mirror of
https://github.com/freqtrade/freqtrade.git
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667 lines
20 KiB
Python
667 lines
20 KiB
Python
import random
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from datetime import datetime, timedelta, timezone
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import pytest
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from freqtrade import constants
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from freqtrade.enums import ExitType
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from freqtrade.persistence import PairLocks, Trade
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from freqtrade.persistence.trade_model import Order
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from freqtrade.plugins.protectionmanager import ProtectionManager
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from tests.conftest import get_patched_freqtradebot, log_has_re
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def generate_mock_trade(
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pair: str,
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fee: float,
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is_open: bool,
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exit_reason: str = ExitType.EXIT_SIGNAL,
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min_ago_open: int = None,
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min_ago_close: int = None,
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profit_rate: float = 0.9,
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is_short: bool = False,
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):
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open_rate = random.random()
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trade = Trade(
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pair=pair,
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stake_amount=0.01,
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fee_open=fee,
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fee_close=fee,
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open_date=datetime.now(timezone.utc) - timedelta(minutes=min_ago_open or 200),
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close_date=datetime.now(timezone.utc) - timedelta(minutes=min_ago_close or 30),
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open_rate=open_rate,
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is_open=is_open,
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amount=0.01 / open_rate,
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exchange="binance",
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is_short=is_short,
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leverage=1,
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)
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trade.orders.append(
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Order(
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ft_order_side=trade.entry_side,
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order_id=f"{pair}-{trade.entry_side}-{trade.open_date}",
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ft_is_open=False,
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ft_pair=pair,
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ft_amount=trade.amount,
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ft_price=trade.open_rate,
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amount=trade.amount,
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filled=trade.amount,
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remaining=0,
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price=open_rate,
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average=open_rate,
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status="closed",
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order_type="market",
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side=trade.entry_side,
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)
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)
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if not is_open:
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close_price = open_rate * (2 - profit_rate if is_short else profit_rate)
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trade.orders.append(
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Order(
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ft_order_side=trade.exit_side,
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order_id=f"{pair}-{trade.exit_side}-{trade.close_date}",
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ft_is_open=False,
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ft_pair=pair,
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ft_amount=trade.amount,
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ft_price=trade.open_rate,
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amount=trade.amount,
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filled=trade.amount,
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remaining=0,
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price=close_price,
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average=close_price,
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status="closed",
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order_type="market",
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side=trade.exit_side,
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)
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)
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trade.recalc_open_trade_value()
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if not is_open:
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trade.close(close_price)
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trade.exit_reason = exit_reason
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Trade.session.add(trade)
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Trade.commit()
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return trade
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def test_protectionmanager(mocker, default_conf):
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default_conf["protections"] = [
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{"method": protection} for protection in constants.AVAILABLE_PROTECTIONS
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]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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for handler in freqtrade.protections._protection_handlers:
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assert handler.name in constants.AVAILABLE_PROTECTIONS
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if not handler.has_global_stop:
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assert handler.global_stop(datetime.now(timezone.utc), "*") is None
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if not handler.has_local_stop:
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assert handler.stop_per_pair("XRP/BTC", datetime.now(timezone.utc), "*") is None
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@pytest.mark.parametrize(
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"timeframe,expected,protconf",
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[
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(
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"1m",
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[20, 10],
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[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 10}],
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),
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(
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"5m",
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[100, 15],
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[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 15}],
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),
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(
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"1h",
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[1200, 40],
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[{"method": "StoplossGuard", "lookback_period_candles": 20, "stop_duration": 40}],
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),
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(
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"1d",
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[1440, 5],
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[{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration": 5}],
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),
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(
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"1m",
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[20, 5],
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[{"method": "StoplossGuard", "lookback_period": 20, "stop_duration_candles": 5}],
