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liq backtesting tests

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This commit is contained in:
Sam Germain 2022-02-27 14:28:28 -06:00
parent b103045a05
commit 1121965c6e
1 changed files with 25 additions and 0 deletions
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tests/optimize/test_backtesting.py
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@ -10,6 +10,7 @@ import numpy as np
import pandas as pd
import pytest
from arrow import Arrow
from math import isclose
from freqtrade import constants
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting
@ -562,6 +563,30 @@ def test_backtest__enter_trade(default_conf, fee, mocker) -> None:
assert trade
assert trade.stake_amount == 300.0
backtesting.strategy.leverage = MagicMock(return_value=5.0)
mocker.patch("freqtrade.exchange.Exchange.get_maintenance_ratio_and_amt",
return_value=(0.01, 0.01))
# leverage = 5
# ep1(trade.open_rate) = 0.001
# position(trade.amount) = 60000
# stake_amount = 300 -> wb = 300 / 5 = 60
# mmr = 0.01
# cum_b = 0.01
# side_1: -1 if is_short else 1
#
# Binance, Short
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# ((60 + 0.01) - ((-1) * 60000 * 0.001)) / ((60000 * 0.01) - ((-1) * 60000)) = 0.00198036303630
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert isclose(trade.isolated_liq, 0.0019803630363036304)
# Binance, Long
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# ((60 + 0.01) - (1 * 60000 * 0.001)) / ((60000 * 0.01) - (1 * 60000)) = -1.6835016835013486e-07
trade = backtesting._enter_trade(pair, row=row, direction='short')
assert isclose(trade.isolated_liq, -1.6835016835013486e-07)
# Stake-amount too high!
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)