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persistence short stoploss test

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Sam Germain 2021-06-28 05:19:18 -06:00
parent 1bcab12b8f
commit 25b7c7f43b
2 changed files with 73 additions and 87 deletions
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29
freqtrade/persistence/models.py
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@ -237,7 +237,7 @@ class LocalTrade():
close_profit: Optional[float] = None close_profit: Optional[float] = None
close_profit_abs: Optional[float] = None close_profit_abs: Optional[float] = None
stake_amount: float = 0.0 stake_amount: float = 0.0
amount: float = 0.0 _amount: float = 0.0
amount_requested: Optional[float] = None amount_requested: Optional[float] = None
open_date: datetime open_date: datetime
close_date: Optional[datetime] = None close_date: Optional[datetime] = None
@ -278,6 +278,17 @@ class LocalTrade():
# raise OperationalException('LocalTrade.pair must be assigned') # raise OperationalException('LocalTrade.pair must be assigned')
# return self.pair.split("/")[1] # return self.pair.split("/")[1]
@property
def amount(self) -> float:
if self.leverage is not None:
return self._amount * self.leverage
else:
return self._amount
@amount.setter
def amount(self, value):
self._amount = value
@property @property
def leverage(self) -> float: def leverage(self) -> float:
return self._leverage return self._leverage
@ -422,6 +433,9 @@ class LocalTrade():
def _set_new_stoploss(self, new_loss: float, stoploss: float): def _set_new_stoploss(self, new_loss: float, stoploss: float):
"""Assign new stop value""" """Assign new stop value"""
self.stop_loss = new_loss self.stop_loss = new_loss
if self.is_short:
self.stop_loss_pct = abs(stoploss)
else:
self.stop_loss_pct = -1 * abs(stoploss) self.stop_loss_pct = -1 * abs(stoploss)
self.stoploss_last_update = datetime.utcnow() self.stoploss_last_update = datetime.utcnow()
@ -438,16 +452,23 @@ class LocalTrade():
# Don't modify if called with initial and nothing to do # Don't modify if called with initial and nothing to do
return return
new_loss = float(current_price * (1 - abs(stoploss))) if self.is_short:
# TODO: Could maybe move this if into the new stoploss if branch new_loss = float(current_price * (1 + abs(stoploss)))
if (self.liquidation_price): # If trading on margin, don't set the stoploss below the liquidation price if self.liquidation_price: # If trading on margin, don't set the stoploss below the liquidation price
new_loss = min(self.liquidation_price, new_loss) new_loss = min(self.liquidation_price, new_loss)
else:
new_loss = float(current_price * (1 - abs(stoploss)))
if self.liquidation_price: # If trading on margin, don't set the stoploss below the liquidation price
new_loss = max(self.liquidation_price, new_loss)
# no stop loss assigned yet # no stop loss assigned yet
if not self.stop_loss: if not self.stop_loss:
logger.debug(f"{self.pair} - Assigning new stoploss...") logger.debug(f"{self.pair} - Assigning new stoploss...")
self._set_new_stoploss(new_loss, stoploss) self._set_new_stoploss(new_loss, stoploss)
self.initial_stop_loss = new_loss self.initial_stop_loss = new_loss
if self.is_short:
self.initial_stop_loss_pct = abs(stoploss)
else:
self.initial_stop_loss_pct = -1 * abs(stoploss) self.initial_stop_loss_pct = -1 * abs(stoploss)
# evaluate if the stop loss needs to be updated # evaluate if the stop loss needs to be updated

