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Split enter and exit rows to use different values

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Matthias
2024-04-11 20:54:16 +02:00
parent eaec5065a1
commit e09abfdc75
1 changed files with 25 additions and 10 deletions
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tests/optimize/test_backtesting_adjust_position.py
+24 -9
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@@ -121,8 +121,8 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
backtesting._can_short = True backtesting._can_short = True
backtesting._set_strategy(backtesting.strategylist[0]) backtesting._set_strategy(backtesting.strategylist[0])
pair = 'XRP/USDT:USDT' pair = 'XRP/USDT:USDT'
row = [ row_enter = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0), pd.Timestamp(year=2020, month=1, day=1, hour=4, minute=0),
2.1, # Open 2.1, # Open
2.2, # High 2.2, # High
1.9, # Low 1.9, # Low
@@ -134,9 +134,23 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
'', # enter_tag '', # enter_tag
'', # exit_tag '', # exit_tag
] ]
# Exit row - with slightly different values
row_exit = [
pd.Timestamp(year=2020, month=1, day=1, hour=5, minute=0),
2.2, # Open
2.3, # High
2.0, # Low
2.2, # Close
1, # enter_long
0, # exit_long
0, # enter_short
0, # exit_short
'', # enter_tag
'', # exit_tag
]
backtesting.strategy.leverage = MagicMock(return_value=leverage) backtesting.strategy.leverage = MagicMock(return_value=leverage)
trade = backtesting._enter_trade(pair, row=row, direction='long') trade = backtesting._enter_trade(pair, row=row_enter, direction='long')
current_time = row[0].to_pydatetime() current_time = row_enter[0].to_pydatetime()
assert trade assert trade
assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.stake_amount) == 100.0
assert pytest.approx(trade.amount) == 47.61904762 * leverage assert pytest.approx(trade.amount) == 47.61904762 * leverage
@@ -144,7 +158,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
backtesting.strategy.adjust_trade_position = MagicMock(return_value=None) backtesting.strategy.adjust_trade_position = MagicMock(return_value=None)
assert pytest.approx(trade.liquidation_price) == (0.10278333 if leverage == 1 else 1.2122249) assert pytest.approx(trade.liquidation_price) == (0.10278333 if leverage == 1 else 1.2122249)
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time) trade = backtesting._get_adjust_trade_entry_for_candle(trade, row_enter, current_time)
assert trade assert trade
assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.stake_amount) == 100.0
assert pytest.approx(trade.amount) == 47.61904762 * leverage assert pytest.approx(trade.amount) == 47.61904762 * leverage
@@ -152,7 +166,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
# Increase position by 100 # Increase position by 100
backtesting.strategy.adjust_trade_position = MagicMock(return_value=(100, 'PartIncrease')) backtesting.strategy.adjust_trade_position = MagicMock(return_value=(100, 'PartIncrease'))
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time) trade = backtesting._get_adjust_trade_entry_for_candle(trade, row_enter, current_time)
liq_price = 0.1038916 if leverage == 1 else 1.2127791 liq_price = 0.1038916 if leverage == 1 else 1.2127791
assert trade assert trade
@@ -164,8 +178,9 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
# Reduce by more than amount - no change to trade. # Reduce by more than amount - no change to trade.
backtesting.strategy.adjust_trade_position = MagicMock(return_value=-500) backtesting.strategy.adjust_trade_position = MagicMock(return_value=-500)
current_time = row_exit[0].to_pydatetime()
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time) trade = backtesting._get_adjust_trade_entry_for_candle(trade, row_exit, current_time)
assert trade assert trade
assert pytest.approx(trade.stake_amount) == 200.0 assert pytest.approx(trade.stake_amount) == 200.0
@@ -176,7 +191,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
# Reduce position by 50 # Reduce position by 50
backtesting.strategy.adjust_trade_position = MagicMock(return_value=(-100, 'partDecrease')) backtesting.strategy.adjust_trade_position = MagicMock(return_value=(-100, 'partDecrease'))
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time) trade = backtesting._get_adjust_trade_entry_for_candle(trade, row_exit, current_time)
assert trade assert trade
assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.stake_amount) == 100.0
@@ -189,7 +204,7 @@ def test_backtest_position_adjustment_detailed(default_conf, fee, mocker, levera
# Adjust below minimum # Adjust below minimum
backtesting.strategy.adjust_trade_position = MagicMock(return_value=-99) backtesting.strategy.adjust_trade_position = MagicMock(return_value=-99)
trade = backtesting._get_adjust_trade_entry_for_candle(trade, row, current_time) trade = backtesting._get_adjust_trade_entry_for_candle(trade, row_exit, current_time)
assert trade assert trade
assert pytest.approx(trade.stake_amount) == 100.0 assert pytest.approx(trade.stake_amount) == 100.0