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Merge pull request #1365 from mishaker/edge_position

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Fix edge position sizing.
This commit is contained in:
Matthias
2018-12-06 20:02:31 +01:00
committed by GitHub
parent 40376c1e74 0ea7dc9272
commit aa579bafa4
13 changed files with 197 additions and 45 deletions
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5
freqtrade/tests/conftest.py
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@@ -10,6 +10,7 @@ import arrow
import pytest
from telegram import Chat, Message, Update
from freqtrade import constants
from freqtrade.exchange.exchange_helpers import parse_ticker_dataframe
from freqtrade.exchange import Exchange
from freqtrade.edge import Edge, PairInfo
@@ -63,7 +64,6 @@ def patch_edge(mocker) -> None:
'LTC/BTC': PairInfo(-0.21, 0.66, 3.71, 0.50, 1.71, 11, 20),
}
))
mocker.patch('freqtrade.edge.Edge.stoploss', MagicMock(return_value=-0.20))
mocker.patch('freqtrade.edge.Edge.calculate', MagicMock(return_value=True))
@@ -788,10 +788,13 @@ def buy_order_fee():
@pytest.fixture(scope="function")
def edge_conf(default_conf):
default_conf['max_open_trades'] = -1
default_conf['stake_amount'] = constants.UNLIMITED_STAKE_AMOUNT
default_conf['edge'] = {
"enabled": True,
"process_throttle_secs": 1800,
"calculate_since_number_of_days": 14,
"capital_available_percentage": 0.5,
"allowed_risk": 0.01,
"stoploss_range_min": -0.01,
"stoploss_range_max": -0.1,

62
freqtrade/tests/edge/test_edge.py
View File

@@ -123,9 +123,9 @@ def test_edge_results(edge_conf, mocker, caplog, data) -> None:
assert res.close_time == _get_frame_time_from_offset(trade.close_tick)
def test_adjust(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
def test_adjust(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
@@ -138,9 +138,9 @@ def test_adjust(mocker, default_conf):
assert(edge.adjust(pairs) == ['E/F', 'C/D'])
def test_stoploss(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
def test_stoploss(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
@@ -152,9 +152,9 @@ def test_stoploss(mocker, default_conf):
assert edge.stoploss('E/F') == -0.01
def test_nonexisting_stoploss(mocker, default_conf):
freqtrade = get_patched_freqtradebot(mocker, default_conf)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
def test_nonexisting_stoploss(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.01, 0.66, 3.71, 0.50, 1.71, 10, 60),
@@ -164,6 +164,42 @@ def test_nonexisting_stoploss(mocker, default_conf):
assert edge.stoploss('N/O') == -0.1
def test_stake_amount(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
))
free = 100
total = 100
in_trade = 25
assert edge.stake_amount('E/F', free, total, in_trade) == 31.25
free = 20
total = 100
in_trade = 25
assert edge.stake_amount('E/F', free, total, in_trade) == 20
free = 0
total = 100
in_trade = 25
assert edge.stake_amount('E/F', free, total, in_trade) == 0
def test_nonexisting_stake_amount(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
return_value={
'E/F': PairInfo(-0.11, 0.66, 3.71, 0.50, 1.71, 10, 60),
}
))
# should use strategy stoploss
assert edge.stake_amount('N/O', 1, 2, 1) == 0.15
def _validate_ohlc(buy_ohlc_sell_matrice):
for index, ohlc in enumerate(buy_ohlc_sell_matrice):
# if not high < open < low or not high < close < low
@@ -246,12 +282,12 @@ def mocked_load_data(datadir, pairs=[], ticker_interval='0m', refresh_pairs=Fals
return pairdata
def test_edge_process_downloaded_data(mocker, default_conf):
default_conf['datadir'] = None
freqtrade = get_patched_freqtradebot(mocker, default_conf)
def test_edge_process_downloaded_data(mocker, edge_conf):
edge_conf['datadir'] = None
freqtrade = get_patched_freqtradebot(mocker, edge_conf)
mocker.patch('freqtrade.exchange.Exchange.get_fee', MagicMock(return_value=0.001))
mocker.patch('freqtrade.optimize.load_data', mocked_load_data)
edge = Edge(default_conf, freqtrade.exchange, freqtrade.strategy)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
assert edge.calculate()
assert len(edge._cached_pairs) == 2

37
freqtrade/tests/test_freqtradebot.py
View File

@@ -260,8 +260,8 @@ def test_edge_overrides_stake_amount(mocker, edge_conf) -> None:
patch_edge(mocker)
freqtrade = FreqtradeBot(edge_conf)
assert freqtrade._get_trade_stake_amount('NEO/BTC') == (0.001 * 0.01) / 0.20
assert freqtrade._get_trade_stake_amount('LTC/BTC') == (0.001 * 0.01) / 0.20
assert freqtrade._get_trade_stake_amount('NEO/BTC') == (999.9 * 0.5 * 0.01) / 0.20
assert freqtrade._get_trade_stake_amount('LTC/BTC') == (999.9 * 0.5 * 0.01) / 0.21
def test_edge_overrides_stoploss(limit_buy_order, fee, markets, caplog, mocker, edge_conf) -> None:
@@ -342,6 +342,39 @@ def test_edge_should_ignore_strategy_stoploss(limit_buy_order, fee, markets,
assert freqtrade.handle_trade(trade) is False
def test_total_open_trades_stakes(mocker, default_conf, ticker,
limit_buy_order, fee, markets) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)
default_conf['stake_amount'] = 0.0000098751
mocker.patch.multiple(
'freqtrade.exchange.Exchange',
get_ticker=ticker,
buy=MagicMock(return_value={'id': limit_buy_order['id']}),
get_fee=fee,
get_markets=markets
)
freqtrade = FreqtradeBot(default_conf)
patch_get_signal(freqtrade)
freqtrade.create_trade()
trade = Trade.query.first()
assert trade is not None
assert trade.stake_amount == 0.0000098751
assert trade.is_open
assert trade.open_date is not None
freqtrade.create_trade()
trade = Trade.query.order_by(Trade.id.desc()).first()
assert trade is not None
assert trade.stake_amount == 0.0000098751
assert trade.is_open
assert trade.open_date is not None
assert Trade.total_open_trades_stakes() == 1.97502e-05
def test_get_min_pair_stake_amount(mocker, default_conf) -> None:
patch_RPCManager(mocker)
patch_exchange(mocker)

2
freqtrade/tests/test_wallets.py
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@@ -58,6 +58,8 @@ def test_sync_wallet_at_boot(mocker, default_conf):
assert freqtrade.wallets.wallets['GAS'].used == 0.1
assert freqtrade.wallets.wallets['GAS'].total == 0.260439
assert freqtrade.wallets.get_free('GAS') == 0.270739
assert freqtrade.wallets.get_used('GAS') == 0.1
assert freqtrade.wallets.get_total('GAS') == 0.260439
def test_sync_wallet_missing_data(mocker, default_conf):