web_development/backend/tests/test_strategies.py

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"