freqtrade_origin/docs/includes/protections.md

Protections

Protections will protect your strategy from unexpected events and market conditions by temporarily stop trading for either one pair, or for all pairs. All protection end times are rounded up to the next candle to avoid sudden, unexpected intra-candle buys.

!!! Tip "Usage tips" Not all Protections will work for all strategies, and parameters will need to be tuned for your strategy to improve performance.

Each Protection can be configured multiple times with different parameters, to allow different levels of protection (short-term / long-term).

!!! Note "Backtesting" Protections are supported by backtesting and hyperopt, but must be explicitly enabled by using the --enable-protections flag.

Available Protections

• StoplossGuard Stop trading if a certain amount of stoploss occurred within a certain time window.
• MaxDrawdown Stop trading if max-drawdown is reached.
• LowProfitPairs Lock pairs with low profits
• CooldownPeriod Don't enter a trade right after selling a trade.

Common settings to all Protections

Parameter	Description
method	Protection name to use. Datatype: String, selected from available Protections
stop_duration_candles	For how many candles should the lock be set? Datatype: Positive integer (in candles)
stop_duration	how many minutes should protections be locked. Cannot be used together with stop_duration_candles. Datatype: Float (in minutes)
lookback_period_candles	Only trades that completed within the last lookback_period_candles candles will be considered. This setting may be ignored by some Protections. Datatype: Positive integer (in candles).
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
unlock_at	Time when trading will be unlocked regularly (not used by all Protections). Datatype: string Input Format: "HH:MM" (24-hours)

!!! 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 (or in candles when using lookback_period_candles). If trade_limit or more trades resulted in stoploss, trading will stop for stop_duration in minutes (or in candles when using stop_duration_candles, or until the set time when using unlock_at).

This applies across all pairs, unless only_per_pair is set to true, which will then only look at one pair at a time.

Similarly, this protection will by default look at all trades (long and short). For futures bots, setting only_per_side will make the bot only consider one side, and will then only lock this one side, allowing for example shorts to continue after a series of long stoplosses.

required_profit will determine the required relative profit (or loss) for stoplosses to consider. This should normally not be set and defaults to 0.0 - which means all losing stoplosses will be triggering a block.

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.

@property
def protections(self):
    return [
        {
            "method": "StoplossGuard",
            "lookback_period_candles": 24,
            "trade_limit": 4,
            "stop_duration_candles": 4,
            "required_profit": 0.0,
            "only_per_pair": False,
            "only_per_side": False
        }
    ]

!!! Note StoplossGuard considers all trades with the results "stop_loss", "stoploss_on_exchange" and "trailing_stop_loss" if the resulting profit was negative. trade_limit and lookback_period will need to be tuned for your strategy.

MaxDrawdown

MaxDrawdown uses all trades within lookback_period in minutes (or in candles when using lookback_period_candles) to determine the maximum drawdown. If the drawdown is below max_allowed_drawdown, trading will stop for stop_duration in minutes (or in candles when using stop_duration_candles) after the last trade - assuming that the bot needs some time to let markets recover.

The below sample stops trading for 12 candles if max-drawdown is > 20% considering all pairs - with a minimum of trade_limit trades - within the last 48 candles. If desired, lookback_period and/or stop_duration can be used.

@property
def protections(self):
    return  [
        {
            "method": "MaxDrawdown",
            "lookback_period_candles": 48,
            "trade_limit": 20,
            "stop_duration_candles": 12,
            "max_allowed_drawdown": 0.2
        },
    ]

Low Profit Pairs

LowProfitPairs uses all trades for a pair within lookback_period in minutes (or in candles when using lookback_period_candles) to determine the overall profit ratio. If that ratio is below required_profit, that pair will be locked for stop_duration in minutes (or in candles when using stop_duration_candles, or until the set time when using unlock_at).

For futures bots, setting only_per_side will make the bot only consider one side, and will then only lock this one side, allowing for example shorts to continue after a series of long losses.

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.

@property
def protections(self):
    return [
        {
            "method": "LowProfitPairs",
            "lookback_period_candles": 6,
            "trade_limit": 2,
            "stop_duration": 60,
            "required_profit": 0.02,
            "only_per_pair": False,
        }
    ]

Cooldown Period

CooldownPeriod locks a pair for stop_duration in minutes (or in candles when using stop_duration_candles, or until the set time when using unlock_at) after exiting, 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".

@property
def protections(self):
    return  [
        {
            "method": "CooldownPeriod",
            "stop_duration_candles": 2
        }
    ]

!!! Note This Protection applies only at pair-level, and will never lock all pairs globally. This Protection does not consider lookback_period as it only looks at the latest trade.

Full example of Protections

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 assumes a timeframe of 1 hour:

• 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 2 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.

from freqtrade.strategy import IStrategy

class AwesomeStrategy(IStrategy)
    timeframe = '1h'
    
    @property
    def protections(self):
        return [
            {
                "method": "CooldownPeriod",
                "stop_duration_candles": 5
            },
            {
                "method": "MaxDrawdown",
                "lookback_period_candles": 48,
                "trade_limit": 20,
                "stop_duration_candles": 4,
                "max_allowed_drawdown": 0.2
            },
            {
                "method": "StoplossGuard",
                "lookback_period_candles": 24,
                "trade_limit": 4,
                "stop_duration_candles": 2,
                "only_per_pair": False
            },
            {
                "method": "LowProfitPairs",
                "lookback_period_candles": 6,
                "trade_limit": 2,
                "stop_duration_candles": 60,
                "required_profit": 0.02
            },
            {
                "method": "LowProfitPairs",
                "lookback_period_candles": 24,
                "trade_limit": 4,
                "stop_duration_candles": 2,
                "required_profit": 0.01
            }
        ]
    # ...