adelorenzo/stable
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Add testcase for negative ROI after certain period

Browse Source
This commit is contained in:
Matthias 2019-10-05 10:51:17 +02:00
parent 885edc9768
commit 9b98e608e6
1 changed files with 16 additions and 0 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

16
tests/optimize/test_backtest_detail.py
View File

@ -251,6 +251,21 @@ tc15 = BTContainer(data=[
BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)] BTrade(sell_reason=SellType.STOP_LOSS, open_tick=2, close_tick=2)]
) )
# Test 16: Buy, hold for 65 mins, then forcesell using roi=-1
# Causes negative profit even though sell-reason is ROI.
# stop-loss: 10%, ROI: 10% (should not apply), -100% after 65 minutes (limits trade duration)
tc16 = 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],
[2, 4987, 5300, 4950, 5050, 6172, 0, 0],
[3, 4975, 5000, 4940, 4962, 6172, 0, 0], # ForceSell on ROI (roi=-1)
[4, 4962, 4987, 4972, 4950, 6172, 0, 0],
[5, 4950, 4975, 4925, 4950, 6172, 0, 0]],
stop_loss=-0.10, roi={"0": 0.10, "65": -1}, profit_perc=-0.012,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=3)]
)
TESTS = [ TESTS = [
tc0, tc0,
tc1, tc1,
@ -268,6 +283,7 @@ TESTS = [
tc13, tc13,
tc14, tc14,
tc15, tc15,
tc16,
] ]