Merge branch 'feat/short' into pr/samgermain/6467

2022-02-28 20:07:19 +01:00
parent c745f5828c e005439720
commit 1b07ad92cf
10 changed files with 290 additions and 107 deletions
--- a/tests/optimize/test_backtest_detail.py
+++ b/tests/optimize/test_backtest_detail.py
@@ -634,7 +634,7 @@ tc39 = BTContainer(data=[
    [3, 5010, 5010, 4986, 5010, 6172, 0, 1],
    [4, 5010, 5010, 4855, 4995, 6172, 0, 0],  # Triggers stoploss + sellsignal acted on
    [5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
-    stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
+    stop_loss=-0.05, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
    leverage=5.0,
    trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
 )
--- a/tests/optimize/test_backtesting.py
+++ b/tests/optimize/test_backtesting.py
@@ -21,7 +21,6 @@ from freqtrade.data.converter import clean_ohlcv_dataframe
 from freqtrade.data.dataprovider import DataProvider
 from freqtrade.data.history import get_timerange
 from freqtrade.enums import RunMode, SellType
-from freqtrade.enums.tradingmode import TradingMode
 from freqtrade.exceptions import DependencyException, OperationalException
 from freqtrade.exchange.exchange import timeframe_to_next_date
 from freqtrade.misc import get_strategy_run_id
--- a/tests/strategy/strats/strategy_test_v3.py
+++ b/tests/strategy/strats/strategy_test_v3.py
@@ -183,7 +183,7 @@ class StrategyTestV3(IStrategy):
                              current_profit: float, min_stake: float, max_stake: float, **kwargs):

        if current_profit < -0.0075:
-            orders = trade.select_filled_orders('buy')
+            orders = trade.select_filled_orders(trade.enter_side)
            return round(orders[0].cost, 0)

        return None
--- a/tests/test_integration.py
+++ b/tests/test_integration.py
@@ -231,13 +231,13 @@ def test_dca_buying(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
    assert len(Trade.get_trades().all()) == 1
    trade = Trade.get_trades().first()
    assert len(trade.orders) == 1
-    assert trade.stake_amount == 60
+    assert pytest.approx(trade.stake_amount) == 60
    assert trade.open_rate == 2.0
    # No adjustment
    freqtrade.process()
    trade = Trade.get_trades().first()
    assert len(trade.orders) == 1
-    assert trade.stake_amount == 60
+    assert pytest.approx(trade.stake_amount) == 60

    # Reduce bid amount
    ticker_usdt_modif = ticker_usdt.return_value
@@ -266,6 +266,7 @@ def test_dca_buying(default_conf_usdt, ticker_usdt, fee, mocker) -> None:

    assert trade.amount == trade.orders[0].amount + trade.orders[1].amount
    assert trade.nr_of_successful_buys == 2
+    assert trade.nr_of_successful_entries == 2

    # Sell
    patch_get_signal(freqtrade, enter_long=False, exit_long=True)
@@ -280,3 +281,75 @@ def test_dca_buying(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
    assert trade.orders[2].amount == trade.amount

