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Merge branch 'develop' into feat/short

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Matthias
2022-01-22 17:25:21 +01:00
parent e04956be0e 56daafd6b7
commit f090dcc597
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12
docs/backtesting.md
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@@ -22,6 +22,7 @@ usage: freqtrade backtesting [-h] [-v] [--logfile FILE] [-V] [-c PATH]
[--strategy-list STRATEGY_LIST [STRATEGY_LIST ...]]
[--export {none,trades}] [--export-filename PATH]
[--breakdown {day,week,month} [{day,week,month} ...]]
[--cache {none,day,week,month}]
optional arguments:
-h, --help show this help message and exit
@@ -76,6 +77,9 @@ optional arguments:
_today.json`
--breakdown {day,week,month} [{day,week,month} ...]
Show backtesting breakdown per [day, week, month].
--cache {none,day,week,month}
Load a cached backtest result no older than specified
age (default: day).
Common arguments:
-v, --verbose Verbose mode (-vv for more, -vvv to get all messages).
@@ -466,6 +470,14 @@ freqtrade backtesting --strategy MyAwesomeStrategy --breakdown day month
The output will show a table containing the realized absolute Profit (in stake currency) for the given timeperiod, as well as wins, draws and losses that materialized (closed) on this day.
### Backtest result caching
To save time, by default backtest will reuse a cached result from within the last day when the backtested strategy and config match that of a previous backtest. To force a new backtest despite existing result for an identical run specify `--cache none` parameter.
!!! Warning
Caching is automatically disabled for open-ended timeranges (`--timerange 20210101-`), as freqtrade cannot ensure reliably that the underlying data didn't change. It can also use cached results where it shouldn't if the original backtest had missing data at the end, which was fixed by downloading more data.
In this instance, please use `--cache none` once to force a fresh backtest.
### Further backtest-result analysis
To further analyze your backtest results, you can [export the trades](#exporting-trades-to-file).

3
docs/bot-basics.md
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@@ -38,6 +38,7 @@ By default, loop runs every few seconds (`internals.process_throttle_secs`) and
* Considers stoploss, ROI and sell-signal, `custom_sell()` and `custom_stoploss()`.
* Determine sell-price based on `ask_strategy` configuration setting or by using the `custom_exit_price()` callback.
* Before a sell order is placed, `confirm_trade_exit()` strategy callback is called.
* Check position adjustments for open trades if enabled by calling `adjust_trade_position()` and place additional order if required.
* Check if trade-slots are still available (if `max_open_trades` is reached).
* Verifies buy signal trying to enter new positions.
* Determine buy-price based on `bid_strategy` configuration setting, or by using the `custom_entry_price()` callback.
@@ -59,9 +60,9 @@ This loop will be repeated again and again until the bot is stopped.
* Confirm trade buy / sell (calls `confirm_trade_entry()` and `confirm_trade_exit()` if implemented in the strategy).
* Call `custom_entry_price()` (if implemented in the strategy) to determine entry price (Prices are moved to be within the opening candle).
* Determine stake size by calling the `custom_stake_amount()` callback.
* Check position adjustments for open trades if enabled and call `adjust_trade_position()` to determine if an additional order is requested.
* Call `custom_stoploss()` and `custom_sell()` to find custom exit points.
* For sells based on sell-signal and custom-sell: Call `custom_exit_price()` to determine exit price (Prices are moved to be within the closing candle).