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),
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(
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"5m",
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[15, 25],
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[{"method": "StoplossGuard", "lookback_period": 15, "stop_duration_candles": 5}],
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),
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(
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"1h",
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[50, 600],
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[{"method": "StoplossGuard", "lookback_period": 50, "stop_duration_candles": 10}],
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),
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(
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"1h",
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[60, 540],
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[{"method": "StoplossGuard", "lookback_period_candles": 1, "stop_duration_candles": 9}],
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),
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],
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)
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def test_protections_init(default_conf, timeframe, expected, protconf):
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default_conf["timeframe"] = timeframe
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man = ProtectionManager(default_conf, protconf)
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assert len(man._protection_handlers) == len(protconf)
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assert man._protection_handlers[0]._lookback_period == expected[0]
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assert man._protection_handlers[0]._stop_duration == expected[1]
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@pytest.mark.parametrize("is_short", [False, True])
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@pytest.mark.usefixtures("init_persistence")
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def test_stoploss_guard(mocker, default_conf, fee, caplog, is_short):
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# Active for both sides (long and short)
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default_conf["protections"] = [
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{"method": "StoplossGuard", "lookback_period": 60, "stop_duration": 40, "trade_limit": 3}
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]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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generate_mock_trade(
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"XRP/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200,
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min_ago_close=30,
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is_short=is_short,
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)
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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# This trade does not count, as it's closed too long ago
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generate_mock_trade(
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"BCH/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=250,
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min_ago_close=100,
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is_short=is_short,
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)
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generate_mock_trade(
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"ETH/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=240,
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min_ago_close=30,
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is_short=is_short,
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)
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# 3 Trades closed - but the 2nd has been closed too long ago.
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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generate_mock_trade(
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"LTC/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=180,
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min_ago_close=30,
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is_short=is_short,
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)
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assert freqtrade.protections.global_stop()
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assert log_has_re(message, caplog)
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assert PairLocks.is_global_lock()
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# Test 5m after lock-period - this should try and relock the pair, but end-time
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# should be the previous end-time
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end_time = PairLocks.get_pair_longest_lock("*").lock_end_time + timedelta(minutes=5)
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freqtrade.protections.global_stop(end_time)
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assert not PairLocks.is_global_lock(end_time)
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@pytest.mark.parametrize("only_per_pair", [False, True])
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@pytest.mark.parametrize("only_per_side", [False, True])
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@pytest.mark.usefixtures("init_persistence")
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def test_stoploss_guard_perpair(mocker, default_conf, fee, caplog, only_per_pair, only_per_side):
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default_conf["protections"] = [
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{
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"method": "StoplossGuard",
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"lookback_period": 60,
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"trade_limit": 2,
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"stop_duration": 60,
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"only_per_pair": only_per_pair,
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"only_per_side": only_per_side,
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}
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]
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check_side = "long" if only_per_side else "*"
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is_short = False
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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pair = "XRP/BTC"
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assert not freqtrade.protections.stop_per_pair(pair)
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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generate_mock_trade(
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pair,
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200,
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min_ago_close=30,
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profit_rate=0.9,
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is_short=is_short,
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)
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assert not freqtrade.protections.stop_per_pair(pair)
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assert not freqtrade.protections.global_stop()
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assert not log_has_re(message, caplog)
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caplog.clear()
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# This trade does not count, as it's closed too long ago
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generate_mock_trade(
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pair,
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=250,
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min_ago_close=100,
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profit_rate=0.9,
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is_short=is_short,
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)
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# Trade does not count for per pair stop as it's the wrong pair.
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generate_mock_trade(
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"ETH/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=240,
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min_ago_close=30,
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profit_rate=0.9,
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is_short=is_short,
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)
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# 3 Trades closed - but the 2nd has been closed too long ago.
