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"""Tests for extreme value edge cases."""
import sys
from datetime import datetime, timezone
from decimal import Decimal
from pathlib import Path
sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "services" / "strategy-engine"))
sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "services" / "backtester" / "src"))
sys.path.insert(0, str(Path(__file__).resolve().parents[2] / "services" / "order-executor" / "src"))
from shared.models import Candle, Signal, OrderSide
from strategies.rsi_strategy import RsiStrategy
from strategies.vwap_strategy import VwapStrategy
from strategies.bollinger_strategy import BollingerStrategy
from backtester.engine import BacktestEngine
from backtester.simulator import OrderSimulator
from order_executor.risk_manager import RiskManager
def _candle(close: str, volume: str = "1000", idx: int = 0) -> Candle:
from datetime import timedelta
base = datetime(2025, 1, 1, tzinfo=timezone.utc)
return Candle(
symbol="BTCUSDT",
timeframe="1h",
open_time=base + timedelta(hours=idx),
open=Decimal(close),
high=Decimal(close),
low=Decimal(close),
close=Decimal(close),
volume=Decimal(volume),
)
class TestZeroPriceCandle:
"""Strategy should handle Decimal('0') price without crashing."""
def test_rsi_zero_price(self):
strategy = RsiStrategy()
for i in range(20):
strategy.on_candle(_candle("0", idx=i))
# Should not crash; RSI is undefined with constant price
result = strategy.on_candle(_candle("0", idx=20))
# With all-zero prices, diffs are zero, RSI is NaN -> returns None
assert result is None
def test_vwap_zero_price(self):
strategy = VwapStrategy()
for i in range(40):
result = strategy.on_candle(_candle("0", "100", idx=i))
# VWAP of zero-price candles is 0; deviation calc is 0/0 -> should handle gracefully
# This tests the division by vwap when vwap == 0
assert result is None
class TestVeryLargePrice:
"""Strategy should handle extremely large prices."""
def test_rsi_large_price(self):
strategy = RsiStrategy()
for i in range(20):
strategy.on_candle(_candle("999999999", idx=i))
result = strategy.on_candle(_candle("999999999", idx=20))
# Constant large price -> no signal
assert result is None
def test_bollinger_large_price(self):
strategy = BollingerStrategy()
for i in range(25):
strategy.on_candle(_candle("999999999", idx=i))
# Should not overflow; constant price -> std=0, bandwidth=0 -> skip
result = strategy.on_candle(_candle("999999999", idx=25))
assert result is None
class TestZeroInitialBalance:
"""Backtester with Decimal('0') initial balance."""
def test_backtest_zero_balance(self):
strategy = RsiStrategy()
engine = BacktestEngine(strategy, initial_balance=Decimal("0"))
candles = [_candle(str(100 - i), idx=i) for i in range(30)]
result = engine.run(candles)
# Cannot buy with 0 balance, so 0 trades
assert result.total_trades == 0
assert result.final_balance == Decimal("0")
assert result.profit_pct == Decimal("0")
class TestOrderQuantityZero:
"""Order with quantity=0."""
def test_simulator_zero_quantity_buy(self):
sim = OrderSimulator(initial_balance=Decimal("10000"))
signal = Signal(
strategy="test",
symbol="BTCUSDT",
side=OrderSide.BUY,
price=Decimal("50000"),
quantity=Decimal("0"),
reason="test zero qty",
)
result = sim.execute(signal)
# cost = 50000 * 0 = 0; this is technically valid (no cost)
assert result is True
# Balance unchanged
assert sim.balance == Decimal("10000")
def test_simulator_zero_quantity_sell(self):
sim = OrderSimulator(initial_balance=Decimal("10000"))
signal = Signal(
strategy="test",
symbol="BTCUSDT",
side=OrderSide.SELL,
price=Decimal("50000"),
quantity=Decimal("0"),
reason="test zero qty sell",
)
result = sim.execute(signal)
# No position to sell -> rejected
assert result is False
class TestRiskManagerZeroDailyLossLimit:
"""RiskManager with 0% daily loss limit should reject everything on any loss."""
def test_zero_daily_loss_limit_rejects_on_loss(self):
rm = RiskManager(
max_position_size=Decimal("0.5"),
stop_loss_pct=Decimal("5"),
daily_loss_limit_pct=Decimal("0"),
)
signal = Signal(
strategy="test",
symbol="BTCUSDT",
side=OrderSide.BUY,
price=Decimal("50000"),
quantity=Decimal("0.01"),
reason="test",
)
# Any negative pnl with 0% limit -> should reject
result = rm.check(
signal=signal,
balance=Decimal("10000"),
positions={},
daily_pnl=Decimal("-1"), # any loss at all
)
assert result.allowed is False
def test_zero_daily_loss_limit_allows_no_loss(self):
rm = RiskManager(
max_position_size=Decimal("0.5"),
stop_loss_pct=Decimal("5"),
daily_loss_limit_pct=Decimal("0"),
)
signal = Signal(
strategy="test",
symbol="BTCUSDT",
side=OrderSide.BUY,
price=Decimal("100"),
quantity=Decimal("0.01"),
reason="test",
)
# No loss -> should allow
result = rm.check(
signal=signal,
balance=Decimal("10000"),
positions={},
daily_pnl=Decimal("0"),
)
assert result.allowed is True
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