Test MaxDrawdown desc

freqtrade/plugins/protections/max_drawdown_protection.py

@@ -40,7 +40,7 @@ class MaxDrawdown(IProtection):
         return (f'{drawdown} > {self._max_allowed_drawdown} in {self._lookback_period} min, '
                 f'locking for {self._stop_duration} min.')
 
-    def _max_drawdown(self, date_now: datetime, pair: str) -> ProtectionReturn:
+    def _max_drawdown(self, date_now: datetime) -> ProtectionReturn:
         """
         Evaluate recent trades for drawdown ...
         """
@@ -49,22 +49,20 @@ class MaxDrawdown(IProtection):
             Trade.is_open.is_(False),
             Trade.close_date > look_back_until,
         ]
-        if pair:
-            filters.append(Trade.pair == pair)
         trades = Trade.get_trades(filters).all()
 
-        trades_df = pd.DataFrame(trades)
+        trades_df = pd.DataFrame([trade.to_json() for trade in trades])
 
         if len(trades) < self._trade_limit:
             # Not enough trades in the relevant period
             return False, None, None
 
         # Drawdown is always positive
-        drawdown, _, _ = calculate_max_drawdown(trades_df)
+        drawdown, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
 
         if drawdown > self._max_allowed_drawdown:
             self.log_once(
-                f"Trading for {pair} stopped due to {drawdown:.2f} < {self._max_allowed_drawdown} "
+                f"Trading stopped due to Max Drawdown {drawdown:.2f} < {self._max_allowed_drawdown}"
                 f" within {self._lookback_period} minutes.", logger.info)
             until = self.calculate_lock_end(trades, self._stop_duration)
 

tests/plugins/test_protections.py

@@ -46,7 +46,7 @@ def test_protectionmanager(mocker, default_conf):
         if not handler.has_global_stop:
             assert handler.global_stop(datetime.utcnow()) == (False, None, None)
         if not handler.has_local_stop:
-            assert handler.local_stop('XRP/BTC', datetime.utcnow()) == (False, None, None)
+            assert handler.stop_per_pair('XRP/BTC', datetime.utcnow()) == (False, None, None)
 
 
 @pytest.mark.usefixtures("init_persistence")
@@ -249,6 +249,71 @@ def test_LowProfitPairs(mocker, default_conf, fee, caplog):
     assert not PairLocks.is_global_lock()
 
 
+@pytest.mark.usefixtures("init_persistence")
+def test_MaxDrawdown(mocker, default_conf, fee, caplog):
+    default_conf['protections'] = [{
+        "method": "MaxDrawdown",
+        "lookback_period": 1000,
+        "stopduration": 60,
+        "trade_limit": 3,
+        "max_allowed_drawdown": 0.15
+    }]
+    freqtrade = get_patched_freqtradebot(mocker, default_conf)
+    message = r"Trading stopped due to Max.*"
+
+    assert not freqtrade.protections.global_stop()
+    assert not freqtrade.protections.stop_per_pair('XRP/BTC')
+    caplog.clear()
+
+    Trade.session.add(generate_mock_trade(
+        'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
+        min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
+    ))
+    Trade.session.add(generate_mock_trade(
+        'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
+        min_ago_open=500, min_ago_close=400, profit_rate=0.9,
+    ))
+    # Not locked with one trade
+    assert not freqtrade.protections.global_stop()
+    assert not freqtrade.protections.stop_per_pair('XRP/BTC')
+    assert not PairLocks.is_pair_locked('XRP/BTC')
+    assert not PairLocks.is_global_lock()
+
+    Trade.session.add(generate_mock_trade(
+        'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
+        min_ago_open=1200, min_ago_close=1100, profit_rate=0.5,
+    ))
+
+    # Not locked with 1 trade (2nd trade is outside of lookback_period)
+    assert not freqtrade.protections.global_stop()
+    assert not freqtrade.protections.stop_per_pair('XRP/BTC')
+    assert not PairLocks.is_pair_locked('XRP/BTC')
+    assert not PairLocks.is_global_lock()
+    assert not log_has_re(message, caplog)
+
+    # Winning trade ... (should not lock, does not change drawdown!)
+    Trade.session.add(generate_mock_trade(
+        'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
+        min_ago_open=320, min_ago_close=410, profit_rate=1.5,
+    ))
+    assert not freqtrade.protections.global_stop()
+    assert not PairLocks.is_global_lock()
+
+    caplog.clear()
+
+    # Add additional negative trade, causing a loss of > 15%
+    Trade.session.add(generate_mock_trade(
+        'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
+        min_ago_open=20, min_ago_close=10, profit_rate=0.8,
+    ))
+    assert not freqtrade.protections.stop_per_pair('XRP/BTC')
+    # local lock not supported
+    assert not PairLocks.is_pair_locked('XRP/BTC')
+    assert freqtrade.protections.global_stop()
+    assert PairLocks.is_global_lock()
+    assert log_has_re(message, caplog)
+
+
 @pytest.mark.parametrize("protectionconf,desc_expected,exception_expected", [
     ({"method": "StoplossGuard", "lookback_period": 60, "trade_limit": 2},
      "[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
@@ -264,6 +329,11 @@ def test_LowProfitPairs(mocker, default_conf, fee, caplog):
      "profit < 0.0 within 60 minutes.'}]",
      None
      ),
+    ({"method": "MaxDrawdown", "stopduration": 60},
+     "[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 "
+     "within 60 minutes.'}]",
+     None
+     ),
 ])
 def test_protection_manager_desc(mocker, default_conf, protectionconf,
                                  desc_expected, exception_expected):