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Add ROI test

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This commit is contained in:
Matthias 2022-03-16 19:51:12 +01:00
parent a89c1da19f
commit c0781a98e8
1 changed files with 18 additions and 0 deletions
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18
tests/optimize/test_backtest_detail.py
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@ -361,6 +361,23 @@ tc22 = BTContainer(data=[
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)] trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2)]
) )
# Test 22s: trailing_stop Raises in candle 2 - but ROI applies at the same time.
# applying a positive trailing stop of 3% - ROI should apply before trailing stop.
# stop-loss: 10%, ROI: 4%, stoploss adjusted candle 2
tc22s = BTContainer(data=[
# D O H L C V EL XL ES Xs BT
[0, 5000, 5050, 4950, 5000, 6172, 0, 0, 1, 0],
[1, 5000, 5050, 4900, 4900, 6172, 0, 0, 0, 0],
[2, 4900, 4900, 4749, 4900, 6172, 0, 0, 0, 0],
[3, 4850, 5050, 4650, 4750, 6172, 0, 0, 0, 0],
[4, 4750, 4950, 4350, 4750, 6172, 0, 0, 0, 0]],
stop_loss=-0.10, roi={"0": 0.04}, profit_perc=0.04, trailing_stop=True,
trailing_only_offset_is_reached=True, trailing_stop_positive_offset=0.05,
trailing_stop_positive=0.03,
trades=[BTrade(sell_reason=SellType.ROI, open_tick=1, close_tick=2, is_short=True)]
)
# Test 23: trailing_stop Raises in candle 2 (does not trigger) # Test 23: trailing_stop Raises in candle 2 (does not trigger)
# applying a positive trailing stop of 3% since stop_positive_offset is reached. # applying a positive trailing stop of 3% since stop_positive_offset is reached.
# ROI is changed after this to 4%, dropping ROI below trailing_stop_positive, causing a sell # ROI is changed after this to 4%, dropping ROI below trailing_stop_positive, causing a sell
@ -685,6 +702,7 @@ TESTS = [
tc20, tc20,
tc21, tc21,
tc22, tc22,
tc22s,
tc23, tc23,
tc24, tc24,
tc25, tc25,