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assert not freqtrade.protections.stop_per_pair(pair)
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assert freqtrade.protections.global_stop() != only_per_pair
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if not only_per_pair:
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assert log_has_re(message, caplog)
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else:
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assert not log_has_re(message, caplog)
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caplog.clear()
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# Trade does not count potentially, as it's in the wrong direction
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generate_mock_trade(
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pair,
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=150,
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min_ago_close=25,
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profit_rate=0.9,
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is_short=not is_short,
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)
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freqtrade.protections.stop_per_pair(pair)
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assert freqtrade.protections.global_stop() != only_per_pair
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assert PairLocks.is_pair_locked(pair, side=check_side) != (only_per_side and only_per_pair)
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assert PairLocks.is_global_lock(side=check_side) != only_per_pair
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if only_per_side:
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assert not PairLocks.is_pair_locked(pair, side="*")
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assert not PairLocks.is_global_lock(side="*")
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caplog.clear()
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# 2nd Trade that counts with correct pair
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generate_mock_trade(
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pair,
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=180,
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min_ago_close=31,
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profit_rate=0.9,
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is_short=is_short,
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)
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freqtrade.protections.stop_per_pair(pair)
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assert freqtrade.protections.global_stop() != only_per_pair
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assert PairLocks.is_pair_locked(pair, side=check_side)
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assert PairLocks.is_global_lock(side=check_side) != only_per_pair
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if only_per_side:
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assert not PairLocks.is_pair_locked(pair, side="*")
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assert not PairLocks.is_global_lock(side="*")
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@pytest.mark.usefixtures("init_persistence")
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def test_CooldownPeriod(mocker, default_conf, fee, caplog):
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default_conf["protections"] = [
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{
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"method": "CooldownPeriod",
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"stop_duration": 60,
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}
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]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair("XRP/BTC")
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assert not log_has_re(message, caplog)
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caplog.clear()
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generate_mock_trade(
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"XRP/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200,
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min_ago_close=30,
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)
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assert not freqtrade.protections.global_stop()
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assert freqtrade.protections.stop_per_pair("XRP/BTC")
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assert PairLocks.is_pair_locked("XRP/BTC")
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assert not PairLocks.is_global_lock()
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generate_mock_trade(
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"ETH/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.ROI.value,
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min_ago_open=205,
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min_ago_close=35,
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)
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assert not freqtrade.protections.global_stop()
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assert not PairLocks.is_pair_locked("ETH/BTC")
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assert freqtrade.protections.stop_per_pair("ETH/BTC")
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assert PairLocks.is_pair_locked("ETH/BTC")
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assert not PairLocks.is_global_lock()
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@pytest.mark.parametrize("only_per_side", [False, True])
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@pytest.mark.usefixtures("init_persistence")
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def test_LowProfitPairs(mocker, default_conf, fee, caplog, only_per_side):
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default_conf["protections"] = [
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{
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"method": "LowProfitPairs",
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"lookback_period": 400,
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"stop_duration": 60,
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"trade_limit": 2,
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"required_profit": 0.0,
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"only_per_side": only_per_side,
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}
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]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to .*"
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair("XRP/BTC")
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assert not log_has_re(message, caplog)
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caplog.clear()
