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Position-size should NEVER be over available_capital

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Part of #4353
This commit is contained in:
Matthias 2021-02-11 17:09:31 +01:00
parent 3110d2dbb1
commit aa79574c0c
2 changed files with 28 additions and 14 deletions
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3
freqtrade/edge/edge_positioning.py
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@ -159,7 +159,8 @@ class Edge:
available_capital = (total_capital + capital_in_trade) * self._capital_ratio available_capital = (total_capital + capital_in_trade) * self._capital_ratio
allowed_capital_at_risk = available_capital * self._allowed_risk allowed_capital_at_risk = available_capital * self._allowed_risk
max_position_size = abs(allowed_capital_at_risk / stoploss) max_position_size = abs(allowed_capital_at_risk / stoploss)
position_size = min(max_position_size, free_capital) # Position size must be below available capital.
position_size = min(min(max_position_size, free_capital), available_capital)
if pair in self._cached_pairs: if pair in self._cached_pairs:
logger.info( logger.info(
'winrate: %s, expectancy: %s, position size: %s, pair: %s,' 'winrate: %s, expectancy: %s, position size: %s, pair: %s,'

39
tests/edge/test_edge.py
View File

@ -209,7 +209,7 @@ def test_nonexisting_stoploss(mocker, edge_conf):
assert edge.stoploss('N/O') == -0.1 assert edge.stoploss('N/O') == -0.1
def test_stake_amount(mocker, edge_conf): def test_edge_stake_amount(mocker, edge_conf):
freqtrade = get_patched_freqtradebot(mocker, edge_conf) freqtrade = get_patched_freqtradebot(mocker, edge_conf)
edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy) edge = Edge(edge_conf, freqtrade.exchange, freqtrade.strategy)
mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock( mocker.patch('freqtrade.edge.Edge._cached_pairs', mocker.PropertyMock(
@ -217,20 +217,33 @@ def test_stake_amount(mocker, edge_conf):
'E/F': PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60), 'E/F': PairInfo(-0.02, 0.66, 3.71, 0.50, 1.71, 10, 60),
} }
)) ))
free = 100 assert edge._capital_ratio == 0.5
total = 100 assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
in_trade = 25 capital_in_trade=25) == 31.25
assert edge.stake_amount('E/F', free, total, in_trade) == 31.25
free = 20 assert edge.stake_amount('E/F', free_capital=20, total_capital=100,
total = 100 capital_in_trade=25) == 20
in_trade = 25
assert edge.stake_amount('E/F', free, total, in_trade) == 20
free = 0 assert edge.stake_amount('E/F', free_capital=0, total_capital=100,
total = 100 capital_in_trade=25) == 0
in_trade = 25
assert edge.stake_amount('E/F', free, total, in_trade) == 0 # Test with increased allowed_risk
# Result should be no more than allowed capital
edge._allowed_risk = 0.4
edge._capital_ratio = 0.5
assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
capital_in_trade=25) == 62.5
assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
capital_in_trade=0) == 50
edge._capital_ratio = 1
# Full capital is available
assert edge.stake_amount('E/F', free_capital=100, total_capital=100,
capital_in_trade=0) == 100
# Full capital is available
assert edge.stake_amount('E/F', free_capital=0, total_capital=100,
capital_in_trade=0) == 0
def test_nonexisting_stake_amount(mocker, edge_conf): def test_nonexisting_stake_amount(mocker, edge_conf):