277 lines
10 KiB
Python
277 lines
10 KiB
Python
from django.test import TestCase
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from core.exchanges.common import convert_open_trades
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from core.models import RiskModel, User
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from core.trading import risk
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class RiskModelTestCase(TestCase):
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def setUp(self):
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self.user = User.objects.create_user(
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username="testuser", email="test@example.com", password="test"
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)
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self.risk_model = RiskModel.objects.create(
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user=self.user,
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name="Test Risk Model",
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max_loss_percent=50,
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max_risk_percent=10,
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max_open_trades=3,
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max_open_trades_per_symbol=2,
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)
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self.account_initial_balance = 100
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self.trade = {
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"symbol": "XXXYYY",
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"side": "BUY",
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# We already calculated the TP percent loss relative to the account size
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"take_profit_percent": 9,
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"stop_loss_percent": 9,
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"trailing_stop_loss_percent": 9,
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}
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def test_check_max_loss(self):
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"""
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Check that we can open a trade within the max loss limit.
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"""
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account_balance = 100 # We have lost no money
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allowed = risk.check_max_loss(
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self.risk_model, self.account_initial_balance, account_balance
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)
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self.assertTrue(allowed)
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def test_check_max_loss_fail_exact(self):
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"""
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Check that we cannot open a trade outside the max loss limit where the amount
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lost is exactly the max loss limit.
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"""
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account_balance = 50 # We have lost 50% exactly
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allowed = risk.check_max_loss(
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self.risk_model, self.account_initial_balance, account_balance
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)
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self.assertFalse(allowed)
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def test_check_max_loss_fail(self):
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"""
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Check that we cannot open a trade outside the max loss limit.
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"""
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account_balance = 49 # We have lost 51%
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allowed = risk.check_max_loss(
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self.risk_model, self.account_initial_balance, account_balance
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)
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self.assertFalse(allowed)
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def test_check_max_risk(self):
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"""
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Check that we can open a trade within the max risk limit.
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"""
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account_trades = [self.trade]
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allowed = risk.check_max_risk(self.risk_model, account_trades)
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self.assertTrue(allowed)
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def test_check_max_risk_multiple_trades(self):
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"""
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Check that we can open a trade within the max risk limit where there are
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multiple trades.
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"""
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trade = self.trade.copy()
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trade["stop_loss_percent"] = 1
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trade["trailing_stop_loss_percent"] = 1
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account_trades = [trade] * 9
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allowed = risk.check_max_risk(self.risk_model, account_trades)
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self.assertTrue(allowed)
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def test_check_max_risk_fail_exact(self):
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"""
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Check that we cannot open a trade outside the max risk limit where the amount
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risked is exactly the max risk limit.
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"""
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trade = self.trade.copy()
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trade["stop_loss_percent"] = 10
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account_trades = [trade]
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allowed = risk.check_max_risk(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def test_check_max_risk_fail_exact_multiple_trades(self):
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"""
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Check that we cannot open a trade outside the max risk limit where the amount
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risked is exactly the max risk limit with multiple trades.
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"""
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trade = self.trade.copy()
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trade["stop_loss_percent"] = 1
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trade["trailing_stop_loss_percent"] = 1
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account_trades = [trade] * 10
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allowed = risk.check_max_risk(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def test_check_max_open_trades(self):
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"""
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Check that we can open a trade within the max open trades limit.
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"""
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account_trades = [self.trade] * 2
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allowed = risk.check_max_open_trades(self.risk_model, account_trades)
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self.assertTrue(allowed)
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def test_check_max_open_trades_fail_exact(self):
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"""
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Check that we cannot open a trade at the max open trades limit.
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"""
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account_trades = [self.trade] * 3
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allowed = risk.check_max_open_trades(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def test_check_max_open_trades_fail(self):
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"""
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Check that we cannot open a trade outside the max open trades limit.
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"""
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account_trades = [self.trade] * 4
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allowed = risk.check_max_open_trades(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def test_check_max_open_trades_per_symbol(self):
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"""
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Check that we can open a trade within the max open trades per symbol limit.
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"""
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account_trades = [self.trade]
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allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
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self.assertTrue(allowed)
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def test_check_max_open_trades_per_symbol_fail_exact(self):
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"""
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Check that we cannot open a trade at the max open trades per symbol limit.
