Add parameter to enable protections for backtesting

freqtrade/commands/arguments.py

@@ -20,11 +20,13 @@ ARGS_COMMON_OPTIMIZE = ["timeframe", "timerange", "dataformat_ohlcv",
                         "max_open_trades", "stake_amount", "fee"]
 
 ARGS_BACKTEST = ARGS_COMMON_OPTIMIZE + ["position_stacking", "use_max_market_positions",
+                                        "enable_protections",
                                         "strategy_list", "export", "exportfilename"]
 
 ARGS_HYPEROPT = ARGS_COMMON_OPTIMIZE + ["hyperopt", "hyperopt_path",
-                                        "position_stacking", "epochs", "spaces",
-                                        "use_max_market_positions", "print_all",
+                                        "position_stacking", "use_max_market_positions",
+                                        "enable_protections",
+                                        "epochs", "spaces", "print_all",
                                         "print_colorized", "print_json", "hyperopt_jobs",
                                         "hyperopt_random_state", "hyperopt_min_trades",
                                         "hyperopt_loss"]

freqtrade/commands/cli_options.py

@@ -144,6 +144,14 @@ AVAILABLE_CLI_OPTIONS = {
         action='store_false',
         default=True,
     ),
+    "enable_protections": Arg(
+        '--enable-protections', '--enableprotections',
+        help='Enable protections for backtesting.'
+        'Will slow backtesting down by a considerable amount, but will include '
+        'configured protections',
+        action='store_true',
+        default=False,
+    ),
     "strategy_list": Arg(
         '--strategy-list',
         help='Provide a space-separated list of strategies to backtest. '

freqtrade/configuration/configuration.py

@@ -211,6 +211,9 @@ class Configuration:
         self._args_to_config(config, argname='position_stacking',
                              logstring='Parameter --enable-position-stacking detected ...')
 
+        self._args_to_config(
+            config, argname='enable_protections',
+            logstring='Parameter --enable-protections detected, enabling Protections. ...')
         # Setting max_open_trades to infinite if -1
         if config.get('max_open_trades') == -1:
             config['max_open_trades'] = float('inf')

freqtrade/optimize/backtesting.py

@@ -297,7 +297,8 @@ class Backtesting:
 
     def backtest(self, processed: Dict, stake_amount: float,
                  start_date: datetime, end_date: datetime,
-                 max_open_trades: int = 0, position_stacking: bool = False) -> DataFrame:
+                 max_open_trades: int = 0, position_stacking: bool = False,
+                 enable_protections: bool = False) -> DataFrame:
         """
         Implement backtesting functionality
 
@@ -311,6 +312,7 @@ class Backtesting:
         :param end_date: backtesting timerange end datetime
         :param max_open_trades: maximum number of concurrent trades, <= 0 means unlimited
         :param position_stacking: do we allow position stacking?
+        :param enable_protections: Should protections be enabled?
         :return: DataFrame with trades (results of backtesting)
         """
         logger.debug(f"Run backtest, stake_amount: {stake_amount}, "
@@ -334,7 +336,8 @@ class Backtesting:
         while tmp <= end_date:
             open_trade_count_start = open_trade_count
 
-            self.protections.global_stop(tmp)
+            if enable_protections:
+                self.protections.global_stop(tmp)
 
             for i, pair in enumerate(data):
                 if pair not in indexes:
@@ -390,7 +393,8 @@ class Backtesting:
                         open_trade_count -= 1
                         open_trades[pair].remove(trade)
                         trades.append(trade_entry)
-                        self.protections.stop_per_pair(pair, row[DATE_IDX])
+                        if enable_protections:
+                            self.protections.stop_per_pair(pair, row[DATE_IDX])
 
             # Move time one configured time_interval ahead.
             tmp += timedelta(minutes=self.timeframe_min)
@@ -446,6 +450,7 @@ class Backtesting:
                 end_date=max_date.datetime,
                 max_open_trades=max_open_trades,
                 position_stacking=position_stacking,
+                enable_protections=self.config.get('enable_protections'),
             )
             all_results[self.strategy.get_strategy_name()] = {
                 'results': results,

freqtrade/optimize/hyperopt.py

@@ -542,6 +542,8 @@ class Hyperopt:
             end_date=max_date.datetime,
             max_open_trades=self.max_open_trades,
             position_stacking=self.position_stacking,
+            enable_protections=self.config.get('enable_protections', False),
+
         )
         return self._get_results_dict(backtesting_results, min_date, max_date,
                                       params_dict, params_details)