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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 pandas as pd
import pytest import pytest
from arrow import Arrow from arrow import Arrow
from math import isclose
from freqtrade import constants from freqtrade import constants
from freqtrade.commands.optimize_commands import setup_optimize_configuration, start_backtesting 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
assert trade.stake_amount == 300.0 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! # Stake-amount too high!
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0) mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=600.0)