def test_two_periods_realized_drawdown_v3():
"""Given multiple trades, creating one drawdown period, realized
drawdown should be the drawdown of the entire period"""
# Arrange
fixture = StatsFixture(['COIN/BASE', 'COIN2/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=6, high=6, low=6, close=6, volume=1, buy=1, sell=0) \
.add_entry(open=6, high=6, low=4, close=4, volume=1, buy=0, sell=1) \
.add_entry(open=4, high=4, low=4, close=4, volume=1, buy=1, sell=0) \
.add_entry(open=4, high=5, low=4, close=5, volume=1, buy=0, sell=1) \
.add_entry(open=5, high=5, low=5, close=5, volume=1, buy=1, sell=0) \
.add_entry(open=5, high=5, low=2, close=2, volume=1, buy=0, sell=1) \
fixture.frame_with_signals['COIN2/BASE'] \
.add_entry(open=6, high=6, low=6, close=6, volume=1, buy=1, sell=0) \
.add_entry(open=6, high=6, low=4, close=4, volume=1, buy=0, sell=1) \
.add_entry(open=4, high=4, low=4, close=4, volume=1, buy=1, sell=0) \
.add_entry(open=4, high=5, low=4, close=5, volume=1, buy=0, sell=1) \
.add_entry(open=5, high=5, low=5, close=5, volume=1, buy=1, sell=0) \
.add_entry(open=5, high=5, low=2, close=2, volume=1, buy=0, sell=1) \
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.max_realised_drawdown, -68.617328354)
def test_two_periods_realized_drawdown_v2():
"""Given multiple trades, creating two separate drawdown
periods, realized drawdown should be the drawdown of the biggest drawdown
period"""
# Arrange
fixture = StatsFixture(['COIN/BASE', 'COIN2/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=4, high=4, low=4, close=4, volume=1, buy=1, sell=0) \
.add_entry(open=4, high=4, low=1, close=1, volume=1, buy=0, sell=1) \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=5, low=1, close=5, volume=1, buy=0, sell=1) \
.add_entry(open=5, high=5, low=5, close=5, volume=1, buy=1, sell=0) \
.add_entry(open=5, high=5, low=3, close=3, volume=1, buy=0, sell=1) \
.add_entry(open=3, high=3, low=3, close=3, volume=1, buy=1, sell=0) \
.add_entry(open=3, high=6, low=3, close=6, volume=1, buy=0, sell=1)
fixture.frame_with_signals['COIN2/BASE'] \
.add_entry(open=4, high=4, low=4, close=4, volume=1, buy=1, sell=0) \
.add_entry(open=4, high=4, low=1, close=1, volume=1, buy=0, sell=1) \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=5, low=1, close=5, volume=1, buy=0, sell=1) \
.add_entry(open=5, high=5, low=5, close=5, volume=1, buy=1, sell=0) \
.add_entry(open=5, high=5, low=3, close=3, volume=1, buy=0, sell=1) \
.add_entry(open=3, high=3, low=3, close=3, volume=1, buy=1, sell=0) \
.add_entry(open=3, high=6, low=3, close=6, volume=1, buy=0, sell=1)
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.max_realised_drawdown, -75.4975)
def test_capital():
"""Given 'value of coin rises', 'capital' should 'rise same minus fee'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=1, close=2, volume=1, buy=0, sell=1)
# Act
stats = fixture.create().analyze()
# Assert
assert stats.main_results.end_capital == 196.02
def test_profit_percentage():
"""Given 'capital rises', 'profit_percentage' should 'rise accordingly'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=1, close=2, volume=1, buy=0, sell=1)
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.overall_profit_percentage, 96.02)
def test_negative_best_worst_trade():
"""Given one negative trade, 'worst trade' should be trade profit,
best trade should be 0"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=1)
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.max_win_single_trade, 0)
assert math.isclose(stats.main_results.max_drawdown_single_trade, -50.995)
def test_fee():
"""Given 'multiple trades', 'fee' should 'be actual'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.multiply_price(1, TradeAction.BUY)\
.multiply_price(2, TradeAction.SELL) \
.multiply_price(1, TradeAction.BUY) \
.multiply_price(2, TradeAction.SELL)
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.total_fee_amount, 8.821396)
def test_dynamic_stoploss_high():
"""Given 'dynamic stoploss higher than open',
'end capital' should 'represent sold on stoploss price'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.trading_module_config.stoploss_type = "dynamic"
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0, stoploss=1) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=0, stoploss=3)
# Act
stats = fixture.create().analyze()
# Assert
assert stats.main_results.end_capital == 98.01
def test_roi():
"""given `value of coin rises over ROI limit` should sell at ROI price"""
# arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=1, close=2, volume=1, buy=0, sell=0) \
.add_entry(open=2, high=3, low=2, close=2, volume=1, buy=0, sell=0)
fixture.trading_module_config.roi = {"0": 150}
# act
stats = fixture.create().analyze()
# assert
assert stats.main_results.end_capital == 245.025
def test_stoploss():
