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