diff --git a/docs/includes/protections.md b/docs/includes/protections.md
index 2f704d83f..210765176 100644
--- a/docs/includes/protections.md
+++ b/docs/includes/protections.md
@@ -30,20 +30,24 @@ All protection end times are rounded up to the next candle to avoid sudden, unex
| lookback_period | Only trades that completed after `current_time - lookback_period` will be considered.
Cannot be used together with `lookback_period_candles`.
This setting may be ignored by some Protections.
**Datatype:** Float (in minutes)
| trade_limit | Number of trades required at minimum (not used by all Protections).
**Datatype:** Positive integer
+!!! Note "Durations"
+ Durations (`stop_duration*` and `lookback_period*` can be defined in either minutes or candles).
+ For more flexibility when testing different timeframes, all below examples will use the "candle" definition.
+
#### Stoploss Guard
-`StoplossGuard` selects all trades within `lookback_period` (in minutes), and determines if the amount of trades that resulted in stoploss are above `trade_limit` - in which case trading will stop for `stop_duration`.
+`StoplossGuard` selects all trades within `lookback_period`, and determines if the amount of trades that resulted in stoploss are above `trade_limit` - in which case trading will stop for `stop_duration`.
This applies across all pairs, unless `only_per_pair` is set to true, which will then only look at one pair at a time.
-The below example stops trading for all pairs for 2 hours (120min) after the last trade if the bot hit stoploss 4 times within the last 24h.
+The below example stops trading for all pairs for 4 candles after the last trade if the bot hit stoploss 4 times within the last 24 candles.
```json
"protections": [
{
"method": "StoplossGuard",
- "lookback_period": 1440,
+ "lookback_period_candles": 24,
"trade_limit": 4,
- "stop_duration": 120,
+ "stop_duration_candles": 4,
"only_per_pair": false
}
],
@@ -57,15 +61,15 @@ The below example stops trading for all pairs for 2 hours (120min) after the las
`MaxDrawdown` uses all trades within `lookback_period` (in minutes) to determine the maximum drawdown. If the drawdown is below `max_allowed_drawdown`, trading will stop for `stop_duration` (in minutes) after the last trade - assuming that the bot needs some time to let markets recover.
-The below sample stops trading for 12 hours (720min) if max-drawdown is > 20% considering all trades within the last 2 days (2880min).
+The below sample stops trading for 12 candles if max-drawdown is > 20% considering all trades within the last 48 candles.
```json
"protections": [
{
"method": "MaxDrawdown",
- "lookback_period": 2880,
+ "lookback_period_candles": 48,
"trade_limit": 20,
- "stop_duration": 720,
+ "stop_duration_candles": 12,
"max_allowed_drawdown": 0.2
},
],
@@ -77,13 +81,13 @@ The below sample stops trading for 12 hours (720min) if max-drawdown is > 20% co
`LowProfitPairs` uses all trades for a pair within `lookback_period` (in minutes) to determine the overall profit ratio.
If that ratio is below `required_profit`, that pair will be locked for `stop_duration` (in minutes).
-The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 hours (360min).
+The below example will stop trading a pair for 60 minutes if the pair does not have a required profit of 2% (and a minimum of 2 trades) within the last 6 candles.
```json
"protections": [
{
"method": "LowProfitPairs",
- "lookback_period": 360,
+ "lookback_period_candles": 6,
"trade_limit": 2,
"stop_duration": 60,
"required_profit": 0.02
@@ -95,11 +99,13 @@ The below example will stop trading a pair for 60 minutes if the pair does not h
`CooldownPeriod` locks a pair for `stop_duration` (in minutes) after selling, avoiding a re-entry for this pair for `stop_duration` minutes.
+The below example will stop trading a pair for 2 candles after closing a trade, allowing this pair to "cool down".
+
```json
"protections": [
{
"method": "CooldownPeriod",
- "stop_duration": 60
+ "stop_duration_candle": 2
}
],
```
@@ -113,46 +119,47 @@ The below example will stop trading a pair for 60 minutes if the pair does not h
All protections can be combined at will, also with different parameters, creating a increasing wall for under-performing pairs.
All protections are evaluated in the sequence they are defined.
-The below example:
+The below example assumes a timeframe of 1 hour:
-* Locks each pair after selling for an additional 10 minutes (`CooldownPeriod`), giving other pairs a chance to get filled.
-* Stops trading if the last 2 days had 20 trades, which caused a max-drawdown of more than 20%. (`MaxDrawdown`).
-* Stops trading if more than 4 stoploss occur for all pairs within a 1 day (1440min) limit (`StoplossGuard`).
-* Locks all pairs that had 4 Trades within the last 6 hours (`60 * 6 = 360`) with a combined profit ratio of below 0.02 (<2%) (`LowProfitPairs`).
-* Locks all pairs for 120 minutes that had a profit of below 0.01 (<1%) within the last 24h (`60 * 24 = 1440`), a minimum of 4 trades.
+* Locks each pair after selling for an additional 5 candles (`CooldownPeriod`), giving other pairs a chance to get filled.
+* Stops trading for 4 hours (`4 * 1h candles`) if the last 2 days (`48 * 1h candles`) had 20 trades, which caused a max-drawdown of more than 20%. (`MaxDrawdown`).
+* Stops trading if more than 4 stoploss occur for all pairs within a 1 day (`24 * 1h candles`) limit (`StoplossGuard`).
+* Locks all pairs that had 4 Trades within the last 6 hours (`6 * 1h candles`) with a combined profit ratio of below 0.02 (<2%) (`LowProfitPairs`).
