siglab-py 0.1.19__py3-none-any.whl → 0.6.33__py3-none-any.whl

siglab_py/tests/unit/trading_util_tests.py

@@ -0,0 +1,65 @@
+import unittest
+from datetime import datetime, timedelta
+from typing import Union
+from pathlib import Path
+
+from util.trading_util import *
+
+'''
+Have a look at this for a visual explaination how "Gradually tightened stops" works:
+    https://github.com/r0bbar/siglab/blob/master/siglab_py/tests/manual/trading_util_tests.ipynb
+    https://norman-lm-fung.medium.com/gradually-tightened-trailing-stops-f7854bf1e02b
+'''
+
+# @unittest.skip("Skip all integration tests.")
+class TradingUtilTests(unittest.TestCase):
+    def test_calc_eff_trailing_sl_case1(self):
+        tp_min_percent : float = 1.5
+        tp_max_percent : float = 2.5
+        sl_percent_trailing : float = 50 # Trailing stop loss in percent
+        default_effective_tp_trailing_percent : float = 50
+
+        pnl_percent_notional : float = 0.5 # Trade's current pnl in percent.
+
+        effective_tp_trailing_percent = calc_eff_trailing_sl(
+            tp_min_percent = tp_min_percent,
+            tp_max_percent = tp_max_percent,
+            sl_percent_trailing = sl_percent_trailing,
+            pnl_percent_notional = pnl_percent_notional,
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
+        )
+        assert(effective_tp_trailing_percent==50) # Generous trailing SL when trading starting out and pnl small.
+
+    def test_calc_eff_trailing_sl_case2(self):
+        tp_min_percent : float = 1.5
+        tp_max_percent : float = 2.5
+        sl_percent_trailing : float = 50 # Trailing stop loss in percent
+        default_effective_tp_trailing_percent : float = 50
+
+        pnl_percent_notional : float = 2 # Trade's current pnl in percent.
+
+        effective_tp_trailing_percent = calc_eff_trailing_sl(
+            tp_min_percent = tp_min_percent,
+            tp_max_percent = tp_max_percent,
+            sl_percent_trailing = sl_percent_trailing,
+            pnl_percent_notional = pnl_percent_notional,
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
+        )
+        assert(effective_tp_trailing_percent==25) # Intermediate trailing SL
+
+    def test_calc_eff_trailing_sl_case3(self):
+        tp_min_percent : float = 1.5
+        tp_max_percent : float = 2.5
+        sl_percent_trailing : float = 50 # Trailing stop loss in percent
+        default_effective_tp_trailing_percent : float = 50
+
+        pnl_percent_notional : float = 2.5 # Trade's current pnl in percent.
+
+        effective_tp_trailing_percent = calc_eff_trailing_sl(
+            tp_min_percent = tp_min_percent,
+            tp_max_percent = tp_max_percent,
+            sl_percent_trailing = sl_percent_trailing,
+            pnl_percent_notional = pnl_percent_notional,
+            default_effective_tp_trailing_percent = default_effective_tp_trailing_percent
+        )
+        assert(effective_tp_trailing_percent==0) # Most tight trailing SL