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Python

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)