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test_backtest__enter_trade_futures comment calculations include liquidation buffer

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Sam Germain 2022-03-02 12:46:31 -06:00
parent c0e11beced
commit c9988e0aa2
1 changed files with 16 additions and 6 deletions
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18
tests/optimize/test_backtesting.py
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@ -601,18 +601,28 @@ def test_backtest__enter_trade_futures(default_conf_usdt, fee, mocker) -> None:
# mmr = 0.01 # mmr = 0.01
# cum_b = 0.01 # cum_b = 0.01
# side_1: -1 if is_short else 1 # side_1: -1 if is_short else 1
# liq_buffer = 0.05
# #
# Binance, Long # Binance, Long
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) # liquidation_price
# ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000)) # = ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# = ((300 + 0.01) - (1 * 1500000 * 0.001)) / ((1500000 * 0.01) - (1 * 1500000))
# = 0.0008080740740740741 # = 0.0008080740740740741
# freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
# = 0.0008080740740740741 + ((0.001 - 0.0008080740740740741) * 0.05 * 1)
# = 0.0008176703703703704
trade = backtesting._enter_trade(pair, row=row, direction='long') trade = backtesting._enter_trade(pair, row=row, direction='long')
assert pytest.approx(trade.isolated_liq) == 0.00081767037 assert pytest.approx(trade.isolated_liq) == 0.00081767037
# Binance, Short # Binance, Short
# ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position)) # liquidation_price
# ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000)) # = ((wb + cum_b) - (side_1 * position * ep1)) / ((position * mmr_b) - (side_1 * position))
# = ((300 + 0.01) - ((-1) * 1500000 * 0.001)) / ((1500000 * 0.01) - ((-1) * 1500000))
# = 0.0011881254125412541 # = 0.0011881254125412541
# freqtrade_liquidation_price = liq + (abs(open_rate - liq) * liq_buffer * side_1)
# = 0.0011881254125412541 + (abs(0.001 - 0.0011881254125412541) * 0.05 * -1)
# = 0.0011787191419141915
trade = backtesting._enter_trade(pair, row=row, direction='short') trade = backtesting._enter_trade(pair, row=row, direction='short')
assert pytest.approx(trade.isolated_liq) == 0.0011787191 assert pytest.approx(trade.isolated_liq) == 0.0011787191