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Add support for shorts in strategy.stoploss_from_open

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Signed-off-by: Guillermo Rodríguez <guillebep@gmail.com>
This commit is contained in:
Guillermo Rodríguez
2022-01-15 04:30:30 +01:00
parent dd37e5cfb8
commit d28287880c
2 changed files with 45 additions and 36 deletions
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60
tests/strategy/test_strategy_helpers.py
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@@ -109,33 +109,47 @@ def test_stoploss_from_open():
[1, 100, 30],
[100, 10000, 30],
]
current_profit_range = [-0.99, 2, 30]
# profit range for long is [-1, inf] while for shorts is [-inf, 1]
current_profit_range_dict = {'long': [-0.99, 2, 30], 'short': [-2.0, 0.99, 30]}
desired_stop_range = [-0.50, 0.50, 30]
for open_range in open_price_ranges:
for open_price in np.linspace(*open_range):
for desired_stop in np.linspace(*desired_stop_range):
for side, current_profit_range in current_profit_range_dict.items():
for open_range in open_price_ranges:
for open_price in np.linspace(*open_range):
for desired_stop in np.linspace(*desired_stop_range):
# -1 is not a valid current_profit, should return 1
assert stoploss_from_open(desired_stop, -1) == 1
for current_profit in np.linspace(*current_profit_range):
current_price = open_price * (1 + current_profit)
expected_stop_price = open_price * (1 + desired_stop)
stoploss = stoploss_from_open(desired_stop, current_profit)
assert stoploss >= 0
assert stoploss <= 1
stop_price = current_price * (1 - stoploss)
# there is no correct answer if the expected stop price is above
# the current price
if expected_stop_price > current_price:
assert stoploss == 0
if side == 'long':
# -1 is not a valid current_profit, should return 1
assert stoploss_from_open(desired_stop, -1) == 1
else:
assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)
# 1 is not a valid current_profit for shorts, should return 1
assert stoploss_from_open(desired_stop, 1, True) == 1
for current_profit in np.linspace(*current_profit_range):
if side == 'long':
current_price = open_price * (1 + current_profit)
expected_stop_price = open_price * (1 + desired_stop)
stoploss = stoploss_from_open(desired_stop, current_profit)
stop_price = current_price * (1 - stoploss)
else:
current_price = open_price * (1 - current_profit)
expected_stop_price = open_price * (1 - desired_stop)
stoploss = stoploss_from_open(desired_stop, current_profit, True)
stop_price = current_price * (1 + stoploss)
assert stoploss >= 0
# Technically the formula can yield values greater than 1 for shorts
# eventhough it doesn't make sense because the position would be liquidated
if side == 'long':
assert stoploss <= 1
# there is no correct answer if the expected stop price is above
# the current price
if (side == 'long' and expected_stop_price > current_price) \
or (side == 'short' and expected_stop_price < current_price):
assert stoploss == 0
else:
assert isclose(stop_price, expected_stop_price, rel_tol=0.00001)
def test_stoploss_from_absolute():