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Force ROI to be within candle

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This commit is contained in:
Matthias
2022-01-30 15:27:18 +01:00
parent 44e616c264
commit f4149ee462
2 changed files with 11 additions and 4 deletions
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12
freqtrade/optimize/backtesting.py
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@@ -355,7 +355,10 @@ class Backtesting:
# use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX]
return close_rate
# 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])
else:
# This should not be reached...
@@ -384,7 +387,7 @@ class Backtesting:
def _get_order_filled(self, rate: float, row: Tuple) -> bool:
""" Rate is within candle, therefore filled"""
return row[LOW_IDX] < rate < row[HIGH_IDX]
return row[LOW_IDX] <= rate <= row[HIGH_IDX]
def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]:
@@ -563,6 +566,9 @@ class Backtesting:
exchange='backtesting',
orders=[]
)
else:
trade.open_order_id = self.order_id_counter
trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
order = Order(
@@ -697,7 +703,7 @@ class Backtesting:
trade = self._enter_trade(pair, row)
if trade:
# TODO: hacky workaround to avoid opening > max_open_trades
# This emulates previous behaviour - not sure if this is correct
# This emulates previous behavior - not sure if this is correct
# Prevents buying if the trade-slot was freed in this candle
open_trade_count_start += 1
open_trade_count += 1