diff options
Diffstat (limited to 'services/strategy-engine/tests/test_rsi_strategy.py')
| -rw-r--r-- | services/strategy-engine/tests/test_rsi_strategy.py | 65 |
1 files changed, 61 insertions, 4 deletions
diff --git a/services/strategy-engine/tests/test_rsi_strategy.py b/services/strategy-engine/tests/test_rsi_strategy.py index 2a2f4e7..6c74f0b 100644 --- a/services/strategy-engine/tests/test_rsi_strategy.py +++ b/services/strategy-engine/tests/test_rsi_strategy.py @@ -1,18 +1,18 @@ """Tests for the RSI strategy.""" -from datetime import datetime, timezone +from datetime import UTC, datetime from decimal import Decimal +from strategies.rsi_strategy import RsiStrategy from shared.models import Candle, OrderSide -from strategies.rsi_strategy import RsiStrategy def make_candle(close: float, idx: int = 0) -> Candle: return Candle( - symbol="BTC/USDT", + symbol="AAPL", timeframe="1m", - open_time=datetime(2024, 1, 1, tzinfo=timezone.utc), + open_time=datetime(2024, 1, 1, tzinfo=UTC), open=Decimal(str(close)), high=Decimal(str(close)), low=Decimal(str(close)), @@ -43,3 +43,60 @@ def test_rsi_strategy_buy_signal_on_oversold(): # if a signal is returned, it must be a BUY if signal is not None: assert signal.side == OrderSide.BUY + + +def test_rsi_detects_bullish_divergence(): + """Bullish divergence: price makes lower low, RSI makes higher low.""" + strategy = RsiStrategy() + strategy.configure({"period": 5, "oversold": 20, "overbought": 80}) + strategy._filter_enabled = False # Disable filters to test divergence logic only + + # Sharp consecutive drop to 50 drives RSI near 0 (first swing low). + # Big recovery, then gradual decline to 48 (lower price, but RSI > 0 = higher low). + prices = [100.0] * 7 + prices += [85.0, 70.0, 55.0, 50.0] + prices += [55.0, 65.0, 80.0, 95.0, 110.0, 120.0, 130.0, 135.0, 140.0, 142.0, 143.0, 144.0] + prices += [142.0, 140.0, 138.0, 135.0, 130.0, 125.0, 120.0, 115.0, 110.0, 105.0] + prices += [100.0, 95.0, 90.0, 85.0, 80.0, 75.0, 70.0, 65.0, 60.0, 55.0, 50.0, 48.0] + prices += [52.0, 58.0] + + signals = [] + for p in prices: + result = strategy.on_candle(make_candle(p)) + if result is not None: + signals.append(result) + + divergence_signals = [s for s in signals if "divergence" in s.reason] + assert len(divergence_signals) > 0, "Expected at least one bullish divergence signal" + assert divergence_signals[0].side == OrderSide.BUY + assert divergence_signals[0].conviction == 0.9 + assert "bullish divergence" in divergence_signals[0].reason + + +def test_rsi_detects_bearish_divergence(): + """Bearish divergence: price makes higher high, RSI makes lower high.""" + strategy = RsiStrategy() + strategy.configure({"period": 5, "oversold": 20, "overbought": 80}) + strategy._filter_enabled = False # Disable filters to test divergence logic only + + # Sharp consecutive rise to 160 drives RSI very high (first swing high). + # Deep pullback, then rise to 162 (higher price) but with a dip right before + # the peak to dampen RSI (lower high). + prices = [100.0] * 7 + prices += [110.0, 120.0, 130.0, 140.0, 150.0, 160.0] + prices += [155.0, 145.0, 130.0, 115.0, 100.0, 90.0, 80.0] + prices += [90.0, 100.0, 110.0, 120.0, 130.0, 140.0, 150.0] + prices += [145.0, 162.0] + prices += [155.0, 148.0] + + signals = [] + for p in prices: + result = strategy.on_candle(make_candle(p)) + if result is not None: + signals.append(result) + + divergence_signals = [s for s in signals if "divergence" in s.reason] + assert len(divergence_signals) > 0, "Expected at least one bearish divergence signal" + assert divergence_signals[0].side == OrderSide.SELL + assert divergence_signals[0].conviction == 0.9 + assert "bearish divergence" in divergence_signals[0].reason |
