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Write risk checking helpers and tests

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master
Mark Veidemanis 1 year ago
parent c81cb62aca
commit b818e7e3f5
Signed by: m
GPG Key ID: 5ACFCEED46C0904F
3 changed files with 237 additions and 0 deletions
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core/tests/trading/__init__.py
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191
core/tests/trading/test_risk.py
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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)

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core/trading/risk.py
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def check_max_loss(risk_model, initial_balance, account_balance):
"""
Check that the account balance is within the max loss limit.
"""
max_loss_percent = risk_model.max_loss_percent
max_loss = initial_balance * (max_loss_percent / 100)
return account_balance > max_loss
def check_max_risk(risk_model, account_trades):
"""
Check that all of the trades in the account are within the max risk limit.
"""
max_risk_percent = risk_model.max_risk_percent
total_risk = 0
for trade in account_trades:
max_tmp = []
if "sl_percent" in trade:
max_tmp.append(trade["sl_percent"])
if "tsl_percent" in trade:
max_tmp.append(trade["tsl_percent"])
total_risk += max(max_tmp)
return total_risk < max_risk_percent
def check_max_open_trades(risk_model, account_trades):
"""
Check that the number of trades in the account is within the max open trades limit.
"""
return len(account_trades) < risk_model.max_open_trades
def check_max_open_trades_per_symbol(risk_model, account_trades):
"""
Check we cannot open more trades per symbol than permissible.
"""
symbol_map = {}
for trade in account_trades:
symbol = trade["symbol"]
if symbol not in symbol_map:
symbol_map[symbol] = 0
symbol_map[symbol] += 1
for symbol, count in symbol_map.items():
if count >= risk_model.max_open_trades_per_symbol:
return False
return True
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