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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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35
freqtrade/persistence/models.py
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@ -237,7 +237,7 @@ class LocalTrade():
close_profit: Optional[float] = None
close_profit_abs: Optional[float] = None
stake_amount: float = 0.0
amount: float = 0.0
_amount: float = 0.0
amount_requested: Optional[float] = None
open_date: datetime
close_date: Optional[datetime] = None
@ -278,6 +278,17 @@ class LocalTrade():
# raise OperationalException('LocalTrade.pair must be assigned')
# 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
def leverage(self) -> float:
return self._leverage
@ -422,7 +433,10 @@ class LocalTrade():
def _set_new_stoploss(self, new_loss: float, stoploss: float):
"""Assign new stop value"""
self.stop_loss = new_loss
self.stop_loss_pct = -1 * abs(stoploss)
if self.is_short:
self.stop_loss_pct = abs(stoploss)
else:
self.stop_loss_pct = -1 * abs(stoploss)
self.stoploss_last_update = datetime.utcnow()
def adjust_stop_loss(self, current_price: float, stoploss: float,
@ -438,17 +452,24 @@ class LocalTrade():
# Don't modify if called with initial and nothing to do
return
new_loss = float(current_price * (1 - abs(stoploss)))
# TODO: Could maybe move this if into the new stoploss if branch
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)
if self.is_short:
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 = 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
if not self.stop_loss:
logger.debug(f"{self.pair} - Assigning new stoploss...")
self._set_new_stoploss(new_loss, stoploss)
self.initial_stop_loss = new_loss
self.initial_stop_loss_pct = -1 * abs(stoploss)
if self.is_short:
self.initial_stop_loss_pct = abs(stoploss)
else:
self.initial_stop_loss_pct = -1 * abs(stoploss)
# evaluate if the stop loss needs to be updated
else:

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)
# def test_adjust_stop_loss(fee):
# trade = Trade(
# pair='ETH/BTC',
# stake_amount=0.001,
# amount=5,
# fee_open=fee.return_value,
# fee_close=fee.return_value,
# exchange='binance',
# open_rate=1,
# max_rate=1,
# )
# trade.adjust_stop_loss(trade.open_rate, 0.05, True)
# assert trade.stop_loss == 0.95
# assert trade.stop_loss_pct == -0.05
# assert trade.initial_stop_loss == 0.95
# assert trade.initial_stop_loss_pct == -0.05
# # Get percent of profit with a lower rate
# trade.adjust_stop_loss(0.96, 0.05)
# assert trade.stop_loss == 0.95
# assert trade.stop_loss_pct == -0.05
# assert trade.initial_stop_loss == 0.95
# assert trade.initial_stop_loss_pct == -0.05
# # Get percent of profit with a custom rate (Higher than open rate)
# trade.adjust_stop_loss(1.3, -0.1)
# assert round(trade.stop_loss, 8) == 1.17
# assert trade.stop_loss_pct == -0.1
# assert trade.initial_stop_loss == 0.95
# assert trade.initial_stop_loss_pct == -0.05
# # current rate lower again ... should not change
# trade.adjust_stop_loss(1.2, 0.1)
# assert round(trade.stop_loss, 8) == 1.17
# assert trade.initial_stop_loss == 0.95
# assert trade.initial_stop_loss_pct == -0.05
# # current rate higher... should raise stoploss
# trade.adjust_stop_loss(1.4, 0.1)
# assert round(trade.stop_loss, 8) == 1.26
# assert trade.initial_stop_loss == 0.95
# assert trade.initial_stop_loss_pct == -0.05
# # Initial is true but stop_loss set - so doesn't do anything
# trade.adjust_stop_loss(1.7, 0.1, True)
# assert round(trade.stop_loss, 8) == 1.26
# assert trade.initial_stop_loss == 0.95
# assert trade.initial_stop_loss_pct == -0.05
# assert trade.stop_loss_pct == -0.1
def test_adjust_stop_loss(fee):
trade = Trade(
pair='ETH/BTC',
stake_amount=0.001,
amount=5,
fee_open=fee.return_value,
fee_close=fee.return_value,
exchange='binance',
open_rate=1,
max_rate=1,
is_short=True
)
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
# Get percent of profit with a lower rate
trade.adjust_stop_loss(1.04, 0.05)
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
# Get percent of profit with a custom rate (Higher than open rate)
trade.adjust_stop_loss(0.7, 0.1)
# assert round(trade.stop_loss, 8) == 1.17 #TODO: What is this test?
assert trade.stop_loss_pct == 0.1
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# current rate lower again ... should not change
trade.adjust_stop_loss(0.8, -0.1)
# assert round(trade.stop_loss, 8) == 1.17 #TODO: What is this test?
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# current rate higher... should raise stoploss
trade.adjust_stop_loss(0.6, -0.1)
# assert round(trade.stop_loss, 8) == 1.26 #TODO: What is this test?
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
# Initial is true but stop_loss set - so doesn't do anything
trade.adjust_stop_loss(0.3, -0.1, True)
# assert round(trade.stop_loss, 8) == 1.26 #TODO: What is this test?
assert trade.initial_stop_loss == 1.05
assert trade.initial_stop_loss_pct == 0.05
assert trade.stop_loss_pct == 0.1
# def test_adjust_min_max_rates(fee):
# 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_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.parametrize('use_db', [True, False])
# def test_total_open_trades_stakes(fee, use_db):