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Improve test precision

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This commit is contained in:
Matthias 2022-08-24 20:44:48 +02:00
parent 32faad9333
commit 70df037690
1 changed files with 15 additions and 14 deletions
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29
tests/optimize/test_backtesting.py
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@ -550,6 +550,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001) mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf')) mocker.patch("freqtrade.exchange.Exchange.get_max_pair_stake_amount", return_value=float('inf'))
mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=100) mocker.patch("freqtrade.exchange.Exchange.get_max_leverage", return_value=100)
mocker.patch("freqtrade.optimize.backtesting.price_to_precision", lambda p, *args: p)
patch_exchange(mocker) patch_exchange(mocker)
default_conf_usdt['stake_amount'] = 300 default_conf_usdt['stake_amount'] = 300
default_conf_usdt['max_open_trades'] = 2 default_conf_usdt['max_open_trades'] = 2
@ -562,10 +563,10 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
pair = 'ETH/USDT:USDT' pair = 'ETH/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),
0.001, # Open 0.1, # Open
0.0012, # High 0.12, # High
0.00099, # Low 0.099, # Low
0.0011, # Close 0.11, # Close
1, # enter_long 1, # enter_long
0, # exit_long 0, # exit_long
1, # enter_short 1, # enter_short
@ -580,8 +581,8 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
return_value=(0.01, 0.01)) return_value=(0.01, 0.01))
# leverage = 5 # leverage = 5
# ep1(trade.open_rate) = 0.001 # ep1(trade.open_rate) = 0.1
# position(trade.amount) = 1500000 # position(trade.amount) = 15000
# stake_amount = 300 -> wb = 300 / 5 = 60 # stake_amount = 300 -> wb = 300 / 5 = 60
# mmr = 0.01 # mmr = 0.01
# cum_b = 0.01 # cum_b = 0.01
@ -591,26 +592,26 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
# Binance, Long # Binance, Long
# liquidation_price # liquidation_price
# = ((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))
# = ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000)) # = ((300 + 0.01) - (1 * 15000 * 0.1)) / ((15000 * 0.01) - (1 * 15000))
# = 0.0008080740740740741 # = 0.0008080740740740741
# freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1) # freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
# = 0.0008080740740740741 + ((0.001 - 0.0008080740740740741) * 0.05 * 1) # = 0.08080740740740741 + ((0.1 - 0.08080740740740741) * 0.05 * 1)
# = 0.0008176703703703704 # = 0.08176703703703704
trade = backtesting._enter_trade(pair, row=row, direction='long') trade = backtesting._enter_trade(pair, row=row, direction='long')
assert pytest.approx(trade.liquidation_price) == 0.00081767037 assert pytest.approx(trade.liquidation_price) == 0.081767037
# Binance, Short # Binance, Short
# liquidation_price # liquidation_price
# = ((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))
# = ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000)) # = ((300 + 0.01) - ((-1) * 15000 * 0.1)) / ((15000 * 0.01) - ((-1) * 15000))
# = 0.0011881254125412541 # = 0.0011881254125412541
# freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1) # freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
# = 0.0011881254125412541 + (abs(0.001 - 0.0011881254125412541) * 0.05 * -1) # = 0.11881254125412541 + (abs(0.1 - 0.11881254125412541) * 0.05 * -1)
# = 0.0011787191419141915 # = 0.11787191419141915
trade = backtesting._enter_trade(pair, row=row, direction='short') trade = backtesting._enter_trade(pair, row=row, direction='short')
assert pytest.approx(trade.liquidation_price) == 0.0011787191 assert pytest.approx(trade.liquidation_price) == 0.11787191
# 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)