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"""
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account_trades = [self.trade] * 2
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allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def test_check_max_open_trades_per_symbol_fail(self):
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"""
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Check that we cannot open a trade outside the max open trades per symbol limit.
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"""
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account_trades = [self.trade] * 3
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allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def test_check_max_open_trades_per_symbol_different_symbols(self):
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"""
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Check that we can open a trade within the max open trades per symbol limit with
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different symbols.
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"""
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trade1 = self.trade.copy()
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trade2 = self.trade.copy()
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trade1["symbol"] = "ONE"
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trade2["symbol"] = "TWO"
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account_trades = [trade1, trade2]
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allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
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self.assertTrue(allowed)
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def test_check_max_open_trades_per_symbol_fail_exact_different_symbols(self):
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"""
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Check that we cannot open a trade at the max open trades per symbol limit with
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different symbols.
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"""
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trade1 = self.trade.copy()
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trade2 = self.trade.copy()
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trade1["symbol"] = "ONE"
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trade2["symbol"] = "TWO"
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account_trades = [trade1, trade2, trade1, trade2]
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allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def test_check_max_open_trades_per_symbol_fail_different_symbols(self):
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"""
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Check that we cannot open a trade outside the max open trades per symbol limit
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with different symbols.
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"""
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trade1 = self.trade.copy()
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trade2 = self.trade.copy()
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trade1["symbol"] = "ONE"
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trade2["symbol"] = "TWO"
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# Each one 3 times
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account_trades = [trade1, trade2, trade1, trade2, trade1, trade2]
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allowed = risk.check_max_open_trades_per_symbol(self.risk_model, account_trades)
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self.assertFalse(allowed)
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def check_max_risk_market_data(self):
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"""
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Check that we can open a trade within the max risk limit with market data.
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"""
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trade = {
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"id": "abd123",
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"symbol": "EUR_USD",
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"currentUnits": 100,
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"side": "long",
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"state": "open",
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"price": 1.0, # initial
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"unrealizedPL": 0, # price == initial
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"stopLossOrder": {
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"price": 0.95, # down by 5%, 5% risk
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},
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}
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converted = convert_open_trades([trade])
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self.assertEqual(converted[0]["stop_loss_percent"], 5)
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max_risk_check = risk.check_max_risk(self.risk_model, converted)
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self.assertTrue(max_risk_check) # 5% risk is fine
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def check_max_risk_market_data_multiple(self):
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"""
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Check that we can open a trade within the max risk limit with market data
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and multiple trades.
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"""
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trade = {
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"id": "abd123",
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"symbol": "EUR_USD",
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"currentUnits": 100,
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"side": "long",
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"state": "open",
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"price": 1.0, # initial
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"unrealizedPL": 0, # price == initial
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"stopLossOrder": {
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"price": 0.96, # down by 4%, 4% risk
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},
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}
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converted = convert_open_trades([trade, trade])
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max_risk_check = risk.check_max_risk(self.risk_model, converted)
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self.assertTrue(max_risk_check) # 8% risk is fine
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def check_max_risk_market_data_fail(self):
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"""
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Check that we can not open a trade outside the max risk limit with market data.
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"""
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trade = {
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"id": "abd123",
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"symbol": "EUR_USD",
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"currentUnits": 100,
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"side": "long",
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"state": "open",
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"price": 1.0, # initial
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"unrealizedPL": 0, # price == initial
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"stopLossOrder": {
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"price": 0.9, # down by 10%, 10% risk
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},
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}
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converted = convert_open_trades([trade])
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self.assertEqual(converted[0]["stop_loss_percent"], 10)
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max_risk_check = risk.check_max_risk(self.risk_model, converted)
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self.assertFalse(max_risk_check) # 10% risk is too much
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def check_max_risk_market_data_fail_multiple(self):
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"""
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Check that we can not open a trade outside the max risk limit with market data
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and multiple trades.
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"""
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trade = {
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"id": "abd123",
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"symbol": "EUR_USD",
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"currentUnits": 100,
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"side": "long",
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"state": "open",
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"price": 1.0, # initial
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"unrealizedPL": 0, # price == initial
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"stopLossOrder": {
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"price": 0.95, # down by 5%, 5% risk
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},
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}
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converted = convert_open_trades([trade, trade])
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max_risk_check = risk.check_max_risk(self.risk_model, converted)
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self.assertFalse(max_risk_check) # 10% risk is too much
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