* Generate backtest report output
!!! Note

11
docs/configuration.md
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@@ -174,6 +174,7 @@ Mandatory parameters are marked as **Required**, which means that they are requi
| `user_data_dir` | Directory containing user data. <br> *Defaults to `./user_data/`*. <br> **Datatype:** String
| `dataformat_ohlcv` | Data format to use to store historical candle (OHLCV) data. <br> *Defaults to `json`*. <br> **Datatype:** String
| `dataformat_trades` | Data format to use to store historical trades data. <br> *Defaults to `jsongz`*. <br> **Datatype:** String
| `position_adjustment_enable` | Enables the strategy to use position adjustments (additional buys or sells). [More information here](strategy-callbacks.md#adjust-trade-position). <br> [Strategy Override](#parameters-in-the-strategy). <br>*Defaults to `false`.*<br> **Datatype:** Boolean
### Parameters in the strategy
@@ -198,6 +199,7 @@ Values set in the configuration file always overwrite values set in the strategy
* `sell_profit_offset`
* `ignore_roi_if_buy_signal`
* `ignore_buying_expired_candle_after`
* `position_adjustment_enable`
### Configuring amount per trade
@@ -304,6 +306,15 @@ To allow the bot to trade all the available `stake_currency` in your account (mi
When using `"stake_amount" : "unlimited",` in combination with Dry-Run, Backtesting or Hyperopt, the balance will be simulated starting with a stake of `dry_run_wallet` which will evolve.
It is therefore important to set `dry_run_wallet` to a sensible value (like 0.05 or 0.01 for BTC and 1000 or 100 for USDT, for example), otherwise, it may simulate trades with 100 BTC (or more) or 0.05 USDT (or less) at once - which may not correspond to your real available balance or is less than the exchange minimal limit for the order amount for the stake currency.
#### Dynamic stake amount with position adjustment
When you want to use position adjustment with unlimited stakes, you must also implement `custom_stake_amount` to a return a value depending on your strategy.
Typical value would be in the range of 25% - 50% of the proposed stakes, but depends highly on your strategy and how much you wish to leave into the wallet as position adjustment buffer.
For example if your position adjustment assumes it can do 2 additional buys with the same stake amounts then your buffer should be 66.6667% of the initially proposed unlimited stake amount.
Or another example if your position adjustment assumes it can do 1 additional buy with 3x the original stake amount then `custom_stake_amount` should return 25% of proposed stake amount and leave 75% for possible later position adjustments.
--8<-- "includes/pricing.md"
### Understand minimal_roi

8
docs/faq.md
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@@ -188,12 +188,12 @@ There is however nothing preventing you from using GPU-enabled indicators within
Per default Hyperopt called without the `-e`/`--epochs` command line option will only
run 100 epochs, means 100 evaluations of your triggers, guards, ... Too few
to find a great result (unless if you are very lucky), so you probably
have to run it for 10.000 or more. But it will take an eternity to
have to run it for 10000 or more. But it will take an eternity to
compute.
Since hyperopt uses Bayesian search, running for too many epochs may not produce greater results.
It's therefore recommended to run between 500-1000 epochs over and over until you hit at least 10.000 epochs in total (or are satisfied with the result). You can best judge by looking at the results - if the bot keeps discovering better strategies, it's best to keep on going.
It's therefore recommended to run between 500-1000 epochs over and over until you hit at least 10000 epochs in total (or are satisfied with the result). You can best judge by looking at the results - if the bot keeps discovering better strategies, it's best to keep on going.
```bash
freqtrade hyperopt --hyperopt-loss SharpeHyperOptLossDaily --strategy SampleStrategy -e 1000
@@ -217,9 +217,9 @@ already 8\*10^9\*10 evaluations. A roughly total of 80 billion evaluations.
Did you run 100 000 evaluations? Congrats, you've done roughly 1 / 100 000 th
of the search space, assuming that the bot never tests the same parameters more than once.
* The time it takes to run 1000 hyperopt epochs depends on things like: The available cpu, hard-disk, ram, timeframe, timerange, indicator settings, indicator count, amount of coins that hyperopt test strategies on and the resulting trade count - which can be 650 trades in a year or 10.0000 trades depending if the strategy aims for big profits by trading rarely or for many low profit trades.
* The time it takes to run 1000 hyperopt epochs depends on things like: The available cpu, hard-disk, ram, timeframe, timerange, indicator settings, indicator count, amount of coins that hyperopt test strategies on and the resulting trade count - which can be 650 trades in a year or 100000 trades depending if the strategy aims for big profits by trading rarely or for many low profit trades.
