71 lines
2.1 KiB
Python
71 lines
2.1 KiB
Python
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"""Tests for the risk management engine."""
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import pytest
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from risk.risk_manager import RiskManager
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class TestRiskManager:
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"""Tests for RiskManager."""
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def setup_method(self):
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self.rm = RiskManager(
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max_risk_per_trade=0.02,
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max_daily_loss=0.05,
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max_concurrent_positions=3,
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max_leverage=3,
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max_drawdown=0.15,
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)
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def test_calculate_position_size(self):
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size = self.rm.calculate_position_size(
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balance=1000, entry_price=50000, stop_loss=49000, risk_pct=0.02
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)
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# risk = 1000 * 0.02 = 20, price_risk = 1000
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# size = 20 / 1000 = 0.02
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assert size == 0.02
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def test_position_size_zero_risk(self):
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size = self.rm.calculate_position_size(
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balance=1000, entry_price=50000, stop_loss=50000
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)
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assert size == 0.0
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def test_approve_trade_success(self):
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approval = self.rm.approve_trade(
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entry_price=50000, stop_loss=49000, balance=1000
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)
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assert approval.approved
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assert approval.position_size > 0
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def test_approve_trade_max_positions(self):
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for _ in range(3):
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self.rm.on_position_opened()
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approval = self.rm.approve_trade(
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entry_price=50000, stop_loss=49000, balance=1000
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)
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assert not approval.approved
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assert "concurrent" in approval.reason.lower()
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def test_emergency_stop(self):
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self.rm.emergency_stop()
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assert self.rm.is_stopped
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approval = self.rm.approve_trade(
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entry_price=50000, stop_loss=49000, balance=1000
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)
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assert not approval.approved
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def test_reset_emergency(self):
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self.rm.emergency_stop()
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self.rm.reset_emergency()
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assert not self.rm.is_stopped
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def test_daily_pnl_tracking(self):
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self.rm.update_daily_pnl(50)
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self.rm.update_daily_pnl(-30)
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assert self.rm.get_daily_pnl() == 20
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def test_drawdown_check(self):
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self.rm._peak_equity = 1000
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assert not self.rm.check_drawdown(900) # 10% < 15%
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assert self.rm.check_drawdown(800) # 20% >= 15%
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