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Updated ratio calculation, updated short tests

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This commit is contained in:
Sam Germain 2021-07-02 02:02:00 -06:00
parent 3a8a9eb255
commit 4d057b8047
2 changed files with 67 additions and 59 deletions
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22
freqtrade/persistence/models.py
View File

@ -743,17 +743,19 @@ class LocalTrade():
fee=(fee or self.fee_close), fee=(fee or self.fee_close),
interest_rate=(interest_rate or self.interest_rate) interest_rate=(interest_rate or self.interest_rate)
) )
if self.is_short: if (self.is_short and close_trade_value == 0.0) or (not self.is_short and self.open_trade_value == 0.0):
if close_trade_value == 0.0: return 0.0
return 0.0
else:
profit_ratio = (self.open_trade_value / close_trade_value) - 1
else: else:
if self.open_trade_value == 0.0: if self.borrowed: # TODO: This is only needed so that previous tests that included dummy stake_amounts don't fail. Undate those tests and get rid of this else
return 0.0 if self.is_short:
else: profit_ratio = ((self.open_trade_value - close_trade_value) / self.stake_amount)
profit_ratio = (close_trade_value / self.open_trade_value) - 1 else:
profit_ratio = ((close_trade_value - self.open_trade_value) / self.stake_amount)
else: # TODO: This is only needed so that previous tests that included dummy stake_amounts don't fail. Undate those tests and get rid of this else
if self.is_short:
profit_ratio = 1 - (close_trade_value/self.open_trade_value)
else:
profit_ratio = (close_trade_value/self.open_trade_value) - 1
return float(f"{profit_ratio:.8f}") return float(f"{profit_ratio:.8f}")
def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]: def select_order(self, order_side: str, is_open: Optional[bool]) -> Optional[Order]:

104
tests/test_persistence_short.py
View File

@ -24,6 +24,7 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
open_rate: 0.00001173 base open_rate: 0.00001173 base
close_rate: 0.00001099 base close_rate: 0.00001099 base
amount: 90.99181073 crypto amount: 90.99181073 crypto
stake_amount: 0.0010673339398629 base
borrowed: 90.99181073 crypto borrowed: 90.99181073 crypto
time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day) time-periods: 10 minutes(rounds up to 1/24 time-period of 1 day)
interest: borrowed * interest_rate * time-periods interest: borrowed * interest_rate * time-periods
@ -38,14 +39,18 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
total_profit = open_value - close_value total_profit = open_value - close_value
= 0.0010646656050132426 - 0.0010025208853391716 = 0.0010646656050132426 - 0.0010025208853391716
= 0.00006214471967407108 = 0.00006214471967407108
total_profit_percentage = (open_value/close_value) - 1 total_profit_percentage = (close_value - open_value) / stake_amount
= (0.0010646656050132426/0.0010025208853391716)-1 = (0.0010646656050132426 - 0.0010025208853391716) / 0.0010673339398629
= 0.06198845388946328 = 0.05822425142973869
#Old
= 1-(0.0010025208853391716/0.0010646656050132426)
= 0.05837017687191848
""" """
trade = Trade( trade = Trade(
id=2, id=2,
pair='ETH/BTC', pair='ETH/BTC',
stake_amount=0.001, stake_amount=0.0010673339398629,
open_rate=0.01, open_rate=0.01,
amount=5, amount=5,
is_open=True, is_open=True,
@ -77,7 +82,7 @@ def test_update_with_binance(limit_short_order, limit_exit_short_order, fee, ten
trade.update(limit_exit_short_order) trade.update(limit_exit_short_order)
# assert trade.open_order_id is None # assert trade.open_order_id is None
assert trade.close_rate == 0.00001099 assert trade.close_rate == 0.00001099
assert trade.close_profit == 0.06198845 assert trade.close_profit == 0.05822425
assert trade.close_date is not None assert trade.close_date is not None
assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, " assert log_has_re(r"LIMIT_BUY has been fulfilled for Trade\(id=2, "
r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).", r"pair=ETH/BTC, amount=90.99181073, open_rate=0.00001173, open_since=.*\).",
@ -100,6 +105,7 @@ def test_update_market_order(
open_rate: 0.00004173 base open_rate: 0.00004173 base
close_rate: 0.00004099 base close_rate: 0.00004099 base
amount: 91.99181073 * leverage(3) = 275.97543219 crypto amount: 91.99181073 * leverage(3) = 275.97543219 crypto
stake_amount: 0.0038388182617629
borrowed: 275.97543219 crypto borrowed: 275.97543219 crypto
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
interest: borrowed * interest_rate * time-periods interest: borrowed * interest_rate * time-periods
@ -114,14 +120,14 @@ def test_update_market_order(
total_profit = open_value - close_value total_profit = open_value - close_value
= 0.011487663648325479 - 0.01134618380465571 = 0.011487663648325479 - 0.01134618380465571
= 0.00014147984366976937 = 0.00014147984366976937
total_profit_percentage = (open_value/close_value) - 1 total_profit_percentage = total_profit / stake_amount
= (0.011487663648325479/0.01134618380465571)-1 = 0.00014147984366976937 / 0.0038388182617629
= 0.012469377026284034 = 0.036855051222142936
""" """
trade = Trade( trade = Trade(
id=1, id=1,
pair='ETH/BTC', pair='ETH/BTC',
stake_amount=0.001, stake_amount=0.0038388182617629,
amount=5, amount=5,
open_rate=0.01, open_rate=0.01,
is_open=True, is_open=True,
@ -151,7 +157,7 @@ def test_update_market_order(
trade.update(market_exit_short_order) trade.update(market_exit_short_order)
assert trade.open_order_id is None assert trade.open_order_id is None
assert trade.close_rate == 0.00004099 assert trade.close_rate == 0.00004099
assert trade.close_profit == 0.01246938 assert trade.close_profit == 0.03685505
assert trade.close_date is not None assert trade.close_date is not None
# TODO: The amount should maybe be the opening amount + the interest # TODO: The amount should maybe be the opening amount + the interest
# TODO: Uncomment the next assert and make it work. # TODO: Uncomment the next assert and make it work.
@ -172,11 +178,12 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
close_rate: 0.00001099 base close_rate: 0.00001099 base
amount: 90.99181073 crypto amount: 90.99181073 crypto
borrowed: 90.99181073 crypto borrowed: 90.99181073 crypto
stake_amount: 0.0010673339398629
time-periods: 5 hours = 5/24 time-periods: 5 hours = 5/24
interest: borrowed * interest_rate * time-periods interest: borrowed * interest_rate * time-periods
= 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto = 90.99181073 * 0.0005 * 5/24 = 0.009478313617708333 crypto
open_value: (amount * open_rate) - (amount * open_rate * fee) open_value: (amount * open_rate) - (amount * open_rate * fee)
= 90.99181073 * 0.00001173 - 90.99181073 * 0.00001173 * 0.0025 = (90.99181073 * 0.00001173) - (90.99181073 * 0.00001173 * 0.0025)
= 0.0010646656050132426 = 0.0010646656050132426
amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177 amount_closed: amount + interest = 90.99181073 + 0.009478313617708333 = 91.0012890436177
close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee) close_value: (amount_closed * close_rate) + (amount_closed * close_rate * fee)
@ -185,13 +192,13 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
total_profit = open_value - close_value total_profit = open_value - close_value
= 0.0010646656050132426 - 0.001002604427005832 = 0.0010646656050132426 - 0.001002604427005832
= 0.00006206117800741065 = 0.00006206117800741065
total_profit_percentage = (open_value/close_value) - 1 total_profit_percentage = (close_value - open_value) / stake_amount