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generate_mock_trade(
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"XRP/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=800,
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min_ago_close=450,
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profit_rate=0.9,
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)
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Trade.commit()
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# Not locked with 1 trade
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair("XRP/BTC")
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assert not PairLocks.is_pair_locked("XRP/BTC")
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assert not PairLocks.is_global_lock()
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generate_mock_trade(
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"XRP/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=200,
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min_ago_close=120,
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profit_rate=0.9,
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)
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Trade.commit()
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# Not locked with 1 trade (first trade is outside of lookback_period)
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assert not freqtrade.protections.global_stop()
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assert not freqtrade.protections.stop_per_pair("XRP/BTC")
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assert not PairLocks.is_pair_locked("XRP/BTC")
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assert not PairLocks.is_global_lock()
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# Add positive trade
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generate_mock_trade(
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"XRP/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.ROI.value,
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min_ago_open=20,
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min_ago_close=10,
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profit_rate=1.15,
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is_short=True,
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)
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Trade.commit()
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assert freqtrade.protections.stop_per_pair("XRP/BTC") != only_per_side
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assert not PairLocks.is_pair_locked("XRP/BTC", side="*")
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assert PairLocks.is_pair_locked("XRP/BTC", side="long") == only_per_side
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generate_mock_trade(
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"XRP/BTC",
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fee.return_value,
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False,
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exit_reason=ExitType.STOP_LOSS.value,
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min_ago_open=110,
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min_ago_close=21,
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profit_rate=0.8,
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)
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Trade.commit()
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# Locks due to 2nd trade
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assert freqtrade.protections.global_stop() != only_per_side
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assert freqtrade.protections.stop_per_pair("XRP/BTC") != only_per_side
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assert PairLocks.is_pair_locked("XRP/BTC", side="long")
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assert PairLocks.is_pair_locked("XRP/BTC", side="*") != only_per_side
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assert not PairLocks.is_global_lock()
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Trade.commit()
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@pytest.mark.usefixtures("init_persistence")
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def test_MaxDrawdown(mocker, default_conf, fee, caplog):
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default_conf["protections"] = [
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{
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"method": "MaxDrawdown",
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"lookback_period": 1000,
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"stop_duration": 60,
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"trade_limit": 3,
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"max_allowed_drawdown": 0.15,
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}
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]
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freqtrade = get_patched_freqtradebot(mocker, default_conf)
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message = r"Trading stopped due to Max.*"
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assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair("XRP/BTC")
|
|
caplog.clear()
|
|
|
|
generate_mock_trade(
|
|
"XRP/BTC",
|
|
fee.return_value,
|
|
False,
|
|
exit_reason=ExitType.STOP_LOSS.value,
|
|
min_ago_open=1000,
|
|
min_ago_close=900,
|
|
profit_rate=1.1,
|
|
)
|
|
generate_mock_trade(
|
|
"ETH/BTC",
|
|
fee.return_value,
|
|
False,
|
|
exit_reason=ExitType.STOP_LOSS.value,
|
|
min_ago_open=1000,
|
|
min_ago_close=900,
|
|
profit_rate=1.1,
|
|
)
|
|
generate_mock_trade(
|
|
"NEO/BTC",
|
|
fee.return_value,
|
|
False,
|
|
exit_reason=ExitType.STOP_LOSS.value,
|
|
min_ago_open=1000,
|
|
min_ago_close=900,
|
|
profit_rate=1.1,
|
|
)
|
|
Trade.commit()
|
|
# No losing trade yet ... so max_drawdown will raise exception
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair("XRP/BTC")
|
|
|
|
generate_mock_trade(
|
|
"XRP/BTC",
|
|
fee.return_value,
|
|
False,
|
|
exit_reason=ExitType.STOP_LOSS.value,
|
|
min_ago_open=500,
|
|
min_ago_close=400,
|
|
profit_rate=0.9,
|
|
)
|
|
# Not locked with one trade
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair("XRP/BTC")
|
|
assert not PairLocks.is_pair_locked("XRP/BTC")
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
generate_mock_trade(
|
|
"XRP/BTC",
|
|
fee.return_value,
|
|
False,
|
|
exit_reason=ExitType.STOP_LOSS.value,
|
|
min_ago_open=1200,
|
|
min_ago_close=1100,
|
|
profit_rate=0.5,
|
|
)
|
|
Trade.commit()
|
|
|
|
# Not locked with 1 trade (2nd trade is outside of lookback_period)
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not freqtrade.protections.stop_per_pair("XRP/BTC")
|
|
assert not PairLocks.is_pair_locked("XRP/BTC")
|
|
assert not PairLocks.is_global_lock()
|
|
assert not log_has_re(message, caplog)
