stable/docs/test-analysis-lev.md

Margin-db Pull Request Review

Calculations

Binance interest formula

I (interest) = P (borrowed money) * R (daily_interest/24) * ceiling(T) (in hours)

source

Kraken interest formula

Opening fee  = P (borrowed money) * R (quat_hourly_interest)
Rollover fee = P (borrowed money) * R (quat_hourly_interest) * ceiling(T/4) (in hours)
I (interest) = Opening fee + Rollover fee

source

Profit ratio for short trades

profit_ratio = (1 - (close_trade_value/self.open_trade_value))

Profit ratio for leveraged trades

leveraged_profit_ratio = profit_ratio * leverage

Tests

To add shorting and leverage functionality to freqtrade, the majority of changes involved editing existing methods within freqtrade/persistence/models.py. freqtrade/persistence/models was already fully tested, so to test the new functionality, new tests were created inside tests/persistence/test_persistence_short.py and tests/persistence/test_persistence_leverage.py, which mirrored the the tests inside tests/persistence/test_persistence.py, but accounted for additional factors created by leverage and short trading

Factors added to freqtrade/persistence

Short trading

• Exit trade amounts are slightly higher than their enter amounts, due to the extra amount purchased for paying back interest owed for the amount of currency borrowed
• Profit calculation were calculated inversely compared to longs
• Stoplosses moved in the reverse direction
• The entering/starting trade was a "sell" and the exiting/closing trade was a "buy"

Leveraged long trading

• Leveraged long trades had the amount of interest owed subtracted from the value of their exiting trade

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These are all the tests from test_persistence.py for which mirror versions were created inside test_persistence_short.py and test_persistence_long.py. These tests were chosen because the factors listed above affect the output of these methods. Some tests were only mirrored within test_persistence_short.py because the methods they test would not be impacted by leverage. test_persistence_short.pyrepeated tests from test_persistence.py, but for short trades, to make sure that the methods tested calculated the right values for shorts, and test_persistence_long.pyrepeated tests from test_persistence.py, but for leveraged long trades, to make sure that the methods tested calculated the right values when leverage was involved

test_persistence	test_persistence_short	test_persistence_leverage
test_update_with_binance	test_update_with_binance_short	test_update_with_binance_lev
test_update_market_order	test_update_market_order_short	test_update_market_order_lev
test_update_open_order	test_update_open_order_short	test_update_open_order_lev
test_calc_open_trade_value	test_calc_open_trade_value_short	test_calc_open_trade_value_lev
test_calc_open_close_trade_price	test_calc_open_close_trade_price_short	test_calc_open_close_trade_price_lev
test_trade_close	test_trade_close_short	test_trade_close_lev
test_calc_close_trade_price_exception	test_calc_close_trade_price_exception_short	test_calc_close_trade_price_exception_lev
test_calc_close_trade_price	test_calc_close_trade_price_short	test_calc_close_trade_price_lev
test_calc_close_trade_price_exception	test_calc_close_trade_price_exception_short	test_calc_close_trade_price_exception_lev
test_calc_profit & test_calc_profit_ratio	test_calc_profit_short	test_calc_profit_lev
Tests with no equivelent in test_persistence_lev
test_adjust_stop_loss	test_adjust_stop_loss_short
test_get_open	test_get_open_short
test_total_open_trades_stakes	test_total_open_trades_stakes_short
test_stoploss_reinitialization	test_stoploss_reinitialization_short
test_get_best_pair	test_get_best_pair_short

Tests not repeated

These tests did not have an equivelent version created inside test_persistence_short.py or test_persistence_lev.py because no new situations arise in the methods they test when adding leverage or short trading to freqtrade/persistence

• test_init_create_session
• test_init_custom_db_url
• test_init_invalid_db_url
• test_init_prod_db
• test_init_dryrun_db
• test_update_order_from_ccxt
• test_select_order
• test_Trade_object_idem
• test_get_trades_proxy
• test_update_fee
• test_fee_updated
• test_to_json
• test_migrate_old
• test_migrate_new
• test_migrate_mid_state
• test_clean_dry_run_db
• test_update_invalid_order
• test_adjust_min_max_rates
• test_get_trades_backtest
• test_get_overall_performance

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Original tests

These methods were added to LocalTrade in freqtrade/persistence/models.py

• is_opening_trade
• is_closing_trade
• set_stop_loss
• set_liquidation_price
• calculate_interest
• borrowed(calculated property)

These were the tests created to test these methods

test_persistence	test_persistence_short	test_persistence_lev
test_is_opening_closing_trade	/	/
test_set_stop_loss_liquidation_price	/	/
/	test_interest_kraken_short	test_interest_binance_short
/	test_interest_kraken_lev	test_interest_binance_lev

test_is_opening_closing_trade

Tested methods from freqtrade/persistence/models.py

• LocalTrade.is_opening_trade
• LocalTrade.is_closing_trade

Tested to check that the correct boolean value is returned according to this truth table

	is_opening_trade		is_closing_trade
	short	long	short	long
side="buy"	False	True	True	False
side="sell"	True	False	False	True

test_set_stop_loss_liquidation_price

Tested methods from freqtrade/persistence/models.py

• LocalTrade.set_stop_loss
• LocalTrade.set_liquidation_price

Tested to check for these conditions

• LocalTrade.stop_loss is never lower than LocalTrade.liquidation_price for longs
• LocalTrade.stop_loss is never higher than LocalTrade.liquidation_price for shorts
• LocalTrade.stop_loss and LocalTrade.intial_stop_loss are assigned to the value of LocalTrade.liquidation_price when no LocalTrade.stop_loss is not assigned
• LocalTrade.liquidation_price is not changed when LocalTrade.stop_loss gets assigned

LocalTrade.calculate_interest

Tests created to test this method

• test_interest_kraken_short
• test_interest_binance_short
• test_interest_kraken_lev
• test_interest_binance_lev

Conditions tested

• correct interest calculated for a short trade made on kraken
• correct interest calculated for a long trade made on kraken
• correct interest calculated for a short trade made on binance
• correct interest calculated for a long trade made on binance

LocalTrade.borrowed

Tested within

• test_update_with_binance_short
• test_update_with_binance_lev

Conditions tested for

• borrowed was equal to amount for short trades
• borrowed was equal to amount * leverage-1 for long trades (1 is subtracted from leverage because the collateral is in the borrowed currency and is already owned)