Merge pull request #12315 from x-mass/develop

fix: align _get_close_rate_for_roi with calc_profit_ratio logic in backtesting

freqtrade/optimize/backtesting.py

@@ -605,8 +605,6 @@ class Backtesting:
         trade_dur: int,
     ) -> float:
         is_short = trade.is_short or False
-        leverage = trade.leverage or 1.0
-        side_1 = -1 if is_short else 1
         roi_entry, roi = self.strategy.min_roi_reached_entry(
             trade,  # type: ignore[arg-type]
             trade_dur,
@@ -619,10 +617,7 @@ class Backtesting:
                 # - we'll use open instead of close
                 return row[OPEN_IDX]
 
-            # - (Expected abs profit - open_rate - open_fee) / (fee_close -1)
-            roi_rate = trade.open_rate * roi / leverage
-            open_fee_rate = side_1 * trade.open_rate * (1 + side_1 * trade.fee_open)
-            close_rate = -(roi_rate + open_fee_rate) / ((trade.fee_close or 0.0) - side_1 * 1)
+            close_rate = trade.calc_close_rate_for_roi(roi)
             if is_short:
                 is_new_roi = row[OPEN_IDX] < close_rate
             else:

freqtrade/persistence/trade_model.py

@@ -1208,6 +1208,35 @@ class LocalTrade:
 
         return float(f"{profit_ratio:.8f}")
 
+    def calc_close_rate_for_roi(self, target_roi: float) -> float:
+        """
+        Calculate the required close price to reach a target ROI.
+        Must match the logic used in `calc_profit_ratio()`.
+
+        :param target_roi: The desired return on investment (as a decimal, e.g., 0.05 for 5%)
+        :return: Close price (rate) required to achieve the target ROI
+        """
+        leverage = float(self.leverage or 1.0)
+        deleveraged_roi = float(target_roi) / leverage
+
+        open_value = self._calc_open_trade_value(self.amount, self.open_rate)
+
+        # The ROI formula uses close_value(rate), which depends on trading mode:
+        # - SPOT: linear in rate, adjusted by close fee
+        # - MARGIN: same, but long subtracts interest, short increases amount
+        # - FUTURES: adds/subtracts funding to/from close value
+        # All cases are affine in rate:
+        #     close_value(rate) = a * rate + b
+        # We extract a and b by probing close_value at rate = 0 and 1.
+        value_at_0 = self.calc_close_trade_value(0.0)
+        value_at_1 = self.calc_close_trade_value(1.0)
+        alpha = value_at_1 - value_at_0
+        beta = value_at_0
+
+        s = -1.0 if self.is_short else 1.0
+        adj = 1.0 + (deleveraged_roi / s)
+        return (adj * open_value - beta) / alpha
+
     def recalc_trade_from_orders(self, *, is_closing: bool = False):
         ZERO = FtPrecise(0.0)
         current_amount = FtPrecise(0.0)

tests/persistence/test_persistence.py

@@ -2893,3 +2893,49 @@ def test_recalc_trade_from_orders_dca(data) -> None:
     trade = Trade.session.scalars(select(Trade)).first()
     assert trade
     assert not trade.has_open_orders
+
+
+@pytest.mark.parametrize(
+    "is_short,lev,trading_mode",
+    [
+        (False, 1, spot),
+        (False, 1, margin),
+        (False, 10, margin),
+        (False, 1, futures),
+        (False, 10, futures),
+        (True, 1, margin),
+        (True, 10, margin),
+        (True, 1, futures),
+        (True, 10, futures),
+    ],
+)
+@pytest.mark.usefixtures("init_persistence")
+def test_close_rate_for_roi(fee, is_short, lev, trading_mode):
+    """
+    Ensure calc_close_rate_for_roi is consistent with calc_profit_ratio.
+    """
+    open_dt = datetime.fromisoformat("2022-01-01 00:00:00")
+    trade_duration = timedelta(days=10)
+    trade = Trade(
+        id=2,
+        pair="ADA/USDT",
+        stake_amount=60.0,
+        open_rate=2.0,
+        amount=30.0,
+        is_open=True,
+        open_date=open_dt,
+        close_date=open_dt + trade_duration,  # to trigger interest calculation in margin mode
+        fee_open=fee.return_value,
+        fee_close=fee.return_value,
+        exchange="binance",
+        is_short=is_short,
+        leverage=lev,
+        trading_mode=trading_mode,
+        interest_rate=0.0005,
+        funding_fees=0.1234,
+    )
+    for roi in [0.1337, 0.5, -0.1, 0.25]:
+        close_rate = trade.calc_close_rate_for_roi(roi)
+        assert roi == trade.calc_profit_ratio(close_rate), (
+            f"Failed for ROI {roi}, close_rate {close_rate}"
+        )