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Removed leverage references

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This commit is contained in:
Sam Germain 2021-08-01 03:01:47 -06:00
parent 90a61b1765
commit 047df0c212
1 changed files with 41 additions and 110 deletions
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151
tests/test_persistence.py
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@ -73,22 +73,20 @@ def test_update_limit_order(limit_buy_order_usdt, limit_sell_order_usdt, fee, ca
close_rate: 2.20 quote close_rate: 2.20 quote
amount: = 30.0 crypto amount: = 30.0 crypto
stake_amount stake_amount
1x,-1x: 60.0 quote 60.0 quote
borrowed borrowed
1x: 0 quote 0 quote
open_value: (amount * open_rate) ± (amount * open_rate * fee) open_value: (amount * open_rate) + (amount * open_rate * fee)
1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
amount_closed:
1x, 3x : amount
close_value: close_value:
1x, 3x: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest (amount * close_rate) - (amount * close_rate * fee) - interest
binance,kraken 1x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835 (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835
total_profit: total_profit:
1x, 3x : close_value - open_value close_value - open_value
binance,kraken 1x: 65.835 - 60.15 = 5.685 65.835 - 60.15 = 5.685
total_profit_ratio: total_profit_ratio:
1x, 3x : ((close_value/open_value) - 1) * leverage ((close_value/open_value) - 1) * leverage
binance 1x: ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232 ((65.835 / 60.15) - 1) * 1 = 0.0945137157107232
""" """
@ -283,17 +281,18 @@ def test_update_invalid_order(limit_buy_order_usdt):
@pytest.mark.usefixtures("init_persistence") @pytest.mark.usefixtures("init_persistence")
def test_calc_open_trade_value(limit_buy_order_usdt, fee): def test_calc_open_trade_value(limit_buy_order_usdt, fee):
# 10 minute limit trade on Binance/Kraken """
# fee: 0.25 %, 0.3% quote fee: 0.25 %, 0.3% quote
# open_rate: 2.00 quote open_rate: 2.00 quote
# amount: = 30.0 crypto amount: = 30.0 crypto
# stake_amount stake_amount
# 1x, -1x: 60.0 quote 60.0 quote
# open_value: (amount * open_rate) ± (amount * open_rate * fee) open_value: (amount * open_rate) + (amount * open_rate * fee)
# 0.25% fee 0.25% fee
# 1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
# 0.3% fee 0.3% fee
# 1x, 3x: 30 * 2 + 30 * 2 * 0.003 = 60.18 quote 30 * 2 + 30 * 2 * 0.003 = 60.18 quote
"""
trade = Trade( trade = Trade(
pair='ADA/USDT', pair='ADA/USDT',
stake_amount=60.0, stake_amount=60.0,
@ -339,12 +338,10 @@ def test_calc_close_trade_price(limit_buy_order_usdt, limit_sell_order_usdt, fee
@pytest.mark.usefixtures("init_persistence") @pytest.mark.usefixtures("init_persistence")
def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee): def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
""" """
10 minute limit trade on Binance/Kraken at 1x, 3x leverage
arguments: arguments:
fee: fee:
0.25% quote 0.25% quote
0.30% quote 0.30% quote
interest_rate: 0.05% per 4 hrs
open_rate: 2.0 quote open_rate: 2.0 quote
close_rate: close_rate:
1.9 quote 1.9 quote
@ -352,117 +349,51 @@ def test_calc_profit(limit_buy_order_usdt, limit_sell_order_usdt, fee):
2.2 quote 2.2 quote
amount: = 30.0 crypto amount: = 30.0 crypto
