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test_backtest__enter_trade_futures - fixed formula in comments

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Sam Germain 2022-03-02 01:26:47 -06:00
parent 1c4a7c25d7
commit c0fb6f7e85
1 changed files with 5 additions and 5 deletions
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10
tests/optimize/test_backtesting.py
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@ -597,7 +597,7 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
# leverage = 5
# ep1(trade.open_rate) = 0.001
# position(trade.amount) = 60000
# position(trade.amount) = 1500000
# stake_amount = 300 -> wb = 300 / 5 = 60
# mmr = 0.01
# cum_b = 0.01
@ -605,15 +605,15 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
#
# Binance, Long
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# ((300 + 0.01) - (1 * 150000 * 0.001)) / ((150000 * 0.01) - (1 * 150000)) = -0.00101016835
# TODO-lev: is the above formula correct?
# The values inserted above seem correct, but the result is different.
# ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000))
# = 0.0008080740740740741
trade = backtesting._enter_trade(pair, row=row, direction='long')
assert pytest.approx(trade.isolated_liq) == 0.00081767037
# Binance, Short
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# ((300 + 0.01) - ((-1) * 150000 * 0.001)) / ((150000 * 0.01) - ((-1) * 150000)) = 0.002970363
# ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000))
# = 0.0011881254125412541
trade = backtesting._enter_trade(pair, row=row, direction='short')
assert pytest.approx(trade.isolated_liq) == 0.0011787191