自定义两个protections

config_examples/live.json

@@ -18,26 +18,26 @@
       "timeout": 20000
     },
     "pair_whitelist": [
+      "AAVE/USDT",
       "ADA/USDT",
-      "API3/USDT",
-      "APT/USDT",
       "ARB/USDT",
-      "AVAX/USDT",
-      "BETH/USDT",
+      "BCH/USDT",
+      "BERA/USDT",
       "BNB/USDT",
       "BTC/USDT",
-      "CRV/USDT",
+      "CRO/USDT",
       "DOGE/USDT",
       "ETH/USDT",
       "FIL/USDT",
-      "LDO/USDT",
+      "IP/USDT",
       "LINK/USDT",
       "LTC/USDT",
-      "OP/USDT",
+      "OMI/USDT",
       "PENGU/USDT",
       "PEPE/USDT",
       "PI/USDT",
-      "RSS3/USDT",
+      "PROMPT/USDT",
+      "SD/USDT",
       "SOL/USDT",
       "SUI/USDT",
       "TON/USDT",

docker-compose.yml

@@ -23,6 +23,7 @@ services:
       - "./config_examples:/freqtrade/config_examples"
       - "./freqtrade/templates:/freqtrade/templates"
       - "./freqtrade/exchange/:/freqtrade/exchange"
+      - "./freqtrade/plugins/protections:/freqtrade/freqtrade/plugins/protections"
       - "./ccxt/async_support/okx.py:/home/ftuser/.local/lib/python3.12/site-packages/ccxt/async_support/okx.py"
       # FreqAI核心文件挂载 - 确保使用我们修改的版本
       - "./freqtrade/freqai/data_kitchen.py:/freqtrade/freqai/data_kitchen.py"

freqtrade/plugins/protections/__init__.py

@@ -1,2 +1,8 @@
 # flake8: noqa: F401
 from freqtrade.plugins.protections.iprotection import IProtection, ProtectionReturn
+from freqtrade.plugins.protections.cooldown_period import CooldownPeriod
+from freqtrade.plugins.protections.low_profit_pairs import LowProfitPairs
+from freqtrade.plugins.protections.max_drawdown_protection import MaxDrawdown
+from freqtrade.plugins.protections.stoploss_guard import StoplossGuard
+from freqtrade.plugins.protections.total_loss_protection import TotalLossProtection
+from freqtrade.plugins.protections.consecutive_loss_protection import ConsecutiveLossProtection

freqtrade/plugins/protections/consecutive_loss_protection.py

@@ -0,0 +1,122 @@
+import logging
+from datetime import datetime, timedelta
+from typing import Any
+import logging
+
+from freqtrade.constants import Config, LongShort
+from freqtrade.persistence import Trade
+from freqtrade.plugins.protections import IProtection, ProtectionReturn
+
+
+logger = logging.getLogger(__name__)
+
+
+class ConsecutiveLossProtection(IProtection):
+    has_global_stop: bool = False
+    has_local_stop: bool = True
+
+    def __init__(self, config: Config, protection_config: dict[str, Any]) -> None:
+        super().__init__(config, protection_config)
+
+        # 兼容旧版配置参数名
+        # 从模板配置中读取参数（分钟）
+        self._max_consecutive_losses = protection_config.get("max_consecutive_losses", 3)
+        self._stop_duration = protection_config.get("stop_duration", 30)
+        self._lookback_period = protection_config.get("lookback_period", 120)
+        
+        # 设置默认值，对应20根K线内3次亏损，锁5根K线（新参数名，基于candles）
+        # 优先使用基于candles的配置参数
+        self._loss_limit = protection_config.get("loss_limit", self._max_consecutive_losses)
+        
+        # 确保lookback_period是基于candles计算的
+        from freqtrade.exchange import timeframe_to_minutes
+        tf_in_min = timeframe_to_minutes(config["timeframe"])
+        
+        # 计算基于candles的参数值
+        if "lookback_period_candles" in protection_config:
+            self._lookback_period_candles = protection_config["lookback_period_candles"]
+            self._lookback_period = tf_in_min * self._lookback_period_candles
+        else:
+            # 从分钟转换为candles数
+            self._lookback_period_candles = int(self._lookback_period / tf_in_min)
+            
+        if "stop_duration_candles" in protection_config:
+            self._stop_duration_candles = protection_config["stop_duration_candles"]
+        else:
+            # 从分钟转换为candles数
+            self._stop_duration_candles = int(self._stop_duration / tf_in_min)
+    
+    def short_desc(self) -> str:
+        """
+        Short method description - used for startup-messages
+        """
+        return (
+            f"{self.name} - Loss Count Protection, locks pairs with "
+            f"{self._loss_limit} losses within {self._lookback_period_candles} candles, "
+            f"locking for {self._stop_duration_candles} candles."
+        )
+    
+    def _reason(self, loss_count: int) -> str:
+        """
+        LockReason to use
+        """
+        return (
+            f"{loss_count} losses within {self._lookback_period_candles} candles, "
+            f"locking for {self._stop_duration_candles} candles."
+        )
+    
+    def _loss_count_check(
+        self, date_now: datetime, pair: str, side: LongShort
+    ) -> ProtectionReturn | None:
+        """
+        Evaluate recent trades for pair to check for number of losses
+        """
+        look_back_until = date_now - timedelta(minutes=self._lookback_period)
+        
+        # Get closed trades for the pair within the lookback period
+        trades = Trade.get_trades_proxy(
+            pair=pair, is_open=False, close_date=look_back_until
+        )
+        
+        if not trades:
+            return None
+        
+        # Count the number of losing trades in the lookback period
+        loss_count = sum(1 for trade in trades if trade.close_profit and trade.close_profit < 0)
+        
+        if loss_count >= self._loss_limit:
+            self.log_once(
+                f"Trading for {pair} stopped due to {loss_count} losses within "
+                f"{self._lookback_period_candles} candles.",
+                logger.info,
+            )
+            until = self.calculate_lock_end(trades)
+
+            return ProtectionReturn(
+                lock=True,
+                until=until,
+                reason=self._reason(loss_count),
+                lock_side=side,
+            )
+        
+        return None
+    
+    def global_stop(self, date_now: datetime, side: LongShort) -> ProtectionReturn | None:
+        """
+        Stops trading (position entering) for all pairs
+        This must evaluate to true for the whole period of the "cooldown period".
+        :return: Tuple of [bool, until, reason].
+            If true, all pairs will be locked with <reason> until <until>
+        """
+        return None
+    
+    def stop_per_pair(
+        self, pair: str, date_now: datetime, side: LongShort
+    ) -> ProtectionReturn | None:
+        """
+        Stops trading (position entering) for this pair
+        This must evaluate to true for the whole period of the "cooldown period".
+        :return: Tuple of [bool, until, reason].
+            If true, this pair will be locked with <reason> until <until>
+        """
+        return self._loss_count_check(date_now, pair=pair, side=side)