+* Locks all pairs for 2 candles that had a profit of below 0.01 (<1%) within the last 24h (`24 * 1h candles`), a minimum of 4 trades.
```json
+"timeframe": "1h",
"protections": [
{
"method": "CooldownPeriod",
- "stop_duration": 10
+ "stop_duration_candles": 5
},
{
"method": "MaxDrawdown",
- "lookback_period": 2880,
+ "lookback_period_candles": 48,
"trade_limit": 20,
- "stop_duration": 720,
+ "stop_duration_candles": 4,
"max_allowed_drawdown": 0.2
},
{
"method": "StoplossGuard",
- "lookback_period": 1440,
+ "lookback_period_candles": 24,
"trade_limit": 4,
- "stop_duration": 120,
+ "stop_duration_candles": 2,
"only_per_pair": false
},
{
"method": "LowProfitPairs",
- "lookback_period": 360,
+ "lookback_period_candles": 6,
"trade_limit": 2,
- "stop_duration": 60,
+ "stop_duration_candles": 60,
"required_profit": 0.02
},
{
"method": "LowProfitPairs",
- "lookback_period": 1440,
+ "lookback_period_candles": 24,
"trade_limit": 4,
- "stop_duration": 120,
+ "stop_duration_candles": 2,
"required_profit": 0.01
}
],
diff --git a/freqtrade/configuration/config_validation.py b/freqtrade/configuration/config_validation.py
index a6435d0e6..b8829b80f 100644
--- a/freqtrade/configuration/config_validation.py
+++ b/freqtrade/configuration/config_validation.py
@@ -170,7 +170,7 @@ def _validate_protections(conf: Dict[str, Any]) -> None:
f"Please fix the protection {prot.get('method')}"
)
- if ('lookback_period' in prot and 'lookback_period_candle' in prot):
+ if ('lookback_period' in prot and 'lookback_period_candles' in prot):
raise OperationalException(
"Protections must specify either `lookback_period` or `lookback_period_candles`.\n"
f"Please fix the protection {prot.get('method')}"
diff --git a/freqtrade/plugins/protections/iprotection.py b/freqtrade/plugins/protections/iprotection.py
index 60f83eea6..7a5a87f47 100644
--- a/freqtrade/plugins/protections/iprotection.py
+++ b/freqtrade/plugins/protections/iprotection.py
@@ -4,6 +4,7 @@ from abc import ABC, abstractmethod
from datetime import datetime, timedelta, timezone
from typing import Any, Dict, List, Optional, Tuple
+from freqtrade.exchange import timeframe_to_minutes
from freqtrade.mixins import LoggingMixin
from freqtrade.persistence import Trade
@@ -23,8 +24,15 @@ class IProtection(LoggingMixin, ABC):
def __init__(self, config: Dict[str, Any], protection_config: Dict[str, Any]) -> None:
self._config = config
self._protection_config = protection_config
- self._stop_duration = protection_config.get('stop_duration', 60)
- self._lookback_period = protection_config.get('lookback_period', 60)
+ tf_in_min = timeframe_to_minutes(config['timeframe'])
+ if 'stop_duration_candles' in protection_config:
+ self._stop_duration = (tf_in_min * protection_config.get('stop_duration_candles'))
+ else:
+ self._stop_duration = protection_config.get('stop_duration', 60)
+ if 'lookback_period_candles' in protection_config:
+ self._lookback_period = tf_in_min * protection_config.get('lookback_period_candles', 60)
+ else:
+ self._lookback_period = protection_config.get('lookback_period', 60)
LoggingMixin.__init__(self, logger)
diff --git a/tests/plugins/test_protections.py b/tests/plugins/test_protections.py
index 29ff4e069..819ae805e 100644
--- a/tests/plugins/test_protections.py
+++ b/tests/plugins/test_protections.py
@@ -3,9 +3,10 @@ from datetime import datetime, timedelta
import pytest
-from freqtrade.persistence import PairLocks, Trade
-from freqtrade.strategy.interface import SellType
from freqtrade import constants
+from freqtrade.persistence import PairLocks, Trade
+from freqtrade.plugins.protectionmanager import ProtectionManager
+from freqtrade.strategy.interface import SellType
from tests.conftest import get_patched_freqtradebot, log_has_re
@@ -49,6 +50,33 @@ def test_protectionmanager(mocker, default_conf):
assert handler.stop_per_pair('XRP/BTC', datetime.utcnow()) == (False, None, 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(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'] = [{
diff --git a/tests/test_configuration.py b/tests/test_configuration.py
index 283f6a0f9..bebbc1508 100644
--- a/tests/test_configuration.py
+++ b/tests/test_configuration.py
@@ -879,11 +879,12 @@ def test_validate_whitelist(default_conf):
validate_config_consistency(conf)
+
@pytest.mark.parametrize('protconf,expected', [
([], None),
([{"method": "StoplossGuard", "lookback_period": 2000, "stop_duration_candles": 10}], None),
- ([{"method": "StoplossGuard", "lookback_period_candle": 20, "stop_duration": 10}], None),
- ([{"method": "StoplossGuard", "lookback_period_candle": 20, "lookback_period": 2000,
+ ([{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 10}], None),
+ ([{"method": "StoplossGuard", "lookback_period_candles": 20, "lookback_period": 2000,
"stop_duration": 10}], r'Protections must specify either `lookback_period`.*'),
([{"method": "StoplossGuard", "lookback_period": 20, "stop_duration": 10,
"stop_duration_candles": 10}], r'Protections must specify either `stop_duration`.*'),