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Merge pull request #7491 from freqtrade/partial_close_leverage

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Partial close leverage
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Matthias 2022-09-29 19:42:16 +02:00 committed by GitHub
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5 changed files with 28 additions and 16 deletions
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2
docs/strategy-callbacks.md
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@ -643,7 +643,7 @@ This callback is **not** called when there is an open order (either buy or sell)
Additional Buys are ignored once you have reached the maximum amount of extra buys that you have set on `max_entry_position_adjustment`, but the callback is called anyway looking for partial exits.
Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position (negative values will decrease your position), no matter if it's a long or short trade. Modifications to leverage are not possible.
Position adjustments will always be applied in the direction of the trade, so a positive value will always increase your position (negative values will decrease your position), no matter if it's a long or short trade. Modifications to leverage are not possible, and the stake-amount is assumed to be before applying leverage.
!!! Note "About stake size"
Using fixed stake size means it will be the amount used for the first order, just like without position adjustment.

2
freqtrade/freqtradebot.py
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@ -597,7 +597,7 @@ class FreqtradeBot(LoggingMixin):
# We should decrease our position
amount = self.exchange.amount_to_contract_precision(
trade.pair,
abs(float(FtPrecise(stake_amount) / FtPrecise(current_exit_rate))))
abs(float(FtPrecise(stake_amount * trade.leverage) / FtPrecise(current_exit_rate))))
if amount > trade.amount:
# This is currently ineffective as remaining would become < min tradable
# Fixing this would require checking for 0.0 there -

2
freqtrade/optimize/backtesting.py
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@ -540,7 +540,7 @@ class Backtesting:
if stake_amount is not None and stake_amount < 0.0:
amount = amount_to_contract_precision(
abs(stake_amount) / current_rate, trade.amount_precision,
abs(stake_amount * trade.leverage) / current_rate, trade.amount_precision,
self.precision_mode, trade.contract_size)
if amount == 0.0:
return trade

21
tests/optimize/test_backtesting_adjust_position.py
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@ -93,11 +93,16 @@ def test_backtest_position_adjustment(default_conf, fee, mocker, testdatadir) ->
t["close_rate"], 6) < round(ln.iloc[0]["high"], 6))
def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> None:
@pytest.mark.parametrize('leverage', [
1, 2
])
def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, leverage) -> None:
default_conf['use_exit_signal'] = False
mocker.patch('freqtrade.exchange.Exchange.get_fee', fee)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=10)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=10)
patch_exchange(mocker)
default_conf.update({
"stake_amount": 100.0,
@ -105,6 +110,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
"strategy": "StrategyTestV3"
})
backtesting = Backtesting(default_conf)
backtesting._can_short = True
backtesting._set_strategy(backtesting.strategylist[0])
pair = 'XRP/USDT'
row = [
@ -120,18 +126,19 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
'', # enter_tag
'', # exit_tag
]
backtesting.strategy.leverage = MagicMock(return_value=leverage)
trade = backtesting._enter_trade(pair, row=row, direction='long')
trade.orders[0].close_bt_order(row[0], trade)
assert trade
assert pytest.approx(trade.stake_amount) == 100.0
assert pytest.approx(trade.amount) == 47.61904762
assert pytest.approx(trade.amount) == 47.61904762 * leverage
assert len(trade.orders) == 1
backtesting.strategy.adjust_trade_position = MagicMock(return_value=None)
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row)
assert trade
assert pytest.approx(trade.stake_amount) == 100.0
assert pytest.approx(trade.amount) == 47.61904762
assert pytest.approx(trade.amount) == 47.61904762 * leverage
assert len(trade.orders) == 1
# Increase position by 100
backtesting.strategy.adjust_trade_position = MagicMock(return_value=100)
@ -140,7 +147,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
assert trade
assert pytest.approx(trade.stake_amount) == 200.0
assert pytest.approx(trade.amount) == 95.23809524
assert pytest.approx(trade.amount) == 95.23809524 * leverage
assert len(trade.orders) == 2
# Reduce by more than amount - no change to trade.
@ -150,7 +157,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
assert trade
assert pytest.approx(trade.stake_amount) == 200.0
assert pytest.approx(trade.amount) == 95.23809524
assert pytest.approx(trade.amount) == 95.23809524 * leverage
assert len(trade.orders) == 2
assert trade.nr_of_successful_entries == 2
@ -160,7 +167,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
assert trade
assert pytest.approx(trade.stake_amount) == 100.0
assert pytest.approx(trade.amount) == 47.61904762
assert pytest.approx(trade.amount) == 47.61904762 * leverage
assert len(trade.orders) == 3
assert trade.nr_of_successful_entries == 2
assert trade.nr_of_successful_exits == 1
@ -171,7 +178,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker) -> Non
assert trade
assert pytest.approx(trade.stake_amount) == 100.0
assert pytest.approx(trade.amount) == 47.61904762
assert pytest.approx(trade.amount) == 47.61904762 * leverage
assert len(trade.orders) == 3
assert trade.nr_of_successful_entries == 2
assert trade.nr_of_successful_exits == 1

17
tests/test_integration.py
View File

@ -2,7 +2,7 @@ from unittest.mock import MagicMock
import pytest
from freqtrade.enums import ExitCheckTuple, ExitType
from freqtrade.enums import ExitCheckTuple, ExitType, TradingMode
from freqtrade.persistence import Trade
from freqtrade.persistence.models import Order
from freqtrade.rpc.rpc import RPC
@ -455,10 +455,12 @@ def test_dca_order_adjust(default_conf_usdt, ticker_usdt, fee, mocker) -> None:
assert pytest.approx(trade.orders[-1].amount) == 61.538461232
def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> None:
@pytest.mark.parametrize('leverage', [1, 2])
def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog, leverage) -> None:
default_conf_usdt['position_adjustment_enable'] = True
freqtrade = get_patched_freqtradebot(mocker, default_conf_usdt)
freqtrade.trading_mode = TradingMode.FUTURES
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
fetch_ticker=ticker_usdt,
@ -467,15 +469,17 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
price_to_precision=lambda s, x, y: y,
get_min_pair_stake_amount=MagicMock(return_value=10),
)
mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=10)
patch_get_signal(freqtrade)
freqtrade.strategy.leverage = MagicMock(return_value=leverage)
freqtrade.enter_positions()
assert len(Trade.get_trades().all()) == 1
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
assert pytest.approx(trade.amount) == 30.0
assert pytest.approx(trade.amount) == 30.0 * leverage
assert trade.open_rate == 2.0
# Too small size
@ -484,8 +488,9 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
trade = Trade.get_trades().first()
assert len(trade.orders) == 1
assert pytest.approx(trade.stake_amount) == 60
assert pytest.approx(trade.amount) == 30.0
assert log_has_re("Remaining amount of 1.6.* would be smaller than the minimum of 10.", caplog)
assert pytest.approx(trade.amount) == 30.0 * leverage
assert log_has_re(
r"Remaining amount of \d\.\d+.* would be smaller than the minimum of 10.", caplog)
freqtrade.strategy.adjust_trade_position = MagicMock(return_value=-20)
@ -494,7 +499,7 @@ def test_dca_exiting(default_conf_usdt, ticker_usdt, fee, mocker, caplog) -> Non
assert len(trade.orders) == 2
assert trade.orders[-1].ft_order_side == 'sell'
assert pytest.approx(trade.stake_amount) == 40.198
assert pytest.approx(trade.amount) == 20.099
assert pytest.approx(trade.amount) == 20.099 * leverage
assert trade.open_rate == 2.0
assert trade.is_open
caplog.clear()