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add leverage

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This commit is contained in:
dingzhoufeng 2022-03-08 12:26:43 +08:00
parent 2748b113ee
commit 53ecdb931b
1 changed files with 4 additions and 2 deletions
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6
freqtrade/optimize/backtesting.py
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@ -355,6 +355,8 @@ class Backtesting:
def _get_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple, def _get_close_rate(self, sell_row: Tuple, trade: LocalTrade, sell: SellCheckTuple,
trade_dur: int) -> float: trade_dur: int) -> float:
leverage = trade.leverage or 1.0
is_short = trade.is_short or False
""" """
Get close rate for backtesting result Get close rate for backtesting result
""" """
@ -382,7 +384,7 @@ class Backtesting:
abs(self.strategy.trailing_stop_positive))) abs(self.strategy.trailing_stop_positive)))
else: else:
# Worst case: price ticks tiny bit above open and dives down. # Worst case: price ticks tiny bit above open and dives down.
stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct)) stop_rate = sell_row[OPEN_IDX] * (1 - abs(trade.stop_loss_pct / leverage))
assert stop_rate < sell_row[HIGH_IDX] assert stop_rate < sell_row[HIGH_IDX]
# Limit lower-end to candle low to avoid sells below the low. # Limit lower-end to candle low to avoid sells below the low.
# This still remains "worst case" - but "worst realistic case". # This still remains "worst case" - but "worst realistic case".
@ -400,7 +402,7 @@ class Backtesting:
return sell_row[OPEN_IDX] return sell_row[OPEN_IDX]
# - (Expected abs profit + open_rate + open_fee) / (fee_close -1) # - (Expected abs profit + open_rate + open_fee) / (fee_close -1)
close_rate = - (trade.open_rate * roi + trade.open_rate * close_rate = - (trade.open_rate * roi / leverage + trade.open_rate *
(1 + trade.fee_open)) / (trade.fee_close - 1) (1 + trade.fee_open)) / (trade.fee_close - 1)
if (trade_dur > 0 and trade_dur == roi_entry if (trade_dur > 0 and trade_dur == roi_entry