Engine: add stop loss integration (fixed & trailing) with tests

tests/backtest/test_engine_sizing.py

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+# tests/backtest/test_engine_sizing.py
+import pytest
+
+import sys
+from pathlib import Path
+import pandas as pd
+from datetime import datetime, timedelta
+
+# Añadir raíz del proyecto al path
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.backtest.engine import BacktestEngine
+from src.backtest.strategy import Strategy, Signal
+from src.risk.sizing.fixed import FixedPositionSizer
+
+class BuyOnceStrategy(Strategy):
+    """
+    Estrategia dummy:
+    - BUY en la primera vela
+    - SELL en la segunda
+    """
+
+    def __init__(self):
+        super().__init__(name="BuyOnce", params={})
+
+    def init_indicators(self, data: pd.DataFrame) -> pd.DataFrame:
+        return data
+    
+    def generate_signal(self, idx: int) -> Signal:
+        if idx == 0:
+            return Signal.BUY
+        if idx == 1:
+            return Signal.SELL
+        return Signal.HOLD
+    
+def test_engine_uses_fixed_position_sizer():
+    """
+    El engine debe usar el PositionSizer
+    y NO el position_size_fraction por defecto.
+    """
+
+    # -------------------------
+    # Datos dummy
+    # -------------------------
+    dates = [
+        datetime(2024, 1, 1),
+        datetime(2024, 1, 2),
+        datetime(2024, 1, 3),
+    ]
+
+    data = pd.DataFrame(
+        {
+            "open": [100, 100, 100],
+            "high": [100, 100, 100],
+            "low": [100, 100, 100],
+            "close": [100, 100, 100],
+            "volume": [1, 1, 1],
+        },
+        index=dates,
+    )
+
+    # -------------------------
+    # Engine + Sizer
+    # -------------------------
+    strategy = BuyOnceStrategy()
+
+    sizer = FixedPositionSizer(capital_fraction=0.5)
+
+    engine = BacktestEngine(
+        strategy=strategy,
+        initial_capital=10000,
+        commission=0.0,
+        slippage=0.0,
+        position_size=0.95,
+        position_sizer=sizer
+    )
+
+    results = engine.run(data)
+    # -------------------------
+    # Validaciones
+    # -------------------------
+    trades = results["trades"]
+    assert len(trades) == 1
+
+    trade = trades[0]
+
+    invested_value = trade.entry_price * trade.size
+
+    # Esperamos ~50% del capital
+    assert invested_value == pytest.approx(5000, rel=1e-3)
+
+    # Sanity check
+    assert invested_value < 9500  # NO debe usar 95%

