Stop from open with leverage

freqtrade/strategy/strategy_helper.py

@@ -86,7 +86,8 @@ def merge_informative_pair(dataframe: pd.DataFrame, informative: pd.DataFrame,
 def stoploss_from_open(
     open_relative_stop: float,
     current_profit: float,
-    is_short: bool = False
+    is_short: bool = False,
+    leverage: float = 1.0
 ) -> float:
     """
 
@@ -102,21 +103,23 @@ def stoploss_from_open(
     :param open_relative_stop: Desired stop loss percentage relative to open price
     :param current_profit: The current profit percentage
     :param is_short: When true, perform the calculation for short instead of long
+    :param leverage: Leverage to use for the calculation
     :return: Stop loss value relative to current price
     """
 
     # formula is undefined for current_profit -1 (longs) or 1 (shorts), return maximum value
-    if (current_profit == -1 and not is_short) or (is_short and current_profit == 1):
+    _current_profit = current_profit / leverage
+    if (_current_profit == -1 and not is_short) or (is_short and _current_profit == 1):
         return 1
 
     if is_short is True:
-        stoploss = -1 + ((1 - open_relative_stop) / (1 - current_profit))
+        stoploss = -1 + ((1 - open_relative_stop / leverage) / (1 - _current_profit))
     else:
-        stoploss = 1 - ((1 + open_relative_stop) / (1 + current_profit))
+        stoploss = 1 - ((1 + open_relative_stop / leverage) / (1 + _current_profit))
 
     # negative stoploss values indicate the requested stop price is higher/lower
     # (long/short) than the current price
-    return max(stoploss, 0.0)
+    return max(stoploss * leverage, 0.0)
 
 
 def stoploss_from_absolute(stop_rate: float, current_rate: float, is_short: bool = False) -> float:

tests/strategy/test_strategy_helpers.py

@@ -177,26 +177,30 @@ def test_stoploss_from_open(side, profitrange):
     ("long", 0.1, 0.2, 1, 0.08333333),
     ("long", 0.1, 0.5, 1, 0.266666666),
     ("long", 0.1, 5, 1, 0.816666666),  # 500% profit, set stoploss to 10% above open price
+    ("long", 0, 5, 10,  3.3333333),  # 500% profit, set stoploss break even
+    ("long", 0.1, 5, 10,  3.26666666),  # 500% profit, set stoploss to 10% above open price
+    ("long", -0.1, 5, 10,  3.3999999),  # 500% profit, set stoploss to 10% belowopen price
 
     ("short", 0, 0.1, 1, 0.1111111),
     ("short", -0.1, 0.1, 1, 0.2222222),
     ("short", 0.1, 0.2, 1, 0.125),
     ("short", 0.1, 1, 1, 1),
+    ("short", -0.01, 5, 10, 10.01999999),  # 500% profit at 10x
 ])
 def test_stoploss_from_open_leverage(side, rel_stop, curr_profit, leverage, expected):
 
-    stoploss = stoploss_from_open(rel_stop, curr_profit, side == 'short')
+    stoploss = stoploss_from_open(rel_stop, curr_profit, side == 'short', leverage)
     assert pytest.approx(stoploss) == expected
     open_rate = 100
     if stoploss != 1:
         if side == 'long':
-            current_rate = open_rate * (1 + curr_profit)
-            stop = current_rate * (1 - stoploss)
-            assert pytest.approx(stop) == open_rate * (1 + rel_stop)
+            current_rate = open_rate * (1 + curr_profit / leverage)
+            stop = current_rate * (1 - stoploss / leverage)
+            assert pytest.approx(stop) == open_rate * (1 + rel_stop / leverage)
         else:
-            current_rate = open_rate * (1 - curr_profit)
-            stop = current_rate * (1 + stoploss)
-            assert pytest.approx(stop) == open_rate * (1 - rel_stop)
+            current_rate = open_rate * (1 - curr_profit / leverage)
+            stop = current_rate * (1 + stoploss / leverage)
+            assert pytest.approx(stop) == open_rate * (1 - rel_stop / leverage)
 
 
 def test_stoploss_from_absolute():