freqtrade_origin/tests/plugins/test_protections.py

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import random
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from datetime import datetime, timedelta
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import pytest
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from freqtrade import constants
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from freqtrade.persistence import PairLocks, Trade
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from freqtrade.plugins.protectionmanager import ProtectionManager
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from freqtrade.strategy.interface import SellType
from tests.conftest import get_patched_freqtradebot, log_has_re
def generate_mock_trade(pair: str, fee: float, is_open: bool,
sell_reason: str = SellType.SELL_SIGNAL,
min_ago_open: int = None, min_ago_close: int = None,
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profit_rate: float = 0.9
):
open_rate = random.random()
trade = Trade(
pair=pair,
stake_amount=0.01,
fee_open=fee,
fee_close=fee,
open_date=datetime.utcnow() - timedelta(minutes=min_ago_open or 200),
close_date=datetime.utcnow() - timedelta(minutes=min_ago_close or 30),
open_rate=open_rate,
is_open=is_open,
amount=0.01 / open_rate,
exchange='bittrex',
)
trade.recalc_open_trade_value()
if not is_open:
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trade.close(open_rate * profit_rate)
trade.sell_reason = sell_reason
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return trade
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def test_protectionmanager(mocker, default_conf):
default_conf['protections'] = [{'method': protection}
for protection in constants.AVAILABLE_PROTECTIONS]
freqtrade = get_patched_freqtradebot(mocker, default_conf)
for handler in freqtrade.protections._protection_handlers:
assert handler.name in constants.AVAILABLE_PROTECTIONS
if not handler.has_global_stop:
assert handler.global_stop(datetime.utcnow()) == (False, None, None)
if not handler.has_local_stop:
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assert handler.stop_per_pair('XRP/BTC', datetime.utcnow()) == (False, None, None)
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@pytest.mark.parametrize('timeframe,expected,protconf', [
('1m', [20, 10],
[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 10}]),
('5m', [100, 15],
[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 15}]),
('1h', [1200, 40],
[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 40}]),
('1d', [1440, 5],
[{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration": 5}]),
('1m', [20, 5],
[{"method": "StoplossGuard", "lookback_period": 20, "stop_duration_candles": 5}]),
('5m', [15, 25],
[{"method": "StoplossGuard", "lookback_period": 15, "stop_duration_candles": 5}]),
('1h', [50, 600],
[{"method": "StoplossGuard", "lookback_period": 50, "stop_duration_candles": 10}]),
('1h', [60, 540],
[{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration_candles": 9}]),
])
def test_protections_init(mocker, default_conf, timeframe, expected, protconf):
default_conf['timeframe'] = timeframe
default_conf['protections'] = protconf
man = ProtectionManager(default_conf)
assert len(man._protection_handlers) == len(protconf)
assert man._protection_handlers[0]._lookback_period == expected[0]
assert man._protection_handlers[0]._stop_duration == expected[1]
@pytest.mark.usefixtures("init_persistence")
def test_stoploss_guard(mocker, default_conf, fee, caplog):
default_conf['protections'] = [{
"method": "StoplossGuard",
"lookback_period": 60,
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"stop_duration": 40,
"trade_limit": 2
}]
freqtrade = get_patched_freqtradebot(mocker, default_conf)
message = r"Trading stopped due to .*"
assert not freqtrade.protections.global_stop()
assert not log_has_re(message, caplog)
caplog.clear()
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30,
))
assert not freqtrade.protections.global_stop()
assert not log_has_re(message, caplog)
caplog.clear()
# This trade does not count, as it's closed too long ago
Trade.session.add(generate_mock_trade(
'BCH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=250, min_ago_close=100,
))
Trade.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=240, min_ago_close=30,
))