tests/backtest/test_engine_stop.py

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+import sys
+from pathlib import Path
+import pandas as pd
+from datetime import datetime
+
+# Añadir raíz del proyecto al path
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.backtest.engine import BacktestEngine
+from src.backtest.strategy import Strategy, Signal
+from src.backtest.trade import TradeStatus
+from src.risk.stops.fixed_stop import FixedStop
+
+
+class AlwaysBuyStrategy(Strategy):
+    """
+    Estrategia dummy para testing:
+    - Compra en la primera vela
+    - Nunca vende
+    """
+
+    def __init__(self):
+        super().__init__(name="AlwaysBuy", params={})
+
+    def init_indicators(self, data):
+        return data
+
+    def generate_signal(self, idx: int):
+        if idx == 0:
+            return Signal.BUY
+        return Signal.HOLD
+
+
+def _build_test_data():
+    timestamps = pd.date_range(
+        start=datetime(2024, 1, 1),
+        periods=5,
+        freq="1h"
+    )
+
+    return pd.DataFrame(
+        {
+            "open":   [100, 100, 100, 100, 100],
+            "high":   [101, 101, 101, 101, 101],
+            "low":    [99,  98,  95,  90,  85],
+            "close":  [100, 99,  96,  91,  86],
+            "volume": [1, 1, 1, 1, 1],
+        },
+        index=timestamps
+    )
+
+
+def test_engine_closes_position_on_stop_hit():
+    """
+    Con stop activo → debe cerrarse por Stop Loss
+    """
+    data = _build_test_data()
+    strategy = AlwaysBuyStrategy()
+
+    engine = BacktestEngine(
+        strategy=strategy,
+        initial_capital=10_000,
+        commission=0.0,
+        slippage=0.0,
+        position_size=1.0,
+        stop_loss=FixedStop(0.03)
+    )
+
+    engine.run(data)
+
+    assert len(engine.trades) == 1
+
+    trade = engine.trades[0]
+    assert trade.status == TradeStatus.CLOSED
+    assert trade.exit_reason == "Stop Loss"
+
+
+def test_engine_closes_position_at_end_without_stop():
+    """
+    Sin stop → la posición debe cerrarse al final del backtest
+    """
+    data = _build_test_data()
+    strategy = AlwaysBuyStrategy()
+
+    engine = BacktestEngine(
+        strategy=strategy,
+        initial_capital=10_000,
+        commission=0.0,
+        slippage=0.0,
+        position_size=1.0,
+        stop_loss=None
+    )
+
+    engine.run(data)
+
+    assert len(engine.trades) == 1
+
+    trade = engine.trades[0]
+    assert trade.status == TradeStatus.CLOSED
+    assert trade.exit_reason == "End of backtest"

tests/backtest/test_engine_trailing_stop.py

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+# tests/backtest/test_engine_trailing_stop.py
+
+import sys
+from pathlib import Path
+import pandas as pd
+from datetime import datetime
+
+sys.path.insert(0, str(Path(__file__).parent.parent.parent))
+
+from src.backtest.engine import BacktestEngine
+from src.backtest.strategy import Strategy, Signal
+from src.backtest.trade import TradeStatus
+from src.risk.stops.trailing_stop import TrailingStop
+
+
+class AlwaysBuyStrategy(Strategy):
+    """
+    Estrategia dummy:
+    - Compra en la primera vela
+    - Nunca vende
+    """
+
+    def __init__(self):
+        super().__init__(name="AlwaysBuy", params={})
+
+    def init_indicators(self, data):
+        return data
+
+    def generate_signal(self, idx: int):
+        if idx == 0:
+            return Signal.BUY
+        return Signal.HOLD
+
+
+def test_trailing_stop_moves_and_closes_position():
+    """
+    El trailing stop:
+    - se mueve cuando el precio sube
+    - cierra la posición cuando el precio cae
+    """
+
+    timestamps = pd.date_range(
+        start=datetime(2024, 1, 1),
+        periods=7,
+        freq="1h"
+    )
+
+    data = pd.DataFrame(
+        {
+            "open":  [100, 102, 105, 108, 110, 107, 103],
+            "high":  [101, 103, 106, 109, 111, 108, 104],
+            "low":   [99,  101, 104, 107, 109, 106, 102],
+            "close": [100, 102, 105, 108, 110, 107, 103],
+            "volume": [1, 1, 1, 1, 1, 1, 1],
+        },
+        index=timestamps
+    )
+
+    strategy = AlwaysBuyStrategy()
+
+    engine = BacktestEngine(
+        strategy=strategy,
+        initial_capital=10000,
+        commission=0.0,
+        slippage=0.0,
+        position_size=1.0,
+        stop_loss=TrailingStop(0.05),  # 5% trailing
+    )
+
+    engine.run(data)
+
+    # Solo debe haber un trade
+    assert len(engine.trades) == 1
+
+    trade = engine.trades[0]
+
+    # El trade debe cerrarse por stop
+    assert trade.status == TradeStatus.CLOSED
+    assert trade.exit_reason == "Stop Loss"
+
+    # El cierre no debe ser al final del backtest
+    assert trade.exit_time <= data.index[-1]