stake_amount stake_amount
1x,-1x: 60.0 quote 60.0 quote
3x,-3x: 20.0 quote open_value: (amount * open_rate) + (amount * open_rate * fee)
hours: 1/6 (10 minutes)
borrowed
1x: 0 quote
3x: 40 quote
-1x: 30 crypto
-3x: 30 crypto
time-periods:
kraken: (1 + 1) 4hr_periods = 2 4hr_periods
binance: 1/24 24hr_periods
interest: borrowed * interest_rate * time-periods
1x : /
binance 3x: 40 * 0.0005 * 1/24 = 0.0008333333333333334 quote
kraken 3x: 40 * 0.0005 * 2 = 0.040 quote
binace -1x,-3x: 30 * 0.0005 * 1/24 = 0.000625 crypto
kraken -1x,-3x: 30 * 0.0005 * 2 = 0.030 crypto
open_value: (amount * open_rate) ± (amount * open_rate * fee)
0.0025 fee 0.0025 fee
1x, 3x: 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote 30 * 2 + 30 * 2 * 0.0025 = 60.15 quote
-1x,-3x: 30 * 2 - 30 * 2 * 0.0025 = 59.85 quote 30 * 2 - 30 * 2 * 0.0025 = 59.85 quote
0.003 fee: Is only applied to close rate in this test 0.003 fee: Is only applied to close rate in this test
amount_closed:
1x, 3x = amount
-1x, -3x = amount + interest
binance -1x,-3x: 30 + 0.000625 = 30.000625 crypto
kraken -1x,-3x: 30 + 0.03 = 30.03 crypto
close_value: close_value:
equations: equations:
1x, 3x: (amount_closed * close_rate) - (amount_closed * close_rate * fee) - interest (amount_closed * close_rate) - (amount_closed * close_rate * fee)
-1x,-3x: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
2.1 quote 2.1 quote
bin,krak 1x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) = 62.8425 (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) = 62.8425
bin 3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) - 0.0008333333 = 62.8416666667
krak 3x: (30.00 * 2.1) - (30.00 * 2.1 * 0.0025) - 0.040 = 62.8025
bin -1x,-3x: (30.000625 * 2.1) + (30.000625 * 2.1 * 0.0025) = 63.15881578125
krak -1x,-3x: (30.03 * 2.1) + (30.03 * 2.1 * 0.0025) = 63.2206575
1.9 quote 1.9 quote
bin,krak 1x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) = 56.8575 (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) = 56.8575
bin 3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) - 0.0008333333 = 56.85666667
krak 3x: (30.00 * 1.9) - (30.00 * 1.9 * 0.0025) - 0.040 = 56.8175
bin -1x,-3x: (30.000625 * 1.9) + (30.000625 * 1.9 * 0.0025) = 57.14369046875
krak -1x,-3x: (30.03 * 1.9) + (30.03 * 1.9 * 0.0025) = 57.1996425
2.2 quote 2.2 quote
bin,krak 1x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835 (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) = 65.835
bin 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.00083333 = 65.83416667
krak 3x: (30.00 * 2.20) - (30.00 * 2.20 * 0.0025) - 0.040 = 65.795
bin -1x,-3x: (30.000625 * 2.20) + (30.000625 * 2.20 * 0.0025) = 66.1663784375
krak -1x,-3x: (30.03 * 2.20) + (30.03 * 2.20 * 0.0025) = 66.231165
total_profit: total_profit:
equations: equations:
1x, 3x : close_value - open_value close_value - open_value
-1x,-3x: open_value - close_value
2.1 quote 2.1 quote
binance,kraken 1x: 62.8425 - 60.15 = 2.6925 62.8425 - 60.15 = 2.6925
binance 3x: 62.84166667 - 60.15 = 2.69166667
kraken 3x: 62.8025 - 60.15 = 2.6525
binance -1x,-3x: 59.850 - 63.15881578125 = -3.308815781249997
kraken -1x,-3x: 59.850 - 63.2206575 = -3.3706575
1.9 quote 1.9 quote
binance,kraken 1x: 56.8575 - 60.15 = -3.2925 56.8575 - 60.15 = -3.2925
binance 3x: 56.85666667 - 60.15 = -3.29333333
