closes #7076
9.3 KiB
Protections
!!! Warning "Beta feature" 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.
Protections will protect your strategy from unexpected events and market conditions by temporarily stop trading for either one pair, or for all pairs. All protection end times are rounded up to the next candle to avoid sudden, unexpected intra-candle buys.
!!! Note Not all Protections will work for all strategies, and parameters will need to be tuned for your strategy to improve performance.
!!! Tip Each Protection can be configured multiple times with different parameters, to allow different levels of protection (short-term / long-term).
!!! Note "Backtesting"
Protections are supported by backtesting and hyperopt, but must be explicitly enabled by using the --enable-protections
flag.
!!! Warning "Setting protections from the configuration"
Setting protections from the configuration via "protections": [],
key should be considered deprecated and will be removed in a future version.
It is also no longer guaranteed that your protections apply to the strategy in cases where the strategy defines protections as property.
Available Protections
StoplossGuard
Stop trading if a certain amount of stoploss occurred within a certain time window.MaxDrawdown
Stop trading if max-drawdown is reached.LowProfitPairs
Lock pairs with low profitsCooldownPeriod
Don't enter a trade right after selling a trade.
Common settings to all Protections
Parameter | Description |
---|---|
method |
Protection name to use. Datatype: String, selected from available Protections |
stop_duration_candles |
For how many candles should the lock be set? Datatype: Positive integer (in candles) |
stop_duration |
how many minutes should protections be locked. Cannot be used together with stop_duration_candles . Datatype: Float (in minutes) |
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. Datatype: Positive integer (in candles). |
lookback_period |
Only trades that completed after current_time - lookback_period will be considered. Cannot be used together with lookback_period_candles . This setting may be ignored by some Protections. Datatype: Float (in minutes) |
trade_limit |
Number of trades required at minimum (not used by all Protections). Datatype: Positive integer |
!!! Note "Durations"
Durations (stop_duration*
and lookback_period*
can be defined in either minutes or candles).
For more flexibility when testing different timeframes, all below examples will use the "candle" definition.
Stoploss Guard
StoplossGuard
selects all trades within lookback_period
in minutes (or in candles when using lookback_period_candles
).
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
).
This applies across all pairs, unless only_per_pair
is set to true, which will then only look at one pair at a time.
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.
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.
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.
@property
def protections(self):
return [
{
"method": "StoplossGuard",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 4,
"required_profit": 0.0,
"only_per_pair": False,
"only_per_side": False
}
]
!!! Note
StoplossGuard
considers all trades with the results "stop_loss"
, "stoploss_on_exchange"
and "trailing_stop_loss"
if the resulting profit was negative.
trade_limit
and lookback_period
will need to be tuned for your strategy.
MaxDrawdown
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.
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.
@property
def protections(self):
return [
{
"method": "MaxDrawdown",
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 12,
"max_allowed_drawdown": 0.2
},
]
Low Profit Pairs
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.
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
).
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.
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.
@property
def protections(self):
return [
{
"method": "LowProfitPairs",
"lookback_period_candles": 6,
"trade_limit": 2,
"stop_duration": 60,
"required_profit": 0.02,
"only_per_pair": False,
}
]
Cooldown Period
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.
The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down".
@property
def protections(self):
return [
{
"method": "CooldownPeriod",
"stop_duration_candles": 2
}
]
!!! Note
This Protection applies only at pair-level, and will never lock all pairs globally.
This Protection does not consider lookback_period
as it only looks at the latest trade.
Full example of Protections
All protections can be combined at will, also with different parameters, creating a increasing wall for under-performing pairs. All protections are evaluated in the sequence they are defined.
The below example assumes a timeframe of 1 hour:
- Locks each pair after selling for an additional 5 candles (
CooldownPeriod
), giving other pairs a chance to get filled. - 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
). - Stops trading if more than 4 stoploss occur for all pairs within a 1 day (
24 * 1h candles
) limit (StoplossGuard
). - 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
). - 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.
from freqtrade.strategy import IStrategy
class AwesomeStrategy(IStrategy)
timeframe = '1h'
@property
def protections(self):
return [
{
"method": "CooldownPeriod",
"stop_duration_candles": 5
},
{
"method": "MaxDrawdown",
"lookback_period_candles": 48,
"trade_limit": 20,
"stop_duration_candles": 4,
"max_allowed_drawdown": 0.2
},
{
"method": "StoplossGuard",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 2,
"only_per_pair": False
},
{
"method": "LowProfitPairs",
"lookback_period_candles": 6,
"trade_limit": 2,
"stop_duration_candles": 60,
"required_profit": 0.02
},
{
"method": "LowProfitPairs",
"lookback_period_candles": 24,
"trade_limit": 4,
"stop_duration_candles": 2,
"required_profit": 0.01
}
]
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