Extend TestMetrics.

jesse/strategies/TestMetrics1/__init__.py

@@ -4,16 +4,20 @@
 
 
 class TestMetrics1(Strategy):
+
     def should_long(self) -> bool:
         return self.price == 10
 
     def should_short(self) -> bool:
         return False
 
     def go_long(self):
-        self.buy = 10, 10
+        self.buy = 20, 10
         # sell it for $50 profit
-        self.take_profit = 10, 15
+        self.take_profit = [
+            (10, 15),
+            (10, 20),
+        ]
 
     def go_short(self):
         pass
@@ -22,26 +26,29 @@ def should_cancel(self):
         return False
 
     def on_take_profit(self, order):
-        assert self.metrics['total'] == 1
-        assert self.metrics['starting_balance'] == 10000
-        assert self.metrics['finishing_balance'] == 10050
-        assert self.metrics['win_rate'] == 1
-        assert self.metrics['ratio_avg_win_loss'] is np.nan
-        assert self.metrics['longs_count'] == 1
-        assert self.metrics['shorts_count'] == 0
-        assert self.metrics['longs_percentage'] == 100
-        assert self.metrics['short_percentage'] == 0
-        assert self.metrics['fee'] == 0
-        assert self.metrics['net_profit'] == 50
-        assert self.metrics['net_profit_percentage'] == 0.5
-        assert self.metrics['average_win'] == 50
-        assert self.metrics['average_loss'] is np.nan
-        assert self.metrics['expectancy'] == 50
-        assert self.metrics['expectancy_percentage'] == 0.5
-        assert self.metrics['expected_net_profit_every_100_trades'] == 50
-        assert self.metrics['average_holding_period'] == 300
-        assert self.metrics['average_losing_holding_period'] is np.nan
-        assert self.metrics['average_winning_holding_period'] == 300
-        assert self.metrics['gross_loss'] == 0
-        assert self.metrics['gross_profit'] == 50
-        assert self.metrics['open_pl'] == 0
+        if self.price == 15:
+          assert self.metrics['total'] == 1
+          assert self.metrics['starting_balance'] == 10000
+          assert self.metrics['finishing_balance'] == 10050
+          assert self.metrics['win_rate'] == 1
+          assert self.metrics['ratio_avg_win_loss'] is np.nan
+          assert self.metrics['longs_count'] == 1
+          assert self.metrics['shorts_count'] == 0
+          assert self.metrics['longs_percentage'] == 100
+          assert self.metrics['short_percentage'] == 0
+          assert self.metrics['fee'] == 0
+          assert self.metrics['net_profit'] == 50
+          assert self.metrics['net_profit_percentage'] == 0.5
+          assert self.metrics['average_win'] == 50
+          assert self.metrics['average_loss'] is np.nan
+          assert self.metrics['expectancy'] == 50
+          assert self.metrics['expectancy_percentage'] == 0.5
+          assert self.metrics['expected_net_profit_every_100_trades'] == 50
+          assert self.metrics['average_holding_period'] == 300
+          assert self.metrics['average_losing_holding_period'] is np.nan
+          assert self.metrics['average_winning_holding_period'] == 300
+          assert self.metrics['gross_loss'] == 0
+          assert self.metrics['gross_profit'] == 50
+          assert self.metrics['open_pl'] == 0
+
+

tests/test_metrics.py

@@ -21,28 +21,29 @@ def test_metrics_for_trades_without_fee():
 
     assert stats['total'] == 1
     assert stats['starting_balance'] == 10000
-    assert stats['finishing_balance'] == 10050
+    assert stats['finishing_balance'] == 10150
     assert stats['win_rate'] == 1
     assert stats['ratio_avg_win_loss'] is np.nan
     assert stats['longs_count'] == 1
     assert stats['shorts_count'] == 0
     assert stats['longs_percentage'] == 100
     assert stats['short_percentage'] == 0
     assert stats['fee'] == 0
-    assert stats['net_profit'] == 50
-    assert stats['net_profit_percentage'] == 0.5
-    assert stats['average_win'] == 50
+    assert stats['net_profit'] == 150
+    assert stats['net_profit_percentage'] == 1.5
+    assert stats['average_win'] == 150
     assert stats['average_loss'] is np.nan
-    assert stats['expectancy'] == 50
-    assert stats['expectancy_percentage'] == 0.5
-    assert stats['expected_net_profit_every_100_trades'] == 50
-    assert stats['average_holding_period'] == 300
+    assert stats['expectancy'] == 150
+    assert stats['expectancy_percentage'] == 1.5
+    assert stats['expected_net_profit_every_100_trades'] == 150
+    assert stats['average_holding_period'] == 600
     assert stats['average_losing_holding_period'] is np.nan
-    assert stats['average_winning_holding_period'] == 300
+    assert stats['average_winning_holding_period'] == 600
     assert stats['gross_loss'] == 0
-    assert stats['gross_profit'] == 50
+    assert stats['gross_profit'] == 150
     assert stats['open_pl'] == 0
 
+
     # ignore metrics that are dependant on daily_returns because the testing candle set is not for multiple dais
 
 # def test_stats_for_a_strategy_without_losing_trades():