dekun
83 lines
2.5 KiB
Python
83 lines
2.5 KiB
Python
"""策略对比仓位与情景测算."""
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from __future__ import annotations
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from lib.hub.hub_compare_lib import run_compare
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def test_long_eth_realistic_asks():
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out = run_compare(
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{
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"base": "ETH",
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"direction": "long",
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"entry": 3500,
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"sl": 3400,
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"tp": 3700,
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"risk_u": 10,
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"option": {"opt_type": "C", "strike": 3600, "ask": 50},
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"hedge": {
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"main": {"opt_type": "C", "strike": 3600, "ask": 50},
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"side": {"opt_type": "P", "strike": 3400, "ask": 30},
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},
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}
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)
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assert out["ok"] is True
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perp = out["perp"]
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# 每张止损 = 100 * 0.01 = 1U → 10 张
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assert perp["sheets"] == 10
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assert abs(perp["path_b_sl"] + 10) < 1e-6
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assert perp["path_a_tp"] > 0
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assert perp["path_c_realized"] == perp["path_b_sl"]
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assert perp["path_c_missed"] == perp["path_a_tp"]
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opt = out["option"]
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assert opt["ok"] is True
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# unit = 50 * 0.01 = 0.5U → 20 张, premium = 10
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assert opt["sheets"] == 20
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assert abs(opt["premium_u"] - 10) < 1e-6
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assert abs(opt["path_b_worst"] + 10) < 1e-6
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# at TP 3700, call 3600 intrinsic = 100 * 20 * 0.01 = 20, pnl = 20-10 = 10
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assert abs(opt["path_a_tp"] - 10) < 1e-6
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assert abs(opt["path_c_hold_to_tp"] - opt["path_a_tp"]) < 1e-6
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hedge = out["hedge"]
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assert hedge["ok"] is True
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# main budget 7, unit 0.5 → 14 sheets; side budget 3, unit 0.3 → 10 sheets
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assert hedge["main"]["sheets"] == 14
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assert hedge["side"]["sheets"] == 10
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assert out["recommend"]["choice"] in ("合约", "单期权", "期期对冲")
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def test_short_validation():
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bad = run_compare(
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{
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"base": "ETH",
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"direction": "short",
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"entry": 3500,
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"sl": 3400,
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"tp": 3300,
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"risk_u": 10,
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}
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)
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assert bad["ok"] is False
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def test_recommend_has_bullets():
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out = run_compare(
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{
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"base": "ETH",
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"direction": "long",
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"entry": 3500,
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"sl": 3490,
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"tp": 3520,
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"risk_u": 10,
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"option": {"opt_type": "C", "strike": 3500, "ask": 20},
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"hedge": {
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"main": {"opt_type": "C", "strike": 3500, "ask": 20},
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"side": {"opt_type": "P", "strike": 3480, "ask": 15},
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},
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}
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)
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assert out["ok"] is True
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assert out["recommend"]["choice"]
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assert len(out["recommend"]["bullets"]) == 3
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