90 lines
3.3 KiB
Python
90 lines
3.3 KiB
Python
|
|
import logging
|
|
from datetime import datetime, timedelta
|
|
from typing import Any, Dict
|
|
|
|
import pandas as pd
|
|
|
|
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._lookback_period = protection_config.get('lookback_period', 60)
|
|
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} minutes.")
|
|
|
|
def _reason(self, drawdown: float) -> str:
|
|
"""
|
|
LockReason to use
|
|
"""
|
|
return (f'{drawdown} > {self._max_allowed_drawdown} in {self._lookback_period} min, '
|
|
f'locking for {self._stop_duration} min.')
|
|
|
|
def _max_drawdown(self, date_now: datetime) -> ProtectionReturn:
|
|
"""
|
|
Evaluate recent trades for drawdown ...
|
|
"""
|
|
look_back_until = date_now - timedelta(minutes=self._lookback_period)
|
|
filters = [
|
|
Trade.is_open.is_(False),
|
|
Trade.close_date > look_back_until,
|
|
]
|
|
trades = Trade.get_trades(filters).all()
|
|
|
|
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 False, None, None
|
|
|
|
# Drawdown is always positive
|
|
drawdown, _, _ = calculate_max_drawdown(trades_df, value_col='close_profit')
|
|
|
|
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} minutes.", logger.info)
|
|
until = self.calculate_lock_end(trades, self._stop_duration)
|
|
|
|
return True, until, self._reason(drawdown)
|
|
|
|
return False, None, None
|
|
|
|
def global_stop(self, date_now: datetime) -> 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) -> 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 False, None, None
|