 4950, 5000, 6172, 1, 0],
[1, 5000, 5050, 4950, 5100, 6172, 0, 0],
[2, 5100, 5251, 5100, 5100, 6172, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10}, profit_perc=-0.03, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.TRAILING_STOP_LOSS, open_tick=1, close_tick=3)]
)
TESTS = [
tc0,
tc1,
@ -469,6 +486,7 @@ TESTS = [
tc25,
tc26,
tc27,
tc28,
]