83 lines
2.0 KiB
Python
83 lines
2.0 KiB
Python
# tests/backtest/test_engine_trailing_stop.py
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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
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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.trailing_stop import TrailingStop
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class AlwaysBuyStrategy(Strategy):
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"""
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Estrategia dummy:
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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 test_trailing_stop_moves_and_closes_position():
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"""
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El trailing stop:
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- se mueve cuando el precio sube
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- cierra la posición cuando el precio cae
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"""
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timestamps = pd.date_range(
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start=datetime(2024, 1, 1),
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periods=7,
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freq="1h"
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)
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data = pd.DataFrame(
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{
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"open": [100, 102, 105, 108, 110, 107, 103],
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"high": [101, 103, 106, 109, 111, 108, 104],
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"low": [99, 101, 104, 107, 109, 106, 102],
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"close": [100, 102, 105, 108, 110, 107, 103],
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"volume": [1, 1, 1, 1, 1, 1, 1],
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},
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index=timestamps
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)
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strategy = AlwaysBuyStrategy()
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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=1.0,
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stop_loss=TrailingStop(0.05), # 5% trailing
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)
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engine.run(data)
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# Solo debe haber un trade
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assert len(engine.trades) == 1
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trade = engine.trades[0]
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# El trade debe cerrarse por stop
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assert trade.status == TradeStatus.CLOSED
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assert trade.exit_reason == "Stop Loss"
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# El cierre no debe ser al final del backtest
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assert trade.exit_time <= data.index[-1]
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