Merge pull request #7619 from freqtrade/stop/usehighlow

Stop/usehighlow

docs/backtesting.md

@@ -522,13 +522,13 @@ Since backtesting lacks some detailed information about what happens within a ca
 - ROI
   - exits are compared to high - but the ROI value is used (e.g. ROI = 2%, high=5% - so the exit will be at 2%)
   - exits are never "below the candle", so a ROI of 2% may result in a exit at 2.4% if low was at 2.4% profit
-  - Forceexits caused by `<N>=-1` ROI entries use low as exit value, unless N falls on the candle open (e.g. `120: -1` for 1h candles)
+  - Force-exits caused by `<N>=-1` ROI entries use low as exit value, unless N falls on the candle open (e.g. `120: -1` for 1h candles)
 - Stoploss exits happen exactly at stoploss price, even if low was lower, but the loss will be `2 * fees` higher than the stoploss price
 - Stoploss is evaluated before ROI within one candle. So you can often see more trades with the `stoploss` exit reason comparing to the results obtained with the same strategy in the Dry Run/Live Trade modes
 - Low happens before high for stoploss, protecting capital first
 - Trailing stoploss
   - Trailing Stoploss is only adjusted if it's below the candle's low (otherwise it would be triggered)
-  - On trade entry candles that trigger trailing stoploss, the "minimum offset" (`stop_positive_offset`) is assumed (instead of high) - and the stop is calculated from this point
+  - On trade entry candles that trigger trailing stoploss, the "minimum offset" (`stop_positive_offset`) is assumed (instead of high) - and the stop is calculated from this point. This rule is NOT applicable to custom-stoploss scenarios, since there's no information about the stoploss logic available.
   - High happens first - adjusting stoploss
   - Low uses the adjusted stoploss (so exits with large high-low difference are backtested correctly)
   - ROI applies before trailing-stop, ensuring profits are "top-capped" at ROI if both ROI and trailing stop applies

docs/strategy-callbacks.md

@@ -159,6 +159,7 @@ The stoploss price can only ever move upwards - if the stoploss value returned f
 
 The method must return a stoploss value (float / number) as a percentage of the current price.
 E.g. If the `current_rate` is 200 USD, then returning `0.02` will set the stoploss price 2% lower, at 196 USD.
+During backtesting, `current_rate` (and `current_profit`) are provided against the candle's high (or low for short trades) - while the resulting stoploss is evaluated against the candle's low (or high for short trades).
 
 The absolute value of the return value is used (the sign is ignored), so returning `0.05` or `-0.05` have the same result, a stoploss 5% below the current price.
 

freqtrade/strategy/interface.py

@@ -1072,26 +1072,26 @@ class IStrategy(ABC, HyperStrategyMixin):
                        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:
             stop_loss_value = strategy_safe_wrapper(self.custom_stoploss, default_retval=None
                                                     )(pair=trade.pair, trade=trade,
                                                       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
             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:
                 logger.warning("CustomStoploss function did not return valid stoploss")
 
         if self.trailing_stop and dir_correct:
             # trailing stoploss handling
             sl_offset = self.trailing_stop_positive_offset
-
             # 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.
             if not (self.trailing_only_offset_is_reached and bound_profit < sl_offset):