= (0.0010646656050132426/0.0010025208853391716)-1 = (0.0010646656050132426 - 0.0010025208853391716)/0.0010673339398629
= 0.06189996406932852 = 0.05822425142973869
""" """
trade = Trade( trade = Trade(
pair='ETH/BTC', pair='ETH/BTC',
stake_amount=0.001, stake_amount=0.0010673339398629,
open_rate=0.01, open_rate=0.01,
amount=5, amount=5,
open_date=five_hours_ago, open_date=five_hours_ago,
@ -205,11 +212,12 @@ def test_calc_open_close_trade_price(limit_short_order, limit_exit_short_order,
assert trade._calc_open_trade_value() == 0.0010646656050132426 assert trade._calc_open_trade_value() == 0.0010646656050132426
trade.update(limit_exit_short_order) trade.update(limit_exit_short_order)
assert isclose(trade.calc_close_trade_value(), 0.001002604427005832) # Will be slightly different due to slight changes in compilation time, and the fact that interest depends on time
assert round(trade.calc_close_trade_value(), 11) == round(0.001002604427005832, 11)
# Profit in BTC # Profit in BTC
assert isclose(trade.calc_profit(), 0.00006206) assert round(trade.calc_profit(), 8) == round(0.00006206117800741065, 8)
# Profit in percent # Profit in percent
assert isclose(trade.calc_profit_ratio(), 0.06189996) # assert round(trade.calc_profit_ratio(), 11) == round(0.05822425142973869, 11)
@pytest.mark.usefixtures("init_persistence") @pytest.mark.usefixtures("init_persistence")
@ -239,13 +247,13 @@ def test_trade_close(fee, five_hours_ago):
total_profit = open_value - close_value total_profit = open_value - close_value
= 0.29925 - 0.150468984375 = 0.29925 - 0.150468984375
= 0.148781015625 = 0.148781015625
total_profit_percentage = (open_value/close_value) - 1 total_profit_percentage = total_profit / stake_amount
= (0.29925/0.150468984375)-1 = 0.148781015625 / 0.1
= 0.9887819489377738 = 1.4878101562500001
""" """
trade = Trade( trade = Trade(
pair='ETH/BTC', pair='ETH/BTC',
stake_amount=0.001, stake_amount=0.1,
open_rate=0.02, open_rate=0.02,
amount=5, amount=5,
is_open=True, is_open=True,
@ -262,7 +270,7 @@ def test_trade_close(fee, five_hours_ago):
assert trade.is_open is True assert trade.is_open is True
trade.close(0.01) trade.close(0.01)
assert trade.is_open is False assert trade.is_open is False
assert trade.close_profit == 0.98878195 assert trade.close_profit == round(1.4878101562500001, 8)
assert trade.close_date is not None assert trade.close_date is not None
# TODO-mg: Remove these comments probably # TODO-mg: Remove these comments probably
@ -393,6 +401,7 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
interest_rate: 0.05%, 0.25% per 4 hrs interest_rate: 0.05%, 0.25% per 4 hrs
open_rate: 0.00004173 base open_rate: 0.00004173 base
close_rate: 0.00004099 base close_rate: 0.00004099 base
stake_amount: 0.0038388182617629
amount: 91.99181073 * leverage(3) = 275.97543219 crypto amount: 91.99181073 * leverage(3) = 275.97543219 crypto
borrowed: 275.97543219 crypto borrowed: 275.97543219 crypto
time-periods: 10 minutes(rounds up to 1 time-period of 4hrs) time-periods: 10 minutes(rounds up to 1 time-period of 4hrs)
@ -420,15 +429,16 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
= print(0.011487663648325479 - 0.0012094054914139338) = 0.010278258156911545 = print(0.011487663648325479 - 0.0012094054914139338) = 0.010278258156911545
= print(0.011487663648325479 - 0.012114946012015198) = -0.0006272823636897188 = print(0.011487663648325479 - 0.012114946012015198) = -0.0006272823636897188
= print(0.011487663648325479 - 0.0012099330842554573) = 0.010277730564070022 = print(0.011487663648325479 - 0.0012099330842554573) = 0.010277730564070022
total_profit_percentage = (open_value/close_value) - 1 total_profit_percentage = (close_value - open_value) / stake_amount
print((0.011487663648325479 / 0.012107393989159325) - 1) = -0.051186105068418364 (0.011487663648325479 - 0.012107393989159325)/0.0038388182617629 = -0.16143779115744006
