fisk/core/tests/trading/test_risk.py

from django.test import TestCase

from core.models import RiskModel, User
from core.trading import risk


class RiskModelTestCase(TestCase):
    def setUp(self):
        self.user = User.objects.create_user(
            username="testuser", email="test@example.com", password="test"
        )

        self.risk_model = RiskModel.objects.create(
            user=self.user,
            name="Test Risk Model",
            max_loss_percent=50,
            max_risk_percent=10,
            max_open_trades=3,
            max_open_trades_per_symbol=2,
        )
        self.account_initial_balance = 100
        self.trade = {
            "symbol": "XXXYYY",
            "side": "BUY",
            # We already calculated the TP percent loss relative to the account size
            "tp_percent": 9,
            "sl_percent": 9,
            "tsl_percent": 9,
        }

    def test_check_max_loss(self):
        """
        Check that we can open a trade within the max loss limit.
        """
        account_balance = 100  # We have lost no money
        allowed = risk.check_max_loss(
            self.risk_model, self.account_initial_balance, account_balance
        )
        self.assertTrue(allowed)

    def test_check_max_loss_fail_exact(self):
        """
        Check that we cannot open a trade outside the max loss limit where the amount
        lost is exactly the max loss limit.
        """
        account_balance = 50  # We have lost 50% exactly
        allowed = risk.check_max_loss(
            self.risk_model, self.account_initial_balance, account_balance
        )
        self.assertFalse(allowed)

    def test_check_max_loss_fail(self):
        """
        Check that we cannot open a trade outside the max loss limit.
        """
        account_balance = 49  # We have lost 51%
        allowed = risk.check_max_loss(
            self.risk_model, self.account_initial_balance, account_balance
        )
        self.assertFalse(allowed)

    def test_check_max_risk(self):
        """
        Check that we can open a trade within the max risk limit.
        """
        account_trades = [self.trade]
        allowed = risk.check_max_risk(self.risk_model, account_trades)
        self.assertTrue(allowed)

    def test_check_max_risk_multiple_trades(self):
        """
        Check that we can open a trade within the max risk limit where there are
        multiple trades.
        """
        trade = self.trade.copy()
        trade["sl_percent"] = 1
        trade["tsl_percent"] = 1
        account_trades = [trade] * 9
        allowed = risk.check_max_risk(self.risk_model, account_trades)
        self.assertTrue(allowed)

    def test_check_max_risk_fail_exact(self):
        """
        Check that we cannot open a trade outside the max risk limit where the amount
        risked is exactly the max risk limit.
        """
        trade = self.trade.copy()
        trade["sl_percent"] = 10
        account_trades = [trade]
        allowed = risk.check_max_risk(self.risk_model, account_trades)
        self.assertFalse(allowed)

    def test_check_max_risk_fail_exact_multiple_trades(self):
        """
        Check that we cannot open a trade outside the max risk limit where the amount
        risked is exactly the max risk limit with multiple trades.
        """
        trade = self.trade.copy()
        trade["sl_percent"] = 1
        trade["tsl_percent"] = 1
        account_trades = [trade] * 10
        allowed = risk.check_max_risk(self.risk_model, account_trades)
        self.assertFalse(allowed)

    def test_check_max_open_trades(self):
        """
        Check that we can open a trade within the max open trades limit.
        """
        account_trades = [self.trade] * 2
        allowed = risk.check_max_open_trades(self.risk_model, account_trades)
        self.assertTrue(allowed)

    def test_check_max_open_trades_fail_exact(self):
        """
        Check that we cannot open a trade at the max open trades limit.
        """
        account_trades = [self.trade] * 3
        allowed = risk.check_max_open_trades(self.risk_model, account_trades)
        self.assertFalse(allowed)

    def test_check_max_open_trades_fail(self):
        """
        Check that we cannot open a trade outside the max open trades limit.
        """
        account_trades = [self.trade] * 4
        allowed = risk.check_max_open_trades(self.risk_model, account_trades)
        self.assertFalse(allowed)

    def test_check_max_open_trades_per_symbol(self):
        """
        Check that we can open a trade within the max open trades per symbol limit.
        """
        account_trades = [self.trade]
        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
        self.assertTrue(allowed)

    def test_check_max_open_trades_per_symbol_fail_exact(self):
        """
        Check that we cannot open a trade at the max open trades per symbol limit.
        """
        account_trades = [self.trade] * 2
        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
        self.assertFalse(allowed)

    def test_check_max_open_trades_per_symbol_fail(self):
        """
        Check that we cannot open a trade outside the max open trades per symbol limit.
        """
        account_trades = [self.trade] * 3
        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
        self.assertFalse(allowed)

    def test_check_max_open_trades_per_symbol_different_symbols(self):
        """
        Check that we can open a trade within the max open trades per symbol limit with
        different symbols.
        """
        trade1 = self.trade.copy()
        trade2 = self.trade.copy()
        trade1["symbol"] = "ONE"
        trade2["symbol"] = "TWO"
        account_trades = [trade1, trade2]
        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
        self.assertTrue(allowed)

    def test_check_max_open_trades_per_symbol_fail_exact_different_symbols(self):
        """
        Check that we cannot open a trade at the max open trades per symbol limit with
        different symbols.
        """
        trade1 = self.trade.copy()
        trade2 = self.trade.copy()
        trade1["symbol"] = "ONE"
        trade2["symbol"] = "TWO"
        account_trades = [trade1, trade2, trade1, trade2]
        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
        self.assertFalse(allowed)

    def test_check_max_open_trades_per_symbol_fail_different_symbols(self):
        """
        Check that we cannot open a trade outside the max open trades per symbol limit
        with different symbols.
        """
        trade1 = self.trade.copy()
        trade2 = self.trade.copy()
        trade1["symbol"] = "ONE"
        trade2["symbol"] = "TWO"
        # Each one 3 times
        account_trades = [trade1, trade2, trade1, trade2, trade1, trade2]
        allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
        self.assertFalse(allowed)