fix(trend): correct DCA triggers and partial-position PnL across exchanges
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
@@ -0,0 +1,37 @@
|
||||
"""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
|
||||
Reference in New Issue
Block a user