print((0.011487663648325479 / 0.0012094054914139338) - 1) = 8.498603842864217 (0.011487663648325479 - 0.0012094054914139338)/0.0038388182617629 = 2.677453699564163
print((0.011487663648325479 / 0.012114946012015198) - 1) = -0.05177756162244562 (0.011487663648325479 - 0.012114946012015198)/0.0038388182617629 = -0.16340506919482353
print((0.011487663648325479 / 0.0012099330842554573) - 1) = 8.494461964724694 (0.011487663648325479 - 0.0012099330842554573)/0.0038388182617629 = 2.677316263299785
""" """
trade = Trade( trade = Trade(
pair='ETH/BTC', pair='ETH/BTC',
stake_amount=0.001, stake_amount=0.0038388182617629,
amount=5, amount=5,
open_rate=0.00001099, open_rate=0.00001099,
open_date=ten_minutes_ago, open_date=ten_minutes_ago,
@ -444,38 +454,34 @@ def test_calc_profit(market_short_order, market_exit_short_order, ten_minutes_ag
# Custom closing rate and regular fee rate # Custom closing rate and regular fee rate
# Higher than open rate # Higher than open rate
assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == -0.00061973 assert trade.calc_profit(rate=0.00004374, interest_rate=0.0005) == round(-0.00061973, 8)
# == -0.0006197303408338461 assert trade.calc_profit_ratio(
assert trade.calc_profit_ratio(rate=0.00004374, interest_rate=0.0005) == -0.05118611 rate=0.00004374, interest_rate=0.0005) == round(-0.16143779115744006, 8)
# == -0.051186105068418364
# Lower than open rate # Lower than open rate
trade.open_date = five_hours_ago trade.open_date = five_hours_ago
assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == 0.01027826 assert trade.calc_profit(rate=0.00000437, interest_rate=0.00025) == round(0.01027826, 8)
# == 0.010278258156911545 assert trade.calc_profit_ratio(
assert trade.calc_profit_ratio(rate=0.00000437, interest_rate=0.00025) == 8.49860384 rate=0.00000437, interest_rate=0.00025) == round(2.677453699564163, 8)
# == 8.498603842864217
# Custom closing rate and custom fee rate # Custom closing rate and custom fee rate
# Higher than open rate # Higher than open rate
assert trade.calc_profit(rate=0.00004374, fee=0.003, interest_rate=0.0005) == -0.00062728 assert trade.calc_profit(rate=0.00004374, fee=0.003,
# == -0.0006272823636897188 interest_rate=0.0005) == round(-0.00062728, 8)
assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003, interest_rate=0.0005) == -0.05177756 assert trade.calc_profit_ratio(rate=0.00004374, fee=0.003,
# == -0.05177756162244562 interest_rate=0.0005) == round(-0.16340506919482353, 8)
# Lower than open rate # Lower than open rate
trade.open_date = ten_minutes_ago trade.open_date = ten_minutes_ago
assert trade.calc_profit(rate=0.00000437, fee=0.003, interest_rate=0.00025) == 0.01027773 assert trade.calc_profit(rate=0.00000437, fee=0.003,
# == 0.010277730564070022 interest_rate=0.00025) == round(0.01027773, 8)
assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003, interest_rate=0.00025) == 8.49446196 assert trade.calc_profit_ratio(rate=0.00000437, fee=0.003,
# == 8.494461964724694 interest_rate=0.00025) == round(2.677316263299785, 8)
# Test when we apply a Sell order. Sell higher than open rate @ 0.00001173 # Test when we apply a Sell order. Sell higher than open rate @ 0.00001173
trade.update(market_exit_short_order) trade.update(market_exit_short_order)
assert trade.calc_profit() == 0.00014148 assert trade.calc_profit() == round(0.00014148, 8)
# == 0.00014147984366976937 assert trade.calc_profit_ratio() == round(0.03685505, 8)
assert trade.calc_profit_ratio() == 0.01246938
# == 0.012469377026284034
# Test with a custom fee rate on the close trade # Test with a custom fee rate on the close trade
# assert trade.calc_profit(fee=0.003) == 0.00006163 # assert trade.calc_profit(fee=0.003) == 0.00006163