freqtrade/plugins/protections/total_loss_protection.py

@@ -0,0 +1,121 @@
+import logging
+from datetime import datetime, timedelta
+from typing import Any
+
+from freqtrade.constants import Config, LongShort
+from freqtrade.persistence import Trade
+from freqtrade.plugins.protections.iprotection import IProtection, ProtectionReturn
+
+logger = logging.getLogger(__name__)
+
+
+class TotalLossProtection(IProtection):
+    has_global_stop: bool = True
+    has_local_stop: bool = False
+
+    def __init__(self, config: Config, protection_config: dict[str, Any]) -> None:
+        super().__init__(config, protection_config)
+
+        # 配置参数：10根半小时K线的亏损阈值（10美元）
+        self._threshold_10_candles = protection_config.get("threshold_10_candles", 10.0)
+        # 配置参数：20根半小时K线的亏损阈值（15美元）
+        self._threshold_20_candles = protection_config.get("threshold_20_candles", 15.0)
+
+    def short_desc(self) -> str:
+        """
+        Short method description - used for startup-messages
+        """
+        return (
+            f"{self.name} - Total Loss Protection, stop trading if loss > {self._threshold_10_candles} within last 10 30min candles or > {self._threshold_20_candles} within last 20 30min candles."
+        )
+
+    def _reason(self, lookback_period: int, total_loss: float, threshold: float) -> str:
+        """
+        Lock reason text
+        """
+        return (
+            f"Total Loss {total_loss:.2f} > {threshold} in {lookback_period} 30min candles, "
+            f"locking {self.unlock_reason_time_element}."
+        )
+
+    def _total_loss_check(
+        self, date_now: datetime, side: LongShort
+    ) -> ProtectionReturn | None:
+        """
+        检查最近10根和20根半小时K线内的总亏损
+        1根半小时K线 = 30分钟
+        10根半小时K线 = 5小时
+        20根半小时K线 = 10小时
+        """
+        # 计算10根半小时K线的回溯时间（5小时）
+        look_back_until_10_candles = date_now - timedelta(hours=5)
+        # 计算20根半小时K线的回溯时间（10小时）
+        look_back_until_20_candles = date_now - timedelta(hours=10)
+
+        # 获取10根K线时间窗口内的所有已关闭交易
+        trades_10_candles = Trade.get_trades_proxy(
+            is_open=False,
+            close_date=look_back_until_10_candles
+        )
+
+        # 获取20根K线时间窗口内的所有已关闭交易
+        trades_20_candles = Trade.get_trades_proxy(
+            is_open=False,
+            close_date=look_back_until_20_candles
+        )
+
+        # 计算10根K线时间窗口内的总亏损
+        total_loss_10_candles = sum(
+            min(0, trade.close_profit)  # 只计算亏损部分
+            for trade in trades_10_candles
+            if trade.close_profit is not None
+        ) * -1  # 转换为正数表示亏损金额
+
+        # 计算20根K线时间窗口内的总亏损
+        total_loss_20_candles = sum(
+            min(0, trade.close_profit)  # 只计算亏损部分
+            for trade in trades_20_candles
+            if trade.close_profit is not None
+        ) * -1  # 转换为正数表示亏损金额
+
+        # 检查是否触发任一条件
+        if total_loss_10_candles > self._threshold_10_candles and trades_10_candles:
+            self.log_once(
+                f"Trading stopped due to Total Loss Protection: {total_loss_10_candles:.2f} > {self._threshold_10_candles} within last 10 30min candles.",
+                logger.info,
+            )
+            until = self.calculate_lock_end(trades_10_candles)
+            
+            return ProtectionReturn(
+                lock=True,
+                until=until,
+                reason=self._reason(10, total_loss_10_candles, self._threshold_10_candles),
+            )
+        elif total_loss_20_candles > self._threshold_20_candles and trades_20_candles:
+            self.log_once(
+                f"Trading stopped due to Total Loss Protection: {total_loss_20_candles:.2f} > {self._threshold_20_candles} within last 20 30min candles.",
+                logger.info,
+            )
+            until = self.calculate_lock_end(trades_20_candles)
+            
+            return ProtectionReturn(
+                lock=True,
+                until=until,
+                reason=self._reason(20, total_loss_20_candles, self._threshold_20_candles),
+            )
+
+        return None
+
+    def global_stop(self, date_now: datetime, side: LongShort) -> ProtectionReturn | None:
+        """
+        停止所有交易对的交易（开仓）
+        """
+        return self._total_loss_check(date_now, side)
+
+    def stop_per_pair(
+        self, pair: str, date_now: datetime, side: LongShort
+    ) -> ProtectionReturn | None:
+        """
+        本保护机制不支持单个交易对的停止
+        """
+        return None

