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Merge pull request #1466 from freqtrade/feat/strategy_trailing

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trailing stoploss configuration in strategy
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Misagh 2019-01-06 11:40:33 +01:00 committed by GitHub
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6 changed files with 87 additions and 59 deletions
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8
docs/configuration.md
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@ -19,10 +19,10 @@ The table below will list all configuration parameters.
| `dry_run` | true | Yes | Define if the bot must be in Dry-run or production mode.
| `process_only_new_candles` | false | No | If set to true indicators are processed only once a new candle arrives. If false each loop populates the indicators, this will mean the same candle is processed many times creating system load but can be useful of your strategy depends on tick data not only candle. Can be set either in Configuration or in the strategy.
| `minimal_roi` | See below | No | Set the threshold in percent the bot will use to sell a trade. More information below. If set, this parameter will override `minimal_roi` from your strategy file.
| `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. If set, this parameter will override `stoploss` from your strategy file.
| `trailing_stop` | false | No | Enables trailing stop-loss (based on `stoploss` in either configuration or strategy file).
| `trailing_stop_positve` | 0 | No | Changes stop-loss once profit has been reached.
| `trailing_stop_positve_offset` | 0 | No | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive.
| `stoploss` | -0.10 | No | Value of the stoploss in percent used by the bot. More information below. More details in the [stoploss documentation](stoploss.md).
| `trailing_stop` | false | No | Enables trailing stop-loss (based on `stoploss` in either configuration or strategy file). More details in the [stoploss documentation](stoploss.md).
| `trailing_stop_positve` | 0 | No | Changes stop-loss once profit has been reached. More details in the [stoploss documentation](stoploss.md).
| `trailing_stop_positve_offset` | 0 | No | Offset on when to apply `trailing_stop_positive`. Percentage value which should be positive. More details in the [stoploss documentation](stoploss.md).
| `unfilledtimeout.buy` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled buy order to complete, after which the order will be cancelled.
| `unfilledtimeout.sell` | 10 | Yes | How long (in minutes) the bot will wait for an unfilled sell order to complete, after which the order will be cancelled.
| `bid_strategy.ask_last_balance` | 0.0 | Yes | Set the bidding price. More information below.

3
docs/stoploss.md
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@ -6,6 +6,9 @@ At this stage the bot contains the following stoploss support modes:
2. trailing stop loss, defined in the configuration
3. trailing stop loss, custom positive loss, defined in configuration
!!! Note
All stoploss properties can be configured in eihter Strategy or configuration. Configuration values override strategy values.
## Static Stop Loss
This is very simple, basically you define a stop loss of x in your strategy file or alternative in the configuration, which

83
freqtrade/resolvers/strategy_resolver.py
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@ -38,60 +38,43 @@ class StrategyResolver(IResolver):
self.strategy: IStrategy = self._load_strategy(strategy_name,
config=config,
extra_dir=config.get('strategy_path'))
# Set attributes
# Check if we need to override configuration
if 'minimal_roi' in config:
self.strategy.minimal_roi = config['minimal_roi']
logger.info("Override strategy 'minimal_roi' with value in config file: %s.",
config['minimal_roi'])
else:
config['minimal_roi'] = self.strategy.minimal_roi
attributes = ["minimal_roi",
"ticker_interval",
"stoploss",
"trailing_stop",
"trailing_stop_positive",
"trailing_stop_positive_offset",
"process_only_new_candles",
"order_types",
"order_time_in_force"
]
for attribute in attributes:
self._override_attribute_helper(config, attribute)
if 'stoploss' in config:
self.strategy.stoploss = config['stoploss']
logger.info(
"Override strategy 'stoploss' with value in config file: %s.", config['stoploss']
)
else:
config['stoploss'] = self.strategy.stoploss
# Loop this list again to have output combined
for attribute in attributes:
if attribute in config:
logger.info("Strategy using %s: %s", attribute, config[attribute])
if 'ticker_interval' in config:
self.strategy.ticker_interval = config['ticker_interval']
logger.info(
"Override strategy 'ticker_interval' with value in config file: %s.",
config['ticker_interval']
)
else:
config['ticker_interval'] = self.strategy.ticker_interval
# Sort and apply type conversions
self.strategy.minimal_roi = OrderedDict(sorted(
{int(key): value for (key, value) in self.strategy.minimal_roi.items()}.items(),
key=lambda t: t[0]))
self.strategy.stoploss = float(self.strategy.stoploss)
if 'process_only_new_candles' in config:
self.strategy.process_only_new_candles = config['process_only_new_candles']
logger.info(
"Override process_only_new_candles 'process_only_new_candles' "
"with value in config file: %s.", config['process_only_new_candles']
)
else:
config['process_only_new_candles'] = self.strategy.process_only_new_candles
self._strategy_sanity_validations()
if 'order_types' in config:
self.strategy.order_types = config['order_types']
logger.info(
"Override strategy 'order_types' with value in config file: %s.",
config['order_types']
)
else:
config['order_types'] = self.strategy.order_types
if 'order_time_in_force' in config:
self.strategy.order_time_in_force = config['order_time_in_force']
logger.info(
"Override strategy 'order_time_in_force' with value in config file: %s.",
config['order_time_in_force']
)
else:
config['order_time_in_force'] = self.strategy.order_time_in_force
def _override_attribute_helper(self, config, attribute: str):
if attribute in config:
setattr(self.strategy, attribute, config[attribute])
logger.info("Override strategy '%s' with value in config file: %s.",
attribute, config[attribute])
elif hasattr(self.strategy, attribute):
config[attribute] = getattr(self.strategy, attribute)
def _strategy_sanity_validations(self):
if not all(k in self.strategy.order_types for k in constants.REQUIRED_ORDERTYPES):
raise ImportError(f"Impossible to load Strategy '{self.strategy.__class__.__name__}'. "
f"Order-types mapping is incomplete.")
@ -100,12 +83,6 @@ class StrategyResolver(IResolver):
raise ImportError(f"Impossible to load Strategy '{self.strategy.__class__.__name__}'. "
f"Order-time-in-force mapping is incomplete.")
# Sort and apply type conversions
self.strategy.minimal_roi = OrderedDict(sorted(
{int(key): value for (key, value) in self.strategy.minimal_roi.items()}.items(),
key=lambda t: t[0]))
self.strategy.stoploss = float(self.strategy.stoploss)
def _load_strategy(
self, strategy_name: str, config: dict, extra_dir: Optional[str] = None) -> IStrategy:
"""

