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Stop from open with leverage

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This commit is contained in:
Matthias 2023-03-04 18:00:06 +01:00
parent 51c15d894b
commit 027e023443
2 changed files with 19 additions and 12 deletions
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13
freqtrade/strategy/strategy_helper.py
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@ -86,7 +86,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
def stoploss_from_open( def stoploss_from_open(
open_relative_stop: float, open_relative_stop: float,
current_profit: float, current_profit: float,
is_short: bool = False is_short: bool = False,
leverage: float = 1.0
) -> float: ) -> float:
""" """
@ -102,21 +103,23 @@ def stoploss_from_open(
:param open_relative_stop: Desired stop loss percentage relative to open price :param open_relative_stop: Desired stop loss percentage relative to open price
:param current_profit: The current profit percentage :param current_profit: The current profit percentage
:param is_short: When true, perform the calculation for short instead of long :param is_short: When true, perform the calculation for short instead of long
:param leverage: Leverage to use for the calculation
:return: Stop loss value relative to current price :return: Stop loss value relative to current price
""" """
# formula is undefined for current_profit -1 (longs) or 1 (shorts), return maximum value # formula is undefined for current_profit -1 (longs) or 1 (shorts), return maximum value
if (current_profit == -1 and not is_short) or (is_short and current_profit == 1): _current_profit = current_profit / leverage
if (_current_profit == -1 and not is_short) or (is_short and _current_profit == 1):
return 1 return 1
if is_short is True: if is_short is True:
stoploss = -1 + ((1 - open_relative_stop) / (1 - current_profit)) stoploss = -1 + ((1 - open_relative_stop / leverage) / (1 - _current_profit))
else: else:
stoploss = 1 - ((1 + open_relative_stop) / (1 + current_profit)) stoploss = 1 - ((1 + open_relative_stop / leverage) / (1 + _current_profit))
# negative stoploss values indicate the requested stop price is higher/lower # negative stoploss values indicate the requested stop price is higher/lower
# (long/short) than the current price # (long/short) than the current price
return max(stoploss, 0.0) return max(stoploss * leverage, 0.0)
def stoploss_from_absolute(stop_rate: float, current_rate: float, is_short: bool = False) -> float: def stoploss_from_absolute(stop_rate: float, current_rate: float, is_short: bool = False) -> float:

18
tests/strategy/test_strategy_helpers.py
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@ -177,26 +177,30 @@ def test_stoploss_from_open(side, profitrange):
("long", 0.1, 0.2, 1, 0.08333333), ("long", 0.1, 0.2, 1, 0.08333333),
("long", 0.1, 0.5, 1, 0.266666666), ("long", 0.1, 0.5, 1, 0.266666666),
("long", 0.1, 5, 1, 0.816666666), # 500% profit, set stoploss to 10% above open price ("long", 0.1, 5, 1, 0.816666666), # 500% profit, set stoploss to 10% above open price
("long", 0, 5, 10, 3.3333333), # 500% profit, set stoploss break even
("long", 0.1, 5, 10, 3.26666666), # 500% profit, set stoploss to 10% above open price
("long", -0.1, 5, 10, 3.3999999), # 500% profit, set stoploss to 10% belowopen price
("short", 0, 0.1, 1, 0.1111111), ("short", 0, 0.1, 1, 0.1111111),
("short", -0.1, 0.1, 1, 0.2222222), ("short", -0.1, 0.1, 1, 0.2222222),
("short", 0.1, 0.2, 1, 0.125), ("short", 0.1, 0.2, 1, 0.125),
("short", 0.1, 1, 1, 1), ("short", 0.1, 1, 1, 1),
("short", -0.01, 5, 10, 10.01999999), # 500% profit at 10x
]) ])
def test_stoploss_from_open_leverage(side, rel_stop, curr_profit, leverage, expected): def test_stoploss_from_open_leverage(side, rel_stop, curr_profit, leverage, expected):
stoploss = stoploss_from_open(rel_stop, curr_profit, side == 'short') stoploss = stoploss_from_open(rel_stop, curr_profit, side == 'short', leverage)
assert pytest.approx(stoploss) == expected assert pytest.approx(stoploss) == expected
open_rate = 100 open_rate = 100
if stoploss != 1: if stoploss != 1:
if side == 'long': if side == 'long':
current_rate = open_rate * (1 + curr_profit) current_rate = open_rate * (1 + curr_profit / leverage)
stop = current_rate * (1 - stoploss) stop = current_rate * (1 - stoploss / leverage)
assert pytest.approx(stop) == open_rate * (1 + rel_stop) assert pytest.approx(stop) == open_rate * (1 + rel_stop / leverage)
else: else:
current_rate = open_rate * (1 - curr_profit) current_rate = open_rate * (1 - curr_profit / leverage)
stop = current_rate * (1 + stoploss) stop = current_rate * (1 + stoploss / leverage)
assert pytest.approx(stop) == open_rate * (1 - rel_stop) assert pytest.approx(stop) == open_rate * (1 - rel_stop / leverage)
def test_stoploss_from_absolute(): def test_stoploss_from_absolute():