fix(trend): correct DCA triggers and partial-position PnL across exchanges

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-06-07 17:09:22 +08:00
parent 9257a8051f
commit 84abf7e7f7
5 changed files with 122 additions and 265 deletions
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"""趋势回调:补仓触达与有效保证金估算。"""
from strategy_trend_lib import trend_dca_level_reached, trend_effective_margin_capital
def test_trend_dca_short_monotonic_up_fills_missed_legs():
"""做空价升:旧逻辑需 last<level,价越过 0.3437 后 last 已高于该档则永不补仓。"""
direction = "short"
levels = [0.3413, 0.3437, 0.346, 0.3483, 0.3507]
pf = 0.353
filled = [lv for lv in levels if trend_dca_level_reached(direction, pf, lv)]
assert filled == levels
def test_trend_dca_short_not_before_first_level():
direction = "short"
assert not trend_dca_level_reached(direction, 0.336, 0.3413)
assert trend_dca_level_reached(direction, 0.3413, 0.3413)
def test_trend_effective_margin_first_leg_only():
plan = {
"plan_margin_capital": 12.11,
"target_order_amount": 359.0,
"order_amount_open": 179.0,
"first_order_amount": 179.0,
}
m = trend_effective_margin_capital(plan)
assert abs(m - 12.11 * 179 / 359) < 0.01
def test_trend_effective_margin_full_position():
plan = {
"plan_margin_capital": 12.11,
"target_order_amount": 359.0,
"order_amount_open": 359.0,
}
assert trend_effective_margin_capital(plan) == 12.11