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