# 3 Trades closed - but the 2nd has been closed too long ago.
assert not freqtrade.protections.global_stop()
assert not log_has_re(message, caplog)
caplog.clear()
Trade.session.add(generate_mock_trade(
'LTC/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=180, min_ago_close=30,
))
assert freqtrade.protections.global_stop()
assert log_has_re(message, caplog)
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assert PairLocks.is_global_lock()
# Test 5m after lock-period - this should try and relock the pair, but end-time
# should be the previous end-time
end_time = PairLocks.get_pair_longest_lock('*').lock_end_time + timedelta(minutes=5)
assert freqtrade.protections.global_stop(end_time)
assert not PairLocks.is_global_lock(end_time)
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@pytest.mark.parametrize('only_per_pair', [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair):
default_conf['protections'] = [{
"method": "StoplossGuard",
"lookback_period": 60,
"trade_limit": 1,
"stop_duration": 60,
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"only_per_pair": only_per_pair
}]
freqtrade = get_patched_freqtradebot(mocker, default_conf)
message = r"Trading stopped due to .*"
pair = 'XRP/BTC'
assert not freqtrade.protections.stop_per_pair(pair)
assert not freqtrade.protections.global_stop()
assert not log_has_re(message, caplog)
caplog.clear()
Trade.session.add(generate_mock_trade(
pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30, profit_rate=0.9,
))
assert not freqtrade.protections.stop_per_pair(pair)
assert not freqtrade.protections.global_stop()
assert not log_has_re(message, caplog)
caplog.clear()
# This trade does not count, as it's closed too long ago
Trade.session.add(generate_mock_trade(
pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=250, min_ago_close=100, profit_rate=0.9,
))
# Trade does not count for per pair stop as it's the wrong pair.
Trade.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=240, min_ago_close=30, profit_rate=0.9,
))
# 3 Trades closed - but the 2nd has been closed too long ago.
assert not freqtrade.protections.stop_per_pair(pair)
assert freqtrade.protections.global_stop() != only_per_pair
if not only_per_pair:
assert log_has_re(message, caplog)
else:
assert not log_has_re(message, caplog)
caplog.clear()
# 2nd Trade that counts with correct pair
Trade.session.add(generate_mock_trade(
pair, fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=180, min_ago_close=30, profit_rate=0.9,
))
assert freqtrade.protections.stop_per_pair(pair)
assert freqtrade.protections.global_stop() != only_per_pair
assert PairLocks.is_pair_locked(pair)
assert PairLocks.is_global_lock() != only_per_pair
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@pytest.mark.usefixtures("init_persistence")
def test_CooldownPeriod(mocker, default_conf, fee, caplog):
default_conf['protections'] = [{
"method": "CooldownPeriod",
"stop_duration": 60,
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}]
freqtrade = get_patched_freqtradebot(mocker, default_conf)
message = r"Trading stopped due to .*"
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not log_has_re(message, caplog)
caplog.clear()
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=200, min_ago_close=30,
))
assert not freqtrade.protections.global_stop()
assert freqtrade.protections.stop_per_pair('XRP/BTC')
assert PairLocks.is_pair_locked('XRP/BTC')
assert not PairLocks.is_global_lock()
Trade.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
min_ago_open=205, min_ago_close=35,
))
assert not freqtrade.protections.global_stop()
assert not PairLocks.is_pair_locked('ETH/BTC')
assert freqtrade.protections.stop_per_pair('ETH/BTC')
assert PairLocks.is_pair_locked('ETH/BTC')
assert not PairLocks.is_global_lock()
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@pytest.mark.usefixtures("init_persistence")
def test_LowProfitPairs(mocker, default_conf, fee, caplog):
default_conf['protections'] = [{
"method": "LowProfitPairs",
"lookback_period": 400,
"stop_duration": 60,
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"trade_limit": 2,
"required_profit": 0.0,
}]
freqtrade = get_patched_freqtradebot(mocker, default_conf)
message = r"Trading stopped due to .*"
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not log_has_re(message, caplog)
caplog.clear()
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
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min_ago_open=800, min_ago_close=450, profit_rate=0.9,
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))
# Not locked with 1 trade
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not PairLocks.is_pair_locked('XRP/BTC')
assert not PairLocks.is_global_lock()
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
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min_ago_open=200, min_ago_close=120, profit_rate=0.9,
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))
# Not locked with 1 trade (first trade is outside of lookback_period)
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not PairLocks.is_pair_locked('XRP/BTC')
assert not PairLocks.is_global_lock()
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# Add positive trade
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
