199 lines
9.3 KiB
Markdown
199 lines
9.3 KiB
Markdown
## Protections
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!!! Warning "Beta feature"
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This feature is still in it's testing phase. Should you notice something you think is wrong please let us know via Discord or via Github Issue.
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Protections will protect your strategy from unexpected events and market conditions by temporarily stop trading for either one pair, or for all pairs.
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All protection end times are rounded up to the next candle to avoid sudden, unexpected intra-candle buys.
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!!! Note
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Not all Protections will work for all strategies, and parameters will need to be tuned for your strategy to improve performance.
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!!! Tip
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Each Protection can be configured multiple times with different parameters, to allow different levels of protection (short-term / long-term).
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!!! Note "Backtesting"
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Protections are supported by backtesting and hyperopt, but must be explicitly enabled by using the `--enable-protections` flag.
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!!! Warning "Setting protections from the configuration"
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Setting protections from the configuration via `"protections": [],` key should be considered deprecated and will be removed in a future version.
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It is also no longer guaranteed that your protections apply to the strategy in cases where the strategy defines [protections as property](hyperopt.md#optimizing-protections).
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### Available Protections
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* [`StoplossGuard`](#stoploss-guard) Stop trading if a certain amount of stoploss occurred within a certain time window.
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* [`MaxDrawdown`](#maxdrawdown) Stop trading if max-drawdown is reached.
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* [`LowProfitPairs`](#low-profit-pairs) Lock pairs with low profits
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* [`CooldownPeriod`](#cooldown-period) Don't enter a trade right after selling a trade.
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### Common settings to all Protections
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| Parameter| Description |
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|------------|-------------|
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| `method` | Protection name to use. <br> **Datatype:** String, selected from [available Protections](#available-protections)
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| `stop_duration_candles` | For how many candles should the lock be set? <br> **Datatype:** Positive integer (in candles)
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| `stop_duration` | how many minutes should protections be locked. <br>Cannot be used together with `stop_duration_candles`. <br> **Datatype:** Float (in minutes)
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| `lookback_period_candles` | Only trades that completed within the last `lookback_period_candles` candles will be considered. This setting may be ignored by some Protections. <br> **Datatype:** Positive integer (in candles).
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| `lookback_period` | Only trades that completed after `current_time - lookback_period` will be considered. <br>Cannot be used together with `lookback_period_candles`. <br>This setting may be ignored by some Protections. <br> **Datatype:** Float (in minutes)
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| `trade_limit` | Number of trades required at minimum (not used by all Protections). <br> **Datatype:** Positive integer
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!!! Note "Durations"
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Durations (`stop_duration*` and `lookback_period*` can be defined in either minutes or candles).
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For more flexibility when testing different timeframes, all below examples will use the "candle" definition.
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#### Stoploss Guard
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`StoplossGuard` selects all trades within `lookback_period` in minutes (or in candles when using `lookback_period_candles`).
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If `trade_limit` or more trades resulted in stoploss, trading will stop for `stop_duration` in minutes (or in candles when using `stop_duration_candles`).
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This applies across all pairs, unless `only_per_pair` is set to true, which will then only look at one pair at a time.
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Similarly, this protection will by default look at all trades (long and short). For futures bots, setting `only_per_side` will make the bot only consider one side, and will then only lock this one side, allowing for example shorts to continue after a series of long stoplosses.
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`required_profit` will determine the required relative profit (or loss) for stoplosses to consider. This should normally not be set and defaults to 0.0 - which means all losing stoplosses will be triggering a block.
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The below example stops trading for all pairs for 4 candles after the last trade if the bot hit stoploss 4 times within the last 24 candles.
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``` python
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@property
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def protections(self):
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return [
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{
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"method": "StoplossGuard",
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"lookback_period_candles": 24,
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"trade_limit": 4,
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"stop_duration_candles": 4,
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"required_profit": 0.0,
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"only_per_pair": False,
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"only_per_side": False
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}
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]
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```
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!!! Note
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`StoplossGuard` considers all trades with the results `"stop_loss"`, `"stoploss_on_exchange"` and `"trailing_stop_loss"` if the resulting profit was negative.
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`trade_limit` and `lookback_period` will need to be tuned for your strategy.
