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Test backtesting with USDT pairs

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This commit is contained in:
Matthias 2022-03-02 07:00:07 +01:00
parent 736a930152
commit 478d440e80
2 changed files with 6 additions and 6 deletions
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4
tests/conftest.py
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@ -1175,7 +1175,7 @@ def get_markets():
'spot': False, 'spot': False,
'margin': False, 'margin': False,
'swap': True, 'swap': True,
'futures': False, 'future': True, # Binance mode ...
'option': False, 'option': False,
'contract': True, 'contract': True,
'linear': True, 'linear': True,
@ -1278,7 +1278,7 @@ def get_markets():
'spot': False, 'spot': False,
'margin': False, 'margin': False,
'swap': True, 'swap': True,
'future': False, 'future': True, # Binance mode ...
'option': False, 'option': False,
'active': True, 'active': True,
'contract': True, 'contract': True,

8
tests/optimize/test_backtesting.py
View File

@ -574,11 +574,11 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
default_conf_usdt['max_open_trades'] = 2 default_conf_usdt['max_open_trades'] = 2
default_conf_usdt['trading_mode'] = 'futures' default_conf_usdt['trading_mode'] = 'futures'
default_conf_usdt['margin_mode'] = 'isolated' default_conf_usdt['margin_mode'] = 'isolated'
default_conf_usdt['stake_currency'] = 'BUSD' default_conf_usdt['stake_currency'] = 'USDT'
default_conf_usdt['exchange']['pair_whitelist'] = ['.*'] default_conf_usdt['exchange']['pair_whitelist'] = ['.*']
backtesting = Backtesting(default_conf_usdt) backtesting = Backtesting(default_conf_usdt)
backtesting._set_strategy(backtesting.strategylist[0]) backtesting._set_strategy(backtesting.strategylist[0])
pair = 'UNITTEST/BTC' pair = 'UNITTEST/USDT:USDT'
row = [ row = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0), pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
1, # Buy 1, # Buy
@ -606,13 +606,13 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) # ((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 # ((60 + 0.01) - ((-1) * 60000 * 0.001)) / ((60000 * 0.01) - ((-1) * 60000)) = 0.00198036303630
trade = backtesting._enter_trade(pair, row=row, direction='long') trade = backtesting._enter_trade(pair, row=row, direction='long')
assert isclose(trade.isolated_liq, 0.0019803630363036304) assert pytest.approx(trade.isolated_liq) == 0.0019803630363036304
# Binance, Long # Binance, Long
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) # ((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 # ((60 + 0.01) - (1 * 60000 * 0.001)) / ((60000 * 0.01) - (1 * 60000)) = -1.6835016835013486e-07
trade = backtesting._enter_trade(pair, row=row, direction='short') trade = backtesting._enter_trade(pair, row=row, direction='short')
assert isclose(trade.isolated_liq, -1.6835016835013486e-07) assert pytest.approx(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)