import random from datetime import datetime, timedelta import pytest from freqtrade import constants from freqtrade.persistence import PairLocks, Trade from freqtrade.plugins.protectionmanager import ProtectionManager from freqtrade.strategy.interface import SellType from tests.conftest import get_patched_freqtradebot, log_has_re def generate_mock_trade(pair: str, fee: float, is_open: bool, sell_reason: str = SellType.SELL_SIGNAL, min_ago_open: int = None, min_ago_close: int = None, profit_rate: float = 0.9 ): 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='bittrex', ) trade.recalc_open_trade_price() if not is_open: trade.close(open_rate * profit_rate) trade.sell_reason = sell_reason 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()) == (False, None, None) if not handler.has_local_stop: assert handler.stop_per_pair('XRP/BTC', datetime.utcnow()) == (False, None, 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(mocker, default_conf, timeframe, expected, protconf): default_conf['timeframe'] = timeframe default_conf['protections'] = protconf man = ProtectionManager(default_conf) 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.usefixtures("init_persistence") def test_stoploss_guard(mocker, default_conf, fee, caplog): default_conf['protections'] = [{ "method": "StoplossGuard", "lookback_period": 60, "stop_duration": 40, "trade_limit": 2 }] 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() Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=200, min_ago_close=30, )) 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 Trade.session.add(generate_mock_trade( 'BCH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=250, min_ago_close=100, )) Trade.session.add(generate_mock_trade( 'ETH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=240, min_ago_close=30, )) # 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() Trade.session.add(generate_mock_trade( 'LTC/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=180, min_ago_close=30, )) 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) assert freqtrade.protections.global_stop(end_time) assert not PairLocks.is_global_lock(end_time) @pytest.mark.parametrize('only_per_pair', [False, True]) @pytest.mark.usefixtures("init_persistence") def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair): default_conf['protections'] = [{ "method": "StoplossGuard", "lookback_period": 60, "trade_limit": 1, "stop_duration": 60, "only_per_pair": only_per_pair }] 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() Trade.session.add(generate_mock_trade( pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=200, min_ago_close=30, profit_rate=0.9, )) 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 Trade.session.add(generate_mock_trade( pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=250, min_ago_close=100, profit_rate=0.9, )) # Trade does not count for per pair stop as it's the wrong pair. Trade.session.add(generate_mock_trade( 'ETH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=240, min_ago_close=30, profit_rate=0.9, )) # 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() # 2nd Trade that counts with correct pair Trade.session.add(generate_mock_trade( pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=180, min_ago_close=30, profit_rate=0.9, )) assert freqtrade.protections.stop_per_pair(pair) assert freqtrade.protections.global_stop() != only_per_pair assert PairLocks.is_pair_locked(pair) assert PairLocks.is_global_lock() != only_per_pair @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() Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.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() Trade.session.add(generate_mock_trade( 'ETH/BTC', fee.return_value, False, sell_reason=SellType.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.usefixtures("init_persistence") def test_LowProfitPairs(mocker, default_conf, fee, caplog): default_conf['protections'] = [{ "method": "LowProfitPairs", "lookback_period": 400, "stop_duration": 60, "trade_limit": 2, "required_profit": 0.0, }] 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() Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=800, min_ago_close=450, profit_rate=0.9, )) # 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() Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=200, min_ago_close=120, profit_rate=0.9, )) # 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 Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value, min_ago_open=20, min_ago_close=10, profit_rate=1.15, )) assert not freqtrade.protections.stop_per_pair('XRP/BTC') assert not PairLocks.is_pair_locked('XRP/BTC') Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=110, min_ago_close=20, profit_rate=0.8, )) # Locks due to 2nd trade 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() @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() Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=1000, min_ago_close=900, profit_rate=1.1, )) Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.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() Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value, min_ago_open=1200, min_ago_close=1100, profit_rate=0.5, )) # 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!) Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value, min_ago_open=320, min_ago_close=410, profit_rate=1.5, )) assert not freqtrade.protections.global_stop() assert not PairLocks.is_global_lock() caplog.clear() # Add additional negative trade, causing a loss of > 15% Trade.session.add(generate_mock_trade( 'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value, min_ago_open=20, min_ago_close=10, profit_rate=0.8, )) 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 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, "stop_duration": 60}, "[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, " "2 stoplosses 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