    assert trade.nr_of_successful_buys == 2
+    assert trade.nr_of_successful_entries == 2
+
+
+def test_dca_short(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
+    default_conf_usdt['position_adjustment_enable'] = True
+
+    freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
+    mocker.patch.multiple(
+        'freqtrade.exchange.Exchange',
+        fetch_ticker=ticker_usdt,
+        get_fee=fee,
+        amount_to_precision=lambda s, x, y: y,
+        price_to_precision=lambda s, x, y: y,
+    )
+
+    patch_get_signal(freqtrade, enter_long=False, enter_short=True)
+    freqtrade.enter_positions()
+
+    assert len(Trade.get_trades().all()) == 1
+    trade = Trade.get_trades().first()
+    assert len(trade.orders) == 1
+    assert pytest.approx(trade.stake_amount) == 60
+    assert trade.open_rate == 2.02
+    # No adjustment
+    freqtrade.process()
+    trade = Trade.get_trades().first()
+    assert len(trade.orders) == 1
+    assert pytest.approx(trade.stake_amount) == 60
+
+    # Reduce bid amount
+    ticker_usdt_modif = ticker_usdt.return_value
+    ticker_usdt_modif['ask'] = ticker_usdt_modif['ask'] * 1.015
+    ticker_usdt_modif['bid'] = ticker_usdt_modif['bid'] * 1.0125
+    mocker.patch('freqtrade.exchange.Exchange.fetch_ticker', return_value=ticker_usdt_modif)
+
+    # additional buy order
+    freqtrade.process()
+    trade = Trade.get_trades().first()
+    assert len(trade.orders) == 2
+    for o in trade.orders:
+        assert o.status == "closed"
+    assert pytest.approx(trade.stake_amount) == 120
+
+    # Open-rate averaged between 2.0 and 2.0 * 1.015
+    assert trade.open_rate >= 2.02
+    assert trade.open_rate < 2.02 * 1.015
+
+    # No action - profit raised above 1% (the bar set in the strategy).
+    freqtrade.process()
+    trade = Trade.get_trades().first()
+    assert len(trade.orders) == 2
+    assert pytest.approx(trade.stake_amount) == 120
+    # assert trade.orders[0].amount == 30
+    assert trade.orders[1].amount == 60 / ticker_usdt_modif['ask']
+
+    assert trade.amount == trade.orders[0].amount + trade.orders[1].amount
+    assert trade.nr_of_successful_entries == 2
+
+    # Buy
+    patch_get_signal(freqtrade, enter_long=False, exit_short=True)
+    freqtrade.process()
+    trade = Trade.get_trades().first()
+    assert trade.is_open is False
+    # assert trade.orders[0].amount == 30
+    assert trade.orders[0].side == 'sell'
+    assert trade.orders[1].amount == 60 / ticker_usdt_modif['ask']
+    # Sold everything
+    assert trade.orders[-1].side == 'buy'
+    assert trade.orders[2].amount == trade.amount
+
+    assert trade.nr_of_successful_entries == 2
+    assert trade.nr_of_successful_exits == 1
--- a/tests/test_persistence.py
+++ b/tests/test_persistence.py
@@ -1749,6 +1749,67 @@ def test_stoploss_reinitialization(default_conf, fee):
    assert trade_adj.initial_stop_loss_pct == -0.04


