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Check the max risk relative to the account balance

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This commit is contained in:
Mark Veidemanis
2023-01-06 07:20:55 +00:00
parent ae42d9b223
commit 93be9e6ffe
4 changed files with 136 additions and 44 deletions
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95
core/tests/trading/test_risk.py
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@@ -1,6 +1,6 @@
from django.test import TestCase
from core.exchanges.common import convert_open_trades
from core.exchanges import common
from core.models import RiskModel, User
from core.trading import risk
@@ -25,8 +25,11 @@ class RiskModelTestCase(TestCase):
"side": "BUY",
# We already calculated the TP percent loss relative to the account size
"take_profit_percent": 9,
"take_profit_usd": 9,
"stop_loss_percent": 9,
"stop_loss_usd": 9,
"trailing_stop_loss_percent": 9,
"trailing_stop_loss_usd": 9,
}
def test_check_max_loss(self):
@@ -65,7 +68,9 @@ class RiskModelTestCase(TestCase):
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)
allowed = risk.check_max_risk(
self.risk_model, self.account_initial_balance, account_trades
)
self.assertTrue(allowed)
def test_check_max_risk_multiple_trades(self):
@@ -76,8 +81,12 @@ class RiskModelTestCase(TestCase):
trade = self.trade.copy()
trade["stop_loss_percent"] = 1
trade["trailing_stop_loss_percent"] = 1
trade["stop_loss_usd"] = 1
trade["trailing_stop_loss_usd"] = 1
account_trades = [trade] * 9
allowed = risk.check_max_risk(self.risk_model, account_trades)
allowed = risk.check_max_risk(
self.risk_model, self.account_initial_balance, account_trades
)
self.assertTrue(allowed)
def test_check_max_risk_fail_exact(self):
@@ -87,8 +96,13 @@ class RiskModelTestCase(TestCase):
"""
trade = self.trade.copy()
trade["stop_loss_percent"] = 10
trade["trailing_stop_loss_percent"] = 10
trade["stop_loss_usd"] = 10
trade["trailing_stop_loss_usd"] = 10
account_trades = [trade]
allowed = risk.check_max_risk(self.risk_model, account_trades)
allowed = risk.check_max_risk(
self.risk_model, self.account_initial_balance, account_trades
)
self.assertFalse(allowed)
def test_check_max_risk_fail_exact_multiple_trades(self):
@@ -99,8 +113,12 @@ class RiskModelTestCase(TestCase):
trade = self.trade.copy()
trade["stop_loss_percent"] = 1
trade["trailing_stop_loss_percent"] = 1
trade["stop_loss_usd"] = 1
trade["trailing_stop_loss_usd"] = 1
account_trades = [trade] * 10
allowed = risk.check_max_risk(self.risk_model, account_trades)
allowed = risk.check_max_risk(
self.risk_model, self.account_initial_balance, account_trades
)
self.assertFalse(allowed)
def test_check_max_open_trades(self):
@@ -191,7 +209,8 @@ class RiskModelTestCase(TestCase):
allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
self.assertFalse(allowed)
def check_max_risk_market_data(self):
# Market data tests, account size: $1000
def test_check_max_risk_market_data(self):
"""
Check that we can open a trade within the max risk limit with market data.
"""
@@ -206,13 +225,16 @@ class RiskModelTestCase(TestCase):
"stopLossOrder": {
"price": 0.95, # down by 5%, 5% risk
},
# Hardcoded prices to avoid calling market API here
"stop_loss_usd": 50, # 5% of $1000
}
converted = convert_open_trades([trade])
converted = common.convert_open_trades([trade])
self.assertEqual(converted[0]["stop_loss_percent"], 5)
max_risk_check = risk.check_max_risk(self.risk_model, converted)
self.assertEqual(converted[0]["stop_loss_usd"], 50)
max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
self.assertTrue(max_risk_check) # 5% risk is fine
def check_max_risk_market_data_multiple(self):
def test_check_max_risk_market_data_multiple(self):
"""
Check that we can open a trade within the max risk limit with market data
and multiple trades.
@@ -228,12 +250,16 @@ class RiskModelTestCase(TestCase):
"stopLossOrder": {
"price": 0.96, # down by 4%, 4% risk
},
# Hardcoded prices to avoid calling market API here
"stop_loss_usd": 40, # 4% of $1000
}
converted = convert_open_trades([trade, trade])
max_risk_check = risk.check_max_risk(self.risk_model, converted)
converted = common.convert_open_trades([trade, trade])
self.assertEqual(converted[0]["stop_loss_percent"], 4)
self.assertEqual(converted[0]["stop_loss_usd"], 40)
max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
self.assertTrue(max_risk_check) # 8% risk is fine
def check_max_risk_market_data_fail(self):
def test_check_max_risk_market_data_fail(self):
"""
Check that we can not open a trade outside the max risk limit with market data.
