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Merge pull request #6011 from freqtrade/lev/backtesting

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correctly apply leverage to backtesting
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Matthias 2021-12-01 19:49:40 +01:00 committed by GitHub
commit 77443d5abc
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3 changed files with 25 additions and 1 deletions
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2
freqtrade/optimize/backtesting.py
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@ -491,7 +491,7 @@ class Backtesting:
open_rate=row[OPEN_IDX],
open_date=current_time,
stake_amount=stake_amount,
amount=round(stake_amount / row[OPEN_IDX], 8),
amount=round((stake_amount / row[OPEN_IDX]) * leverage, 8),
fee_open=self.fee,
fee_close=self.fee,
is_open=True,

1
tests/optimize/__init__.py
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@ -36,6 +36,7 @@ class BTContainer(NamedTuple):
trailing_stop_positive_offset: float = 0.0
use_sell_signal: bool = False
use_custom_stoploss: bool = False
leverage: float = 1.0
def _get_frame_time_from_offset(offset):

23
tests/optimize/test_backtest_detail.py
View File

@ -536,6 +536,23 @@ tc33 = BTContainer(data=[
)]
)
# Test 34: (copy of test25 with leverage)
# Sell with signal sell in candle 3 (stoploss also triggers on this candle)
# Stoploss at 1%.
# Sell-signal wins over stoploss
tc34 = BTContainer(data=[
# D O H L C V B S
[0, 5000, 5025, 4975, 4987, 6172, 1, 0],
[1, 5000, 5025, 4975, 4987, 6172, 0, 0], # enter trade (signal on last candle)
[2, 4987, 5012, 4986, 4986, 6172, 0, 0],
[3, 5010, 5010, 4986, 5010, 6172, 0, 1],
[4, 5010, 5010, 4855, 4995, 6172, 0, 0], # Triggers stoploss + sellsignal acted on
[5, 4995, 4995, 4950, 4950, 6172, 0, 0]],
stop_loss=-0.01, roi={"0": 1}, profit_perc=0.002 * 5.0, use_sell_signal=True,
leverage=5.0,
trades=[BTrade(sell_reason=SellType.SELL_SIGNAL, open_tick=1, close_tick=4)]
)
TESTS = [
tc0,
tc1,
@ -571,6 +588,7 @@ TESTS = [
tc31,
tc32,
tc33,
tc34,
# TODO-lev: Add tests for short here
]
@ -593,14 +611,19 @@ def test_backtest_results(default_conf, fee, mocker, caplog, data) -> None:
mocker.patch("freqtrade.exchange.Exchange.get_fee", return_value=0.0)
mocker.patch("freqtrade.exchange.Exchange.get_min_pair_stake_amount", return_value=0.00001)
mocker.patch("freqtrade.exchange.Binance.get_max_leverage", return_value=100)
patch_exchange(mocker)
frame = _build_backtest_dataframe(data.data)
backtesting = Backtesting(default_conf)
backtesting._set_strategy(backtesting.strategylist[0])
backtesting.required_startup = 0
if data.leverage > 1.0:
# TODO-lev: Should we initialize this properly??
backtesting._can_short = True
backtesting.strategy.advise_entry = lambda a, m: frame
backtesting.strategy.advise_exit = lambda a, m: frame
backtesting.strategy.use_custom_stoploss = data.use_custom_stoploss
backtesting.strategy.leverage = lambda **kwargs: data.leverage
caplog.set_level(logging.DEBUG)
pair = "UNITTEST/BTC"