kraken 3x: 56.8175 - 60.15 = -3.3325
binance -1x,-3x: 59.850 - 57.14369046875 = 2.7063095312499996
kraken -1x,-3x: 59.850 - 57.1996425 = 2.6503575
2.2 quote 2.2 quote
binance,kraken 1x: 65.835 - 60.15 = 5.685 65.835 - 60.15 = 5.685
binance 3x: 65.83416667 - 60.15 = 5.68416667
kraken 3x: 65.795 - 60.15 = 5.645
binance -1x,-3x: 59.850 - 66.1663784375 = -6.316378437499999
kraken -1x,-3x: 59.850 - 66.231165 = -6.381165
total_profit_ratio: total_profit_ratio:
equations: equations:
1x, 3x : ((close_value/open_value) - 1) * leverage ((close_value/open_value) - 1) * leverage
-1x,-3x: (1 - (close_value/open_value)) * leverage
2.1 quote 2.1 quote
binance,kraken 1x: (62.8425 / 60.15) - 1 = 0.04476309226932673 (62.8425 / 60.15) - 1 = 0.04476309226932673
binance 3x: ((62.84166667 / 60.15) - 1)*3 = 0.13424771421446402
kraken 3x: ((62.8025 / 60.15) - 1)*3 = 0.13229426433915248
binance -1x: 1 - (63.15881578125 / 59.850) = -0.05528514254385963
binance -3x: (1 - (63.15881578125 / 59.850))*3 = -0.1658554276315789
kraken -1x: 1 - (63.2206575 / 59.850) = -0.05631842105263152
kraken -3x: (1 - (63.2206575 / 59.850))*3 = -0.16895526315789455
1.9 quote 1.9 quote
binance,kraken 1x: (56.8575 / 60.15) - 1 = -0.05473815461346632 (56.8575 / 60.15) - 1 = -0.05473815461346632
binance 3x: ((56.85666667 / 60.15) - 1)*3 = -0.16425602643391513
kraken 3x: ((56.8175 / 60.15) - 1)*3 = -0.16620947630922667
binance -1x: 1 - (57.14369046875 / 59.850) = 0.045218204365079395
binance -3x: (1 - (57.14369046875 / 59.850))*3 = 0.13565461309523819
kraken -1x: 1 - (57.1996425 / 59.850) = 0.04428333333333334
kraken -3x: (1 - (57.1996425 / 59.850))*3 = 0.13285000000000002
2.2 quote 2.2 quote
binance,kraken 1x: (65.835 / 60.15) - 1 = 0.0945137157107232 (65.835 / 60.15) - 1 = 0.0945137157107232
binance 3x: ((65.83416667 / 60.15) - 1)*3 = 0.2834995845386534 fee: 0.003
kraken 3x: ((65.795 / 60.15) - 1)*3 = 0.2815461346633419
binance -1x: 1 - (66.1663784375 / 59.850) = -0.1055368159983292
binance -3x: (1 - (66.1663784375 / 59.850))*3 = -0.3166104479949876
kraken -1x: 1 - (66.231165 / 59.850) = -0.106619298245614
kraken -3x: (1 - (66.231165 / 59.850))*3 = -0.319857894736842
fee: 0.003, 1x
close_value: close_value:
2.1 quote: (30.00 * 2.1) - (30.00 * 2.1 * 0.003) = 62.811 2.1 quote: (30.00 * 2.1) - (30.00 * 2.1 * 0.003) = 62.811
1.9 quote: (30.00 * 1.9) - (30.00 * 1.9 * 0.003) = 56.829 1.9 quote: (30.00 * 1.9) - (30.00 * 1.9 * 0.003) = 56.829
2.2 quote: (30.00 * 2.2) - (30.00 * 2.2 * 0.003) = 65.802 2.2 quote: (30.00 * 2.2) - (30.00 * 2.2 * 0.003) = 65.802
total_profit total_profit
fee: 0.003, 1x fee: 0.003
2.1 quote: 62.811 - 60.15 = 2.6610000000000014 2.1 quote: 62.811 - 60.15 = 2.6610000000000014
1.9 quote: 56.829 - 60.15 = -3.320999999999998 1.9 quote: 56.829 - 60.15 = -3.320999999999998
2.2 quote: 65.802 - 60.15 = 5.652000000000008 2.2 quote: 65.802 - 60.15 = 5.652000000000008
total_profit_ratio total_profit_ratio
fee: 0.003, 1x fee: 0.003
2.1 quote: (62.811 / 60.15) - 1 = 0.04423940149625927 2.1 quote: (62.811 / 60.15) - 1 = 0.04423940149625927
1.9 quote: (56.829 / 60.15) - 1 = -0.05521197007481293 1.9 quote: (56.829 / 60.15) - 1 = -0.05521197007481293
2.2 quote: (65.802 / 60.15) - 1 = 0.09396508728179565 2.2 quote: (65.802 / 60.15) - 1 = 0.09396508728179565