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