"""Given 'value of coin falls below stoploss', 'profit' should 'lower same minus fee'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=1)
fixture.trading_module_config.stoploss = -25
fixture.stats_config.stoploss = -25
# Act
stats = fixture.create().analyze()
# Assert
assert stats.main_results.end_capital == 73.5075
def test_fee_downwards():
"""Given 'price goes down', 'fee' should 'be actual'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.multiply_price(1, TradeAction.BUY)\
.multiply_price(0.5, TradeAction.SELL) \
fixture.trading_module_config.roi = {
"0": 100
}
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.total_fee_amount, 1.495)
def test_simple_realized_drawdown():
"""Given 'sell at half value', 'realized drawdown' should 'be half'"""
# Arrange
fixture = StatsFixture(['COIN/BASE', 'COIN2/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=1)
fixture.frame_with_signals['COIN2/BASE'] \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1.5, close=1.5, volume=1, buy=0, sell=1)
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.max_realised_drawdown, -38.74375)
def test_simple_no_realized_drawdown():
"""Given 'no drawdown trades', 'realized drawdown' should 'none'"""
# Arrange
fixture = StatsFixture(['COIN/BASE', 'COIN2/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=1, close=2, volume=1, buy=0, sell=1)
fixture.frame_with_signals['COIN2/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=1, close=2, volume=1, buy=0, sell=1)
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.max_realised_drawdown, 0)
def test_both_roi_stoploss():
"""given 'both ROI and stoploss triggered single OHLCV candle' should 'close trade for open price'"""
# arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=0.1, close=2, volume=1, buy=0, sell=0)
fixture.trading_module_config.roi = {"0": 50}
fixture.trading_module_config.stoploss = -50
fixture.stats_config.stoploss = -50
# act
stats = fixture.create().analyze()
# assert
assert stats.main_results.end_capital == 98.01
def test_roi_set_not_reached():
"""Given 'multiple roi reached and multiple buys', 'capital' should 'reflect expected value'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.multiply_price(2, TradeAction.BUY) \
.multiply_price(2, TradeAction.SELL) \
.multiply_price(2, TradeAction.BUY) \
.multiply_price(2, TradeAction.SELL)
fixture.trading_module_config.roi = {
"0": 1.5 * 100
}
# Act
stats = fixture.create().analyze()
# Assert
assert math.isclose(stats.main_results.end_capital, 384.238404)
def test_roi_reached_multiple_times():
"""Given 'multiple roi reached and multiple buys', 'capital' should 'reflect expected value'"""
# Arrange
fixture = StatsFixture(['COIN/BASE'])
fixture.frame_with_signals['COIN/BASE']\
.multiply_price(2, TradeAction.BUY)\
.multiply_price(2)\
.multiply_price(2, TradeAction.BUY) \
.multiply_price(2)
fixture.trading_module_config.roi = {
"0": 10
}
# Act
stats = fixture.create().analyze()
# Assert
assert stats.main_results.end_capital == 116.23211721000003
def test_dividing_assets():
"""Given 'multiple assets', '' should 'rise same minus fee'"""
# Arrange
fixture = StatsFixture(['COIN/BASE', 'COIN2/BASE'])
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=0)
fixture.frame_with_signals['COIN2/BASE'] \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=0)
fixture.trading_module_config.stoploss = 25
fixture.stats_config.stoploss = 25
# Act
stats = fixture.create().analyze()
# Assert
assert stats.main_results.end_capital == 73.5075
def test_n_trades():
"""Given 'trades where made',
'number of trades' should 'display correct amount' """
# Arrange
fixture = StatsFixture(['COIN/BASE', 'COIN2/BASE', 'COIN3/BASE'])
# Win/Loss/Open
fixture.frame_with_signals['COIN/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=1, close=2, volume=1, buy=0, sell=1) \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=1) \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0)
# Win/Win/Open
fixture.frame_with_signals['COIN2/BASE'] \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0) \
.add_entry(open=1, high=2, low=1, close=2, volume=1, buy=0, sell=1) \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=3, low=2, close=3, volume=1, buy=0, sell=1) \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0)
# Loss/Loss/Open
fixture.frame_with_signals['COIN3/BASE'] \
.add_entry(open=3, high=3, low=3, close=3, volume=1, buy=1, sell=0) \
.add_entry(open=3, high=3, low=2, close=2, volume=1, buy=0, sell=1) \
.add_entry(open=2, high=2, low=2, close=2, volume=1, buy=1, sell=0) \
.add_entry(open=2, high=2, low=1, close=1, volume=1, buy=0, sell=1) \
.add_entry(open=1, high=1, low=1, close=1, volume=1, buy=1, sell=0)
# Act
stats = fixture.create().analyze()
# Assert
assert stats.main_results.n_trades == 9
assert stats.main_results.n_left_open_trades == 3
assert stats.main_results.n_trades_with_loss == 3
assert stats.main_results.n_consecutive_losses == 2