Example: 4% profit 650 times vs 0,3% profit a trade 10.000 times in a year. If we assume you set the --timerange to 365 days.
Example: 4% profit 650 times vs 0,3% profit a trade 10000 times in a year. If we assume you set the --timerange to 365 days.
Example:
`freqtrade --config config.json --strategy SampleStrategy --hyperopt SampleHyperopt -e 1000 --timerange 20190601-20200601`

3
docs/plotting.md
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@@ -273,6 +273,9 @@ def plot_config(self):
!!! Warning
`plotly` arguments are only supported with plotly library and will not work with freq-ui.
!!! Note "Trade position adjustments"
If `position_adjustment_enable` / `adjust_trade_position()` is used, the trade initial buy price is averaged over multiple orders and the trade start price will most likely appear outside the candle range.
## Plot profit
![plot-profit](assets/plot-profit.png)

2
docs/requirements-docs.txt
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@@ -1,4 +1,4 @@
mkdocs==1.2.3
mkdocs-material==8.1.4
mkdocs-material==8.1.7
mdx_truly_sane_lists==1.2
pymdown-extensions==9.1

109
docs/strategy-callbacks.md
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@@ -15,6 +15,7 @@ Currently available callbacks:
* [`check_buy_timeout()` and `check_sell_timeout()](#custom-order-timeout-rules)
* [`confirm_trade_entry()`](#trade-entry-buy-order-confirmation)
* [`confirm_trade_exit()`](#trade-exit-sell-order-confirmation)
* [`adjust_trade_position()`](#adjust-trade-position)
!!! Tip "Callback calling sequence"
You can find the callback calling sequence in [bot-basics](bot-basics.md#bot-execution-logic)
@@ -572,6 +573,113 @@ class AwesomeStrategy(IStrategy):
```
## Adjust trade position
The `position_adjustment_enable` strategy property enables the usage of `adjust_trade_position()` callback in the strategy.
For performance reasons, it's disabled by default and freqtrade will show a warning message on startup if enabled.
`adjust_trade_position()` can be used to perform additional orders, for example to manage risk with DCA (Dollar Cost Averaging).
The strategy is expected to return a stake_amount (in stake currency) between `min_stake` and `max_stake` if and when an additional buy order should be made (position is increased).
If there are not enough funds in the wallet (the return value is above `max_stake`) then the signal will be ignored.
Additional orders also result in additional fees and those orders don't count towards `max_open_trades`.
This callback is **not** called when there is an open order (either buy or sell) waiting for execution.
`adjust_trade_position()` is called very frequently for the duration of a trade, so you must keep your implementation as performant as possible.
!!! Note "About stake size"
Using fixed stake size means it will be the amount used for the first order, just like without position adjustment.
If you wish to buy additional orders with DCA, then make sure to leave enough funds in the wallet for that.
Using 'unlimited' stake amount with DCA orders requires you to also implement the `custom_stake_amount()` callback to avoid allocating all funds to the initial order.
!!! Warning
Stoploss is still calculated from the initial opening price, not averaged price.
!!! Warning "/stopbuy"
While `/stopbuy` command stops the bot from entering new trades, the position adjustment feature will continue buying new orders on existing trades.
!!! Warning "Backtesting"
During backtesting this callback is called for each candle in `timeframe` or `timeframe_detail`, so performance will be affected.