freqtrade/templates/freqaiprimer.py

@@ -2087,6 +2087,24 @@ class FreqaiPrimer(IStrategy):
                 "trade_limit": 4,               # 4笔交易限制
                 "stop_duration_candles": 24,    # 72分钟暂停（24根3分钟K线）
                 "max_allowed_drawdown": 0.20    # 20%最大回撤容忍度
+            },
+            {
+                "method": "TotalLossProtection",
+                # 10根半小时K线内亏损阈值（10美元）
+                "threshold_10_candles": 10.0,
+                # 20根半小时K线内亏损阈值（15美元）
+                "threshold_20_candles": 15.0,
+                # 锁定时长（2小时）
+                "stop_duration": 120
+            },
+            {
+                "method": "ConsecutiveLossProtection",
+                # 最大连续亏损次数
+                "max_consecutive_losses": 3,
+                # 锁定时长（3小时）
+                "stop_duration": 180,
+                # 回看期（6小时）
+                "lookback_period": 360
             }
         ]
 

tools/backtest.sh

@@ -190,6 +190,7 @@ echo "docker-compose run --rm freqtrade backtesting $PAIRS_FLAG \
   --freqaimodel LightGBMRegressorMultiTarget \
   --config /freqtrade/config_examples/$CONFIG_FILE \
   --config /freqtrade/templates/freqaiprimer.json \
+  --enable-protections \
   --strategy-path /freqtrade/templates \
   --strategy $STRATEGY_NAME \
   --timerange $START_DATE-$END_DATE \
@@ -202,6 +203,7 @@ docker-compose run --rm freqtrade backtesting $PAIRS_FLAG \
   --freqaimodel LightGBMRegressorMultiTarget \
   --config /freqtrade/config_examples/$CONFIG_FILE \
   --config /freqtrade/templates/freqaiprimer.json \
+  --enable-protections \
   --strategy-path /freqtrade/templates \
   --strategy $STRATEGY_NAME \
   --timerange $START_DATE-$END_DATE \

tools/hyperopt.sh

@@ -226,6 +226,7 @@ echo "docker-compose run --rm freqtrade hyperopt $PAIRS_FLAG \
   --strategy $STRATEGY_NAME \
   --config /freqtrade/config_examples/$CONFIG_FILE \
   --config /freqtrade/templates/${PARAMS_NAME}.json \
+  --enable-protections \
   --strategy-path /freqtrade/templates \
   --timerange ${START_DATE}-${END_DATE} \
   -e 100 \
@@ -239,6 +240,7 @@ docker-compose run --rm freqtrade hyperopt $PAIRS_FLAG \
   --strategy $STRATEGY_NAME \
   --config /freqtrade/config_examples/$CONFIG_FILE \
   --config /freqtrade/templates/${PARAMS_NAME}.json \
+  --enable-protections \
   --strategy-path /freqtrade/templates \
   --timerange ${START_DATE}-${END_DATE} \
   -e 100 \