import logging from datetime import datetime, timedelta from typing import Any, Dict import pandas as pd from freqtrade.data.btanalysis import calculate_max_drawdown from freqtrade.persistence import Trade from freqtrade.plugins.protections import IProtection, ProtectionReturn logger = logging.getLogger(__name__) class MaxDrawdown(IProtection): has_global_stop: bool = True has_local_stop: bool = False def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None: super().__init__(config, protection_config) self._lookback_period = protection_config.get('lookback_period', 60) self._trade_limit = protection_config.get('trade_limit', 1) self._max_allowed_drawdown = protection_config.get('max_allowed_drawdown', 0.0) # TODO: Implement checks to limit max_drawdown to sensible values def short_desc(self) -> str: """ Short method description - used for startup-messages """ return (f"{self.name} - Max drawdown protection, stop trading if drawdown is > " f"{self._max_allowed_drawdown} within {self._lookback_period} minutes.") def _reason(self, drawdown: float) -> str: """ LockReason to use """ 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: """ Evaluate recent trades for drawdown ... """ look_back_until = date_now - timedelta(minutes=self._lookback_period) filters = [ 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) 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) if drawdown > self._max_allowed_drawdown: self.log_once( f"Trading for {pair} stopped due to {drawdown:.2f} < {self._max_allowed_drawdown} " f"within {self._lookback_period} minutes.", logger.info) until = self.calculate_lock_end(trades, self._stop_duration) return True, until, self._reason(drawdown) return False, None, None def global_stop(self, date_now: datetime) -> ProtectionReturn: """ Stops trading (position entering) for all pairs This must evaluate to true for the whole period of the "cooldown period". :return: Tuple of [bool, until, reason]. If true, all pairs will be locked with until """ return self._max_drawdown(date_now) def stop_per_pair(self, pair: str, date_now: datetime) -> ProtectionReturn: """ Stops trading (position entering) for this pair This must evaluate to true for the whole period of the "cooldown period". :return: Tuple of [bool, until, reason]. If true, this pair will be locked with until """ return False, None, None