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Merge pull request freqtrade#9435 from freqtrade/revisit_relative_int…
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…ratrade

Improve trade close profit assertions
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@xmatthias
xmatthias authored Nov 23, 2023
2 parents e9f21d0 + 48097f4 commit 1657fd1
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Showing 3 changed files with 27 additions and 24 deletions.
5 changes: 4 additions & 1 deletion freqtrade/persistence/trade_model.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1066,7 +1066,10 @@ def recalc_trade_from_orders(self, *, is_closing: bool = False):
exit_amount = o.safe_amount_after_fee
prof = self.calculate_profit(exit_rate, exit_amount, float(avg_price))
close_profit_abs += prof.profit_abs
close_profit = prof.profit_ratio
if total_stake > 0:
# This needs to be calculated based on the last occuring exit to be aligned
# with realized_profit.
close_profit = (close_profit_abs / total_stake) * self.leverage
else:
total_stake = total_stake + self._calc_open_trade_value(tmp_amount, price)
max_stake_amount += (tmp_amount * price)
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36 changes: 18 additions & 18 deletions tests/persistence/test_persistence.py
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Original file line number Diff line number Diff line change
Expand Up @@ -2676,9 +2676,9 @@ def test_order_to_ccxt(limit_buy_order_open, limit_sell_order_usdt_open):
'orders': [
(('buy', 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)),
(('buy', 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)),
(('sell', 50, 12), (150.0, 12.5, 1875.0, -25.0, -25.0, -0.04)),
(('sell', 100, 20), (50.0, 12.5, 625.0, 725.0, 750.0, 0.60)),
(('sell', 50, 5), (50.0, 12.5, 625.0, 350.0, -375.0, -0.60)),
(('sell', 50, 12), (150.0, 12.5, 1875.0, -25.0, -25.0, -0.01)),
(('sell', 100, 20), (50.0, 12.5, 625.0, 725.0, 750.0, 0.29)),
(('sell', 50, 5), (50.0, 12.5, 625.0, 350.0, -375.0, 0.14)),
],
'end_profit': 350.0,
'end_profit_ratio': 0.14,
Expand All @@ -2688,9 +2688,9 @@ def test_order_to_ccxt(limit_buy_order_open, limit_sell_order_usdt_open):
'orders': [
(('buy', 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)),
(('buy', 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)),
(('sell', 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625, -0.044788)),
(('sell', 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875, 0.59201995)),
(('sell', 50, 5), (50.0, 12.5, 625.0, 336.625, -377.1875, -0.60199501)),
(('sell', 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625, -0.011197)),
(('sell', 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875, 0.2848129)),
(('sell', 50, 5), (50.0, 12.5, 625.0, 336.625, -377.1875, 0.1343142)),
],
'end_profit': 336.625,
'end_profit_ratio': 0.1343142,
Expand All @@ -2700,10 +2700,10 @@ def test_order_to_ccxt(limit_buy_order_open, limit_sell_order_usdt_open):
'orders': [
(('buy', 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)),
(('buy', 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)),
(('sell', 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0, 1.189027)),
(('buy', 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0, 1.189027)),
(('sell', 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5, 0.7186579)),
(('sell', 150, 23), (150.0, 11.0, 1650.0, 3175.75, 1787.25, 1.08048062)),
(('sell', 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0, 0.5945137)),
(('buy', 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0, 0.5945137)),
