stable/freqtrade/plugins/protections/max_drawdown_protection.py
2022-04-24 14:43:30 +02:00

96 lines
3.5 KiB
Python

import logging
from datetime import datetime, timedelta
from typing import Any, Dict, Optional
import pandas as pd
from freqtrade.constants import LongShort
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._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_str}.")
def _reason(self, drawdown: float) -> str:
"""
LockReason to use
"""
return (f'{drawdown} passed {self._max_allowed_drawdown} in {self.lookback_period_str}, '
f'locking for {self.stop_duration_str}.')
def _max_drawdown(self, date_now: datetime) -> Optional[ProtectionReturn]:
"""
Evaluate recent trades for drawdown ...
"""
look_back_until = date_now - timedelta(minutes=self._lookback_period)
trades = Trade.get_trades_proxy(is_open=False, close_date=look_back_until)
trades_df = pd.DataFrame([trade.to_json() for trade in trades])
if len(trades) < self._trade_limit:
# Not enough trades in the relevant period
return None
# Drawdown is always positive
try:
# TODO: This should use absolute profit calculation, considering account balance.
drawdown, _, _, _, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
except ValueError:
return None
if drawdown > self._max_allowed_drawdown:
self.log_once(
f"Trading stopped due to Max Drawdown {drawdown:.2f} > {self._max_allowed_drawdown}"
f" within {self.lookback_period_str}.", logger.info)
until = self.calculate_lock_end(trades, self._stop_duration)
return ProtectionReturn(
lock=True,
until=until,
reason=self._reason(drawdown),
)
return None
def global_stop(self, date_now: datetime, side: LongShort) -> Optional[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 <reason> until <until>
"""
return self._max_drawdown(date_now)
def stop_per_pair(
self, pair: str, date_now: datetime, side: LongShort) -> Optional[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 <reason> until <until>
"""
return None