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