92 lines
2.4 KiB
Python
92 lines
2.4 KiB
Python
from __future__ import annotations
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from src.analysis.triple_barrier import TripleBarrierSpec, label_with_triple_barrier
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def test_long_take_profit_first() -> None:
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highs = [100, 101, 103]
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lows = [100, 99.6, 100]
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closes = [100, 100, 102]
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spec = TripleBarrierSpec(take_profit_pct=0.02, stop_loss_pct=0.01, max_holding_bars=3)
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out = 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=spec,
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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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assert out.touch_bar == 2
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def test_long_stop_loss_first() -> None:
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highs = [100, 100.5, 101]
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lows = [100, 98.8, 99]
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closes = [100, 99.5, 100]
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spec = TripleBarrierSpec(take_profit_pct=0.02, stop_loss_pct=0.01, max_holding_bars=3)
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out = 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=spec,
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)
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assert out.label == -1
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assert out.touched == "stop_loss"
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assert out.touch_bar == 1
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def test_time_barrier_timeout() -> None:
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highs = [100, 100.8, 100.7]
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lows = [100, 99.3, 99.4]
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closes = [100, 100, 100]
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spec = TripleBarrierSpec(take_profit_pct=0.02, stop_loss_pct=0.02, max_holding_bars=2)
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out = 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=spec,
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)
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assert out.label == 0
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assert out.touched == "time"
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assert out.touch_bar == 2
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def test_tie_break_stop_first_default() -> None:
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highs = [100, 102.1]
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lows = [100, 98.9]
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closes = [100, 100]
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spec = TripleBarrierSpec(take_profit_pct=0.02, stop_loss_pct=0.01, max_holding_bars=1)
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out = 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=spec,
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)
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assert out.label == -1
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assert out.touched == "stop_loss"
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def test_short_side_inverts_barrier_semantics() -> None:
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highs = [100, 100.5, 101.2]
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lows = [100, 97.8, 98.0]
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closes = [100, 99, 99]
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spec = TripleBarrierSpec(take_profit_pct=0.02, stop_loss_pct=0.01, max_holding_bars=3)
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out = 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=spec,
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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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