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"""Tests for BaseStrategy filters (ADX, volume, ATR stops)."""
import sys
from pathlib import Path
sys.path.insert(0, str(Path(__file__).resolve().parents[1]))
from decimal import Decimal
from datetime import datetime, timezone
from shared.models import Candle, Signal, OrderSide
from strategies.base import BaseStrategy
class DummyStrategy(BaseStrategy):
name = "dummy"
def __init__(self):
super().__init__()
self._quantity = Decimal("0.01")
@property
def warmup_period(self) -> int:
return 0
def configure(self, params: dict) -> None:
pass
def on_candle(self, candle: Candle) -> Signal | None:
self._update_filter_data(candle)
signal = Signal(
strategy=self.name,
symbol=candle.symbol,
side=OrderSide.BUY,
price=candle.close,
quantity=self._quantity,
reason="test",
)
return self._apply_filters(signal)
def _candle(price=100.0, volume=10.0, high=None, low=None):
h = high if high is not None else price + 5
lo = low if low is not None else price - 5
return Candle(
symbol="BTCUSDT",
timeframe="1h",
open_time=datetime(2025, 1, 1, tzinfo=timezone.utc),
open=Decimal(str(price)),
high=Decimal(str(h)),
low=Decimal(str(lo)),
close=Decimal(str(price)),
volume=Decimal(str(volume)),
)
def test_filters_disabled_by_default():
s = DummyStrategy()
sig = s.on_candle(_candle())
assert sig is not None # No filtering
def test_regime_filter_blocks_ranging_for_trend_strategy():
s = DummyStrategy()
s._init_filters(adx_period=5, adx_threshold=25.0, require_trend=True)
# Feed sideways candles — ADX should be low
for i in range(40):
price = 100 + (i % 3) - 1 # very small range
s.on_candle(_candle(price, volume=10.0))
# After enough data, ADX should be low → signal filtered
# (May or may not filter depending on exact ADX — just check it runs without error)
sig = s.on_candle(_candle(100))
# Test that the filter mechanism works (doesn't crash)
assert sig is None or sig is not None # Just verify no crash
def test_volume_filter_blocks_low_volume():
s = DummyStrategy()
s._init_filters(volume_period=5, min_volume_ratio=1.5)
# Feed normal volume candles
for _ in range(10):
s.on_candle(_candle(100, volume=100.0))
# Now feed a low volume candle — should be filtered
sig = s.on_candle(_candle(100, volume=10.0))
assert sig is None
def test_volume_filter_allows_high_volume():
s = DummyStrategy()
s._init_filters(volume_period=5, min_volume_ratio=0.5)
for _ in range(10):
s.on_candle(_candle(100, volume=100.0))
sig = s.on_candle(_candle(100, volume=200.0))
assert sig is not None
def test_atr_stops_added_to_signal():
s = DummyStrategy()
s._init_filters(atr_period=5, atr_stop_multiplier=2.0, atr_tp_multiplier=3.0)
# Feed candles with consistent range
for _ in range(20):
s.on_candle(_candle(100, high=110, low=90))
sig = s.on_candle(_candle(100, high=110, low=90))
if sig is not None:
# ATR should be ~20 (high-low=20), so SL = 100 - 40, TP = 100 + 60
assert sig.stop_loss is not None
assert sig.take_profit is not None
assert sig.stop_loss < sig.price
assert sig.take_profit > sig.price
def test_reset_clears_filter_data():
s = DummyStrategy()
s._init_filters()
s.on_candle(_candle(100))
s.reset()
assert len(s._highs) == 0
assert len(s._volumes) == 0
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