Merge pull request #4543 from brookmiles/fix-math-custom-stoploss-docs

correct math used in examples and clarify some terminology regarding …

tests/strategy/test_strategy_helpers.py

@@ -1,8 +1,10 @@
+from math import isclose
+
 import numpy as np
 import pandas as pd
 import pytest
 
-from freqtrade.strategy import merge_informative_pair, timeframe_to_minutes
+from freqtrade.strategy import merge_informative_pair, stoploss_from_open, timeframe_to_minutes
 
 
 def generate_test_data(timeframe: str, size: int):
@@ -95,3 +97,38 @@ def test_merge_informative_pair_lower():
 
     with pytest.raises(ValueError, match=r"Tried to merge a faster timeframe .*"):
         merge_informative_pair(data, informative, '1h', '15m', ffill=True)
+
+
+def test_stoploss_from_open():
+    open_price_ranges = [
+        [0.01, 1.00, 30],
+        [1, 100, 30],
+        [100, 10000, 30],
+    ]
+    current_profit_range = [-0.99, 2, 30]
+    desired_stop_range = [-0.50, 0.50, 30]
+
+    for open_range in open_price_ranges:
+        for open_price in np.linspace(*open_range):
+            for desired_stop in np.linspace(*desired_stop_range):
+
+                # -1 is not a valid current_profit, should return 1
+                assert stoploss_from_open(desired_stop, -1) == 1
+
+                for current_profit in np.linspace(*current_profit_range):
+                    current_price = open_price * (1 + current_profit)
+                    expected_stop_price = open_price * (1 + desired_stop)
+
+                    stoploss = stoploss_from_open(desired_stop, current_profit)
+
+                    assert stoploss >= 0
+                    assert stoploss <= 1
+
+                    stop_price = current_price * (1 - stoploss)
+
+                    # there is no correct answer if the expected stop price is above
+                    # the current price
+                    if expected_stop_price > current_price:
+                        assert stoploss == 0
+                    else:
+                        assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)