freqtrade_origin/tests/plugins/test_protections.py

import random
from datetime import datetime, timedelta, timezone

import pytest

from freqtrade import constants
from freqtrade.enums import ExitType
from freqtrade.persistence import PairLocks, Trade
from freqtrade.persistence.trade_model import Order
from freqtrade.plugins.protectionmanager import ProtectionManager
from tests.conftest import get_patched_freqtradebot, log_has_re


def generate_mock_trade(pair: str, fee: float, is_open: bool,
                        exit_reason: str = ExitType.EXIT_SIGNAL,
                        min_ago_open: int = None, min_ago_close: int = None,
                        profit_rate: float = 0.9,
                        is_short: bool = False,
                        ):
    open_rate = random.random()

    trade = Trade(
        pair=pair,
        stake_amount=0.01,
        fee_open=fee,
        fee_close=fee,
        open_date=datetime.now(timezone.utc) - timedelta(minutes=min_ago_open or 200),
        close_date=datetime.now(timezone.utc) - timedelta(minutes=min_ago_close or 30),
        open_rate=open_rate,
        is_open=is_open,
        amount=0.01 / open_rate,
        exchange='binance',
        is_short=is_short,
        leverage=1,
    )

    trade.orders.append(Order(
        ft_order_side=trade.entry_side,
        order_id=f'{pair}-{trade.entry_side}-{trade.open_date}',
        ft_is_open=False,
        ft_pair=pair,
        ft_amount=trade.amount,
        ft_price=trade.open_rate,
        amount=trade.amount,
        filled=trade.amount,
        remaining=0,
        price=open_rate,
        average=open_rate,
        status="closed",
        order_type="market",
        side=trade.entry_side,
    ))
    if not is_open:
        close_price = open_rate * (2 - profit_rate if is_short else profit_rate)
        trade.orders.append(Order(
            ft_order_side=trade.exit_side,
            order_id=f'{pair}-{trade.exit_side}-{trade.close_date}',
            ft_is_open=False,
            ft_pair=pair,
            ft_amount=trade.amount,
            ft_price=trade.open_rate,
            amount=trade.amount,
            filled=trade.amount,
            remaining=0,
            price=close_price,
            average=close_price,
            status="closed",
            order_type="market",
            side=trade.exit_side,
            ))

    trade.recalc_open_trade_value()
    if not is_open:
        trade.close(close_price)
        trade.exit_reason = exit_reason

    Trade.session.add(trade)
    Trade.commit()
    return trade


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.now(timezone.utc), '*') is None
        if not handler.has_local_stop:
            assert handler.stop_per_pair('XRP/BTC', datetime.now(timezone.utc), '*') is None


@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(default_conf, timeframe, expected, protconf):
    default_conf['timeframe'] = timeframe
    man = ProtectionManager(default_conf, protconf)
    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.parametrize('is_short', [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_stoploss_guard(mocker, default_conf, fee, caplog, is_short):
    # Active for both sides (long and short)
    default_conf['protections'] = [{
        "method": "StoplossGuard",
        "lookback_period": 60,
        "stop_duration": 40,
        "trade_limit": 3
    }]
    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()

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=200, min_ago_close=30, is_short=is_short,
    )

    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
    generate_mock_trade(
        'BCH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=250, min_ago_close=100, is_short=is_short,
    )

    generate_mock_trade(
        'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=240, min_ago_close=30, is_short=is_short,
    )
    # 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()

    generate_mock_trade(
        'LTC/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=180, min_ago_close=30, is_short=is_short,
    )

    assert freqtrade.protections.global_stop()
    assert log_has_re(message, caplog)
    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)
    freqtrade.protections.global_stop(end_time)
    assert not PairLocks.is_global_lock(end_time)


@pytest.mark.parametrize('only_per_pair', [False, True])
@pytest.mark.parametrize('only_per_side', [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair, only_per_side):
    default_conf['protections'] = [{
        "method": "StoplossGuard",
        "lookback_period": 60,
        "trade_limit": 2,
        "stop_duration": 60,
        "only_per_pair": only_per_pair,
        "only_per_side": only_per_side,
    }]
    check_side = 'long' if only_per_side else '*'
    is_short = False
    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()

    generate_mock_trade(
        pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=200, min_ago_close=30, profit_rate=0.9, is_short=is_short
    )

    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
    generate_mock_trade(
        pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=250, min_ago_close=100, profit_rate=0.9, is_short=is_short
    )
    # Trade does not count for per pair stop as it's the wrong pair.
    generate_mock_trade(
        'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=240, min_ago_close=30, profit_rate=0.9, is_short=is_short
    )
    # 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()

    # Trade does not count potentially, as it's in the wrong direction
    generate_mock_trade(
        pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=150, min_ago_close=25, profit_rate=0.9, is_short=not is_short
    )
    freqtrade.protections.stop_per_pair(pair)
    assert freqtrade.protections.global_stop() != only_per_pair
    assert PairLocks.is_pair_locked(pair, side=check_side) != (only_per_side and only_per_pair)
    assert PairLocks.is_global_lock(side=check_side) != only_per_pair
    if only_per_side:
        assert not PairLocks.is_pair_locked(pair, side='*')
        assert not PairLocks.is_global_lock(side='*')

    caplog.clear()

