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Add custom_roi strategy callback

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mrpabloyeah
2025-04-19 15:42:44 +02:00
parent 841f57800e
commit e656063771
3 changed files with 209 additions and 11 deletions
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20
freqtrade/optimize/backtesting.py
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@@ -474,7 +474,12 @@ class Backtesting:
return data
def _get_close_rate(
self, row: tuple, trade: LocalTrade, exit_: ExitCheckTuple, trade_dur: int
self,
row: tuple,
trade: LocalTrade,
current_time: datetime,
exit_: ExitCheckTuple,
trade_dur: int,
) -> float:
"""
Get close rate for backtesting result
@@ -487,7 +492,7 @@ class Backtesting:
):
return self._get_close_rate_for_stoploss(row, trade, exit_, trade_dur)
elif exit_.exit_type == (ExitType.ROI):
return self._get_close_rate_for_roi(row, trade, exit_, trade_dur)
return self._get_close_rate_for_roi(row, trade, current_time, exit_, trade_dur)
else:
return row[OPEN_IDX]
@@ -546,12 +551,17 @@ class Backtesting:
return stoploss_value
def _get_close_rate_for_roi(
self, row: tuple, trade: LocalTrade, exit_: ExitCheckTuple, trade_dur: int
self,
row: tuple,
trade: LocalTrade,
current_time: datetime,
exit_: ExitCheckTuple,
trade_dur: int,
) -> float:
is_short = trade.is_short or False
leverage = trade.leverage or 1.0
side_1 = -1 if is_short else 1
roi_entry, roi = self.strategy.min_roi_reached_entry(trade_dur)
roi_entry, roi = self.strategy.min_roi_reached_entry(trade, trade_dur, current_time)
if roi is not None and roi_entry is not None:
if roi == -1 and roi_entry % self.timeframe_min == 0:
# When force_exiting with ROI=-1, the roi time will always be equal to trade_dur.
@@ -758,7 +768,7 @@ class Backtesting:
amount_ = amount if amount is not None else trade.amount
trade_dur = int((trade.close_date_utc - trade.open_date_utc).total_seconds() // 60)
try:
close_rate = self._get_close_rate(row, trade, exit_, trade_dur)
close_rate = self._get_close_rate(row, trade, current_time, exit_, trade_dur)
except ValueError:
return None
# call the custom exit price,with default value as previous close_rate