5
freqtrade/strategy/interface.py
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@ -67,6 +67,11 @@ class IStrategy(ABC):
# associated stoploss
stoploss: float
# trailing stoploss
trailing_stop: bool = False
trailing_stop_positive: float
trailing_stop_positive_offset: float
# associated ticker interval
ticker_interval: str

42
freqtrade/tests/strategy/test_strategy.py
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@ -150,6 +150,45 @@ def test_strategy_override_stoploss(caplog):
) in caplog.record_tuples
def test_strategy_override_trailing_stop(caplog):
caplog.set_level(logging.INFO)
config = {
'strategy': 'DefaultStrategy',
'trailing_stop': True
}
resolver = StrategyResolver(config)
assert resolver.strategy.trailing_stop
assert isinstance(resolver.strategy.trailing_stop, bool)
assert ('freqtrade.resolvers.strategy_resolver',
logging.INFO,
"Override strategy 'trailing_stop' with value in config file: True."
) in caplog.record_tuples
def test_strategy_override_trailing_stop_positive(caplog):
caplog.set_level(logging.INFO)
config = {
'strategy': 'DefaultStrategy',
'trailing_stop_positive': -0.1,
'trailing_stop_positive_offset': -0.2
}
resolver = StrategyResolver(config)
assert resolver.strategy.trailing_stop_positive == -0.1
assert ('freqtrade.resolvers.strategy_resolver',
logging.INFO,
"Override strategy 'trailing_stop_positive' with value in config file: -0.1."
) in caplog.record_tuples
assert resolver.strategy.trailing_stop_positive_offset == -0.2
assert ('freqtrade.resolvers.strategy_resolver',
logging.INFO,
"Override strategy 'trailing_stop_positive' with value in config file: -0.1."
) in caplog.record_tuples
def test_strategy_override_ticker_interval(caplog):
caplog.set_level(logging.INFO)
@ -178,8 +217,7 @@ def test_strategy_override_process_only_new_candles(caplog):
assert resolver.strategy.process_only_new_candles
assert ('freqtrade.resolvers.strategy_resolver',
logging.INFO,
"Override process_only_new_candles 'process_only_new_candles' "
"with value in config file: True."
"Override strategy 'process_only_new_candles' with value in config file: True."
) in caplog.record_tuples

5
user_data/strategies/test_strategy.py
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@ -42,6 +42,11 @@ class TestStrategy(IStrategy):
# This attribute will be overridden if the config file contains "stoploss"
stoploss = -0.10
# trailing stoploss
trailing_stop = False
trailing_stop_positive = 0.01
trailing_stop_positive_offset = None # Disabled / not configured
# Optimal ticker interval for the strategy
ticker_interval = '5m'