    # 2nd Trade that counts with correct pair
    generate_mock_trade(
        pair, fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=180, min_ago_close=31, profit_rate=0.9, is_short=is_short
    )

    freqtrade.protections.stop_per_pair(pair)
    assert freqtrade.protections.global_stop() != only_per_pair
    assert PairLocks.is_pair_locked(pair, side=check_side)
    assert PairLocks.is_global_lock(side=check_side) != only_per_pair
    if only_per_side:
        assert not PairLocks.is_pair_locked(pair, side='*')
        assert not PairLocks.is_global_lock(side='*')


@pytest.mark.usefixtures("init_persistence")
def test_CooldownPeriod(mocker, default_conf, fee, caplog):
    default_conf['protections'] = [{
        "method": "CooldownPeriod",
        "stop_duration": 60,
    }]
    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()

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.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()

    generate_mock_trade(
        'ETH/BTC', fee.return_value, False, exit_reason=ExitType.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()


@pytest.mark.parametrize('only_per_side', [False, True])
@pytest.mark.usefixtures("init_persistence")
def test_LowProfitPairs(mocker, default_conf, fee, caplog, only_per_side):
    default_conf['protections'] = [{
        "method": "LowProfitPairs",
        "lookback_period": 400,
        "stop_duration": 60,
        "trade_limit": 2,
        "required_profit": 0.0,
        "only_per_side": only_per_side,
    }]
    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()

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=800, min_ago_close=450, profit_rate=0.9,
    )

    Trade.commit()
    # 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()

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=200, min_ago_close=120, profit_rate=0.9,
    )

    Trade.commit()
    # 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()

    # Add positive trade
    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
        min_ago_open=20, min_ago_close=10, profit_rate=1.15, is_short=True
    )
    Trade.commit()
    assert freqtrade.protections.stop_per_pair('XRP/BTC') != only_per_side
    assert not PairLocks.is_pair_locked('XRP/BTC', side='*')
    assert PairLocks.is_pair_locked('XRP/BTC', side='long') == only_per_side

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=110, min_ago_close=21, profit_rate=0.8,
    )
    Trade.commit()

    # Locks due to 2nd trade
    assert freqtrade.protections.global_stop() != only_per_side
    assert freqtrade.protections.stop_per_pair('XRP/BTC') != only_per_side
    assert PairLocks.is_pair_locked('XRP/BTC', side='long')
    assert PairLocks.is_pair_locked('XRP/BTC', side='*') != only_per_side
    assert not PairLocks.is_global_lock()
    Trade.commit()


@pytest.mark.usefixtures("init_persistence")
def test_MaxDrawdown(mocker, default_conf, fee, caplog):
    default_conf['protections'] = [{
        "method": "MaxDrawdown",
        "lookback_period": 1000,
        "stop_duration": 60,
        "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()

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
    )
    generate_mock_trade(
        'ETH/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
    )
    generate_mock_trade(
        'NEO/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=1000, min_ago_close=900, profit_rate=1.1,
    )
    Trade.commit()
    # 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')

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.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()

    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.STOP_LOSS.value,
        min_ago_open=1200, min_ago_close=1100, profit_rate=0.5,
    )
    Trade.commit()

    # 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!)
    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
        min_ago_open=320, min_ago_close=410, profit_rate=1.5,
    )
    Trade.commit()
    assert not freqtrade.protections.global_stop()
    assert not PairLocks.is_global_lock()

    caplog.clear()

    # Add additional negative trade, causing a loss of > 15%
    generate_mock_trade(
        'XRP/BTC', fee.return_value, False, exit_reason=ExitType.ROI.value,
        min_ago_open=20, min_ago_close=10, profit_rate=0.8,
    )
    Trade.commit()
    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)


@pytest.mark.parametrize("protectionconf,desc_expected,exception_expected", [
    ({"method": "StoplossGuard", "lookback_period": 60, "trade_limit": 2, "stop_duration": 60},
     "[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
     "2 stoplosses with profit < 0.00% within 60 minutes.'}]",
     None
     ),
    ({"method": "CooldownPeriod", "stop_duration": 60},
     "[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 60 minutes.'}]",
     None
     ),
    ({"method": "LowProfitPairs", "lookback_period": 60, "stop_duration": 60},
     "[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
     "profit < 0.0 within 60 minutes.'}]",
     None
     ),
    ({"method": "MaxDrawdown", "lookback_period": 60, "stop_duration": 60},
     "[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading if drawdown is > 0.0 "
     "within 60 minutes.'}]",
     None
     ),
    ({"method": "StoplossGuard", "lookback_period_candles": 12, "trade_limit": 2,
      "required_profit": -0.05, "stop_duration": 60},
     "[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
     "2 stoplosses with profit < -5.00% 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
     ),
])
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