DaM
f85c522f22
- Implemented portfolio engine with risk-based allocation (50/50) - Added equity-based metrics for system-level evaluation - Validated portfolio against standalone strategies - Reduced max drawdown and volatility at system level - Quantitative decision closed before paper trading phase
83 lines
1.9 KiB
Python
83 lines
1.9 KiB
Python
# 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.core.engine import Engine
|
|
from src.core.strategy import Strategy, Signal
|
|
from src.core.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 = Engine(
|
|
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]
|