125
tests/test_persistence_short.py
View File

@ -611,50 +611,51 @@ def test_interest_binance(market_short_order, ten_minutes_ago, five_hours_ago, f
trade.calculate_interest(interest_rate=0.00025))), 0.0047912401421875) trade.calculate_interest(interest_rate=0.00025))), 0.0047912401421875)
# def test_adjust_stop_loss(fee): def test_adjust_stop_loss(fee):
# trade = Trade( trade = Trade(
# pair='ETH/BTC', pair='ETH/BTC',
# stake_amount=0.001, stake_amount=0.001,
# amount=5, amount=5,
# fee_open=fee.return_value, fee_open=fee.return_value,
# fee_close=fee.return_value, fee_close=fee.return_value,
# exchange='binance', exchange='binance',
# open_rate=1, open_rate=1,
# max_rate=1, max_rate=1,
# ) is_short=True
# trade.adjust_stop_loss(trade.open_rate, 0.05, True) )
# assert trade.stop_loss == 0.95 trade.adjust_stop_loss(trade.open_rate, 0.05, True)
# assert trade.stop_loss_pct == -0.05 assert trade.stop_loss == 1.05
# assert trade.initial_stop_loss == 0.95 assert trade.stop_loss_pct == 0.05
# assert trade.initial_stop_loss_pct == -0.05 assert trade.initial_stop_loss == 1.05
# # Get percent of profit with a lower rate assert trade.initial_stop_loss_pct == 0.05
# trade.adjust_stop_loss(0.96, 0.05) # Get percent of profit with a lower rate
# assert trade.stop_loss == 0.95 trade.adjust_stop_loss(1.04, 0.05)
# assert trade.stop_loss_pct == -0.05 assert trade.stop_loss == 1.05
# assert trade.initial_stop_loss == 0.95 assert trade.stop_loss_pct == 0.05
# assert trade.initial_stop_loss_pct == -0.05 assert trade.initial_stop_loss == 1.05
# # Get percent of profit with a custom rate (Higher than open rate) assert trade.initial_stop_loss_pct == 0.05
# trade.adjust_stop_loss(1.3, -0.1) # Get percent of profit with a custom rate (Higher than open rate)
# assert round(trade.stop_loss, 8) == 1.17 trade.adjust_stop_loss(0.7, 0.1)
# assert trade.stop_loss_pct == -0.1 # assert round(trade.stop_loss, 8) == 1.17 #TODO: What is this test?
# assert trade.initial_stop_loss == 0.95 assert trade.stop_loss_pct == 0.1
# assert trade.initial_stop_loss_pct == -0.05 assert trade.initial_stop_loss == 1.05
# # current rate lower again ... should not change assert trade.initial_stop_loss_pct == 0.05
# trade.adjust_stop_loss(1.2, 0.1) # current rate lower again ... should not change
# assert round(trade.stop_loss, 8) == 1.17 trade.adjust_stop_loss(0.8, -0.1)
# assert trade.initial_stop_loss == 0.95 # assert round(trade.stop_loss, 8) == 1.17 #TODO: What is this test?
# assert trade.initial_stop_loss_pct == -0.05 assert trade.initial_stop_loss == 1.05
# # current rate higher... should raise stoploss assert trade.initial_stop_loss_pct == 0.05
# trade.adjust_stop_loss(1.4, 0.1) # current rate higher... should raise stoploss
# assert round(trade.stop_loss, 8) == 1.26 trade.adjust_stop_loss(0.6, -0.1)
# assert trade.initial_stop_loss == 0.95 # assert round(trade.stop_loss, 8) == 1.26 #TODO: What is this test?
# assert trade.initial_stop_loss_pct == -0.05 assert trade.initial_stop_loss == 1.05
# # Initial is true but stop_loss set - so doesn't do anything assert trade.initial_stop_loss_pct == 0.05
# trade.adjust_stop_loss(1.7, 0.1, True) # Initial is true but stop_loss set - so doesn't do anything
# assert round(trade.stop_loss, 8) == 1.26 trade.adjust_stop_loss(0.3, -0.1, True)
# assert trade.initial_stop_loss == 0.95 # assert round(trade.stop_loss, 8) == 1.26 #TODO: What is this test?
# assert trade.initial_stop_loss_pct == -0.05 assert trade.initial_stop_loss == 1.05
# assert trade.stop_loss_pct == -0.1 assert trade.initial_stop_loss_pct == 0.05
assert trade.stop_loss_pct == 0.1
# def test_adjust_min_max_rates(fee): # def test_adjust_min_max_rates(fee):
# trade = Trade( # trade = Trade(
@ -742,42 +743,6 @@ def test_interest_binance(market_short_order, ten_minutes_ago, five_hours_ago, f
# assert trade_adj.initial_stop_loss == 0.96 # assert trade_adj.initial_stop_loss == 0.96
# assert trade_adj.initial_stop_loss_pct == -0.04 # assert trade_adj.initial_stop_loss_pct == -0.04
# def test_update_fee(fee):
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# fee_open=fee.return_value,
# open_date=arrow.utcnow().shift(hours=-2).datetime,
# amount=10,
# fee_close=fee.return_value,
# exchange='binance',
# open_rate=1,
# max_rate=1,
# )
# fee_cost = 0.15
# fee_currency = 'BTC'
# fee_rate = 0.0075
# assert trade.fee_open_currency is None
# assert not trade.fee_updated('buy')
# assert not trade.fee_updated('sell')
# trade.update_fee(fee_cost, fee_currency, fee_rate, 'buy')
# assert trade.fee_updated('buy')
# assert not trade.fee_updated('sell')
# assert trade.fee_open_currency == fee_currency
# assert trade.fee_open_cost == fee_cost
# assert trade.fee_open == fee_rate
# # Setting buy rate should "guess" close rate
# assert trade.fee_close == fee_rate
# assert trade.fee_close_currency is None
# assert trade.fee_close_cost is None
# fee_rate = 0.0076
# trade.update_fee(fee_cost, fee_currency, fee_rate, 'sell')
# assert trade.fee_updated('buy')
# assert trade.fee_updated('sell')
# assert trade.fee_close == 0.0076
# assert trade.fee_close_cost == fee_cost
# assert trade.fee_close == fee_rate
# @pytest.mark.usefixtures("init_persistence") # @pytest.mark.usefixtures("init_persistence")
# @pytest.mark.parametrize('use_db', [True, False]) # @pytest.mark.parametrize('use_db', [True, False])
# def test_total_open_trades_stakes(fee, use_db): # def test_total_open_trades_stakes(fee, use_db):