File size: 3,577 Bytes
590a501 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 | from datetime import datetime, timedelta
import numpy as np
from app.models.schemas import KlineData
from app.strategies.bollinger_bands import BollingerBandsStrategy
from app.strategies.dual_thrust import DualThrustStrategy
from app.strategies.ma_crossover import MACrossoverStrategy
def make_klines(prices: list[float], symbol: str = "IF2406") -> list[KlineData]:
now = datetime.utcnow()
return [
KlineData(
symbol=symbol,
open=p * 0.999,
high=p * 1.002,
low=p * 0.998,
close=p,
volume=100,
timestamp=now - timedelta(minutes=len(prices) - i),
)
for i, p in enumerate(prices)
]
class TestMACrossover:
def test_buy_signal_on_golden_cross(self):
strategy = MACrossoverStrategy("test-ma", "IF2406", {"fast_period": 3, "slow_period": 5, "quantity": 1})
prices = [100, 99, 98, 97, 96, 95, 94, 96, 99, 103, 108]
klines = make_klines(prices)
signal = strategy.calculate_signal(klines)
if signal:
assert signal.side.value == "BUY"
def test_sell_signal_on_death_cross(self):
strategy = MACrossoverStrategy("test-ma", "IF2406", {"fast_period": 3, "slow_period": 5, "quantity": 1})
prices = [100, 101, 102, 103, 104, 105, 106, 104, 101, 97, 92]
klines = make_klines(prices)
signal = strategy.calculate_signal(klines)
if signal:
assert signal.side.value == "SELL"
def test_no_signal_with_insufficient_data(self):
strategy = MACrossoverStrategy("test-ma", "IF2406", {"fast_period": 5, "slow_period": 20})
klines = make_klines([100, 101, 102])
signal = strategy.calculate_signal(klines)
assert signal is None
class TestBollingerBands:
def test_no_signal_with_insufficient_data(self):
strategy = BollingerBandsStrategy("test-bb", "IF2406", {"period": 20})
klines = make_klines([100] * 5)
signal = strategy.calculate_signal(klines)
assert signal is None
def test_buy_signal_at_lower_band(self):
strategy = BollingerBandsStrategy("test-bb", "IF2406", {"period": 10, "std_dev": 1.5, "quantity": 1})
np.random.seed(42)
prices = [100 + np.random.normal(0, 0.5) for _ in range(12)]
prices.append(prices[-1] - 5)
klines = make_klines(prices)
signal = strategy.calculate_signal(klines)
if signal:
assert signal.side.value == "BUY"
def test_sell_signal_at_upper_band(self):
strategy = BollingerBandsStrategy("test-bb", "IF2406", {"period": 10, "std_dev": 1.5, "quantity": 1})
np.random.seed(42)
prices = [100 + np.random.normal(0, 0.5) for _ in range(12)]
prices.append(prices[-1] + 5)
klines = make_klines(prices)
signal = strategy.calculate_signal(klines)
if signal:
assert signal.side.value == "SELL"
class TestDualThrust:
def test_no_signal_with_insufficient_data(self):
strategy = DualThrustStrategy("test-dt", "IF2406", {"lookback": 5})
klines = make_klines([100, 101])
signal = strategy.calculate_signal(klines)
assert signal is None
def test_breakout_signal(self):
strategy = DualThrustStrategy("test-dt", "IF2406", {"lookback": 5, "k1": 0.3, "k2": 0.3, "quantity": 1})
prices = [100, 101, 99, 100.5, 100.2, 100.1, 108]
klines = make_klines(prices)
signal = strategy.calculate_signal(klines)
if signal:
assert signal.side.value == "BUY"
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