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added tests for position sizing

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This commit is contained in:
misagh 2018-11-30 17:59:51 +01:00
parent abd88767f8
commit 12471e012e
2 changed files with 38 additions and 4 deletions
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2
freqtrade/edge/__init__.py
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@ -164,7 +164,7 @@ class Edge():
if pair not in self._cached_pairs: if pair not in self._cached_pairs:
logger.warning("cannot find %s in calculated pairs, " logger.warning("cannot find %s in calculated pairs, "
"stake_amount of strategy is used instead.", pair) "stake_amount of strategy is used instead.", pair)
return self.strategy.stake_amount return self.config['stake_amount']
stoploss = self._cached_pairs[pair].stoploss stoploss = self._cached_pairs[pair].stoploss
available_capital = total_capital * self._capital_percentage available_capital = total_capital * self._capital_percentage

40
freqtrade/tests/edge/test_edge.py
View File

@ -5,6 +5,7 @@ import pytest
import logging import logging
from freqtrade.tests.conftest import get_patched_freqtradebot from freqtrade.tests.conftest import get_patched_freqtradebot
from freqtrade.edge import Edge, PairInfo from freqtrade.edge import Edge, PairInfo
from freqtrade import constants
from pandas import DataFrame, to_datetime from pandas import DataFrame, to_datetime
from freqtrade.strategy.interface import SellType from freqtrade.strategy.interface import SellType
from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataframe, from freqtrade.tests.optimize import (BTrade, BTContainer, _build_backtest_dataframe,
@ -152,9 +153,9 @@ def test_stoploss(mocker, edge_conf):
assert edge.stoploss('E/F') == -0.01 assert edge.stoploss('E/F') == -0.01
def test_nonexisting_stoploss(mocker, default_conf): def test_nonexisting_stoploss(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf) freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy) edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock( mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={ return_value={
'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60), 'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
@ -164,6 +165,39 @@ def test_nonexisting_stoploss(mocker, default_conf):
assert edge.stoploss('N/O') == -0.1 assert edge.stoploss('N/O') == -0.1
def test_stake_amount(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
))
free = 100
total = 100
assert edge.stake_amount('E/F', free, total) == 25
free = 20
total = 100
assert edge.stake_amount('E/F', free, total) == 20
free = 0
total = 100
assert edge.stake_amount('E/F', free, total) == 0
def test_nonexisting_stake_amount(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
))
assert edge.stake_amount('N/O', 1, 2) == constants.UNLIMITED_STAKE_AMOUNT
def _validate_ohlc(buy_ohlc_sell_matrice): def _validate_ohlc(buy_ohlc_sell_matrice):
for index, ohlc in enumerate(buy_ohlc_sell_matrice): for index, ohlc in enumerate(buy_ohlc_sell_matrice):
# if not high < open < low or not high < close < low # if not high < open < low or not high < close < low