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-rw-r--r--services/backtester/tests/test_engine.py8
-rw-r--r--services/backtester/tests/test_metrics.py68
-rw-r--r--services/backtester/tests/test_walk_forward.py23
3 files changed, 72 insertions, 27 deletions
diff --git a/services/backtester/tests/test_engine.py b/services/backtester/tests/test_engine.py
index 003e951..743a43b 100644
--- a/services/backtester/tests/test_engine.py
+++ b/services/backtester/tests/test_engine.py
@@ -44,9 +44,7 @@ def test_backtest_engine_runs_strategy_over_candles():
strategy.on_candle.return_value = None
candles = make_candles([50000.0, 51000.0, 52000.0])
- engine = BacktestEngine(
- strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0
- )
+ engine = BacktestEngine(strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0)
result = engine.run(candles)
assert strategy.on_candle.call_count == 3
@@ -64,9 +62,7 @@ def test_backtest_engine_executes_signals():
strategy.on_candle.side_effect = [buy_signal, None, sell_signal]
candles = make_candles([50000.0, 52000.0, 55000.0])
- engine = BacktestEngine(
- strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0
- )
+ engine = BacktestEngine(strategy, Decimal("10000"), slippage_pct=0.0, taker_fee_pct=0.0)
result = engine.run(candles)
assert result.total_trades == 2
diff --git a/services/backtester/tests/test_metrics.py b/services/backtester/tests/test_metrics.py
index 34314b3..582309a 100644
--- a/services/backtester/tests/test_metrics.py
+++ b/services/backtester/tests/test_metrics.py
@@ -111,11 +111,11 @@ def test_consecutive_losses():
"""Consecutive loss tracking should count streaks correctly."""
trades = [
_make_trade("BUY", "100", 0),
- _make_trade("SELL", "110", 10), # win
+ _make_trade("SELL", "110", 10), # win
_make_trade("BUY", "110", 20),
- _make_trade("SELL", "105", 30), # loss
+ _make_trade("SELL", "105", 30), # loss
_make_trade("BUY", "105", 40),
- _make_trade("SELL", "100", 50), # loss
+ _make_trade("SELL", "100", 50), # loss
]
metrics = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10005"))
assert metrics.max_consecutive_losses >= 1
@@ -126,12 +126,44 @@ def test_risk_free_rate_affects_sharpe():
"""Higher risk-free rate should lower Sharpe ratio."""
base = datetime(2025, 1, 1, tzinfo=timezone.utc)
trades = [
- TradeRecord(time=base, symbol="BTCUSDT", side="BUY", price=Decimal("100"), quantity=Decimal("1")),
- TradeRecord(time=base + timedelta(days=1), symbol="BTCUSDT", side="SELL", price=Decimal("110"), quantity=Decimal("1")),
- TradeRecord(time=base + timedelta(days=2), symbol="BTCUSDT", side="BUY", price=Decimal("105"), quantity=Decimal("1")),
- TradeRecord(time=base + timedelta(days=3), symbol="BTCUSDT", side="SELL", price=Decimal("115"), quantity=Decimal("1")),
- TradeRecord(time=base + timedelta(days=4), symbol="BTCUSDT", side="BUY", price=Decimal("110"), quantity=Decimal("1")),
- TradeRecord(time=base + timedelta(days=5), symbol="BTCUSDT", side="SELL", price=Decimal("108"), quantity=Decimal("1")),
+ TradeRecord(
+ time=base, symbol="BTCUSDT", side="BUY", price=Decimal("100"), quantity=Decimal("1")
+ ),
+ TradeRecord(
+ time=base + timedelta(days=1),
+ symbol="BTCUSDT",
+ side="SELL",
+ price=Decimal("110"),
+ quantity=Decimal("1"),
+ ),
+ TradeRecord(
+ time=base + timedelta(days=2),
+ symbol="BTCUSDT",
+ side="BUY",
+ price=Decimal("105"),
+ quantity=Decimal("1"),
+ ),
+ TradeRecord(
+ time=base + timedelta(days=3),
+ symbol="BTCUSDT",
+ side="SELL",
+ price=Decimal("115"),
+ quantity=Decimal("1"),
+ ),
+ TradeRecord(
+ time=base + timedelta(days=4),
+ symbol="BTCUSDT",
+ side="BUY",
+ price=Decimal("110"),
+ quantity=Decimal("1"),
+ ),
+ TradeRecord(
+ time=base + timedelta(days=5),
+ symbol="BTCUSDT",
+ side="SELL",
+ price=Decimal("108"),
+ quantity=Decimal("1"),
+ ),
]
m1 = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10018"), risk_free_rate=0.0)
m2 = compute_detailed_metrics(trades, Decimal("10000"), Decimal("10018"), risk_free_rate=0.10)
@@ -154,8 +186,22 @@ def test_fee_subtracted_from_pnl():
"""Fees should be subtracted from trade PnL."""
base = datetime(2025, 1, 1, tzinfo=timezone.utc)
trades_with_fees = [
- TradeRecord(time=base, symbol="BTC", side="BUY", price=Decimal("100"), quantity=Decimal("1"), fee=Decimal("1")),
- TradeRecord(time=base + timedelta(minutes=10), symbol="BTC", side="SELL", price=Decimal("110"), quantity=Decimal("1"), fee=Decimal("1")),
+ TradeRecord(
+ time=base,
+ symbol="BTC",
+ side="BUY",
+ price=Decimal("100"),
+ quantity=Decimal("1"),
+ fee=Decimal("1"),
+ ),
+ TradeRecord(
+ time=base + timedelta(minutes=10),
+ symbol="BTC",
+ side="SELL",
+ price=Decimal("110"),
+ quantity=Decimal("1"),
+ fee=Decimal("1"),
+ ),
]
# PnL should be 10 - 1 - 1 = 8
metrics = compute_detailed_metrics(trades_with_fees, Decimal("10000"), Decimal("10008"))
diff --git a/services/backtester/tests/test_walk_forward.py b/services/backtester/tests/test_walk_forward.py
index e672dac..5ab2e7b 100644
--- a/services/backtester/tests/test_walk_forward.py
+++ b/services/backtester/tests/test_walk_forward.py
@@ -1,10 +1,10 @@
"""Tests for walk-forward analysis."""
+
import sys
from pathlib import Path
from decimal import Decimal
from datetime import datetime, timedelta, timezone
-import pytest
sys.path.insert(0, str(Path(__file__).resolve().parents[1] / "src"))
sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "strategy-engine"))
@@ -19,15 +19,18 @@ def _generate_candles(n=100, base_price=100.0):
for i in range(n):
# Simple oscillating price
price = base_price + (i % 20) - 10
- candles.append(Candle(
- symbol="BTCUSDT", timeframe="1h",
- open_time=datetime(2025, 1, 1, tzinfo=timezone.utc) + timedelta(hours=i),
- open=Decimal(str(price)),
- high=Decimal(str(price + 5)),
- low=Decimal(str(price - 5)),
- close=Decimal(str(price)),
- volume=Decimal("100"),
- ))
+ candles.append(
+ Candle(
+ symbol="BTCUSDT",
+ timeframe="1h",
+ open_time=datetime(2025, 1, 1, tzinfo=timezone.utc) + timedelta(hours=i),
+ open=Decimal(str(price)),
+ high=Decimal(str(price + 5)),
+ low=Decimal(str(price - 5)),
+ close=Decimal(str(price)),
+ volume=Decimal("100"),
+ )
+ )
return candles
generated by cgit v1.2.3 (git 2.39.1) at 2026-04-02 05:08:39 +0000