(('sell', 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5, 0.4261653)),
(('sell', 150, 23), (150.0, 11.0, 1650.0, 3175.75, 1787.25, 0.9747170)),
],
'end_profit': 3175.75,
'end_profit_ratio': 0.9747170,
Expand All @@ -2714,10 +2714,10 @@ def test_order_to_ccxt(limit_buy_order_open, limit_sell_order_usdt_open):
'orders': [
(('buy', 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)),
(('buy', 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)),
(('sell', 100, 11), (100.0, 5.0, 500.0, 600.0, 600.0, 1.2)),
(('buy', 150, 15), (250.0, 11.0, 2750.0, 600.0, 600.0, 1.2)),
(('sell', 100, 19), (150.0, 11.0, 1650.0, 1400.0, 800.0, 0.72727273)),
(('sell', 150, 23), (150.0, 11.0, 1650.0, 3200.0, 1800.0, 1.09090909)),
(('sell', 100, 11), (100.0, 5.0, 500.0, 600.0, 600.0, 0.6)),
(('buy', 150, 15), (250.0, 11.0, 2750.0, 600.0, 600.0, 0.6)),
(('sell', 100, 19), (150.0, 11.0, 1650.0, 1400.0, 800.0, 0.43076923)),
(('sell', 150, 23), (150.0, 11.0, 1650.0, 3200.0, 1800.0, 0.98461538)),
],
'end_profit': 3200.0,
'end_profit_ratio': 0.98461538,
Expand All @@ -2727,10 +2727,10 @@ def test_order_to_ccxt(limit_buy_order_open, limit_sell_order_usdt_open):
'orders': [
(('buy', 100, 8), (100.0, 8.0, 800.0, 0.0, None, None)),
(('buy', 100, 9), (200.0, 8.5, 1700.0, 0.0, None, None)),
(('sell', 100, 10), (100.0, 8.5, 850.0, 150.0, 150.0, 0.17647059)),
(('buy', 150, 11), (250.0, 10, 2500.0, 150.0, 150.0, 0.17647059)),
(('sell', 100, 12), (150.0, 10.0, 1500.0, 350.0, 200.0, 0.2)),
(('sell', 150, 14), (150.0, 10.0, 1500.0, 950.0, 600.0, 0.40)),
(('sell', 100, 10), (100.0, 8.5, 850.0, 150.0, 150.0, 0.08823529)),
(('buy', 150, 11), (250.0, 10, 2500.0, 150.0, 150.0, 0.08823529)),
(('sell', 100, 12), (150.0, 10.0, 1500.0, 350.0, 200.0, 0.1044776)),
(('sell', 150, 14), (150.0, 10.0, 1500.0, 950.0, 600.0, 0.283582)),
],
'end_profit': 950.0,
'end_profit_ratio': 0.283582,
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10 changes: 5 additions & 5 deletions tests/test_freqtradebot.py
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Original file line number Diff line number Diff line change
Expand Up @@ -6569,16 +6569,16 @@ def test_position_adjust2(mocker, default_conf_usdt, fee) -> None:
# tuple 2 - amount, open_rate, stake_amount, cumulative_profit, realized_profit, rel_profit
(('buy', 100, 10), (100.0, 10.0, 1000.0, 0.0, None, None)),
(('buy', 100, 15), (200.0, 12.5, 2500.0, 0.0, None, None)),
(('sell', 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625, -0.044788)),
(('sell', 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875, 0.59201995)),
(('sell', 50, 12), (150.0, 12.5, 1875.0, -28.0625, -28.0625, -0.011197)),
(('sell', 100, 20), (50.0, 12.5, 625.0, 713.8125, 741.875, 0.2848129)),
(('sell', 50, 5), (50.0, 12.5, 625.0, 336.625, 336.625, 0.1343142)), # final profit (sum)
),
(
(('buy', 100, 3), (100.0, 3.0, 300.0, 0.0, None, None)),
(('buy', 100, 7), (200.0, 5.0, 1000.0, 0.0, None, None)),
(('sell', 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0, 1.189027)),
(('buy', 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0, 1.189027)),
(('sell', 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5, 0.7186579)),
(('sell', 100, 11), (100.0, 5.0, 500.0, 596.0, 596.0, 0.5945137)),
(('buy', 150, 15), (250.0, 11.0, 2750.0, 596.0, 596.0, 0.5945137)),
(('sell', 100, 19), (150.0, 11.0, 1650.0, 1388.5, 792.5, 0.4261653)),
(('sell', 150, 23), (150.0, 11.0, 1650.0, 3175.75, 3175.75, 0.9747170)), # final profit
)
])
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