fix: correct short-side tie-break semantics in triple barrier
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@@ -89,3 +89,43 @@ def test_short_side_inverts_barrier_semantics() -> None:
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)
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assert out.label == 1
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assert out.touched == "take_profit"
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def test_short_tie_break_modes() -> None:
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highs = [100, 101.1]
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lows = [100, 97.9]
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closes = [100, 100]
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stop_first = TripleBarrierSpec(
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take_profit_pct=0.02,
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stop_loss_pct=0.01,
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max_holding_bars=1,
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tie_break="stop_first",
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)
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out_stop = label_with_triple_barrier(
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highs=highs,
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lows=lows,
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closes=closes,
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entry_index=0,
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side=-1,
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spec=stop_first,
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)
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assert out_stop.label == -1
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assert out_stop.touched == "stop_loss"
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take_first = TripleBarrierSpec(
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take_profit_pct=0.02,
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stop_loss_pct=0.01,
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max_holding_bars=1,
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tie_break="take_first",
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)
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out_take = label_with_triple_barrier(
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highs=highs,
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lows=lows,
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closes=closes,
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entry_index=0,
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side=-1,
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spec=take_first,
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)
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assert out_take.label == 1
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assert out_take.touched == "take_profit"
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