min_ago_open=20, min_ago_close=10, profit_rate=1.15,
))
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not PairLocks.is_pair_locked('XRP/BTC')
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Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
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min_ago_open=110, min_ago_close=20, profit_rate=0.8,
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))
# Locks due to 2nd trade
assert not freqtrade.protections.global_stop()
assert freqtrade.protections.stop_per_pair('XRP/BTC')
assert PairLocks.is_pair_locked('XRP/BTC')
assert not PairLocks.is_global_lock()
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@pytest.mark.usefixtures("init_persistence")
def test_MaxDrawdown(mocker, default_conf, fee, caplog):
default_conf['protections'] = [{
"method": "MaxDrawdown",
"lookback_period": 1000,
"stop_duration": 60,
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"trade_limit": 3,
"max_allowed_drawdown": 0.15
}]
freqtrade = get_patched_freqtradebot(mocker, default_conf)
message = r"Trading stopped due to Max.*"
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
caplog.clear()
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
))
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Trade.session.add(generate_mock_trade(
'ETH/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
))
Trade.session.add(generate_mock_trade(
'NEO/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
))
# No losing trade yet ... so max_drawdown will raise exception
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
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Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=500, min_ago_close=400, profit_rate=0.9,
))
# Not locked with one trade
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not PairLocks.is_pair_locked('XRP/BTC')
assert not PairLocks.is_global_lock()
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.STOP_LOSS.value,
min_ago_open=1200, min_ago_close=1100, profit_rate=0.5,
))
# Not locked with 1 trade (2nd trade is outside of lookback_period)
assert not freqtrade.protections.global_stop()
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
assert not PairLocks.is_pair_locked('XRP/BTC')
assert not PairLocks.is_global_lock()
assert not log_has_re(message, caplog)
# Winning trade ... (should not lock, does not change drawdown!)
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
min_ago_open=320, min_ago_close=410, profit_rate=1.5,
))
assert not freqtrade.protections.global_stop()
assert not PairLocks.is_global_lock()
caplog.clear()
# Add additional negative trade, causing a loss of > 15%
Trade.session.add(generate_mock_trade(
'XRP/BTC', fee.return_value, False, sell_reason=SellType.ROI.value,
min_ago_open=20, min_ago_close=10, profit_rate=0.8,
))
assert not freqtrade.protections.stop_per_pair('XRP/BTC')
# local lock not supported
assert not PairLocks.is_pair_locked('XRP/BTC')
assert freqtrade.protections.global_stop()
assert PairLocks.is_global_lock()
assert log_has_re(message, caplog)
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@pytest.mark.parametrize("protectionconf,desc_expected,exception_expected", [
({"method": "StoplossGuard", "lookback_period": 60, "trade_limit": 2, "stop_duration": 60},
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"[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
"2 stoplosses within 60 minutes.'}]",
None
),
({"method": "CooldownPeriod", "stop_duration": 60},
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"[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 60 minutes.'}]",
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None
),
({"method": "LowProfitPairs", "lookback_period": 60, "stop_duration": 60},
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"[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
"profit < 0.0 within 60 minutes.'}]",
None
),
({"method": "MaxDrawdown", "lookback_period": 60, "stop_duration": 60},
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"[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 "
"within 60 minutes.'}]",
None
),
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({"method": "StoplossGuard", "lookback_period_candles": 12, "trade_limit": 2,
"stop_duration": 60},
"[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
"2 stoplosses within 12 candles.'}]",
None
),
({"method": "CooldownPeriod", "stop_duration_candles": 5},
"[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 5 candles.'}]",
None
),
({"method": "LowProfitPairs", "lookback_period_candles": 11, "stop_duration": 60},
"[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
"profit < 0.0 within 11 candles.'}]",
None
),
({"method": "MaxDrawdown", "lookback_period_candles": 20, "stop_duration": 60},
"[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 "
"within 20 candles.'}]",
None
),
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])
def test_protection_manager_desc(mocker, default_conf, protectionconf,
desc_expected, exception_expected):
default_conf['protections'] = [protectionconf]
freqtrade = get_patched_freqtradebot(mocker, default_conf)
short_desc = str(freqtrade.protections.short_desc())
assert short_desc == desc_expected