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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
View File

@ -355,7 +355,10 @@ class Backtesting:
# use Open rate if open_rate > calculated sell rate # use Open rate if open_rate > calculated sell rate
return sell_row[OPEN_IDX] 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: else:
# This should not be reached... # This should not be reached...
@ -384,7 +387,7 @@ class Backtesting:
def _get_order_filled(self, rate: float, row: Tuple) -> bool: def _get_order_filled(self, rate: float, row: Tuple) -> bool:
""" Rate is within candle, therefore filled""" """ 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, def _get_sell_trade_entry_for_candle(self, trade: LocalTrade,
sell_row: Tuple) -> Optional[LocalTrade]: sell_row: Tuple) -> Optional[LocalTrade]:
@ -563,6 +566,9 @@ class Backtesting:
exchange='backtesting', exchange='backtesting',
orders=[] orders=[]
) )
else:
trade.open_order_id = self.order_id_counter
trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True) trade.adjust_stop_loss(trade.open_rate, self.strategy.stoploss, initial=True)
order = Order( order = Order(
@ -697,7 +703,7 @@ class Backtesting:
trade = self._enter_trade(pair, row) trade = self._enter_trade(pair, row)
if trade: if trade:
# TODO: hacky workaround to avoid opening > max_open_trades # 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 # Prevents buying if the trade-slot was freed in this candle
open_trade_count_start += 1 open_trade_count_start += 1
open_trade_count += 1 open_trade_count += 1

3
tests/optimize/test_backtesting.py
View File

@ -635,7 +635,8 @@ def test_backtest__get_sell_trade_entry(default_conf, fee, mocker) -> None:
assert res.sell_reason == SellType.ROI.value assert res.sell_reason == SellType.ROI.value
# Sell at minute 3 (not available above!) # Sell at minute 3 (not available above!)
assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc) assert res.close_date_utc == datetime(2020, 1, 1, 5, 3, tzinfo=timezone.utc)
assert round(res.close_rate, 3) == round(209.0225, 3) sell_order = res.select_order('sell', True)
assert sell_order is not None
def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None: def test_backtest_one(default_conf, fee, mocker, testdatadir) -> None: