import random from datetime import datetime, timedelta import pytest from freqtrade import constants from freqtrade.enums import ExitType from freqtrade.persistence import PairLocks, Trade from freqtrade.persistence.trade_model import Order from freqtrade.plugins.protectionmanager import ProtectionManager from tests.conftest import get_patched_freqtradebot, log_has_re def generate_mock_trade(pair: str, fee: float, is_open: bool, exit_reason: str = ExitType.EXIT_SIGNAL, min_ago_open: int = None, min_ago_close: int = None, profit_rate: float = 0.9, is_short: bool = False, ): open_rate = random.random() trade = Trade( pair=pair, stake_amount=0.01, fee_open=fee, fee_close=fee, open_date=datetime.utcnow() - timedelta(minutes=min_ago_open or 200), close_date=datetime.utcnow() - timedelta(minutes=min_ago_close or 30), open_rate=open_rate, is_open=is_open, amount=0.01 / open_rate, exchange='binance', is_short=is_short, leverage=1, ) trade.orders.append(Order( ft_order_side=trade.entry_side, order_id=f'{pair}-{trade.entry_side}-{trade.open_date}', ft_is_open=False, ft_pair=pair, ft_amount=trade.amount, ft_price=trade.open_rate, amount=trade.amount, filled=trade.amount, remaining=0, price=open_rate, average=open_rate, status="closed", order_type="market", side=trade.entry_side, )) if not is_open: close_price = open_rate * (2 - profit_rate if is_short else profit_rate) trade.orders.append(Order( ft_order_side=trade.exit_side, order_id=f'{pair}-{trade.exit_side}-{trade.close_date}', ft_is_open=False, ft_pair=pair, ft_amount=trade.amount, ft_price=trade.open_rate, amount=trade.amount, filled=trade.amount, remaining=0, price=close_price, average=close_price, status="closed", order_type="market", side=trade.exit_side, )) trade.recalc_open_trade_value() if not is_open: trade.close(close_price) trade.exit_reason = exit_reason Trade.session.add(trade) Trade.commit() return trade def test_protectionmanager(mocker, default_conf): default_conf['protections'] = [{'method': protection} for protection in constants.AVAILABLE_PROTECTIONS] freqtrade = get_patched_freqtradebot(mocker, default_conf) for handler in freqtrade.protections._protection_handlers: assert handler.name in constants.AVAILABLE_PROTECTIONS if not handler.has_global_stop: assert handler.global_stop(datetime.utcnow(), '*') is None if not handler.has_local_stop: assert handler.stop_per_pair('XRP/BTC', datetime.utcnow(), '*') is None @pytest.mark.parametrize('timeframe,expected,protconf', [ ('1m', [20, 10], [{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 10}]), ('5m', [100, 15], [{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 15}]), ('1h', [1200, 40], [{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 40}]), ('1d', [1440, 5], [{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration": 5}]), ('1m', [20, 5], [{"method": "StoplossGuard", "lookback_period": 20, "stop_duration_candles": 5}]), ('5m', [15, 25], [{"method": "StoplossGuard", "lookback_period": 15, "stop_duration_candles": 5}]), ('1h', [50, 600], [{"method": "StoplossGuard", "lookback_period": 50, "stop_duration_candles": 10}]), ('1h', [60, 540], [{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration_candles": 9}]), ]) def test_protections_init(default_conf, timeframe, expected, protconf): default_conf['timeframe'] = timeframe man = ProtectionManager(default_conf, protconf) assert len(man._protection_handlers) == len(protconf) assert man._protection_handlers[0]._lookback_period == expected[0] assert man._protection_handlers[0]._stop_duration == expected[1] @pytest.mark.parametrize('is_short', [False, True]) @pytest.mark.usefixtures("init_persistence") def test_stoploss_guard(mocker, default_conf, fee, caplog, is_short): # Active for both sides (long and short) default_conf['protections'] = [{ "method": "StoplossGuard", "lookback_period": 60, "stop_duration": 40, "trade_limit": 3 }] freqtrade = get_patched_freqtradebot(mocker, default_conf) message = r"Trading stopped due to .*" assert not freqtrade.protections.global_stop() assert not log_has_re(message, caplog) caplog.clear() generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=200, min_ago_close=30, is_short=is_short, ) assert not freqtrade.protections.global_stop() assert not log_has_re(message, caplog) caplog.clear() # This trade does not count, as it's closed too long ago generate_mock_trade( 'BCH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=250, min_ago_close=100, is_short=is_short, ) generate_mock_trade( 'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=240, min_ago_close=30, is_short=is_short, ) # 3 Trades closed - but the 2nd has been closed too long ago. assert not freqtrade.protections.global_stop() assert not log_has_re(message, caplog) caplog.clear() generate_mock_trade( 'LTC/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=180, min_ago_close=30, is_short=is_short, ) assert freqtrade.protections.global_stop() assert log_has_re(message, caplog) assert PairLocks.is_global_lock() # Test 5m after lock-period - this should try and relock the pair, but end-time # should be the previous end-time end_time = PairLocks.get_pair_longest_lock('*').lock_end_time + timedelta(minutes=5) freqtrade.protections.global_stop(end_time) assert not PairLocks.is_global_lock(end_time) @pytest.mark.parametrize('only_per_pair', [False, True]) @pytest.mark.parametrize('only_per_side', [False, True]) @pytest.mark.usefixtures("init_persistence") def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair, only_per_side): default_conf['protections'] = [{ "method": "StoplossGuard", "lookback_period": 60, "trade_limit": 2, "stop_duration": 60, "only_per_pair": only_per_pair, "only_per_side": only_per_side, }] check_side = 'long' if only_per_side else '*' is_short = False freqtrade = get_patched_freqtradebot(mocker, default_conf) message = r"Trading stopped due to .*" pair = 'XRP/BTC' assert not freqtrade.protections.stop_per_pair(pair) assert not freqtrade.protections.global_stop() assert not log_has_re(message, caplog) caplog.clear() generate_mock_trade( pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=200, min_ago_close=30, profit_rate=0.9, is_short=is_short ) assert not freqtrade.protections.stop_per_pair(pair) assert not freqtrade.protections.global_stop() assert not log_has_re(message, caplog) caplog.clear() # This trade does not count, as it's closed too long ago generate_mock_trade( pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=250, min_ago_close=100, profit_rate=0.9, is_short=is_short ) # Trade does not count for per pair stop as it's the wrong pair. generate_mock_trade( 'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=240, min_ago_close=30, profit_rate=0.9, is_short=is_short ) # 3 Trades closed - but the 2nd has been closed too long ago. assert not freqtrade.protections.stop_per_pair(pair) assert freqtrade.protections.global_stop() != only_per_pair if not only_per_pair: assert log_has_re(message, caplog) else: assert not log_has_re(message, caplog) caplog.clear() # Trade does not count potentially, as it's in the wrong direction generate_mock_trade( pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=150, min_ago_close=25, profit_rate=0.9, is_short=not is_short ) freqtrade.protections.stop_per_pair(pair) assert freqtrade.protections.global_stop() != only_per_pair assert PairLocks.is_pair_locked(pair, side=check_side) != (only_per_side and only_per_pair) assert PairLocks.is_global_lock(side=check_side) != only_per_pair if only_per_side: assert not PairLocks.is_pair_locked(pair, side='*') assert not PairLocks.is_global_lock(side='*') caplog.clear() # 2nd Trade that counts with correct pair generate_mock_trade( pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=180, min_ago_close=30, profit_rate=0.9, is_short=is_short ) freqtrade.protections.stop_per_pair(pair) assert freqtrade.protections.global_stop() != only_per_pair assert PairLocks.is_pair_locked(pair, side=check_side) assert PairLocks.is_global_lock(side=check_side) != only_per_pair if only_per_side: assert not PairLocks.is_pair_locked(pair, side='*') assert not PairLocks.is_global_lock(side='*') @pytest.mark.usefixtures("init_persistence") def test_CooldownPeriod(mocker, default_conf, fee, caplog): default_conf['protections'] = [{ "method": "CooldownPeriod", "stop_duration": 60, }] freqtrade = get_patched_freqtradebot(mocker, default_conf) message = r"Trading stopped due to .*" assert not freqtrade.protections.global_stop() assert not freqtrade.protections.stop_per_pair('XRP/BTC') assert not log_has_re(message, caplog) caplog.clear() generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=200, min_ago_close=30, ) assert not freqtrade.protections.global_stop() assert freqtrade.protections.stop_per_pair('XRP/BTC') assert PairLocks.is_pair_locked('XRP/BTC') assert not PairLocks.is_global_lock() generate_mock_trade( 'ETH/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value, min_ago_open=205, min_ago_close=35, ) assert not freqtrade.protections.global_stop() assert not PairLocks.is_pair_locked('ETH/BTC') assert freqtrade.protections.stop_per_pair('ETH/BTC') assert PairLocks.is_pair_locked('ETH/BTC') assert not PairLocks.is_global_lock() @pytest.mark.parametrize('only_per_side', [False, True]) @pytest.mark.usefixtures("init_persistence") def test_LowProfitPairs(mocker, default_conf, fee, caplog, only_per_side): default_conf['protections'] = [{ "method": "LowProfitPairs", "lookback_period": 400, "stop_duration": 60, "trade_limit": 2, "required_profit": 0.0, "only_per_side": only_per_side, }] freqtrade = get_patched_freqtradebot(mocker, default_conf) message = r"Trading stopped due to .*" assert not freqtrade.protections.global_stop() assert not freqtrade.protections.stop_per_pair('XRP/BTC') assert not log_has_re(message, caplog) caplog.clear() generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=800, min_ago_close=450, profit_rate=0.9, ) Trade.commit() # Not locked with 1 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() generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=200, min_ago_close=120, profit_rate=0.9, ) Trade.commit() # Not locked with 1 trade (first 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() # Add positive trade generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value, min_ago_open=20, min_ago_close=10, profit_rate=1.15, is_short=True ) Trade.commit() assert freqtrade.protections.stop_per_pair('XRP/BTC') != only_per_side assert not PairLocks.is_pair_locked('XRP/BTC', side='*') assert PairLocks.is_pair_locked('XRP/BTC', side='long') == only_per_side generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=110, min_ago_close=21, profit_rate=0.8, ) Trade.commit() # Locks due to 2nd trade assert freqtrade.protections.global_stop() != only_per_side assert freqtrade.protections.stop_per_pair('XRP/BTC') != only_per_side assert PairLocks.is_pair_locked('XRP/BTC', side='long') assert PairLocks.is_pair_locked('XRP/BTC', side='*') != only_per_side assert not PairLocks.is_global_lock() Trade.commit() @pytest.mark.usefixtures("init_persistence") def test_MaxDrawdown(mocker, default_conf, fee, caplog): default_conf['protections'] = [{ "method": "MaxDrawdown", "lookback_period": 1000, "stop_duration": 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() generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=1000, min_ago_close=900, profit_rate=1.1, ) generate_mock_trade( 'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=1000, min_ago_close=900, profit_rate=1.1, ) generate_mock_trade( 'NEO/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=1000, min_ago_close=900, profit_rate=1.1, ) Trade.commit() # No losing trade yet ... so max_drawdown will raise exception assert not freqtrade.protections.global_stop() assert not freqtrade.protections.stop_per_pair('XRP/BTC') generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.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() generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value, min_ago_open=1200, min_ago_close=1100, profit_rate=0.5, ) Trade.commit() # 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!) generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value, min_ago_open=320, min_ago_close=410, profit_rate=1.5, ) Trade.commit() assert not freqtrade.protections.global_stop() assert not PairLocks.is_global_lock() caplog.clear() # Add additional negative trade, causing a loss of > 15% generate_mock_trade( 'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value, min_ago_open=20, min_ago_close=10, profit_rate=0.8, ) Trade.commit() 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, "stop_duration": 60}, "[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, " "2 stoplosses with profit < 0.00% within 60 minutes.'}]", None ), ({"method": "CooldownPeriod", "stop_duration": 60}, "[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 60 minutes.'}]", None ), ({"method": "LowProfitPairs", "lookback_period": 60, "stop_duration": 60}, "[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with " "profit < 0.0 within 60 minutes.'}]", None ), ({"method": "MaxDrawdown", "lookback_period": 60, "stop_duration": 60}, "[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 " "within 60 minutes.'}]", None ), ({"method": "StoplossGuard", "lookback_period_candles": 12, "trade_limit": 2, "required_profit": -0.05, "stop_duration": 60}, "[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, " "2 stoplosses with profit < -5.00% within 12 candles.'}]", None ), ({"method": "CooldownPeriod", "stop_duration_candles": 5}, "[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 5 candles.'}]", None ), ({"method": "LowProfitPairs", "lookback_period_candles": 11, "stop_duration": 60}, "[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with " "profit < 0.0 within 11 candles.'}]", None ), ({"method": "MaxDrawdown", "lookback_period_candles": 20, "stop_duration": 60}, "[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 " "within 20 candles.'}]", None ), ]) def test_protection_manager_desc(mocker, default_conf, protectionconf, desc_expected, exception_expected): default_conf['protections'] = [protectionconf] freqtrade = get_patched_freqtradebot(mocker, default_conf) short_desc = str(freqtrade.protections.short_desc()) assert short_desc == desc_expected