stable/freqtrade/plugins/protections/max_drawdown_protection.py
2020-12-07 08:23:10 +01:00

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