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#### MaxDrawdown
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`MaxDrawdown` uses all trades within `lookback_period` in minutes (or in candles when using `lookback_period_candles`) to determine the maximum drawdown. If the drawdown is below `max_allowed_drawdown`, trading will stop for `stop_duration` in minutes (or in candles when using `stop_duration_candles`) after the last trade - assuming that the bot needs some time to let markets recover.
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The below sample stops trading for 12 candles if max-drawdown is > 20% considering all pairs - with a minimum of `trade_limit` trades - within the last 48 candles. If desired, `lookback_period` and/or `stop_duration` can be used.
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``` python
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@property
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def protections(self):
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return [
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{
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"method": "MaxDrawdown",
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"lookback_period_candles": 48,
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"trade_limit": 20,
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"stop_duration_candles": 12,
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"max_allowed_drawdown": 0.2
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},
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]
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```
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#### Low Profit Pairs
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`LowProfitPairs` uses all trades for a pair within `lookback_period` in minutes (or in candles when using `lookback_period_candles`) to determine the overall profit ratio.
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If that ratio is below `required_profit`, that pair will be locked for `stop_duration` in minutes (or in candles when using `stop_duration_candles`).
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For futures bots, setting `only_per_side` will make the bot only consider one side, and will then only lock this one side, allowing for example shorts to continue after a series of long losses.
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The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 candles.
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``` python
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@property
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def protections(self):
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return [
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{
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"method": "LowProfitPairs",
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"lookback_period_candles": 6,
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"trade_limit": 2,
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"stop_duration": 60,
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"required_profit": 0.02,
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"only_per_pair": False,
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}
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]
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```
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#### Cooldown Period
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`CooldownPeriod` locks a pair for `stop_duration` in minutes (or in candles when using `stop_duration_candles`) after selling, avoiding a re-entry for this pair for `stop_duration` minutes.
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The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down".
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``` python
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@property
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def protections(self):
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return [
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{
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"method": "CooldownPeriod",
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"stop_duration_candles": 2
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}
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]
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```
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!!! Note
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This Protection applies only at pair-level, and will never lock all pairs globally.
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This Protection does not consider `lookback_period` as it only looks at the latest trade.
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### Full example of Protections
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All protections can be combined at will, also with different parameters, creating a increasing wall for under-performing pairs.
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All protections are evaluated in the sequence they are defined.
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The below example assumes a timeframe of 1 hour:
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* Locks each pair after selling for an additional 5 candles (`CooldownPeriod`), giving other pairs a chance to get filled.
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* Stops trading for 4 hours (`4 * 1h candles`) if the last 2 days (`48 * 1h candles`) had 20 trades, which caused a max-drawdown of more than 20%. (`MaxDrawdown`).
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* Stops trading if more than 4 stoploss occur for all pairs within a 1 day (`24 * 1h candles`) limit (`StoplossGuard`).
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* Locks all pairs that had 4 Trades within the last 6 hours (`6 * 1h candles`) with a combined profit ratio of below 0.02 (<2%) (`LowProfitPairs`).
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* Locks all pairs for 2 candles that had a profit of below 0.01 (<1%) within the last 24h (`24 * 1h candles`), a minimum of 4 trades.
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``` python
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from freqtrade.strategy import IStrategy
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class AwesomeStrategy(IStrategy)
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timeframe = '1h'
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@property
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def protections(self):
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return [
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{
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"method": "CooldownPeriod",
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"stop_duration_candles": 5
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},
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{
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"method": "MaxDrawdown",
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"lookback_period_candles": 48,
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"trade_limit": 20,
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"stop_duration_candles": 4,
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"max_allowed_drawdown": 0.2
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},
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{
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"method": "StoplossGuard",
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"lookback_period_candles": 24,
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"trade_limit": 4,
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"stop_duration_candles": 2,
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"only_per_pair": False
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},
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{
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"method": "LowProfitPairs",
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"lookback_period_candles": 6,
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"trade_limit": 2,
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"stop_duration_candles": 60,
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"required_profit": 0.02
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},
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{
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"method": "LowProfitPairs",
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"lookback_period_candles": 24,
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"trade_limit": 4,
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"stop_duration_candles": 2,
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"required_profit": 0.01
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}
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]
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# ...
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```
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