``` python
from freqtrade.persistence import Trade
class DigDeeperStrategy(IStrategy):
position_adjustment_enable = True
# Attempts to handle large drops with DCA. High stoploss is required.
stoploss = -0.30
# ... populate_* methods
# Example specific variables
max_dca_orders = 3
# This number is explained a bit further down
max_dca_multiplier = 5.5
# This is called when placing the initial order (opening trade)
def custom_stake_amount(self, pair: str, current_time: datetime, current_rate: float,
proposed_stake: float, min_stake: float, max_stake: float,
**kwargs) -> float:
# We need to leave most of the funds for possible further DCA orders
# This also applies to fixed stakes
return proposed_stake / self.max_dca_multiplier
def adjust_trade_position(self, trade: Trade, current_time: datetime,
current_rate: float, current_profit: float, min_stake: float,
max_stake: float, **kwargs):
"""
Custom trade adjustment logic, returning the stake amount that a trade should be increased.
This means extra buy orders with additional fees.
:param trade: trade object.
:param current_time: datetime object, containing the current datetime
:param current_rate: Current buy rate.
:param current_profit: Current profit (as ratio), calculated based on current_rate.
:param min_stake: Minimal stake size allowed by exchange.
:param max_stake: Balance available for trading.
:param **kwargs: Ensure to keep this here so updates to this won't break your strategy.
:return float: Stake amount to adjust your trade
"""
if current_profit > -0.05:
return None
# Obtain pair dataframe (just to show how to access it)
dataframe, _ = self.dp.get_analyzed_dataframe(trade.pair, self.timeframe)
# Only buy when not actively falling price.
last_candle = dataframe.iloc[-1].squeeze()
previous_candle = dataframe.iloc[-2].squeeze()
if last_candle['close'] < previous_candle['close']:
return None
filled_buys = trade.select_filled_orders('buy')
count_of_buys = len(filled_buys)
# Allow up to 3 additional increasingly larger buys (4 in total)
# Initial buy is 1x
# If that falls to -5% profit, we buy 1.25x more, average profit should increase to roughly -2.2%
# If that falls down to -5% again, we buy 1.5x more
# If that falls once again down to -5%, we buy 1.75x more
# Total stake for this trade would be 1 + 1.25 + 1.5 + 1.75 = 5.5x of the initial allowed stake.
# That is why max_dca_multiplier is 5.5
# Hope you have a deep wallet!
if 0 < count_of_buys <= self.max_dca_orders:
try:
# This returns first order stake size
stake_amount = filled_buys[0].cost
# This then calculates current safety order size
stake_amount = stake_amount * (1 + (count_of_buys * 0.25))
return stake_amount
except Exception as exception:
return None
return None
```
## Leverage Callback
When trading in markets that allow leverage, this method must return the desired Leverage (Defaults to 1 -> No leverage).
@@ -598,4 +706,3 @@ class AwesomeStrategy(IStrategy):
:return: A leverage amount, which is between 1.0 and max_leverage.
"""
return 1.0
```

2
docs/strategy-customization.md
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@@ -838,7 +838,7 @@ In some situations it may be confusing to deal with stops relative to current ra
from datetime import datetime
from freqtrade.persistence import Trade
from freqtrade.strategy import IStrategy, stoploss_from_open
from freqtrade.strategy import IStrategy, stoploss_from_absolute
class AwesomeStrategy(IStrategy):

2
docs/windows_installation.md
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@@ -23,7 +23,7 @@ git clone https://github.com/freqtrade/freqtrade.git
Install ta-lib according to the [ta-lib documentation](https://github.com/mrjbq7/ta-lib#windows).
As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial pre-compiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which need to be downloaded and installed using `pip install TA_Lib-0.4.23-cp38-cp38-win_amd64.whl` (make sure to use the version matching your python version).
As compiling from source on windows has heavy dependencies (requires a partial visual studio installation), there is also a repository of unofficial pre-compiled windows Wheels [here](https://www.lfd.uci.edu/~gohlke/pythonlibs/#ta-lib), which need to be downloaded and installed using `pip install TA_Lib-0.4.24-cp38-cp38-win_amd64.whl` (make sure to use the version matching your python version).
Freqtrade provides these dependencies for the latest 3 Python versions (3.7, 3.8, 3.9 and 3.10) and for 64bit Windows.
Other versions must be downloaded from the above link.