+def test_stoploss_reinitialization_leverage(default_conf, fee):
+    init_db(default_conf['db_url'])
+    trade = Trade(
+        pair='ADA/USDT',
+        stake_amount=30.0,
+        fee_open=fee.return_value,
+        open_date=arrow.utcnow().shift(hours=-2).datetime,
+        amount=30.0,
+        fee_close=fee.return_value,
+        exchange='binance',
+        open_rate=1,
+        max_rate=1,
+        leverage=5.0,
+    )
+
+    trade.adjust_stop_loss(trade.open_rate, 0.1, True)
+    assert trade.stop_loss == 0.98
+    assert trade.stop_loss_pct == -0.1
+    assert trade.initial_stop_loss == 0.98
+    assert trade.initial_stop_loss_pct == -0.1
+    Trade.query.session.add(trade)
+
+    # Lower stoploss
+    Trade.stoploss_reinitialization(0.15)
+
+    trades = Trade.get_open_trades()
+    assert len(trades) == 1
+    trade_adj = trades[0]
+    assert trade_adj.stop_loss == 0.97
+    assert trade_adj.stop_loss_pct == -0.15
+    assert trade_adj.initial_stop_loss == 0.97
+    assert trade_adj.initial_stop_loss_pct == -0.15
+
+    # Raise stoploss
+    Trade.stoploss_reinitialization(0.05)
+
+    trades = Trade.get_open_trades()
+    assert len(trades) == 1
+    trade_adj = trades[0]
+    assert trade_adj.stop_loss == 0.99
+    assert trade_adj.stop_loss_pct == -0.05
+    assert trade_adj.initial_stop_loss == 0.99
+    assert trade_adj.initial_stop_loss_pct == -0.05
+
+    # Trailing stoploss (move stoplos up a bit)
+    trade.adjust_stop_loss(1.02, 0.05)
+    assert trade_adj.stop_loss == 1.0098
+    assert trade_adj.initial_stop_loss == 0.99
+
+    Trade.stoploss_reinitialization(0.05)
+
+    trades = Trade.get_open_trades()
+    assert len(trades) == 1
+    trade_adj = trades[0]
+    # Stoploss should not change in this case.
+    assert trade_adj.stop_loss == 1.0098
+    assert trade_adj.stop_loss_pct == -0.05
+    assert trade_adj.initial_stop_loss == 0.99
+    assert trade_adj.initial_stop_loss_pct == -0.05
+
+
 def test_stoploss_reinitialization_short(default_conf, fee):
    init_db(default_conf['db_url'])
    trade = Trade(
@@ -1762,50 +1823,50 @@ def test_stoploss_reinitialization_short(default_conf, fee):
        open_rate=1,
        max_rate=1,
        is_short=True,
-        leverage=3.0,
+        leverage=5.0,
    )
-    trade.adjust_stop_loss(trade.open_rate, -0.05, True)
-    assert trade.stop_loss == 1.05
-    assert trade.stop_loss_pct == 0.05
-    assert trade.initial_stop_loss == 1.05
-    assert trade.initial_stop_loss_pct == 0.05
+    trade.adjust_stop_loss(trade.open_rate, -0.1, True)
+    assert trade.stop_loss == 1.02
+    assert trade.stop_loss_pct == 0.1
+    assert trade.initial_stop_loss == 1.02
+    assert trade.initial_stop_loss_pct == 0.1
    Trade.query.session.add(trade)
    # Lower stoploss
-    Trade.stoploss_reinitialization(-0.06)
+    Trade.stoploss_reinitialization(-0.15)
    trades = Trade.get_open_trades()
    assert len(trades) == 1
    trade_adj = trades[0]
-    assert trade_adj.stop_loss == 1.06
-    assert trade_adj.stop_loss_pct == 0.06
-    assert trade_adj.initial_stop_loss == 1.06
-    assert trade_adj.initial_stop_loss_pct == 0.06
+    assert trade_adj.stop_loss == 1.03
+    assert trade_adj.stop_loss_pct == 0.15
+    assert trade_adj.initial_stop_loss == 1.03
+    assert trade_adj.initial_stop_loss_pct == 0.15
    # Raise stoploss
-    Trade.stoploss_reinitialization(-0.04)
+    Trade.stoploss_reinitialization(-0.05)
    trades = Trade.get_open_trades()
    assert len(trades) == 1
    trade_adj = trades[0]
-    assert trade_adj.stop_loss == 1.04
-    assert trade_adj.stop_loss_pct == 0.04
-    assert trade_adj.initial_stop_loss == 1.04
-    assert trade_adj.initial_stop_loss_pct == 0.04
+    assert trade_adj.stop_loss == 1.01
+    assert trade_adj.stop_loss_pct == 0.05
+    assert trade_adj.initial_stop_loss == 1.01
+    assert trade_adj.initial_stop_loss_pct == 0.05
    # Trailing stoploss
-    trade.adjust_stop_loss(0.98, -0.04)
-    assert trade_adj.stop_loss == 1.0192
-    assert trade_adj.initial_stop_loss == 1.04
-    Trade.stoploss_reinitialization(-0.04)
+    trade.adjust_stop_loss(0.98, -0.05)
+    assert trade_adj.stop_loss == 0.9898
+    assert trade_adj.initial_stop_loss == 1.01
+    Trade.stoploss_reinitialization(-0.05)
    trades = Trade.get_open_trades()
    assert len(trades) == 1
    trade_adj = trades[0]
    # Stoploss should not change in this case.
-    assert trade_adj.stop_loss == 1.0192
-    assert trade_adj.stop_loss_pct == 0.04
-    assert trade_adj.initial_stop_loss == 1.04
-    assert trade_adj.initial_stop_loss_pct == 0.04
+    assert trade_adj.stop_loss == 0.9898
+    assert trade_adj.stop_loss_pct == 0.05
+    assert trade_adj.initial_stop_loss == 1.01
+    assert trade_adj.initial_stop_loss_pct == 0.05
    # Stoploss can't go above liquidation price
-    trade_adj.set_isolated_liq(1.0)
-    trade.adjust_stop_loss(0.97, -0.04)
-    assert trade_adj.stop_loss == 1.0
-    assert trade_adj.stop_loss == 1.0
+    trade_adj.set_isolated_liq(0.985)
+    trade.adjust_stop_loss(0.9799, -0.05)
+    assert trade_adj.stop_loss == 0.985
+    assert trade_adj.stop_loss == 0.985


 def test_update_fee(fee):
@@ -2310,13 +2371,16 @@ def test_recalc_trade_from_orders(fee):
    assert pytest.approx(trade.open_trade_value) == o1_trade_val + o2_trade_val + o3_trade_val


-def test_recalc_trade_from_orders_ignores_bad_orders(fee):
+@pytest.mark.parametrize('is_short', [True, False])
+def test_recalc_trade_from_orders_ignores_bad_orders(fee, is_short):

    o1_amount = 100
    o1_rate = 1
    o1_cost = o1_amount * o1_rate
    o1_fee_cost = o1_cost * fee.return_value
-    o1_trade_val = o1_cost + o1_fee_cost
+    o1_trade_val = o1_cost - o1_fee_cost if is_short else o1_cost + o1_fee_cost
+    enter_side = "sell" if is_short else "buy"
+    exit_side = "buy" if is_short else "sell"

