import logging from datetime import datetime, timedelta from typing import Any, Dict, Optional import pandas as pd from freqtrade.constants import Config, LongShort from freqtrade.data.metrics import calculate_max_drawdown from freqtrade.persistence import Trade from freqtrade.plugins.protections import IProtection, ProtectionReturn logger = logging.getLogger(__name__) class MaxDrawdown(IProtection): has_global_stop: bool = True has_local_stop: bool = False def __init__(self, config: Config, protection_config: Dict[str, Any]) -> None: super().__init__(config, protection_config) self._trade_limit = protection_config.get("trade_limit", 1) self._max_allowed_drawdown = protection_config.get("max_allowed_drawdown", 0.0) # TODO: Implement checks to limit max_drawdown to sensible values def short_desc(self) -> str: """ Short method description - used for startup-messages """ return ( f"{self.name} - Max drawdown protection, stop trading if drawdown is > " f"{self._max_allowed_drawdown} within {self.lookback_period_str}." ) def _reason(self, drawdown: float) -> str: """ LockReason to use """ reason = ( f"{drawdown} passed {self._max_allowed_drawdown} in {self.lookback_period_str}, " f"locking " ) if self.unlock_at_str is not None: reason += f" until {self.unlock_at_str}." else: reason += f" for {self.stop_duration_str}." return reason def _max_drawdown(self, date_now: datetime) -> Optional[ProtectionReturn]: """ Evaluate recent trades for drawdown ... """ look_back_until = date_now - timedelta(minutes=self._lookback_period) trades = Trade.get_trades_proxy(is_open=False, close_date=look_back_until) trades_df = pd.DataFrame([trade.to_json() for trade in trades]) if len(trades) < self._trade_limit: # Not enough trades in the relevant period return None # Drawdown is always positive try: # TODO: This should use absolute profit calculation, considering account balance. drawdown_obj = calculate_max_drawdown(trades_df, value_col="close_profit") drawdown = drawdown_obj.drawdown_abs except ValueError: return None if drawdown > self._max_allowed_drawdown: self.log_once( f"Trading stopped due to Max Drawdown {drawdown:.2f} > {self._max_allowed_drawdown}" f" within {self.lookback_period_str}.", logger.info, ) if self.unlock_at is not None: until = self.calculate_unlock_at() else: until = self.calculate_lock_end(trades, self._stop_duration) return ProtectionReturn( lock=True, until=until, reason=self._reason(drawdown), ) return None def global_stop(self, date_now: datetime, side: LongShort) -> Optional[ProtectionReturn]: """ Stops trading (position entering) for all pairs This must evaluate to true for the whole period of the "cooldown period". :return: Tuple of [bool, until, reason]. If true, all pairs will be locked with until """ return self._max_drawdown(date_now) def stop_per_pair( self, pair: str, date_now: datetime, side: LongShort ) -> Optional[ProtectionReturn]: """ Stops trading (position entering) for this pair This must evaluate to true for the whole period of the "cooldown period". :return: Tuple of [bool, until, reason]. If true, this pair will be locked with until """ return None