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feat(hedge): replace OO breakout targets with premium profit RR

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期期改用盈亏比×权利金止盈(默认2);不达标持有至到期。

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-08-11 10:21:47 +08:00
parent 860ebef4a7
commit 3b56e15fb1
12 changed files with 433 additions and 133 deletions
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tests/test_hedge_plan_calc.py
+21 -7
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@@ -102,8 +102,7 @@ class TestHedgePlanCalc(unittest.TestCase):
a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
b = {"opt_type": "P", "strike": 3100, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
p = build_options_options_preview(
target_price_up=3500,
target_price_down=3000,
profit_rr=2,
index_px=3200,
leg_a=a,
leg_b=b,
@@ -111,11 +110,11 @@ class TestHedgePlanCalc(unittest.TestCase):
self.assertEqual(p["summary"]["premium_paid"], 10)
self.assertTrue(p["summary"]["expiry_is_loss"])
self.assertEqual(p["summary"]["rr_risk_premium"], 10)
self.assertIsNotNone(p["summary"]["rr_at_up"])
self.assertAlmostEqual(p["summary"]["rr_at_up"], p["summary"]["at_target_up_total"] / 10, places=4)
self.assertEqual(len(p["scenarios"]), 4)
self.assertEqual(p["scenarios"][0]["id"], "target_up")
self.assertEqual(p["scenarios"][1]["id"], "target_down")
self.assertEqual(p["summary"]["oo_profit_rr"], 2)
self.assertAlmostEqual(p["summary"]["target_profit"], 20.0, places=4)
self.assertEqual(len(p["scenarios"]), 3)
self.assertEqual(p["scenarios"][0]["id"], "rr_target")
self.assertEqual(p["scenarios"][1]["id"], "expiry_flat")
def test_oo_legacy_single_target_still_works(self):
a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
@@ -124,6 +123,21 @@ class TestHedgePlanCalc(unittest.TestCase):
self.assertEqual(p["target_price_up"], 3500)
self.assertEqual(p["target_price_down"], 3500)
def test_oo_legacy_up_down_rr_fields(self):
a = {"opt_type": "C", "strike": 3300, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
b = {"opt_type": "P", "strike": 3100, "sheets": 1, "ct_mult": 0.01, "premium_paid": 5}
p = build_options_options_preview(
target_price_up=3500,
target_price_down=3000,
index_px=3200,
leg_a=a,
leg_b=b,
)
self.assertIsNotNone(p["summary"]["rr_at_up"])
self.assertAlmostEqual(p["summary"]["rr_at_up"], p["summary"]["at_target_up_total"] / 10, places=4)
self.assertEqual(p["scenarios"][0]["id"], "target_up")
self.assertEqual(p["scenarios"][1]["id"], "target_down")
def test_perp_short_pnl(self):
self.assertEqual(
perp_pnl(direction="short", entry=100, exit_px=90, contracts=1, contract_size=1),