Adriano
49039ac286
Chiude il gap live-vs-backtest delle fade/DIP01: prima il worker controllava solo il close, ora controlla high/low della barra ed esce AL LIVELLO tp/sl (SL prioritario), identico alla semantica intrabar del backtest. +4 test. Pairs/rotation/tsmom invariati. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
57 lines
1.9 KiB
Python
57 lines
1.9 KiB
Python
"""Fix gap intrabar: lo StrategyWorker esce su TP/SL toccati INTRABAR (high/low della barra),
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al livello, come il backtest — non solo quando il close supera il livello."""
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import pandas as pd
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from src.live.strategy_worker import StrategyWorker
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from src.live.strategy_loader import load_strategy
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def _df(last_high, last_low, n=120, price=100.0):
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c = [price] * n
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h = [price] * n
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l = [price] * n
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h[-1] = last_high
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l[-1] = last_low
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ts = (pd.date_range("2024-01-01", periods=n, freq="1h", tz="UTC").astype("int64") // 10**6)
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return pd.DataFrame({"timestamp": ts, "open": c, "high": h, "low": l, "close": c, "volume": 1.0})
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def _long_worker(tmp):
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w = StrategyWorker(strategy=load_strategy("MR01_bollinger_fade"), asset="BTC", tf="1h",
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capital=1000.0, data_dir=tmp)
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w._notify = lambda *a, **k: None
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w.in_position = True
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w.direction = 1
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w.entry_price = 100.0
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w.tp = 102.0
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w.sl = 98.0
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w.max_bars = 24
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w.bars_held = 1
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w.last_bar_ts = 0
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return w
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def test_long_exits_at_tp_on_intrabar_high(tmp_path):
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w = _long_worker(tmp_path)
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# close=100 (dentro la banda) ma high tocca 102.5 -> con il fix esce a TP
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w.tick(_df(last_high=102.5, last_low=99.5))
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assert not w.in_position
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def test_long_exits_at_sl_on_intrabar_low(tmp_path):
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w = _long_worker(tmp_path)
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w.tick(_df(last_high=100.5, last_low=97.0)) # low sotto SL -> stop
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assert not w.in_position
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def test_long_holds_when_bar_within_band(tmp_path):
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w = _long_worker(tmp_path)
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w.tick(_df(last_high=101.0, last_low=99.0)) # né TP né SL toccati -> resta in posizione
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assert w.in_position
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def test_sl_has_priority_over_tp_same_bar(tmp_path):
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w = _long_worker(tmp_path)
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# barra che tocca SIA tp(102) SIA sl(98): conservativo -> SL prima
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w.tick(_df(last_high=103.0, last_low=97.0))
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assert not w.in_position # uscito (allo stop, ramo SL valutato per primo)
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