"""
@@ -248,13 +274,16 @@ class RiskModelTestCase(TestCase):
"stopLossOrder": {
"price": 0.9, # down by 10%, 10% risk
},
# Hardcoded prices to avoid calling market API here
"stop_loss_usd": 100, # 10% of $1000
}
converted = convert_open_trades([trade])
converted = common.convert_open_trades([trade])
self.assertEqual(converted[0]["stop_loss_percent"], 10)
max_risk_check = risk.check_max_risk(self.risk_model, converted)
self.assertEqual(converted[0]["stop_loss_usd"], 100)
max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
self.assertFalse(max_risk_check) # 10% risk is too much
def check_max_risk_market_data_fail_multiple(self):
def test_check_max_risk_market_data_fail_multiple(self):
"""
Check that we can not open a trade outside the max risk limit with market data
and multiple trades.
@@ -270,12 +299,18 @@ class RiskModelTestCase(TestCase):
"stopLossOrder": {
"price": 0.95, # down by 5%, 5% risk
},
# Hardcoded prices to avoid calling market API here
"stop_loss_usd": 50, # 5% of $1000
}
converted = convert_open_trades([trade, trade])
max_risk_check = risk.check_max_risk(self.risk_model, converted)
converted = common.convert_open_trades([trade, trade])
self.assertEqual(converted[0]["stop_loss_percent"], 5)
self.assertEqual(converted[0]["stop_loss_usd"], 50)
self.assertEqual(converted[1]["stop_loss_percent"], 5)
self.assertEqual(converted[1]["stop_loss_usd"], 50)
max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
self.assertFalse(max_risk_check) # 10% risk is too much
def check_max_risk_market_data_fail_multiple_mixed(self):
def test_check_max_risk_market_data_fail_multiple_mixed(self):
"""
Check that we can not open a trade outside the max risk limit with market data
and multiple trades, mixing SL and TSL.
@@ -291,16 +326,23 @@ class RiskModelTestCase(TestCase):
"stopLossOrder": {
"price": 0.95, # down by 5%, 5% risk
},
# Hardcoded prices to avoid calling market API here
"stop_loss_usd": 50, # 5% of $1000
"trailing_stop_loss_usd": 50,
}
trade2 = trade.copy()
trade2["trailingStopLossOrder"] = {"price": 0.95}
del trade2["stopLossOrder"]
converted = convert_open_trades([trade, trade2])
max_risk_check = risk.check_max_risk(self.risk_model, converted)
converted = common.convert_open_trades([trade, trade2])
self.assertEqual(converted[0]["stop_loss_percent"], 5)
self.assertEqual(converted[0]["stop_loss_usd"], 50)
self.assertEqual(converted[1]["trailing_stop_loss_percent"], 5)
self.assertEqual(converted[1]["trailing_stop_loss_usd"], 50)
max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
self.assertFalse(max_risk_check) # 10% risk is too much
def check_max_risk_market_data_fail_multiple_mixed_both(self):
def test_check_max_risk_market_data_fail_multiple_mixed_both(self):
"""
Check that we can not open a trade outside the max risk limit with market data
and multiple trades, mixing SL and TSL, where both are set.
@@ -316,10 +358,17 @@ class RiskModelTestCase(TestCase):
"stopLossOrder": {
"price": 0.95, # down by 5%, 5% risk
},
# Hardcoded prices to avoid calling market API here
"stop_loss_usd": 50, # 5% of $1000
"trailing_stop_loss_usd": 49,
}
trade2 = trade.copy()
trade2["trailingStopLossOrder"] = {"price": 0.951}
converted = convert_open_trades([trade, trade2])
max_risk_check = risk.check_max_risk(self.risk_model, converted)
converted = common.convert_open_trades([trade, trade2])
self.assertEqual(converted[0]["stop_loss_percent"], 5)
self.assertEqual(converted[0]["stop_loss_usd"], 50)
self.assertEqual(float(converted[1]["trailing_stop_loss_percent"]), 4.9)
self.assertEqual(converted[1]["trailing_stop_loss_usd"], 49)
max_risk_check = risk.check_max_risk(self.risk_model, 1000, converted)
self.assertFalse(max_risk_check) # 10% risk is too much