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"""Tests for MOC (Market on Close) strategy."""
import sys
from pathlib import Path
sys.path.insert(0, str(Path(__file__).resolve().parents[1]))
from datetime import UTC, datetime
from decimal import Decimal
from strategies.moc_strategy import MocStrategy
from shared.models import Candle, OrderSide
def _candle(price, hour=20, minute=0, volume=100.0, day=1, open_price=None):
op = open_price if open_price is not None else price - 1 # Default: bullish
return Candle(
symbol="AAPL",
timeframe="5Min",
open_time=datetime(2025, 1, day, hour, minute, tzinfo=UTC),
open=Decimal(str(op)),
high=Decimal(str(price + 1)),
low=Decimal(str(min(op, price) - 1)),
close=Decimal(str(price)),
volume=Decimal(str(volume)),
)
def _make_strategy(**overrides):
s = MocStrategy()
params = {
"quantity_pct": 0.2,
"stop_loss_pct": 2.0,
"rsi_min": 30,
"rsi_max": 70, # Wider for tests
"ema_period": 5,
"volume_avg_period": 5,
"min_volume_ratio": 0.5,
"buy_start_utc": 19,
"buy_end_utc": 21,
"sell_start_utc": 13,
"sell_end_utc": 15,
"max_positions": 5,
}
params.update(overrides)
s.configure(params)
return s
def test_moc_warmup_period():
s = _make_strategy(ema_period=20, volume_avg_period=15)
assert s.warmup_period == 21
def test_moc_no_signal_outside_buy_window():
s = _make_strategy()
# Hour 12 UTC — not in buy (19-21) or sell (13-15) window
for i in range(10):
sig = s.on_candle(_candle(150 + i, hour=12, minute=i * 5))
assert sig is None
def test_moc_buy_signal_in_window():
s = _make_strategy(ema_period=3)
# Build up history with some oscillation so RSI settles in the 30-70 range
prices = [
150,
149,
151,
148,
152,
149,
150,
151,
148,
150,
149,
151,
150,
152,
151,
153,
152,
154,
153,
155,
]
signals = []
for i, p in enumerate(prices):
sig = s.on_candle(_candle(p, hour=20, minute=i * 2, volume=200.0))
if sig is not None:
signals.append(sig)
buy_signals = [sig for sig in signals if sig.side == OrderSide.BUY]
assert len(buy_signals) > 0
assert buy_signals[0].strategy == "moc"
def test_moc_sell_at_open():
s = _make_strategy(ema_period=3)
# Force entry
for i in range(10):
s.on_candle(_candle(150 + i, hour=20, minute=i * 3, volume=200.0))
if s._in_position:
# Next day, sell window
sig = s.on_candle(_candle(155, hour=14, minute=0, day=2))
assert sig is not None
assert sig.side == OrderSide.SELL
assert "MOC sell" in sig.reason
def test_moc_stop_loss():
s = _make_strategy(ema_period=3, stop_loss_pct=1.0)
for i in range(10):
s.on_candle(_candle(150 + i, hour=20, minute=i * 3, volume=200.0))
if s._in_position:
drop_price = s._entry_price * 0.98 # -2%
sig = s.on_candle(_candle(drop_price, hour=22, minute=0))
if sig is not None:
assert sig.side == OrderSide.SELL
assert "stop loss" in sig.reason
def test_moc_no_buy_on_bearish_candle():
s = _make_strategy(ema_period=3)
for i in range(8):
s.on_candle(_candle(150, hour=20, minute=i * 3, volume=200.0))
# Bearish candle (open > close)
s.on_candle(_candle(149, hour=20, minute=30, open_price=151))
# May or may not signal depending on other criteria, but bearish should reduce chances
# Just verify no crash
def test_moc_only_one_buy_per_day():
s = _make_strategy(ema_period=3)
buy_count = 0
for i in range(20):
sig = s.on_candle(_candle(150 + i * 0.3, hour=20, minute=i * 2, volume=200.0))
if sig is not None and sig.side == OrderSide.BUY:
buy_count += 1
assert buy_count <= 1
def test_moc_reset():
s = _make_strategy()
s.on_candle(_candle(150, hour=20))
s._in_position = True
s.reset()
assert not s._in_position
assert len(s._closes) == 0
assert not s._bought_today
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