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"""Tests for the EMA Crossover strategy."""
from datetime import datetime, timezone
from decimal import Decimal
from shared.models import Candle, OrderSide
from strategies.ema_crossover_strategy import EmaCrossoverStrategy
def make_candle(close: float) -> Candle:
return Candle(
symbol="AAPL",
timeframe="1m",
open_time=datetime(2024, 1, 1, tzinfo=timezone.utc),
open=Decimal(str(close)),
high=Decimal(str(close)),
low=Decimal(str(close)),
close=Decimal(str(close)),
volume=Decimal("1.0"),
)
def _make_strategy(
short: int = 3, long: int = 6, pullback_enabled: bool = False
) -> EmaCrossoverStrategy:
s = EmaCrossoverStrategy()
s.configure(
{
"short_period": short,
"long_period": long,
"quantity": "0.01",
"pullback_enabled": pullback_enabled,
}
)
return s
def test_ema_warmup_period():
strategy = _make_strategy(short=3, long=6)
assert strategy.warmup_period == 6
def test_ema_no_signal_insufficient_data():
strategy = _make_strategy(short=3, long=6)
# Feed fewer candles than warmup_period
for price in [100, 101, 102, 103, 104]:
result = strategy.on_candle(make_candle(price))
assert result is None
def test_ema_buy_signal_golden_cross():
strategy = _make_strategy(short=3, long=6)
# Declining prices so short EMA stays below long EMA
declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
for price in declining:
strategy.on_candle(make_candle(price))
# Sharp rise to force short EMA above long EMA (golden cross)
rising = [120, 140, 160]
signal = None
for price in rising:
result = strategy.on_candle(make_candle(price))
if result is not None:
signal = result
assert signal is not None
assert signal.side == OrderSide.BUY
assert "Golden Cross" in signal.reason
def test_ema_sell_signal_death_cross():
strategy = _make_strategy(short=3, long=6)
# Rising prices so short EMA stays above long EMA
rising = [80, 82, 84, 86, 88, 90, 92, 94, 96, 98]
for price in rising:
strategy.on_candle(make_candle(price))
# Sharp decline to force short EMA below long EMA (death cross)
declining = [60, 40, 20]
signal = None
for price in declining:
result = strategy.on_candle(make_candle(price))
if result is not None:
signal = result
assert signal is not None
assert signal.side == OrderSide.SELL
assert "Death Cross" in signal.reason
def test_ema_reset_clears_state():
strategy = _make_strategy(short=3, long=6)
# Feed enough data to produce a signal
for price in [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]:
strategy.on_candle(make_candle(price))
strategy.reset()
# After reset, insufficient data again — no signal
result = strategy.on_candle(make_candle(100))
assert result is None
# Internal state should be cleared
assert len(strategy._closes) == 1
assert strategy._prev_short_above is None
assert strategy._pending_signal is None
def test_ema_pullback_entry():
"""Crossover detected, then pullback to short EMA triggers signal."""
strategy = EmaCrossoverStrategy()
strategy.configure(
{
"short_period": 3,
"long_period": 6,
"quantity": "0.01",
"pullback_enabled": True,
"pullback_tolerance": 0.05, # 5% tolerance for test simplicity
}
)
# Declining prices so short EMA stays below long EMA
declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
for price in declining:
strategy.on_candle(make_candle(price))
# Sharp rise to force golden cross — with pullback enabled, no signal yet
rising = [120, 140, 160]
for price in rising:
strategy.on_candle(make_candle(price))
# With pullback enabled, crossover should NOT produce immediate signal
# but _pending_signal should be set
assert strategy._pending_signal == "BUY"
# Now feed a candle whose close is near the short EMA (pullback)
# The short EMA will be tracking recent prices; feed a price that pulls back
# toward it. We use a moderate price to get close to short EMA.
import pandas as pd
series = pd.Series(list(strategy._closes))
short_ema_val = series.ewm(span=3, adjust=False).mean().iloc[-1]
# Feed a candle at approximately the short EMA value
result = strategy.on_candle(make_candle(short_ema_val))
assert result is not None
assert result.side == OrderSide.BUY
assert "pullback" in result.reason
def test_ema_pullback_cancelled_on_reversal():
"""Crossover detected, then reversal cancels the pending signal."""
strategy = EmaCrossoverStrategy()
strategy.configure(
{
"short_period": 3,
"long_period": 6,
"quantity": "0.01",
"pullback_enabled": True,
"pullback_tolerance": 0.001, # Very tight tolerance — won't trigger easily
}
)
# Declining prices
declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
for price in declining:
strategy.on_candle(make_candle(price))
# Sharp rise to force golden cross
for price in [120, 140, 160]:
strategy.on_candle(make_candle(price))
assert strategy._pending_signal == "BUY"
# Now sharp decline to reverse the crossover (death cross)
for price in [60, 40, 20]:
strategy.on_candle(make_candle(price))
# The BUY pending signal should be cancelled because short EMA fell below long EMA.
# A new death cross may set _pending_signal to "SELL", but the original "BUY" is gone.
assert strategy._pending_signal != "BUY"
def test_ema_immediate_mode():
"""With pullback_enabled=False, original immediate entry works."""
strategy = EmaCrossoverStrategy()
strategy.configure(
{
"short_period": 3,
"long_period": 6,
"quantity": "0.01",
"pullback_enabled": False,
}
)
# Declining prices so short EMA stays below long EMA
declining = [100, 98, 96, 94, 92, 90, 88, 86, 84, 82]
for price in declining:
strategy.on_candle(make_candle(price))
# Sharp rise to force golden cross — immediate mode should fire signal
rising = [120, 140, 160]
signal = None
for price in rising:
result = strategy.on_candle(make_candle(price))
if result is not None:
signal = result
assert signal is not None
assert signal.side == OrderSide.BUY
assert "Golden Cross" in signal.reason
# No pending signal should be set
assert strategy._pending_signal is None
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