|
|
|
|
# Winning trade ... (should not lock, does not change drawdown!)
|
|
generate_mock_trade(
|
|
"XRP/BTC",
|
|
fee.return_value,
|
|
False,
|
|
exit_reason=ExitType.ROI.value,
|
|
min_ago_open=320,
|
|
min_ago_close=410,
|
|
profit_rate=1.5,
|
|
)
|
|
Trade.commit()
|
|
assert not freqtrade.protections.global_stop()
|
|
assert not PairLocks.is_global_lock()
|
|
|
|
caplog.clear()
|
|
|
|
# Add additional negative trade, causing a loss of > 15%
|
|
generate_mock_trade(
|
|
"XRP/BTC",
|
|
fee.return_value,
|
|
False,
|
|
exit_reason=ExitType.ROI.value,
|
|
min_ago_open=20,
|
|
min_ago_close=10,
|
|
profit_rate=0.8,
|
|
)
|
|
Trade.commit()
|
|
assert not freqtrade.protections.stop_per_pair("XRP/BTC")
|
|
# local lock not supported
|
|
assert not PairLocks.is_pair_locked("XRP/BTC")
|
|
assert freqtrade.protections.global_stop()
|
|
assert PairLocks.is_global_lock()
|
|
assert log_has_re(message, caplog)
|
|
|
|
|
|
@pytest.mark.parametrize(
|
|
"protectionconf,desc_expected,exception_expected",
|
|
[
|
|
(
|
|
{
|
|
"method": "StoplossGuard",
|
|
"lookback_period": 60,
|
|
"trade_limit": 2,
|
|
"stop_duration": 60,
|
|
},
|
|
"[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
|
|
"2 stoplosses with profit < 0.00% within 60 minutes.'}]",
|
|
None,
|
|
),
|
|
(
|
|
{"method": "CooldownPeriod", "stop_duration": 60},
|
|
"[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 60 minutes.'}]",
|
|
None,
|
|
),
|
|
(
|
|
{"method": "LowProfitPairs", "lookback_period": 60, "stop_duration": 60},
|
|
"[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
|
|
"profit < 0.0 within 60 minutes.'}]",
|
|
None,
|
|
),
|
|
(
|
|
{"method": "MaxDrawdown", "lookback_period": 60, "stop_duration": 60},
|
|
"[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading "
|
|
"if drawdown is > 0.0 within 60 minutes.'}]",
|
|
None,
|
|
),
|
|
(
|
|
{
|
|
"method": "StoplossGuard",
|
|
"lookback_period_candles": 12,
|
|
"trade_limit": 2,
|
|
"required_profit": -0.05,
|
|
"stop_duration": 60,
|
|
},
|
|
"[{'StoplossGuard': 'StoplossGuard - Frequent Stoploss Guard, "
|
|
"2 stoplosses with profit < -5.00% within 12 candles.'}]",
|
|
None,
|
|
),
|
|
(
|
|
{"method": "CooldownPeriod", "stop_duration_candles": 5},
|
|
"[{'CooldownPeriod': 'CooldownPeriod - Cooldown period of 5 candles.'}]",
|
|
None,
|
|
),
|
|
(
|
|
{"method": "LowProfitPairs", "lookback_period_candles": 11, "stop_duration": 60},
|
|
"[{'LowProfitPairs': 'LowProfitPairs - Low Profit Protection, locks pairs with "
|
|
"profit < 0.0 within 11 candles.'}]",
|
|
None,
|
|
),
|
|
(
|
|
{"method": "MaxDrawdown", "lookback_period_candles": 20, "stop_duration": 60},
|
|
"[{'MaxDrawdown': 'MaxDrawdown - Max drawdown protection, stop trading "
|
|
"if drawdown is > 0.0 within 20 candles.'}]",
|
|
None,
|
|
),
|
|
],
|
|
)
|
|
def test_protection_manager_desc(
|
|
mocker, default_conf, protectionconf, desc_expected, exception_expected
|
|
):
|
|
default_conf["protections"] = [protectionconf]
|
|
freqtrade = get_patched_freqtradebot(mocker, default_conf)
|
|
|
|
short_desc = str(freqtrade.protections.short_desc())
|
|
assert short_desc == desc_expected
|