    trade = Trade(
        pair='ADA/USDT',
@@ -2328,17 +2392,18 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
        exchange='binance',
        open_rate=o1_rate,
        max_rate=o1_rate,
+        is_short=is_short,
    )
-    trade.update_fee(o1_fee_cost, 'BNB', fee.return_value, 'buy')
+    trade.update_fee(o1_fee_cost, 'BNB', fee.return_value, enter_side)
    # Check with 1 order
    order1 = Order(
-        ft_order_side='buy',
+        ft_order_side=enter_side,
        ft_pair=trade.pair,
        ft_is_open=False,
        status="closed",
        symbol=trade.pair,
        order_type="market",
-        side="buy",
+        side=enter_side,
        price=o1_rate,
        average=o1_rate,
        filled=o1_amount,
@@ -2356,16 +2421,16 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
    assert trade.open_rate == o1_rate
    assert trade.fee_open_cost == o1_fee_cost
    assert trade.open_trade_value == o1_trade_val
-    assert trade.nr_of_successful_buys == 1
+    assert trade.nr_of_successful_entries == 1

    order2 = Order(
-        ft_order_side='buy',
+        ft_order_side=enter_side,
        ft_pair=trade.pair,
        ft_is_open=True,
        status="open",
        symbol=trade.pair,
        order_type="market",
-        side="buy",
+        side=enter_side,
        price=o1_rate,
        average=o1_rate,
        filled=o1_amount,
@@ -2383,17 +2448,17 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
    assert trade.open_rate == o1_rate
    assert trade.fee_open_cost == o1_fee_cost
    assert trade.open_trade_value == o1_trade_val
-    assert trade.nr_of_successful_buys == 1
+    assert trade.nr_of_successful_entries == 1

    # Let's try with some other orders
    order3 = Order(
-        ft_order_side='buy',
+        ft_order_side=enter_side,
        ft_pair=trade.pair,
        ft_is_open=False,
        status="cancelled",
        symbol=trade.pair,
        order_type="market",
-        side="buy",
+        side=enter_side,
        price=1,
        average=2,
        filled=0,
@@ -2411,16 +2476,16 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
    assert trade.open_rate == o1_rate
    assert trade.fee_open_cost == o1_fee_cost
    assert trade.open_trade_value == o1_trade_val
-    assert trade.nr_of_successful_buys == 1
+    assert trade.nr_of_successful_entries == 1

    order4 = Order(
-        ft_order_side='buy',
+        ft_order_side=enter_side,
        ft_pair=trade.pair,
        ft_is_open=False,
        status="closed",
        symbol=trade.pair,
        order_type="market",
-        side="buy",
+        side=enter_side,
        price=o1_rate,
        average=o1_rate,
        filled=o1_amount,
@@ -2438,17 +2503,17 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
    assert trade.open_rate == o1_rate
    assert trade.fee_open_cost == 2 * o1_fee_cost
    assert trade.open_trade_value == 2 * o1_trade_val
-    assert trade.nr_of_successful_buys == 2
+    assert trade.nr_of_successful_entries == 2

-    # Just to make sure sell orders are ignored, let's calculate one more time.
+    # Just to make sure exit orders are ignored, let's calculate one more time.
    sell1 = Order(
-        ft_order_side='sell',
+        ft_order_side=exit_side,
        ft_pair=trade.pair,
        ft_is_open=False,
        status="closed",
        symbol=trade.pair,
        order_type="market",
-        side="sell",
+        side=exit_side,
        price=4,
        average=3,
        filled=2,
@@ -2465,16 +2530,17 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
    assert trade.open_rate == o1_rate
    assert trade.fee_open_cost == 2 * o1_fee_cost
    assert trade.open_trade_value == 2 * o1_trade_val
-    assert trade.nr_of_successful_buys == 2
+    assert trade.nr_of_successful_entries == 2
+
    # Check with 1 order
    order_noavg = Order(
-        ft_order_side='buy',
+        ft_order_side=enter_side,
        ft_pair=trade.pair,
        ft_is_open=False,
        status="closed",
        symbol=trade.pair,
        order_type="market",
-        side="buy",
+        side=enter_side,
        price=o1_rate,
        average=None,
        filled=o1_amount,
@@ -2492,7 +2558,7 @@ def test_recalc_trade_from_orders_ignores_bad_orders(fee):
    assert trade.open_rate == o1_rate
    assert trade.fee_open_cost == 3 * o1_fee_cost
    assert trade.open_trade_value == 3 * o1_trade_val
-    assert trade.nr_of_successful_buys == 3
+    assert trade.nr_of_successful_entries == 3


@pytest.mark.usefixtures("init_persistence")