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use high/low for custom stoploss evaluation in backtesting

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Matthias 2022-10-22 12:52:13 +02:00
parent 84a194bcab
commit 3a9853db10
1 changed files with 7 additions and 7 deletions
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14
freqtrade/strategy/interface.py
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@ -1072,26 +1072,26 @@ class IStrategy(ABC, HyperStrategyMixin):
trade.stop_loss > (high or current_rate) trade.stop_loss > (high or current_rate)
) )
# Make sure current_profit is calculated using high for backtesting.
bound = (low if trade.is_short else high)
bound_profit = current_profit if not bound else trade.calc_profit_ratio(bound)
if self.use_custom_stoploss and dir_correct: if self.use_custom_stoploss and dir_correct:
stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None
)(pair=trade.pair, trade=trade, )(pair=trade.pair, trade=trade,
current_time=current_time, current_time=current_time,
current_rate=current_rate, current_rate=(bound or current_rate),
current_profit=current_profit) current_profit=bound_profit)
# Sanity check - error cases will return None # Sanity check - error cases will return None
if stop_loss_value: if stop_loss_value:
# logger.info(f"{trade.pair} {stop_loss_value=} {current_profit=}") # logger.info(f"{trade.pair} {stop_loss_value=} {bound_profit=}")
trade.adjust_stop_loss(current_rate, stop_loss_value) trade.adjust_stop_loss(bound or current_rate, stop_loss_value)
else: else:
logger.warning("CustomStoploss function did not return valid stoploss") logger.warning("CustomStoploss function did not return valid stoploss")
if self.trailing_stop and dir_correct: if self.trailing_stop and dir_correct:
# trailing stoploss handling # trailing stoploss handling
sl_offset = self.trailing_stop_positive_offset sl_offset = self.trailing_stop_positive_offset
# Make sure current_profit is calculated using high for backtesting. # Make sure current_profit is calculated using high for backtesting.
bound = low if trade.is_short else high
bound_profit = current_profit if not bound else trade.calc_profit_ratio(bound)
# Don't update stoploss if trailing_only_offset_is_reached is true. # Don't update stoploss if trailing_only_offset_is_reached is true.
if not (self.trailing_only_offset_is_reached and bound_profit < sl_offset): if not (self.trailing_only_offset_is_reached and bound_profit < sl_offset):